SysTutorials Posts

QuantLib::Currency – Currency specification Synopsis#include <ql/currency.hpp> Inherited by ARSCurrency, ATSCurrency, AUDCurrency, BDTCurrency, BEFCurrency, BGLCurrency, BRLCurrency, BYRCurrency, CADCurrency, CHFCurrency, CLPCurrency, CNYCurrency, COPCurrency, CYPCurrency, CZKCurrency, DEMCurrency, DKKCurrency, EEKCurrency, ESPCurrency, EURCurrency, FIMCurrency, FRFCurrency, GBPCurrency, GRDCurrency, HKDCurrency, HUFCurrency, IEPCurrency, ILSCurrency, INRCurrency, IQDCurrency, IRRCurrency, ISKCurrency, ITLCurrency, JPYCurrency, KRWCurrency, KWDCurrency, LTLCurrency, LUFCurrency, LVLCurrency, MTLCurrency, MXNCurrency, NLGCurrency, NOKCurrency, NPRCurrency, NZDCurrency, PEHCurrency, PEICurrency,…

QuantLib::CuriouslyRecurringTemplate – Support for the curiously recurring template pattern. Synopsis#include <ql/patterns/curiouslyrecurring.hpp> Protected Member FunctionsImpl & impl () const Impl & impl () const Detailed Descriptiontemplate<class Impl> class QuantLib::CuriouslyRecurringTemplate< Impl >Support for the curiously recurring template pattern. See James O. Coplien. A Curiously Recurring Template Pattern. In Stanley B. Lippman, editor, C++ Gems, 135-144. Cambridge University…

QuantLib::CumulativeStudentDistribution – Cumulative Student t-distribution. Synopsis#include <ql/math/distributions/studenttdistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsCumulativeStudentDistribution (Integer n) Real operator() (Real x) const Detailed DescriptionCumulative Student t-distribution. Cumulative distribution function for $ n $ degrees of freedom (see mathworld.wolfram.com): [ F(x) = int_{-infty}^x,f(y),dy = ac{1}{2}, +,ac{1}{2},sgn(x), regularized incomplete beta function. AuthorGenerated automatically by Doxygen for QuantLib from the source…

QuantLib::CumulativePoissonDistribution – Cumulative Poisson distribution function. Synopsis#include <ql/math/distributions/poissondistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsCumulativePoissonDistribution (Real mu) Real operator() (BigNatural k) const Detailed DescriptionCumulative Poisson distribution function. This function provides an approximation of the integral of the Poisson distribution. For this implementation see ‘Numerical Recipes in C’, 2nd edition, Press, Teukolsky, Vetterling, Flannery, chapter 6 Tests the…

QuantLib::CumulativeNormalDistribution – Cumulative normal distribution function. Synopsis#include <ql/math/distributions/normaldistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsCumulativeNormalDistribution (Real average=0.0, Real sigma=1.0) Real operator() (Real x) const Real derivative (Real x) const Detailed DescriptionCumulative normal distribution function. Given x it provides an approximation to the integral of the gaussian normal distribution: formula here … For this implementation see M. Abramowitz…

QuantLib::CumulativeBinomialDistribution – Cumulative binomial distribution function. Synopsis#include <ql/math/distributions/binomialdistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsCumulativeBinomialDistribution (Real p, BigNatural n) Real operator() (BigNatural k) const Detailed DescriptionCumulative binomial distribution function. Given an integer k it provides the cumulative probability of observing kk<=k: formula here … AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::CubicInterpolation – Cubic interpolation between discrete points. Synopsis#include <ql/math/interpolations/cubicinterpolation.hpp> Inherits QuantLib::Interpolation. Inherited by MonotonicNaturalCubicInterpolation, and NaturalCubicInterpolation. Public Typesenum DerivativeApprox { Spline, FourthOrder, Parabolic, ModifiedParabolic, FritschButland, Akima, Kruger } enum BoundaryCondition { NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange } Public Member Functionstemplate<class I1 , class I2 > CubicInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin,…

QuantLib::CubicBSplinesFitting – CubicSpline B-splines fitting method. Synopsis#include <ql/termstructures/yield/nonlinearfittingmethods.hpp> Inherits QuantLib::FittedBondDiscountCurve::FittingMethod. Public Member FunctionsCubicBSplinesFitting (const std::vector< Time > &knotVector, bool constrainAtZero=true) Real basisFunction (Integer i, Time t) const cubic B-spline basis functions std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const clone of the current object Detailed DescriptionCubicSpline B-splines fitting method. Fits a discount function to a set of…

QuantLib::Cubic – Cubic interpolation factory and traits Synopsis#include <ql/math/interpolations/cubicinterpolation.hpp> Public Member FunctionsCubic (CubicInterpolation::DerivativeApprox da=CubicInterpolation::Kruger, bool monotonic=false, CubicInterpolation::BoundaryCondition leftCondition=CubicInterpolation::SecondDerivative, Real leftConditionValue=0.0, CubicInterpolation::BoundaryCondition rightCondition=CubicInterpolation::SecondDerivative, Real rightConditionValue=0.0) template<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const Static Public Attributesstatic const bool global = true static const Size requiredPoints =…

QuantLib::CreditDefaultSwap – Credit default swap. Synopsis#include <ql/instruments/creditdefaultswap.hpp> Inherits QuantLib::Instrument. Public Member FunctionsConstructors CreditDefaultSwap (Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >()) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments (PricingEngine::arguments *)…

