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QuantLib::BootstrapHelper – Base helper class for bootstrapping. Synopsis#include <ql/termstructures/bootstraphelper.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by RelativeDateRateHelper. Public Member FunctionsBootstrapHelper (const Handle< Quote > &quote) BootstrapHelper (Real quote) BootstrapHelper interface Real quoteError () const Real quoteValue () const bool quoteIsValid () const virtual Real impliedQuote () const =0 virtual void setTermStructure (TS *) sets the term…

QuantLib::BootstrapError – bootstrap error Synopsis#include <ql/termstructures/bootstraperror.hpp> Public Member FunctionsBootstrapError (const Curve *curve, const boost::shared_ptr< typename Traits::helper > &instrument, Size segment) Real operator() (Rate guess) const Detailed Descriptiontemplate<class Curve> class QuantLib::BootstrapError< Curve >bootstrap error AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Bond – Base bond class. Synopsis#include <ql/instruments/bond.hpp> Inherits QuantLib::Instrument. Inherited by AmortizingCmsRateBond, AmortizingFixedRateBond, AmortizingFloatingRateBond, CallableBond, CmsRateBond, ConvertibleBond, FixedRateBond, FloatingRateBond, and ZeroCouponBond. Public Member FunctionsBond (Natural settlementDays, const Calendar &calendar, const Date &issueDate=Date(), const Leg &coupons=Leg()) constructor for amortizing or non-amortizing bonds. Bond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &maturityDate, const Date &issueDate=Date(),…

QuantLib::BlackVolatilityTermStructure – Black-volatility term structure. Synopsis#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> Inherits QuantLib::BlackVolTermStructure. Inherited by BlackConstantVol. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. BlackVolatilityTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackVolatilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference date BlackVolatilityTermStructure (Natural settlementDays,…

QuantLib::BlackVolTermStructure – Black-volatility term structure. Synopsis#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by BlackVarianceTermStructure, and BlackVolatilityTermStructure. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. BlackVolTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference date BlackVolTermStructure…

QuantLib::BlackVolSurface – Black volatility (smile) surface. Synopsis#include <ql/experimental/volatility/blackvolsurface.hpp> Inherits QuantLib::BlackAtmVolCurve. Inherited by EquityFXVolSurface, and InterestRateVolSurface. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. BlackVolSurface (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackVolSurface (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference date…

QuantLib::BlackVarianceTermStructure – Black variance term structure. Synopsis#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> Inherits QuantLib::BlackVolTermStructure. Inherited by BlackVarianceCurve, BlackVarianceSurface, ExtendedBlackVarianceCurve, ExtendedBlackVarianceSurface, and ImpliedVolTermStructure. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. BlackVarianceTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackVarianceTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a…

QuantLib::BlackVarianceSurface – Black volatility surface modelled as variance surface. Synopsis#include <ql/termstructures/volatility/equityfx/blackvariancesurface.hpp> Inherits QuantLib::BlackVarianceTermStructure. Public Typesenum Extrapolation { ConstantExtrapolation, InterpolatorDefaultExtrapolation } Public Member FunctionsBlackVarianceSurface (const Date &referenceDate, const Calendar &cal, const std::vector< Date > &dates, const std::vector< Real > &strikes, const Matrix &blackVolMatrix, const DayCounter &dayCounter, Extrapolation lowerExtrapolation=InterpolatorDefaultExtrapolation, Extrapolation upperExtrapolation=InterpolatorDefaultExtrapolation) TermStructure interface DayCounter dayCounter () const…

QuantLib::BlackVarianceCurve – Black volatility curve modelled as variance curve. Synopsis#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp> Inherits QuantLib::BlackVarianceTermStructure. Public Member FunctionsBlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &blackVolCurve, const DayCounter &dayCounter, bool forceMonotoneVariance=true) TermStructure interface DayCounter dayCounter () const the day counter used for date/time conversion Date maxDate () const the latest date for…

QuantLib::BlackSwaptionEngine – Black-formula swaption engine. Synopsis#include <ql/pricingengines/swaption/blackswaptionengine.hpp> Inherits QuantLib::Swaption::engine. Public Member FunctionsBlackSwaptionEngine (const Handle< YieldTermStructure > &termStructure, Volatility vol, const DayCounter &dc=Actual365Fixed()) BlackSwaptionEngine (const Handle< YieldTermStructure > &termStructure, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed()) BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol) void calculate () const Handle< YieldTermStructure > termStructure…

