SysTutorials Posts

QuantLib::AnalyticBSMHullWhiteEngine – analytic european option pricer including stochastic interest rates Synopsis#include <ql/pricingengines/vanilla/analyticbsmhullwhiteengine.hpp> Inherits GenericModelEngine< HullWhite, VanillaOption::arguments, VanillaOption::results >. Public Member FunctionsAnalyticBSMHullWhiteEngine (Real equityShortRateCorrelation, const boost::shared_ptr< GeneralizedBlackScholesProcess > &, const boost::shared_ptr< HullWhite > &) void calculate () const Detailed Descriptionanalytic european option pricer including stochastic interest rates References: Brigo, Mercurio, Interest Rate Models Tests the correctness…

QuantLib::AmortizingFloatingRateBond – amortizing floating-rate bond (possibly capped and/or floored) Synopsis#include <ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsAmortizingFloatingRateBond (Natural settlementDays, const std::vector< Real > &notional, const Schedule &schedule, const boost::shared_ptr< IborIndex > &index, const DayCounter &accrualDayCounter, 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,…

QuantLib::AmortizingFixedRateBond – amortizing fixed-rate bond Synopsis#include <ql/experimental/amortizingbonds/amortizingfixedratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsAmortizingFixedRateBond (Natural settlementDays, const std::vector< Real > &notionals, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, const std::vector< Real > &redemption=std::vector< Real >(1, 100.0), const Date &issueDate=Date()) AmortizingFixedRateBond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &startDate, const…

QuantLib::AmortizingCmsRateBond – amortizing CMS-rate bond Synopsis#include <ql/experimental/amortizingbonds/amortizingcmsratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsAmortizingCmsRateBond (Natural settlementDays, const std::vector< 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…

QuantLib::AmericanPayoffAtHit – Analytic formula for American exercise payoff at-hit options. Synopsis#include <ql/pricingengines/americanpayoffathit.hpp> Public Member FunctionsAmericanPayoffAtHit (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff) Real value () const Real delta () const Real gamma () const Real rho (Time maturity) const Detailed DescriptionAnalytic formula for American exercise payoff at-hit options. Possible…

QuantLib::AmericanPayoffAtExpiry – Analytic formula for American exercise payoff at-expiry options. Synopsis#include <ql/pricingengines/americanpayoffatexpiry.hpp> Public Member FunctionsAmericanPayoffAtExpiry (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff) Real value () const Detailed DescriptionAnalytic formula for American exercise payoff at-expiry options. Possible enhancements calculate greeksAuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::AmericanExercise – American exercise. Synopsis#include <ql/exercise.hpp> Inherits QuantLib::EarlyExercise. Public Member FunctionsAmericanExercise (const Date &earliestDate, const Date &latestDate, bool payoffAtExpiry=false) AmericanExercise (const Date &latestDate, bool payoffAtExpiry=false) Detailed DescriptionAmerican exercise. An American option can be exercised at any time between two predefined dates; the first date might be omitted, in which case the option can be exercised…

QuantLib::AmericanCondition – American exercise condition. Synopsis#include <ql/methods/finitedifferences/americancondition.hpp> Inherits CurveDependentStepCondition< Array >. Public Member FunctionsAmericanCondition (Option::Type type, Real strike) AmericanCondition (const Array &intrinsicValues) Detailed DescriptionAmerican exercise condition. Possible enhancements unify the intrinsicValues/Payoff thingAuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::AffineModel – Affine model class. Synopsis#include <ql/models/model.hpp> Inherits QuantLib::Observable. Inherited by G2, LiborForwardModel, and OneFactorAffineModel. Public Member Functionsvirtual DiscountFactor discount (Time t) const =0 Implied discount curve. virtual Real discountBond (Time now, Time maturity, Array factors) const =0 virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const =0 Detailed DescriptionAffine model class….

