SysTutorials Posts

QuantLib::DiscretizedAsset – Discretized asset class used by numerical methods. Synopsis#include <ql/discretizedasset.hpp> Inherited by DiscretizedCallableFixedRateBond, DiscretizedCapFloor, DiscretizedConvertible, DiscretizedDiscountBond, DiscretizedOption, DiscretizedSwap, and DiscretizedVanillaOption. Public Member Functionsinspectors Time time () const Time & time () const Array & values () const Array & values () const boost::shared_ptr< Lattice > & method () const High-level interface Users of discretized…

QuantLib::DiscreteGeometricASO – Discrete geometric average-strike Asian option (European style). Synopsis#include <ql/legacy/pricers/discretegeometricaso.hpp> Inherits QuantLib::SingleAssetOption. Public Member FunctionsDiscreteGeometricASO (Option::Type type, Real underlying, Spread dividendYield, Rate riskFreeRate, const std::vector< Time > &times, Volatility volatility) Real value () const Real delta () const Real gamma () const Real theta () const boost::shared_ptr< SingleAssetOption > clone () const Detailed DescriptionDiscrete…

QuantLib::DiscreteAveragingAsianOption::engine – Discrete-averaging Asian engine base class. Synopsis#include <ql/instruments/asianoption.hpp> Inherits GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results >. Inherited by MCDiscreteAveragingAsianEngine< RNG, S >, AnalyticDiscreteGeometricAveragePriceAsianEngine, and MCDiscreteAveragingAsianEngine< RNG, S >. Detailed DescriptionDiscrete-averaging Asian engine base class. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::DiscreteAveragingAsianOption::arguments – Extra arguments for single-asset discrete-average Asian option. Synopsis#include <ql/instruments/asianoption.hpp> Inherits OneAssetOption::arguments. Public Member Functionsvoid validate () const Public AttributesAverage::Type averageType Real runningAccumulator Size pastFixings std::vector< Date > fixingDates Detailed DescriptionExtra arguments for single-asset discrete-average Asian option. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::DiscreteAveragingAsianOption – Discrete-averaging Asian option. Synopsis#include <ql/instruments/asianoption.hpp> Inherits QuantLib::OneAssetOption. Classesclass arguments Extra arguments for single-asset discrete-average Asian option. class engine Discrete-averaging Asian engine base class. Public Member FunctionsDiscreteAveragingAsianOption (Average::Type averageType, Real runningAccumulator, Size pastFixings, const std::vector< Date > &fixingDates, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Protected…

QuantLib::DiscrepancyStatistics – Statistic tool for sequences with discrepancy calculation. Synopsis#include <ql/math/statistics/discrepancystatistics.hpp> Inherits GenericSequenceStatistics< Statistics >. Public Typestypedef SequenceStatistics::value_type value_type Public Member FunctionsDiscrepancyStatistics (Size dimension) template<class Sequence > void add (const Sequence &sample, Real weight=1.0) template<class Iterator > void add (Iterator begin, Iterator end, Real weight=1.0) void reset (Size dimension=0) 1-dimensional inspectors Real discrepancy () const…

QuantLib::Discount – Discount-curve traits. Synopsis#include <ql/termstructures/yield/bootstraptraits.hpp> Public Typestypedef BootstrapHelper< YieldTermStructure > helper Static Public Member Functionsstatic Date initialDate (const YieldTermStructure *c) static DiscountFactor initialValue (const YieldTermStructure *) static bool dummyInitialValue () static DiscountFactor initialGuess () static DiscountFactor guess (const YieldTermStructure *c, const Date &d) static DiscountFactor minValueAfter (Size, const std::vector< Real > &) static DiscountFactor…

QuantLib::DirichletBC – Neumann boundary condition (i.e., constant value). Synopsis#include <ql/methods/finitedifferences/boundarycondition.hpp> Inherits BoundaryCondition< TridiagonalOperator >. Public Member FunctionsDirichletBC (Real value, Side side) void applyBeforeApplying (TridiagonalOperator &) const void applyAfterApplying (Array &) const void applyBeforeSolving (TridiagonalOperator &, Array &rhs) const void applyAfterSolving (Array &) const void setTime (Time) Detailed DescriptionNeumann boundary condition (i.e., constant value). Possible enhancements…

QuantLib::DigitalIborLeg – helper class building a sequence of digital ibor-rate coupons Synopsis#include <ql/cashflows/digitaliborcoupon.hpp> Public Member FunctionsDigitalIborLeg (const Schedule &schedule, const boost::shared_ptr< IborIndex > &index) DigitalIborLeg & withNotionals (Real notional) DigitalIborLeg & withNotionals (const std::vector< Real > &notionals) DigitalIborLeg & withPaymentDayCounter (const DayCounter &) DigitalIborLeg & withPaymentAdjustment (BusinessDayConvention) DigitalIborLeg & withFixingDays (Natural fixingDays) DigitalIborLeg & withFixingDays…

