SysTutorials Posts

QuantLib::ForwardOptionArguments – Arguments for forward (strike-resetting) option calculation Synopsis#include <ql/instruments/forwardvanillaoption.hpp> Inherits QuantLib::ArgumentsType. Public Member Functionsvoid validate () const Public AttributesReal moneyness Date resetDate Detailed Descriptiontemplate<class ArgumentsType> class QuantLib::ForwardOptionArguments< ArgumentsType >Arguments for forward (strike-resetting) option calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ForwardMeasureProcess1D – forward-measure 1-D stochastic process Synopsis#include <ql/processes/forwardmeasureprocess.hpp> Inherits QuantLib::StochasticProcess1D. Inherited by HullWhiteForwardProcess. Public Member Functionsvoid setForwardMeasureTime (Time) Time getForwardMeasureTime () const Protected Member FunctionsForwardMeasureProcess1D (Time T) ForwardMeasureProcess1D (const boost::shared_ptr< discretization > &) Protected AttributesTime T_ Detailed Descriptionforward-measure 1-D stochastic process 1-D stochastic process whose dynamics are expressed in the forward measure. AuthorGenerated automatically by…

QuantLib::ForwardMeasureProcess – forward-measure stochastic process Synopsis#include <ql/processes/forwardmeasureprocess.hpp> Inherits QuantLib::StochasticProcess. Inherited by G2ForwardProcess. Public Member Functionsvoid setForwardMeasureTime (Time) Time getForwardMeasureTime () const Protected Member FunctionsForwardMeasureProcess (Time T) ForwardMeasureProcess (const boost::shared_ptr< discretization > &) Protected AttributesTime T_ Detailed Descriptionforward-measure stochastic process stochastic process whose dynamics are expressed in the forward measure. AuthorGenerated automatically by Doxygen for QuantLib…

QuantLib::ForwardFlatInterpolation – Forward-flat interpolation between discrete points. Synopsis#include <ql/math/interpolations/forwardflatinterpolation.hpp> Inherits QuantLib::Interpolation. Public Member Functionstemplate<class I1 , class I2 > ForwardFlatInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) Detailed DescriptionForward-flat interpolation between discrete points. Constructor & Destructor DocumentationForwardFlatInterpolation (const I1 & xBegin, const I1 & xEnd, const I2 & yBegin)Precondition: the $ x $…

QuantLib::ForwardFlat – Forward-flat interpolation factory and traits. Synopsis#include <ql/math/interpolations/forwardflatinterpolation.hpp> Public Member Functionstemplate<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const Static Public Attributesstatic const bool global = false static const Size requiredPoints = 2 Detailed DescriptionForward-flat interpolation factory and traits. AuthorGenerated automatically by Doxygen for QuantLib…

QuantLib::Forward – Abstract base forward class. Synopsis#include <ql/instruments/forward.hpp> Inherits QuantLib::Instrument. Inherited by FixedRateBondForward, and ForwardRateAgreement. Public Member Functionsvirtual Real spotValue () const =0 returns spot value/price of an underlying financial instrument virtual Real spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const =0 NPV of income/dividends/storage-costs etc. of underlying instrument. Inspectors virtual Date settlementDate () const const…

QuantLib::FloatingTypePayoff – Payoff based on a floating strike Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::TypePayoff. Public Member FunctionsFloatingTypePayoff (Option::Type type) Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed DescriptionPayoff based on a floating strike Member Function Documentationstd::string name () const [virtual]Warning This method is used for output and comparison…

QuantLib::FloatingRateCouponPricer – generic pricer for floating-rate coupons Synopsis#include <ql/cashflows/couponpricer.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by CmsCouponPricer, IborCouponPricer, RangeAccrualPricer, and SubPeriodsPricer. Public Member Functionsrequired interface virtual Real swapletPrice () const =0 virtual Rate swapletRate () const =0 virtual Real capletPrice (Rate effectiveCap) const =0 virtual Rate capletRate (Rate effectiveCap) const =0 virtual Real floorletPrice (Rate effectiveFloor)…

QuantLib::FloatingRateCoupon – base floating-rate coupon class Synopsis#include <ql/cashflows/floatingratecoupon.hpp> Inherits QuantLib::Coupon, and QuantLib::Observer. Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon. Public Member FunctionsFloatingRateCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< InterestRateIndex > &index, const Real gearing=1.0, const Spread spread=0.0, const Date &refPeriodStart=Date(), const…

QuantLib::FloatingRateBond – floating-rate bond (possibly capped and/or floored) Synopsis#include <ql/instruments/bonds/floatingratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsFloatingRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const boost::shared_ptr< IborIndex > &index, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1, 0.0), const std::vector< Rate…

