SysTutorials Posts

QuantLib::CallableBond – Callable bond base class. Synopsis#include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::Bond. Inherited by CallableFixedRateBond. Classesclass engine base class for callable fixed rate bond engine class results results for a callable bond calculation Public Member Functionsvirtual void setupArguments (PricingEngine::arguments *args) const Inspectors const CallabilitySchedule & callability () const return the bond’s put/call schedule Calculations Volatility impliedVolatility (Real…

QuantLib::Callability::Price – amount to be paid upon callability Synopsis#include <ql/instruments/callabilityschedule.hpp> Public Typesenum Type { Dirty, Clean } Public Member FunctionsPrice (Real amount, Type type) Real amount () const Type type () const Detailed Descriptionamount to be paid upon callability Examples: CallableBonds.cpp, and ConvertibleBonds.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Callability – instrument callability Synopsis#include <ql/instruments/callabilityschedule.hpp> Inherits QuantLib::Event. Inherited by SoftCallability. Classesclass Price amount to be paid upon callability Public Typesenum Type { Call, Put } type of the callability Public Member FunctionsCallability (const Price &price, Type type, const Date &date) const Price & price () const Type type () const Date date () const…

QuantLib::CalibrationHelper – liquid market instrument used during calibration Synopsis#include <ql/models/calibrationhelper.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by CapHelper, HestonModelHelper, and SwaptionHelper. Public Member FunctionsCalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) void update () Real marketValue () const returns the actual price of the instrument (from volatility) virtual Real modelValue ()…

QuantLib::CalibratedModel – Calibrated model class. Synopsis#include <ql/models/model.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by GJRGARCHModel, HestonModel, LiborForwardModel, and ShortRateModel. Public Member FunctionsCalibratedModel (Size nArguments) void update () void calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) Calibrate to a set of…

QuantLib::Calendar::WesternImpl – partial calendar implementation Synopsis#include <ql/time/calendar.hpp> Inherits QuantLib::Calendar::Impl. Inherited by MervalImpl, Impl, ExchangeImpl, SettlementImpl, SettlementImpl, TsxImpl, PseImpl, Impl, Impl, EurexImpl, FrankfurtStockExchangeImpl, SettlementImpl, XetraImpl, HkexImpl, Impl, IcexImpl, NseImpl, BejImpl, ExchangeImpl, SettlementImpl, BmvImpl, Impl, Impl, Impl, SgxImpl, BsseImpl, Impl, Impl, Impl, Impl, ExchangeImpl, MetalsImpl, SettlementImpl, GovernmentBondImpl, NercImpl, NyseImpl, and SettlementImpl. Protected Member Functionsbool isWeekend (Weekday) const…

QuantLib::Calendar::OrthodoxImpl – partial calendar implementation Synopsis#include <ql/time/calendar.hpp> Inherits QuantLib::Calendar::Impl. Inherited by UseImpl. Protected Member Functionsbool isWeekend (Weekday) const Static Protected Member Functionsstatic Day easterMonday (Year) expressed relative to first day of year Detailed Descriptionpartial calendar implementation This class provides the means of determining the Orthodox Easter Monday for a given year, as well as specifying…

QuantLib::Calendar::Impl – abstract base class for calendar implementations Synopsis#include <ql/time/calendar.hpp> Inherited by Impl, OrthodoxImpl, WesternImpl, SseImpl, Impl, Impl, Impl, TadawulImpl, SettlementImpl, TsecImpl, and Impl. Public Member Functionsvirtual std::string name () const =0 virtual bool isBusinessDay (const Date &) const =0 virtual bool isWeekend (Weekday) const =0 Public Attributesstd::set< Date > addedHolidays std::set< Date > removedHolidays…

QuantLib::Calendar – calendar class Synopsis#include <ql/time/calendar.hpp> Inherited by Argentina, Australia, BespokeCalendar, Brazil, Canada, China, CzechRepublic, Denmark, Finland, Germany, HongKong, Hungary, Iceland, India, Indonesia, Italy, Japan, JointCalendar, Mexico, NewZealand, Norway, NullCalendar, Poland, SaudiArabia, Singapore, Slovakia, SouthAfrica, SouthKorea, Sweden, Switzerland, Taiwan, TARGET, Turkey, Ukraine, UnitedKingdom, and UnitedStates. Classesclass Impl abstract base class for calendar implementations class OrthodoxImpl…

QuantLib::CMSwapCurveState – Curve state for constant-maturity-swap market models Synopsis#include <ql/models/marketmodels/curvestates/cmswapcurvestate.hpp> Inherits QuantLib::CurveState. Public Member FunctionsCMSwapCurveState (const std::vector< Time > &rateTimes, Size spanningForwards) Modifiers void setOnCMSwapRates (const std::vector< Rate > &cmSwapRates, Size firstValidIndex=0) Inspectors Real discountRatio (Size i, Size j) const Rate forwardRate (Size i) const Rate coterminalSwapRate (Size i) const Rate coterminalSwapAnnuity (Size numeraire, Size…