QuantLib::DigitalIborCoupon – Ibor rate coupon with digital digital call/put option. Synopsis#include <ql/cashflows/digitaliborcoupon.hpp> Inherits QuantLib::DigitalCoupon. Public Member FunctionsDigitalIborCoupon (const boost::shared_ptr< IborCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallATMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutATMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >()) Visitability virtual…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis#include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member FunctionsConstructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >()) general constructor…

QuantLib::DigitalCmsLeg – helper class building a sequence of digital ibor-rate coupons Synopsis#include <ql/cashflows/digitalcmscoupon.hpp> Public Member FunctionsDigitalCmsLeg (const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index) DigitalCmsLeg & withNotionals (Real notional) DigitalCmsLeg & withNotionals (const std::vector< Real > &notionals) DigitalCmsLeg & withPaymentDayCounter (const DayCounter &) DigitalCmsLeg & withPaymentAdjustment (BusinessDayConvention) DigitalCmsLeg & withFixingDays (Natural fixingDays) DigitalCmsLeg & withFixingDays…

QuantLib::DigitalCmsCoupon – Cms-rate coupon with digital digital call/put option. Synopsis#include <ql/cashflows/digitalcmscoupon.hpp> Inherits QuantLib::DigitalCoupon. Public Member FunctionsDigitalCmsCoupon (const boost::shared_ptr< CmsCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallATMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutATMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >()) Visitability virtual void…

QuantLib::DerivedQuote – market quote whose value depends on another quote Synopsis#include <ql/quotes/derivedquote.hpp> Inherits QuantLib::Quote, and QuantLib::Observer. Public Member FunctionsDerivedQuote (const Handle< Quote > &element, const UnaryFunction &f) Quote interface Real value () const returns the current value bool isValid () const returns true if the Quote holds a valid value Observer interface void update ()…

QuantLib::DepositRateHelper – Rate helper for bootstrapping over deposit rates. Synopsis#include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member FunctionsDepositRateHelper (const Handle< Quote > &rate, const Period &tenor, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter) DepositRateHelper (Rate rate, const Period &tenor, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter) DepositRateHelper…

QuantLib::Denmark – Danish calendar. Synopsis#include <ql/time/calendars/denmark.hpp> Inherits QuantLib::Calendar. Detailed DescriptionDanish calendar. Holidays: * Saturdays * Sundays * Maunday Thursday * Good Friday * Easter Monday * General Prayer Day, 25 days after Easter Monday * Ascension * Whit (Pentecost) Monday * New Year’s Day, January 1st * Constitution Day, June 5th * Christmas, December 25th…

QuantLib::DefaultProbabilityTermStructure – default probability term structure Synopsis#include <ql/termstructures/defaulttermstructure.hpp> Inherits QuantLib::TermStructure. Inherited by DefaultDensityStructure, and HazardRateStructure. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. DefaultProbabilityTermStructure (const DayCounter &dc=DayCounter()) default constructor DefaultProbabilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter()) initialize with a fixed reference date DefaultProbabilityTermStructure (Natural settlementDays, const Calendar &cal, const…

QuantLib::DefaultEvent – Credit-default event. Synopsis#include <ql/default.hpp> Inherits QuantLib::Event. Public Member FunctionsDefaultEvent (const Date &date, Real recoveryRate, Seniority seniority=AnySeniority, Restructuring restructuring=AnyRestructuring) Date date () const returns the date at which the event occurs Real recoveryRate () const Seniority seniority () const Restructuring restructuring () const Detailed DescriptionCredit-default event. AuthorGenerated automatically by Doxygen for QuantLib from the…

QuantLib::DefaultDensityStructure – default-density adapter for default-probability term structures Synopsis#include <ql/termstructures/credit/defaultdensitystructure.hpp> Inherits QuantLib::DefaultProbabilityTermStructure. Inherited by InterpolatedDefaultDensityCurve< Interpolator >. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. DefaultDensityStructure (const DayCounter &dc=DayCounter()) default constructor DefaultDensityStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter()) initialize with a fixed reference date DefaultDensityStructure (Natural settlementDays, const Calendar…

QuantLib::DefaultDensity – Default-density-curve traits. Synopsis#include <ql/termstructures/credit/probabilitytraits.hpp> Public Typestypedef BootstrapHelper< DefaultProbabilityTermStructure > helper Static Public Member Functionsstatic Date initialDate (const DefaultProbabilityTermStructure *c) static Real initialValue (const DefaultProbabilityTermStructure *) static bool dummyInitialValue () static Real initialGuess () static Real guess (const DefaultProbabilityTermStructure *c, const Date &d) static Real minValueAfter (Size, const std::vector< Real > &) static Real…