QuantLib::DayCounter::Impl – abstract base class for day counter implementations Synopsis#include <ql/time/daycounter.hpp> Inherited by Impl, Impl, AFB_Impl, ISDA_Impl, ISMA_Impl, Impl, Impl, Impl, EU_Impl, IT_Impl, and US_Impl. Public Member Functionsvirtual std::string name () const =0 virtual BigInteger dayCount (const Date &d1, const Date &d2) const to be overloaded by more complex day counters virtual Time yearFraction (const…
QuantLib::DayCounter – day counter class Synopsis#include <ql/time/daycounter.hpp> Inherited by Actual360, Actual365Fixed, ActualActual, Business252, OneDayCounter, SimpleDayCounter, and Thirty360. Classesclass Impl abstract base class for day counter implementations Public Member FunctionsDayCounter () DayCounter interface bool empty () const Returns whether or not the day counter is initialized. std::string name () const Returns the name of the day…
QuantLib::DateInterval – Date interval described by a number of a given time unit. Synopsis#include <ql/experimental/commodities/dateinterval.hpp> Inherited by PricingPeriod. Public Member FunctionsDateInterval (const Date &startDate, const Date &endDate) const Date & startDate () const const Date & endDate () const bool isDateBetween (Date date, bool includeFirst=true, bool includeLast=true) const DateInterval intersection (const DateInterval &di) const bool…
QuantLib::DateGeneration – Date-generation rule. Synopsis#include <ql/time/dategenerationrule.hpp> Public Typesenum Rule { Backward, Forward, Zero, ThirdWednesday, Twentieth, TwentiethIMM } Related Functions(Note that these are not member functions.) std::ostream & operator<< (std::ostream &, DateGeneration::Rule) Detailed DescriptionDate-generation rule. These conventions specify the rule used to generate dates in a Schedule. Member Enumeration Documentationenum RuleEnumerator: Backward Backward from termination date…
QuantLib::Date – Concrete date class. Synopsis#include <ql/time/date.hpp> Public Member Functionsconstructors Date () Default constructor returning a null date. Date (BigInteger serialNumber) Constructor taking a serial number as given by Applix or Excel. Date (Day d, Month m, Year y) More traditional constructor. inspectors Weekday weekday () const Day dayOfMonth () const Day dayOfYear () const…
QuantLib::DailyTenorUSDLibor – base class for the one day deposit BBA USD LIBOR indexes Synopsis#include <ql/indexes/ibor/usdlibor.hpp> Inherits QuantLib::DailyTenorLibor. Inherited by USDLiborON. Public Member FunctionsDailyTenorUSDLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Descriptionbase class for the one day deposit BBA USD LIBOR indexes AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::DailyTenorLibor – base class for all O/N-S/N BBA LIBOR indexes but the EUR ones Synopsis#include <ql/indexes/ibor/libor.hpp> Inherits QuantLib::IborIndex. Inherited by CADLiborON, DailyTenorCHFLibor, DailyTenorGBPLibor, DailyTenorJPYLibor, and DailyTenorUSDLibor. Public Member FunctionsDailyTenorLibor (const std::string &familyName, Natural settlementDays, const Currency ¤cy, const Calendar &financialCenterCalendar, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Descriptionbase class for all…
QuantLib::DailyTenorJPYLibor – base class for the one day deposit BBA JPY LIBOR indexes Synopsis#include <ql/indexes/ibor/jpylibor.hpp> Inherits QuantLib::DailyTenorLibor. Public Member FunctionsDailyTenorJPYLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Descriptionbase class for the one day deposit BBA JPY LIBOR indexes AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::DailyTenorGBPLibor – base class for the one day deposit BBA GBP LIBOR indexes Synopsis#include <ql/indexes/ibor/gbplibor.hpp> Inherits QuantLib::DailyTenorLibor. Inherited by GBPLiborON. Public Member FunctionsDailyTenorGBPLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Descriptionbase class for the one day deposit BBA GBP LIBOR indexes AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::DailyTenorEuribor365 – Daily tenor Actual/365 Euribor index. Synopsis#include <ql/indexes/ibor/euribor.hpp> Inherits QuantLib::IborIndex. Public Member FunctionsDailyTenorEuribor365 (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionDaily tenor Actual/365 Euribor index. Euribor rate adjusted for the mismatch between the actual/360 convention used for Euribor and the actual/365 convention previously used by a few pre-EUR currencies. AuthorGenerated automatically…
