QuantLib::CompositeQuote – market element whose value depends on two other market element Synopsis#include <ql/quotes/compositequote.hpp> Inherits QuantLib::Quote, and QuantLib::Observer. Public Member FunctionsCompositeQuote (const Handle< Quote > &element1, const Handle< Quote > &element2, const BinaryFunction &f) Quote interface Real value () const returns the current value bool isValid () const returns true if the Quote holds a…
QuantLib::CompositeInstrument – Composite instrument Synopsis#include <ql/instruments/compositeinstrument.hpp> Inherits QuantLib::Instrument. Public Member Functionsvoid add (const boost::shared_ptr< Instrument > &instrument, Real multiplier=1.0) adds an instrument to the composite void subtract (const boost::shared_ptr< Instrument > &instrument, Real multiplier=1.0) shorts an instrument from the composite Instrument interfacebool isExpired () const returns whether the instrument is still tradable. void performCalculations ()…
QuantLib::Composite – Composite pattern. Synopsis#include <ql/patterns/composite.hpp> Inherits T. Protected Typestypedef std::list< boost::shared_ptr< T > >::iterator iterator typedef std::list< boost::shared_ptr< T > >::const_iterator const_iterator Protected Member Functionsvoid add (const boost::shared_ptr< T > &c) Protected Attributesstd::list< boost::shared_ptr< T > > components_ Detailed Descriptiontemplate<class T> class QuantLib::Composite< T >Composite pattern. The typical use of this class is: class…
QuantLib::CommodityType – commodity type Synopsis#include <ql/experimental/commodities/commoditytype.hpp> Inherited by NullCommodityType. Public Member FunctionsCommodityType () default constructor CommodityType (const std::string &code, const std::string &name) Inspectors const std::string & code () const commodity code, e.g, ‘HO’ const std::string & name () const name, e.g, ‘Heating Oil’ Other information bool empty () const is this a usable instance? Protected…
QuantLib::CommoditySettings – global repository for run-time library settings Synopsis#include <ql/experimental/commodities/commoditysettings.hpp> Inherits Singleton< CommoditySettings >. Public Member FunctionsCurrency & currency () UnitOfMeasure & unitOfMeasure () Friendsclass Singleton< CommoditySettings > Detailed Descriptionglobal repository for run-time library settings AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::CommodityPricingHelper – commodity index helper Synopsis#include <ql/experimental/commodities/commoditypricinghelpers.hpp> Static Public Member Functionsstatic Real calculateFxConversionFactor (const Currency &fromCurrency, const Currency &toCurrency, const Date &evaluationDate) static Real calculateUomConversionFactor (const CommodityType &commodityType, const UnitOfMeasure &fromUnitOfMeasure, const UnitOfMeasure &toUnitOfMeasure) static Real calculateUnitCost (const CommodityType &commodityType, const CommodityUnitCost &unitCost, const Currency &baseCurrency, const UnitOfMeasure &baseUnitOfMeasure, const Date &evaluationDate) static void createPricingPeriods…
QuantLib::CommodityIndex – base class for commodity indexes Synopsis#include <ql/experimental/commodities/commodityindex.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Public Member FunctionsCommodityIndex (const std::string &name, const CommodityType &commodityType, const Currency ¤cy, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, Real lotQuantity, const boost::shared_ptr< CommodityCurve > &forwardCurve, const boost::shared_ptr< ExchangeContracts > &exchangeContracts, int nearbyOffset) void addQuote (const Date "eDate, Real quote) void addQuotes (const…
QuantLib::CommodityCurve – Commodity term structure. Synopsis#include <ql/experimental/commodities/commoditycurve.hpp> Inherits QuantLib::TermStructure. Public Member FunctionsCommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency ¤cy, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, const std::vector< Date > &dates, const std::vector< Real > &prices, const DayCounter &dayCounter=Actual365Fixed()) CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency ¤cy, const UnitOfMeasure &unitOfMeasure, const Calendar…
QuantLib::Commodity – Commodity base class. Synopsis#include <ql/experimental/commodities/commodity.hpp> Inherits QuantLib::Instrument. Inherited by EnergyCommodity. Public Member FunctionsCommodity (const boost::shared_ptr< SecondaryCosts > &secondaryCosts) const boost::shared_ptr< SecondaryCosts > & secondaryCosts () const const SecondaryCostAmounts & secondaryCostAmounts () const const PricingErrors & pricingErrors () const void addPricingError (PricingError::Level errorLevel, const std::string &error, const std::string &detail=”) const Protected Attributesboost::shared_ptr< SecondaryCosts >…
