SysTutorials Posts

QuantLib::EnergyVanillaSwap – Vanilla energy swap. Synopsis#include <ql/experimental/commodities/energyvanillaswap.hpp> Inherits QuantLib::EnergySwap. Public Member FunctionsEnergyVanillaSwap (bool payer, const Calendar &calendar, const Money &fixedPrice, const UnitOfMeasure &fixedPriceUnitOfMeasure, const boost::shared_ptr< CommodityIndex > &index, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure > &payLegTermStructure, const Handle< YieldTermStructure > &receiveLegTermStructure,…

QuantLib::EnergyFuture – Energy future. Synopsis#include <ql/experimental/commodities/energyfuture.hpp> Inherits QuantLib::EnergyCommodity. Public Member FunctionsEnergyFuture (Integer buySell, const Quantity &quantity, const CommodityUnitCost &tradePrice, const boost::shared_ptr< CommodityIndex > &index, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts) bool isExpired () const returns whether the instrument is still tradable. Quantity quantity () const const CommodityUnitCost & tradePrice () const const boost::shared_ptr<…

QuantLib::EnergyCommodity – Energy commodity class. Synopsis#include <ql/experimental/commodities/energycommodity.hpp> Inherits QuantLib::Commodity. Inherited by EnergyFuture, and EnergySwap. Public Typesenum DeliverySchedule { Constant, Window, Hourly, Daily, Weekly, Monthly, Quarterly, Yearly } enum QuantityPeriodicity { Absolute, PerHour, PerDay, PerWeek, PerMonth, PerQuarter, PerYear } enum PaymentSchedule { WindowSettlement, MonthlySettlement, QuarterlySettlement, YearlySettlement } Public Member FunctionsEnergyCommodity (const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts…

QuantLib::EnergyBasisSwap – Energy basis swap. Synopsis#include <ql/experimental/commodities/energybasisswap.hpp> Inherits QuantLib::EnergySwap. Public Member FunctionsEnergyBasisSwap (const Calendar &calendar, const boost::shared_ptr< CommodityIndex > &spreadIndex, const boost::shared_ptr< CommodityIndex > &payIndex, const boost::shared_ptr< CommodityIndex > &receiveIndex, bool spreadToPayLeg, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityUnitCost &basis, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure…

QuantLib::EndEulerDiscretization – Euler end-point discretization for stochastic processes. Synopsis#include <ql/processes/endeulerdiscretization.hpp> Inherits QuantLib::StochasticProcess::discretization, and QuantLib::StochasticProcess1D::discretization. Public Member FunctionsDisposable< Array > drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const Real drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const Disposable< Matrix > diffusion (const StochasticProcess &, Time t0, const Array &x0,…

QuantLib::EndCriteria – Criteria to end optimization process:. Synopsis#include <ql/math/optimization/endcriteria.hpp> Public Typesenum Type { None, MaxIterations, StationaryPoint, StationaryFunctionValue, StationaryFunctionAccuracy, ZeroGradientNorm, Unknown } Public Member FunctionsEndCriteria (Size maxIterations, Size maxStationaryStateIterations, Real rootEpsilon, Real functionEpsilon, Real gradientNormEpsilon) Initialization constructor. Size maxIterations () const Size maxStationaryStateIterations () const Real rootEpsilon () const Real functionEpsilon () const Real gradientNormEpsilon ()…

QuantLib::EarlyExercisePathPricer – base class for early exercise path pricers Synopsis#include <ql/methods/montecarlo/earlyexercisepathpricer.hpp> Public Typestypedef EarlyExerciseTraits< PathType >::StateType StateType Public Member Functionsvirtual ValueType operator() (const PathType &path, TimeType t) const =0 virtual StateType state (const PathType &path, TimeType t) const =0 virtual std::vector< boost::function1< ValueType, StateType > > basisSystem () const =0 Detailed Descriptiontemplate<class PathType, class TimeType…

QuantLib::EarlyExercise – Early-exercise base class. Synopsis#include <ql/exercise.hpp> Inherits QuantLib::Exercise. Inherited by AmericanExercise, and BermudanExercise. Public Member FunctionsEarlyExercise (Type type, bool payoffAtExpiry=false) bool payoffAtExpiry () const Detailed DescriptionEarly-exercise base class. The payoff can be at exercise (the default) or at expiry AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::EURLibor – base class for all BBA EUR LIBOR indexes but the O/N Synopsis#include <ql/indexes/ibor/eurlibor.hpp> Inherits QuantLib::IborIndex. Inherited by EURLibor10M, EURLibor11M, EURLibor1M, EURLibor1Y, EURLibor2M, EURLibor2W, EURLibor3M, EURLibor4M, EURLibor5M, EURLibor6M, EURLibor7M, EURLibor8M, EURLibor9M, and EURLiborSW. Public Member FunctionsEURLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Date calculations see http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 Date valueDate (const Date…