QuantLib::DailyTenorEuribor – Daily tenor Euribor index. Synopsis#include <ql/indexes/ibor/euribor.hpp> Inherits QuantLib::IborIndex. Public Member FunctionsDailyTenorEuribor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionDaily tenor Euribor index. Euribor rate fixed by the ECB. Warning This is the rate fixed by the ECB. Use EurLibor if you’re interested in the London fixing by BBA.AuthorGenerated automatically by…
QuantLib::DailyTenorEURLibor – base class for the one day deposit BBA EUR LIBOR indexes Synopsis#include <ql/indexes/ibor/eurlibor.hpp> Inherits QuantLib::IborIndex. Inherited by EURLiborON. Public Member FunctionsDailyTenorEURLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Descriptionbase class for the one day deposit BBA EUR LIBOR indexes Euro O/N LIBOR fixed by BBA. It can be also used…
QuantLib::DailyTenorCHFLibor – base class for the one day deposit BBA CHF LIBOR indexes Synopsis#include <ql/indexes/ibor/chflibor.hpp> Inherits QuantLib::DailyTenorLibor. Public Member FunctionsDailyTenorCHFLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Descriptionbase class for the one day deposit BBA CHF LIBOR indexes AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::DZero – $ D_{0} $ matricial representation Synopsis#include <ql/methods/finitedifferences/dzero.hpp> Inherits QuantLib::TridiagonalOperator. Public Member FunctionsDZero (Size gridPoints, Real h) Detailed Description$ D_{0} $ matricial representation The differential operator $ D_{0} $ discretizes the first derivative with the second-order formula [ ac{ artial u_{i}}{ artial x} pprox ac{u_{i+1}-u_{i-1}}{2h} = D_{0} u_{i} ] Tests the correctness of the…
QuantLib::DPlusDMinus – $ D_{+}D_{-} $ matricial representation Synopsis#include <ql/methods/finitedifferences/dplusdminus.hpp> Inherits QuantLib::TridiagonalOperator. Public Member FunctionsDPlusDMinus (Size gridPoints, Real h) Detailed Description$ D_{+}D_{-} $ matricial representation The differential operator $ D_{+}D_{-} $ discretizes the second derivative with the second-order formula [ ac{ artial^2 u_{i}}{ artial x^2} pprox ac{u_{i+1}-2u_{i}+u_{i-1}}{h^2} = D_{+}D_{-} u_{i} ] Tests the correctness of the…
QuantLib::DPlus – $ D_{+} $ matricial representation Synopsis#include <ql/methods/finitedifferences/dplus.hpp> Inherits QuantLib::TridiagonalOperator. Public Member FunctionsDPlus (Size gridPoints, Real h) Detailed Description$ D_{+} $ matricial representation The differential operator $ D_{+} $ discretizes the first derivative with the first-order formula [ ac{ artial u_{i}}{ artial x} pprox ac{u_{i+1}-u_{i}}{h} = D_{+} u_{i} ] AuthorGenerated automatically by Doxygen for…
QuantLib::DMinus – $ D_{-} $ matricial representation Synopsis#include <ql/methods/finitedifferences/dminus.hpp> Inherits QuantLib::TridiagonalOperator. Public Member FunctionsDMinus (Size gridPoints, Real h) Detailed Description$ D_{-} $ matricial representation The differential operator $ D_{-} $ discretizes the first derivative with the first-order formula [ ac{ artial u_{i}}{ artial x} pprox ac{u_{i}-u_{i-1}}{h} = D_{-} u_{i} ] AuthorGenerated automatically by Doxygen for…
QuantLib::DKKLibor – DKK LIBOR rate Synopsis#include <ql/indexes/ibor/dkklibor.hpp> Inherits QuantLib::Libor. Public Member FunctionsDKKLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionDKK LIBOR rate Danish Krona LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::CzechRepublic – Czech calendars. Synopsis#include <ql/time/calendars/czechrepublic.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { PSE } Public Member FunctionsCzechRepublic (Market m=PSE) Detailed DescriptionCzech calendars. Holidays for the Prague stock exchange (see http://www.pse.cz/): * Saturdays * Sundays * New Year’s Day, January 1st * Easter Monday * Labour Day, May 1st * Liberation Day, May 8th * SS….
QuantLib::CurveState – Curve state for market-model simulations Synopsis#include <ql/models/marketmodels/curvestate.hpp> Inherited by CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState. Public Member FunctionsCurveState (const std::vector< Time > &rateTimes) Inspectors Size numberOfRates () const const std::vector< Time > & rateTimes () const const std::vector< Time > & rateTaus () const virtual Real discountRatio (Size i, Size j) const =0 virtual Rate…