SysTutorials Posts

QuantLib::CdsOption – CDS option. Synopsis#include <ql/experimental/credit/cdsoption.hpp> Inherits QuantLib::Instrument. Public Member FunctionsCdsOption (const Date &expiry, Rate strike, const Handle< Quote > &volatility, const Issuer &issuer, Protection::Side side, Real nominal, const Schedule &premiumSchedule, const DayCounter &dayCounter, bool settlePremiumAccrual, const Handle< YieldTermStructure > &yieldTS) Real forward () const Real riskyAnnuity () const bool isExpired () const returns whether…

QuantLib::CdsHelper – Default-probability bootstrap helper based on quoted CDS spreads. Synopsis#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp> Inherits BootstrapHelper< DefaultProbabilityTermStructure >. Public Member FunctionsCdsHelper (const Handle< Quote > &spread, const Period &tenor, Integer settlementDays, const Calendar &calendar, Frequency frequency, BusinessDayConvention paymentConvention, DateGeneration::Rule rule, const DayCounter &dayCounter, Real recoveryRate, const Handle< YieldTermStructure > &discountCurve, bool settlesAccrual=true, bool paysAtDefaultTime=true) CdsHelper (Rate spread,…

QuantLib::Cdor – CDOR rate Synopsis#include <ql/indexes/ibor/cdor.hpp> Inherits QuantLib::IborIndex. Public Member FunctionsCdor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionCDOR rate Canadian Dollar Offered Rate fixed by IDA. Warning This is the rate fixed in Canada by IDA. Use CADLibor if you’re interested in the London fixing by BBA. Possible enhancements check…

QuantLib::CashOrNothingPayoff – Binary cash-or-nothing payoff. Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member FunctionsCashOrNothingPayoff (Option::Type type, Real strike, Real cashPayoff) Real cashPayoff () const Payoff interface std::string name () const std::string description () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Protected AttributesReal cashPayoff_ Detailed DescriptionBinary cash-or-nothing payoff. Examples: Replication.cpp. Member Function Documentationstd::string name…

QuantLib::CashFlows – cashflow-analysis functions Synopsis#include <ql/cashflows/cashflows.hpp> Static Public Member Functionsstatic Leg::const_iterator previousCashFlow (const Leg &leg, Date refDate=Date()) static Leg::const_iterator nextCashFlow (const Leg &leg, Date refDate=Date()) static Rate previousCouponRate (const Leg &leg, const Date &refDate=Date()) static Rate nextCouponRate (const Leg &leg, const Date &refDate=Date()) static Date startDate (const Leg &leg) static Date maturityDate (const Leg &leg)…

QuantLib::CashFlow – Base class for cash flows. Synopsis#include <ql/cashflow.hpp> Inherits QuantLib::Event. Inherited by CommodityCashFlow, Coupon, Dividend, and SimpleCashFlow. Public Member FunctionsEvent interface virtual Date date () const =0 CashFlow interface virtual Real amount () const =0 returns the amount of the cash flow Visitability virtual void accept (AcyclicVisitor &) Detailed DescriptionBase class for cash flows….

QuantLib::CappedFlooredCoupon – Capped and/or floored floating-rate coupon. Synopsis#include <ql/cashflows/capflooredcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by CappedFlooredCmsCoupon, and CappedFlooredIborCoupon. Public Member FunctionsCappedFlooredCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >()) Rate cap () const cap Rate floor () const floor Rate effectiveCap () const effective cap of fixing Rate effectiveFloor () const effective…

QuantLib::CapletVarianceCurve – Synopsis#include <ql/termstructures/volatility/optionlet/capletvariancecurve.hpp> Inherits QuantLib::OptionletVolatilityStructure. Public Member FunctionsCapletVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &capletVolCurve, const DayCounter &dayCounter) Real minStrike () const the minimum strike for which the term structure can return vols Real maxStrike () const the maximum strike for which the term structure can return vols…

QuantLib::CapPseudoDerivative – Synopsis#include <ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.hpp> Public Member FunctionsCapPseudoDerivative (boost::shared_ptr< MarketModel > inputModel, Real strike, Size startIndex, Size endIndex, Real firstDF) const Matrix & volatilityDerivative (Size i) const const Matrix & priceDerivative (Size i) const Real impliedVolatility () const Detailed DescriptionIn order to compute market vegas, we need a class that gives the derivative of a cap…

QuantLib::CapHelper – calibration helper for ATM cap Synopsis#include <ql/models/shortrate/calibrationhelpers/caphelper.hpp> Inherits QuantLib::CalibrationHelper. Public Member FunctionsCapHelper (const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, Frequency fixedLegFrequency, const DayCounter &fixedLegDayCounter, bool includeFirstSwaplet, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) virtual void addTimesTo (std::list< Time > &times) const virtual Real modelValue () const returns…