QuantLib::CMSMMDriftCalculator – Drift computation for CMS market models. Synopsis#include <ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.hpp> Public Member FunctionsCMSMMDriftCalculator (const Matrix &pseudo, const std::vector< Spread > &displacements, const std::vector< Time > &taus, Size numeraire, Size alive, Size spanningFwds) void compute (const CMSwapCurveState &cs, std::vector< Real > &drifts) const Computes the drifts. Detailed DescriptionDrift computation for CMS market models. Returns the drift…

QuantLib::CLGaussianRng – Gaussian random number generator. Synopsis#include <ql/math/randomnumbers/centrallimitgaussianrng.hpp> Public Typestypedef Sample< Real > sample_type typedef RNG urng_type Public Member FunctionsCLGaussianRng (const RNG &uniformGenerator) sample_type next () const returns a sample from a Gaussian distribution Detailed Descriptiontemplate<class RNG> class QuantLib::CLGaussianRng< RNG >Gaussian random number generator. It uses the well-known fact that the sum of 12 uniform…

QuantLib::CHFLibor – CHF LIBOR rate Synopsis#include <ql/indexes/ibor/chflibor.hpp> Inherits QuantLib::Libor. Public Member FunctionsCHFLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionCHF LIBOR rate Swiss Franc LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. Warning This is the rate fixed in London by BBA. Use ZIBOR if you’re interested in the Zurich fixing.AuthorGenerated automatically by…

QuantLib::CDO – collateralized debt obligation Synopsis#include <ql/experimental/credit/cdo.hpp> Inherits QuantLib::Instrument. Public Member FunctionsCDO (Real attachment, Real detachment, const std::vector< Real > &nominals, const std::vector< Handle< DefaultProbabilityTermStructure > > &basket, const Handle< OneFactorCopula > &copula, bool protectionSeller, const Schedule &premiumSchedule, Rate premiumRate, const DayCounter &dayCounter, Rate recoveryRate, Rate upfrontPremiumRate, const Handle< YieldTermStructure > &yieldTS, Size nBuckets, const…

QuantLib::CADLibor – CAD LIBOR rate Synopsis#include <ql/indexes/ibor/cadlibor.hpp> Inherits QuantLib::Libor. Public Member FunctionsCADLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionCAD LIBOR rate Canadian Dollar LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. Warning This is the rate fixed in London by BBA. Use CDOR if you’re interested in the Canadian fixing by IDA.AuthorGenerated…

QuantLib::BrownianBridge – Builds Wiener process paths using Gaussian variates. Synopsis#include <ql/methods/montecarlo/brownianbridge.hpp> Public Member FunctionsBrownianBridge (Size steps) unit-time path BrownianBridge (const std::vector< Time > &times) generic times BrownianBridge (const TimeGrid &timeGrid) generic times inspectors Size size () const const std::vector< Time > & times () const Brownian-bridge constructortemplate<class RandomAccessIterator1 , class RandomAccessIterator2 > void transform (RandomAccessIterator1…

QuantLib::Brent – Brent 1-D solver Synopsis#include <ql/math/solvers1d/brent.hpp> Inherits Solver1D< Brent >. Public Member Functionstemplate<class F > Real solveImpl (const F &f, Real xAccuracy) const Detailed DescriptionBrent 1-D solver Tests the correctness of the returned values is tested by checking them against known good results.AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Brazil – Brazilian calendar. Synopsis#include <ql/time/calendars/brazil.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { Settlement, Exchange } Brazilian calendars. Public Member FunctionsBrazil (Market market=Settlement) Detailed DescriptionBrazilian calendar. Banking holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Tiradentes’s Day, April 21th * Labour Day, May 1st * Independence Day, September 7th * Nossa Sra….

QuantLib::BoxMullerGaussianRng – Gaussian random number generator. Synopsis#include <ql/math/randomnumbers/boxmullergaussianrng.hpp> Public Typestypedef Sample< Real > sample_type typedef RNG urng_type Public Member FunctionsBoxMullerGaussianRng (const RNG &uniformGenerator) sample_type next () const returns a sample from a Gaussian distribution Detailed Descriptiontemplate<class RNG> class QuantLib::BoxMullerGaussianRng< RNG >Gaussian random number generator. It uses the well-known Box-Muller transformation to return a normal distributed…

QuantLib::BoundaryCondition – Abstract boundary condition class for finite difference problems. Synopsis#include <ql/methods/finitedifferences/boundarycondition.hpp> Public Typesenum Side { None, Upper, Lower } typedef Operator operator_type typedef Operator::array_type array_type Public Member Functionsvirtual void applyBeforeApplying (operator_type &) const =0 virtual void applyAfterApplying (array_type &) const =0 virtual void applyBeforeSolving (operator_type &, array_type &rhs) const =0 virtual void applyAfterSolving (array_type…