QuantLib::FlatHazardRate – flat hazard-rate curve Synopsis#include <ql/termstructures/credit/flathazardrate.hpp> Inherits QuantLib::HazardRateStructure. Public Member FunctionsConstructors FlatHazardRate (const Handle< Quote > &hazardRate, const DayCounter &) FlatHazardRate (const Date &todaysDate, const Handle< Quote > &hazardRate, const DayCounter &) TermStructure interface Date maxDate () const the latest date for which the curve can return values Detailed Descriptionflat hazard-rate curve AuthorGenerated automatically…

QuantLib::FlatForward – Flat interest-rate curve. Synopsis#include <ql/termstructures/yield/flatforward.hpp> Inherits QuantLib::YieldTermStructure, and QuantLib::LazyObject. Public Member FunctionsFlatForward (const Date &referenceDate, const Handle< Quote > &forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual) FlatForward (const Date &referenceDate, Rate forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual) FlatForward (Natural settlementDays, const Calendar &calendar, const Handle< Quote > &forward, const DayCounter…

QuantLib::FixedRateLeg – helper class building a sequence of fixed rate coupons Synopsis#include <ql/cashflows/fixedratecoupon.hpp> Public Member FunctionsFixedRateLeg (const Schedule &schedule, const DayCounter &paymentDayCounter) FixedRateLeg & withNotionals (Real) FixedRateLeg & withNotionals (const std::vector< Real > &) FixedRateLeg & withCouponRates (Rate) FixedRateLeg & withCouponRates (const InterestRate &) FixedRateLeg & withCouponRates (const std::vector< Rate > &) FixedRateLeg & withCouponRates…

QuantLib::FixedRateCoupon – Coupon paying a fixed interest rate Synopsis#include <ql/cashflows/fixedratecoupon.hpp> Inherits QuantLib::Coupon. Public Member Functionsconstructors FixedRateCoupon (Real nominal, const Date &paymentDate, Rate rate, const DayCounter &dayCounter, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date()) FixedRateCoupon (Real nominal, const Date &paymentDate, const InterestRate &interestRate, const DayCounter &dayCounter, const Date &accrualStartDate, const Date…

QuantLib::FixedRateBondHelper – fixed-coupon bond helper Synopsis#include <ql/termstructures/yield/bondhelpers.hpp> Inherits BootstrapHelper< YieldTermStructure >. Public Member FunctionsFixedRateBondHelper (const Handle< Quote > &cleanPrice, Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &dayCounter, BusinessDayConvention paymentConv=Following, Real redemption=100.0, const Date &issueDate=Date()) FixedRateBondHelper (const Handle< Quote > &cleanPrice, const boost::shared_ptr< FixedRateBond > &bond) BootstrapHelper interface Real…

QuantLib::FixedRateBondForward – Forward contract on a fixed-rate bond Synopsis#include <ql/instruments/fixedratebondforward.hpp> Inherits QuantLib::Forward. Public Member FunctionsConstructors FixedRateBondForward (const Date &valueDate, const Date &maturityDate, Position::Type type, Real strike, Natural settlementDays, const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, const boost::shared_ptr< FixedRateBond > &fixedCouponBond, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &incomeDiscountCurve=Handle< YieldTermStructure >())…

QuantLib::FixedRateBond – fixed-rate bond Synopsis#include <ql/instruments/bonds/fixedratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsFixedRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date()) FixedRateBond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &startDate, const Date &maturityDate, const Period &tenor, const std::vector< Rate > &coupons,…

QuantLib::FixedDividend – Predetermined cash flow. Synopsis#include <ql/cashflows/dividend.hpp> Inherits QuantLib::Dividend. Public Member FunctionsFixedDividend (Real amount, const Date &date) Dividend interface virtual Real amount () const returns the amount of the cash flow virtual Real amount (Real) const Protected AttributesReal amount_ Detailed DescriptionPredetermined cash flow. This cash flow pays a predetermined amount at a given date. Examples:…

QuantLib::FittedBondDiscountCurve::FittingMethod – Base fitting method used to construct a fitted bond discount curve. Synopsis#include <ql/termstructures/yield/fittedbonddiscountcurve.hpp> Inherited by CubicBSplinesFitting, ExponentialSplinesFitting, NelsonSiegelFitting, and SimplePolynomialFitting. Public Member Functionsvirtual Size size () const =0 total number of coefficients to fit/solve for Array solution () const output array of results of optimization problem Integer numberOfIterations () const final number of…

QuantLib::FittedBondDiscountCurve – Discount curve fitted to a set of fixed-coupon bonds. Synopsis#include <ql/termstructures/yield/fittedbonddiscountcurve.hpp> Inherits QuantLib::YieldTermStructure, and QuantLib::LazyObject. Classesclass FittingMethod Base fitting method used to construct a fitted bond discount curve. Public Member FunctionsConstructors FittedBondDiscountCurve (Natural settlementDays, const Calendar &calendar, const std::vector< boost::shared_ptr< FixedRateBondHelper > > &instruments, const DayCounter &dayCounter, const FittingMethod &fittingMethod, Real accuracy=1.0e-10, Size…