QuantLib::CmsRateBond – CMS-rate bond. Synopsis#include <ql/instruments/bonds/cmsratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsCmsRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index, const DayCounter &paymentDayCounter, 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 > &caps=std::vector< Rate >(),…
QuantLib::CmsMarket – set of CMS quotes Synopsis#include <ql/termstructures/volatility/swaption/cmsmarket.hpp> Inherits QuantLib::LazyObject. Public Member FunctionsCmsMarket (const std::vector< Period > &swapLengths, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const boost::shared_ptr< IborIndex > &iborIndex, const std::vector< std::vector< Handle< Quote > > > &bidAskSpreads, const std::vector< boost::shared_ptr< HaganPricer > > &pricers, const Handle< YieldTermStructure > &discountingTS) void reprice (const Handle<…
QuantLib::CmsLeg – helper class building a sequence of capped/floored cms-rate coupons Synopsis#include <ql/cashflows/cmscoupon.hpp> Public Member FunctionsCmsLeg (const Schedule &schedule, const boost::shared_ptr< SwapIndex > &swapIndex) CmsLeg & withNotionals (Real notional) CmsLeg & withNotionals (const std::vector< Real > ¬ionals) CmsLeg & withPaymentDayCounter (const DayCounter &) CmsLeg & withPaymentAdjustment (BusinessDayConvention) CmsLeg & withFixingDays (Natural fixingDays) CmsLeg & withFixingDays…
QuantLib::CmsCouponPricer – base pricer for vanilla CMS coupons Synopsis#include <ql/cashflows/couponpricer.hpp> Inherits QuantLib::FloatingRateCouponPricer. Inherited by HaganPricer. Public Member FunctionsCmsCouponPricer (const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >()) Handle< SwaptionVolatilityStructure > swaptionVolatility () const void setSwaptionVolatility (const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >()) Detailed Descriptionbase pricer for vanilla CMS coupons AuthorGenerated automatically by Doxygen for QuantLib from the…
QuantLib::CmsCoupon – CMS coupon class. Synopsis#include <ql/cashflows/cmscoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Public Member FunctionsCmsCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< SwapIndex > &index, const Real gearing=1.0, const Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter(), bool isInArrears=false) Inspectors const boost::shared_ptr< SwapIndex > &…
QuantLib::Clone – cloning proxy to an underlying object Synopsis#include <ql/utilities/clone.hpp> Public Member FunctionsClone (std::auto_ptr< T >) Clone (const T &) Clone (const Clone< T > &) Clone< T > & operator= (const T &) Clone< T > & operator= (const Clone< T > &) T & operator* () const T * operator-> () const bool…
QuantLib::CliquetOption::arguments – Arguments for cliquet option calculation Synopsis#include <ql/instruments/cliquetoption.hpp> Inherits QuantLib::Option::arguments. Public Member Functionsvoid validate () const Public AttributesReal accruedCoupon Real lastFixing Real localCap Real localFloor Real globalCap Real globalFloor std::vector< Date > resetDates Detailed DescriptionArguments for cliquet option calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::CliquetOption – cliquet (Ratchet) option Synopsis#include <ql/instruments/cliquetoption.hpp> Inherits QuantLib::OneAssetOption. Classesclass arguments Arguments for cliquet option calculation class engine Cliquet engine base class. Public Member FunctionsCliquetOption (const boost::shared_ptr< PercentageStrikePayoff > &, const boost::shared_ptr< EuropeanExercise > &maturity, const std::vector< Date > &resetDates) void setupArguments (PricingEngine::arguments *) const Detailed Descriptioncliquet (Ratchet) option A cliquet option, also known as…
QuantLib::Claim – Claim associated to a default event. Synopsis#include <ql/instruments/claim.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Inherited by FaceValueAccrualClaim, and FaceValueClaim. Public Member Functionsvirtual Real amount (const Date &defaultDate, Real notional, Real recoveryRate) const =0 void update () Detailed DescriptionClaim associated to a default event. Member Function Documentationvoid update () [virtual]This method must be implemented in derived…
QuantLib::China – Chinese calendar. Synopsis#include <ql/time/calendars/china.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { SSE } Public Member FunctionsChina (Market m=SSE) Detailed DescriptionChinese calendar. Holidays: * Saturdays * Sundays * New Year’s day, January 1st (possibly followed by one or two more holidays) * Labour Day, first week in May * National Day, one week from October…
QuantLib::ChfLiborSwapIsdaFix – ChfLiborSwapIsdaFix index base class Synopsis#include <ql/indexes/swap/chfliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsChfLiborSwapIsdaFix (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionChfLiborSwapIsdaFix index base class CHF Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am London. Annual 30/360 vs 6M Libor, 1Y vs 3M Libor. Reuters…