QuantLib::CapFloor::arguments – Arguments for cap/floor calculation Synopsis#include <ql/instruments/capfloor.hpp> Inherits QuantLib::PricingEngine::arguments. Public Member Functionsvoid validate () const Public AttributesCapFloor::Type type std::vector< Date > startDates std::vector< Date > fixingDates std::vector< Date > endDates std::vector< Time > accrualTimes std::vector< Rate > capRates std::vector< Rate > floorRates std::vector< Rate > forwards std::vector< Real > gearings std::vector< Real > spreads…

QuantLib::CapFloorTermVolatilityStructure – Cap/floor term-volatility structure. Synopsis#include <ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by CapFloorTermVolCurve, CapFloorTermVolSurface, and ConstantCapFloorTermVolatility. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. CapFloorTermVolatilityStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) default constructor CapFloorTermVolatilityStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) initialize with a fixed reference date…

QuantLib::CapFloorTermVolSurface – Cap/floor smile volatility surface. Synopsis#include <ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp> Inherits QuantLib::CapFloorTermVolatilityStructure, and QuantLib::LazyObject. Public Member FunctionsCapFloorTermVolSurface (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc=Actual365Fixed()) floating reference date, floating market data CapFloorTermVolSurface (const Date &settlementDate, const…

QuantLib::CapFloorTermVolCurve – Cap/floor at-the-money term-volatility vector. Synopsis#include <ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp> Inherits QuantLib::CapFloorTermVolatilityStructure, QuantLib::LazyObject, and boost::noncopyable. Public Member FunctionsCapFloorTermVolCurve (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Handle< Quote > > &vols, const DayCounter &dc=Actual365Fixed()) floating reference date, floating market data CapFloorTermVolCurve (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector<…

QuantLib::CapFloor – Base class for cap-like instruments. Synopsis#include <ql/instruments/capfloor.hpp> Inherits QuantLib::Instrument. Inherited by Cap, Collar, and Floor. Classesclass arguments Arguments for cap/floor calculation class engine base class for cap/floor engines Public Typesenum Type { Cap, Floor, Collar } Public Member FunctionsCapFloor (Type type, const Leg &floatingLeg, const std::vector< Rate > &capRates, const std::vector< Rate >…

QuantLib::Canada – Canadian calendar. Synopsis#include <ql/time/calendars/canada.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { Settlement, TSX } Public Member FunctionsCanada (Market market=Settlement) Detailed DescriptionCanadian calendar. Banking holidays: * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday) * Family Day, third Monday of February (since 2008) * Good Friday * Easter Monday *…

QuantLib::CallableZeroCouponBond – callable/puttable zero coupon bond Synopsis#include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::CallableFixedRateBond. Public Member FunctionsCallableZeroCouponBond (Natural settlementDays, Real faceAmount, const Calendar &calendar, const Date &maturityDate, const DayCounter &dayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule()) Detailed Descriptioncallable/puttable zero coupon bond Callable zero coupon bond class. AuthorGenerated automatically by Doxygen for QuantLib from the source…

QuantLib::CallableFixedRateBond – callable/puttable fixed rate bond Synopsis#include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::CallableBond. Inherited by CallableZeroCouponBond. Public Member FunctionsCallableFixedRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule()) virtual void setupArguments (PricingEngine::arguments *args) const Detailed Descriptioncallable/puttable fixed rate bond Callable fixed rate…

QuantLib::CallableBondVolatilityStructure – Callable-bond volatility structure. Synopsis#include <ql/experimental/callablebonds/callablebondvolstructure.hpp> Inherits QuantLib::TermStructure. Inherited by CallableBondConstantVolatility. Public Member Functionsvirtual std::pair< Time, Time > convertDates (const Date &optionDate, const Period &bondTenor) const implements the conversion between dates and times virtual BusinessDayConvention businessDayConvention () const the business day convention used for option date calculation Date optionDateFromTenor (const Period &optionTenor) const implements…

QuantLib::CallableBondConstantVolatility – Constant callable-bond volatility, no time-strike dependence. Synopsis#include <ql/experimental/callablebonds/callablebondconstantvol.hpp> Inherits QuantLib::CallableBondVolatilityStructure. Public Member FunctionsCallableBondConstantVolatility (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter) CallableBondConstantVolatility (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter) CallableBondConstantVolatility (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) CallableBondConstantVolatility (Natural settlementDays, const Calendar &, const Handle< Quote…