QuantLib::EUHICP – EU HICP index. Synopsis#include <ql/indexes/inflation/euhicp.hpp> Inherits QuantLib::ZeroInflationIndex. Public Member FunctionsEUHICP (Frequency frequency, bool revised, bool interpolated, const Handle< ZeroInflationTermStructure > &ts=Handle< ZeroInflationTermStructure >()) Detailed DescriptionEU HICP index. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::DriftTermStructure – Drift term structure. Synopsis#include <ql/termstructures/yield/drifttermstructure.hpp> Inherits QuantLib::ZeroYieldStructure. Public Member FunctionsDriftTermStructure (const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &dividendTS, const Handle< BlackVolTermStructure > &blackVolTS) YieldTermStructure interface DayCounter dayCounter () const the day counter used for date/time conversion Calendar calendar () const the calendar used for reference and/or option date calculation Natural settlementDays…

QuantLib::DoubleStickyRatchetPayoff – Intermediate class for single/double sticky/ratchet payoffs. Synopsis#include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::Payoff. Inherited by RatchetMaxPayoff, RatchetMinPayoff, RatchetPayoff, StickyMaxPayoff, StickyMinPayoff, and StickyPayoff. Public Member FunctionsDoubleStickyRatchetPayoff (Real type1, Real type2, Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const Real operator() (Real…

QuantLib::DividendVanillaOption::arguments – Arguments for dividend vanilla option calculation Synopsis#include <ql/instruments/dividendvanillaoption.hpp> Inherits OneAssetOption::arguments. Public Member Functionsvoid validate () const Public AttributesDividendSchedule cashFlow Detailed DescriptionArguments for dividend vanilla option calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::DividendVanillaOption – Single-asset vanilla option (no barriers) with discrete dividends. Synopsis#include <ql/instruments/dividendvanillaoption.hpp> Inherits QuantLib::OneAssetOption. Classesclass arguments Arguments for dividend vanilla option calculation class engine Dividend-vanilla-option engine base class Public Member FunctionsDividendVanillaOption (const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise, const std::vector< Date > &dividendDates, const std::vector< Real > &dividends) Volatility impliedVolatility (Real price,…

QuantLib::DividendBarrierOption::arguments – Arguments for dividend barrier option calculation Synopsis#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp> Inherits QuantLib::BarrierOption::arguments. Public Member Functionsvoid validate () const Public AttributesDividendSchedule cashFlow Detailed DescriptionArguments for dividend barrier option calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::DividendBarrierOption – Single-asset barrier option with discrete dividends. Synopsis#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp> Inherits QuantLib::BarrierOption. Classesclass arguments Arguments for dividend barrier option calculation class engine Dividend-barrier-option engine base class Public Member FunctionsDividendBarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise, const std::vector< Date > &dividendDates, const std::vector< Real > &dividends)…

QuantLib::Dividend – Predetermined cash flow. Synopsis#include <ql/cashflows/dividend.hpp> Inherits QuantLib::CashFlow. Inherited by FixedDividend, and FractionalDividend. Public Member FunctionsDividend (const Date &date) virtual Real amount (Real underlying) const =0 Event interface Date date () const CashFlow interface virtual Real amount () const =0 returns the amount of the cash flow Visitability virtual void accept (AcyclicVisitor &) Protected…

QuantLib::Disposable – generic disposable object with move semantics Synopsis#include <ql/utilities/disposable.hpp> Inherits T. Public Member FunctionsDisposable (T &t) Disposable (const Disposable< T > &t) Disposable< T > & operator= (const Disposable< T > &t) Detailed Descriptiontemplate<class T> class QuantLib::Disposable< T >generic disposable object with move semantics This class can be used for returning a value by…

QuantLib::DiscretizedOption – Discretized option on a given asset. Synopsis#include <ql/discretizedasset.hpp> Inherits QuantLib::DiscretizedAsset. Inherited by DiscretizedSwaption. Public Member FunctionsDiscretizedOption (const boost::shared_ptr< DiscretizedAsset > &underlying, Exercise::Type exerciseType, const std::vector< Time > &exerciseTimes) void reset (Size size) std::vector< Time > mandatoryTimes () const Protected Member Functionsvoid postAdjustValuesImpl () void applyExerciseCondition () Protected Attributesboost::shared_ptr< DiscretizedAsset > underlying_ Exercise::Type exerciseType_…

QuantLib::DiscretizedDiscountBond – Useful discretized discount bond asset. Synopsis#include <ql/discretizedasset.hpp> Inherits QuantLib::DiscretizedAsset. Public Member Functionsvoid reset (Size size) std::vector< Time > mandatoryTimes () const Detailed DescriptionUseful discretized discount bond asset. Member Function Documentationvoid reset (Size size) [virtual]This method should initialize the asset values to an Array of the given size and with values depending on the…