QuantLib::AdditiveEQPBinomialTree – Additive equal probabilities binomial tree. Synopsis#include <ql/methods/lattices/binomialtree.hpp> Inherits EqualProbabilitiesBinomialTree< AdditiveEQPBinomialTree >. Public Member FunctionsAdditiveEQPBinomialTree (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Detailed DescriptionAdditive equal probabilities binomial tree. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ActualActual – Actual/Actual day count. Synopsis#include <ql/time/daycounters/actualactual.hpp> Inherits QuantLib::DayCounter. Public Typesenum Convention { ISMA, Bond, ISDA, Historical, Actual365, AFB, Euro } Public Member FunctionsActualActual (Convention c=ActualActual::ISDA) Detailed DescriptionActual/Actual day count. The day count can be calculated according to: * the ISDA convention, also known as ‘Actual/Actual (Historical)’, ‘Actual/Actual’, ‘Act/Act’, and according to ISDA also ‘Actual/365’,…

QuantLib::Actual365Fixed – Actual/365 (Fixed) day count convention. Synopsis#include <ql/time/daycounters/actual365fixed.hpp> Inherits QuantLib::DayCounter. Detailed DescriptionActual/365 (Fixed) day count convention. Warning According to ISDA, ‘Actual/365’ (without ‘Fixed’) is an alias for ‘Actual/Actual (ISDA)’ (see ActualActual.) If Actual/365 is not explicitly specified as fixed in an instrument specification, you might want to double-check its meaning. Examples: BermudanSwaption.cpp, Bonds.cpp, CDS.cpp,…

QuantLib::AccountingEngine – Engine collecting cash flows along a market-model simulation. Synopsis#include <ql/models/marketmodels/accountingengine.hpp> Public Member FunctionsAccountingEngine (const boost::shared_ptr< MarketModelEvolver > &evolver, const Clone< MarketModelMultiProduct > &product, Real initialNumeraireValue) void multiplePathValues (SequenceStatisticsInc &stats, Size numberOfPaths) Detailed DescriptionEngine collecting cash flows along a market-model simulation. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::AbcdVol – Abcd-interpolated volatility structure Synopsis#include <ql/models/marketmodels/models/abcdvol.hpp> Inherits QuantLib::MarketModel. Public Member FunctionsAbcdVol (Real a, Real b, Real c, Real d, const std::vector< Real > &ks, const boost::shared_ptr< PiecewiseConstantCorrelation > &corr, const EvolutionDescription &evolution, const Size numberOfFactors, const std::vector< Rate > &initialRates, const std::vector< Spread > &displacements) MarketModel interface const std::vector< Rate > & initialRates ()…

QuantLib::AbcdFunction – Abcd functional form for instantaneous volatility Synopsis#include <ql/termstructures/volatility/abcd.hpp> Inherits std::unary_function<Real, Real>. Public Member FunctionsAbcdFunction (Real a=-0.06, Real b=0.17, Real c=0.54, Real d=0.17) Real operator() (Time u) const volatility function value at time u: [ f(u) ] Real maximumLocation () const time at which the volatility function reaches maximum (if any) Real maximumVolatility ()…

QuantLib::AbcdAtmVolCurve – Abcd-interpolated at-the-money (no-smile) volatility curve. Synopsis#include <ql/experimental/volatility/abcdatmvolcurve.hpp> Inherits QuantLib::BlackAtmVolCurve, and QuantLib::LazyObject. Public Member FunctionsAbcdAtmVolCurve (Natural settlementDays, const Calendar &cal, const std::vector< Period > &optionTenors, const std::vector< Handle< Quote > > &volsHandles, const std::vector< bool > inclusionInInterpolationFlag=std::vector< bool >(1, true), BusinessDayConvention bdc=Following, const DayCounter &dc=Actual365Fixed()) floating reference date, floating market data std::vector< Real >…

QuantLib::AUDLibor – AUD LIBOR rate Synopsis#include <ql/indexes/ibor/audlibor.hpp> Inherits QuantLib::Libor. Public Member FunctionsAUDLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionAUD LIBOR rate Australian Dollar LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib – Introduction QuantLib ( http://quantlib.org/) is a C++ library for financial quantitative analysts and developers. QuantLib is Non-Copylefted Free Software released under the modified BSD License. It is also OSI Certified Open Source Software. OSI Certified is a certification mark of the Open Source Initiative. QuantLib is free software and you are allowed to…

QmcSource – manages contexts created by all groups C++ Synopsis #include <QmcSource.h> CC … -lqmc -lpcp DescriptionThe QmcSource class maintains a unique list of all metric sources in use to minimize the creation of new contexts (see pmNewContext(3)) when the context could have been duplicated (see pmDupContext(3)). This also reduces the duplication of descriptions of…

QmcMetric – container for a metric and all its values C++ Synopsis #include <pcp/pmc/Metric.h> CC … -lpcp_pmc -lpcp DescriptionA QmcMetric object is a container for a single metric and all its values. The QmcMetricValue structure is used to hold the instance index, values and errors of each instance. In the case of a singular metric,…