QuantLib::CrankNicolson – Crank-Nicolson scheme for finite difference methods. Synopsis#include <ql/methods/finitedifferences/cranknicolson.hpp> Inherits MixedScheme< Operator >. Public Typestypedef OperatorTraits< Operator > traits typedef traits::operator_type operator_type typedef traits::array_type array_type typedef traits::bc_set bc_set typedef traits::condition_type condition_type Public Member FunctionsCrankNicolson (const operator_type &L, const bc_set &bcs) Detailed Descriptiontemplate<class Operator> class QuantLib::CrankNicolson< Operator >Crank-Nicolson scheme for finite difference methods. In this…

QuantLib::CoxRossRubinstein – Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. Synopsis#include <ql/methods/lattices/binomialtree.hpp> Inherits EqualJumpsBinomialTree< CoxRossRubinstein >. Public Member FunctionsCoxRossRubinstein (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Detailed DescriptionCox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::CoxIngersollRoss::Dynamics – Dynamics of the short-rate under the Cox-Ingersoll-Ross model Synopsis#include <ql/models/shortrate/onefactormodels/coxingersollross.hpp> Inherits QuantLib::OneFactorModel::ShortRateDynamics. Inherited by Dynamics. Public Member FunctionsDynamics (Real theta, Real k, Real sigma, Real x0) virtual Real variable (Time, Rate r) const Compute state variable from short rate. virtual Real shortRate (Time, Real y) const Compute short rate from state variable. Detailed…

QuantLib::CoxIngersollRoss – Cox-Ingersoll-Ross model class. Synopsis#include <ql/models/shortrate/onefactormodels/coxingersollross.hpp> Inherits QuantLib::OneFactorAffineModel. Inherited by ExtendedCoxIngersollRoss. Classesclass Dynamics Dynamics of the short-rate under the Cox-Ingersoll-Ross model Public Member FunctionsCoxIngersollRoss (Rate r0=0.05, Real theta=0.1, Real k=0.1, Real sigma=0.1) virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const virtual boost::shared_ptr< ShortRateDynamics > dynamics () const returns the short-rate…

QuantLib::CovarianceDecomposition – Covariance decomposition into correlation and variances. Synopsis#include <ql/math/matrixutilities/getcovariance.hpp> Public Member FunctionsCovarianceDecomposition (const Matrix &covarianceMatrix, Real tolerance=1.0e-12, SalvagingAlgorithm::Type sa=SalvagingAlgorithm::None) const Array & variances () const const Array & standardDeviations () const const Matrix & correlationMatrix () const Detailed DescriptionCovariance decomposition into correlation and variances. Extracts the correlation matrix and the vector of variances out…

QuantLib::Coupon – coupon accruing over a fixed period Synopsis#include <ql/cashflows/coupon.hpp> Inherits QuantLib::CashFlow. Inherited by FixedRateCoupon, and FloatingRateCoupon. Public Member FunctionsCoupon (Real nominal, const Date &paymentDate, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date()) Partial CashFlow interface Date date () const Inspectors Real nominal () const const Date & accrualStartDate () const…

QuantLib::CoterminalSwapCurveState – Curve state for coterminal-swap market models Synopsis#include <ql/models/marketmodels/curvestates/coterminalswapcurvestate.hpp> Inherits QuantLib::CurveState. Public Member FunctionsCoterminalSwapCurveState (const std::vector< Time > &rateTimes) std::auto_ptr< CurveState > clone () const Modifiers void setOnCoterminalSwapRates (const std::vector< Rate > &swapRates, Size firstValidIndex=0) Inspectors Real discountRatio (Size i, Size j) const Rate forwardRate (Size i) const Rate coterminalSwapRate (Size i) const Rate…

QuantLib::CostFunction – Cost function abstract class for optimization problem. Synopsis#include <ql/math/optimization/costfunction.hpp> Inherited by AbcdError, SABRError, FrobeniusCostFunction, LeastSquareFunction, PenaltyFunction< Curve >, and ProjectedCostFunction. Public Member Functionsvirtual Real value (const Array &x) const =0 method to overload to compute the cost function value in x virtual Disposable< Array > values (const Array &x) const =0 method to…

QuantLib::ConvexMonotoneInterpolation – Convex monotone yield-curve interpolation method. Synopsis#include <ql/math/interpolations/convexmonotoneinterpolation.hpp> Inherits QuantLib::Interpolation. Public Member FunctionsConvexMonotoneInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Real quadraticity, Real monotonicity, bool forcePositive, bool flatFinalPeriod=false, const helper_map &preExistingHelpers=helper_map()) ConvexMonotoneInterpolation (Interpolation &interp) std::map< Real, boost::shared_ptr< detail::SectionHelper > > getExistingHelpers () Detailed Descriptiontemplate<class I1, class I2> class QuantLib::ConvexMonotoneInterpolation< I1, I2 >Convex…

QuantLib::ConvexMonotone – Convex-monotone interpolation factory and traits. Synopsis#include <ql/math/interpolations/convexmonotoneinterpolation.hpp> Public Member FunctionsConvexMonotone (Real quadraticity=0.3, Real monotonicity=0.7, bool forcePositive=true) template<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const template<class I1 , class I2 > Interpolation localInterpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Size localisation,…