QuantLib::BlackScholesProcess – Black-Scholes (1973) stochastic process. Synopsis#include <ql/processes/blackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Member FunctionsBlackScholesProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) Detailed DescriptionBlack-Scholes (1973) stochastic process. This class describes the stochastic process for a stock given by [ dS(t, S)…

QuantLib::BlackScholesMertonProcess – Merton (1973) extension to the Black-Scholes stochastic process. Synopsis#include <ql/processes/blackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Member FunctionsBlackScholesMertonProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) Detailed DescriptionMerton (1973) extension to the Black-Scholes stochastic process. This…

QuantLib::BlackScholesLattice – Simple binomial lattice approximating the Black-Scholes model. Synopsis#include <ql/methods/lattices/bsmlattice.hpp> Inherits TreeLattice1D< BlackScholesLattice< T > >. Public Member FunctionsBlackScholesLattice (const boost::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps) Size size (Size i) const DiscountFactor discount (Size, Size) const void stepback (Size i, const Array &values, Array &newValues) const Real underlying (Size i,…

QuantLib::BlackScholesCalculator – Black-Scholes 1973 calculator class. Synopsis#include <ql/pricingengines/blackscholescalculator.hpp> Inherits QuantLib::BlackCalculator. Public Member FunctionsBlackScholesCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real spot, DiscountFactor growth, Real stdDev, DiscountFactor discount) Real delta () const Real elasticity () const Real gamma () const Real theta (Time maturity) const Real thetaPerDay (Time maturity) const Protected AttributesReal spot_ DiscountFactor growth_ Detailed DescriptionBlack-Scholes…

QuantLib::BlackProcess – Black (1976) stochastic process. Synopsis#include <ql/processes/blackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Member FunctionsBlackProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) Detailed DescriptionBlack (1976) stochastic process. This class describes the stochastic process for a forward or futures contract given by…

QuantLib::BlackKarasinski::Dynamics – Short-rate dynamics in the Black-Karasinski model. Synopsis#include <ql/models/shortrate/onefactormodels/blackkarasinski.hpp> Inherits QuantLib::OneFactorModel::ShortRateDynamics. Public Member FunctionsDynamics (const Parameter &fitting, Real alpha, Real sigma) Real variable (Time t, Rate r) const Compute state variable from short rate. Real shortRate (Time t, Real x) const Compute short rate from state variable. Detailed DescriptionShort-rate dynamics in the Black-Karasinski model….

QuantLib::BlackKarasinski – Standard Black-Karasinski model class. Synopsis#include <ql/models/shortrate/onefactormodels/blackkarasinski.hpp> Inherits QuantLib::OneFactorModel, and QuantLib::TermStructureConsistentModel. Classesclass Dynamics Short-rate dynamics in the Black-Karasinski model. Public Member FunctionsBlackKarasinski (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.1) boost::shared_ptr< ShortRateDynamics > dynamics () const returns the short-rate dynamics boost::shared_ptr< Lattice > tree (const TimeGrid &grid) const Return by default a trinomial…

QuantLib::BlackIborCouponPricer – Black-formula pricer for capped/floored Ibor coupons. Synopsis#include <ql/cashflows/couponpricer.hpp> Inherits QuantLib::IborCouponPricer. Inherited by BlackIborQuantoCouponPricer. Public Member FunctionsBlackIborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >()) virtual void initialize (const FloatingRateCoupon &coupon) Real swapletPrice () const Rate swapletRate () const Real capletPrice (Rate effectiveCap) const Rate capletRate (Rate effectiveCap) const Real floorletPrice (Rate effectiveFloor) const Rate…

QuantLib::BlackConstantVol – Constant Black volatility, no time-strike dependence. Synopsis#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp> Inherits QuantLib::BlackVolatilityTermStructure. Public Member FunctionsBlackConstantVol (const Date &referenceDate, const Calendar &, Volatility volatility, const DayCounter &dayCounter) BlackConstantVol (const Date &referenceDate, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter) BlackConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) BlackConstantVol (Natural settlementDays,…

QuantLib::BlackCapFloorEngine – Black-formula cap/floor engine. Synopsis#include <ql/pricingengines/capfloor/blackcapfloorengine.hpp> Inherits QuantLib::CapFloor::engine. Public Member FunctionsBlackCapFloorEngine (const Handle< YieldTermStructure > &termStructure, Volatility vol, const DayCounter &dc=Actual365Fixed()) BlackCapFloorEngine (const Handle< YieldTermStructure > &termStructure, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed()) BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< OptionletVolatilityStructure > &vol) void calculate () const Handle< YieldTermStructure > termStructure…