SysTutorials Posts

QuantLib::Commodity – Commodity base class. Synopsis Commodity (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 Attributes Inherits QuantLib::Instrument. Inherited by EnergyCommodity. Public Member Functions Commodity (const…

QuantLib::FloatingRateCoupon – base floating-rate coupon class Synopsis void update () Inherits QuantLib::Coupon, and QuantLib::Observer. Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon. Public Member Functions void update () CashFlow interface Real amount () const returns the amount of the cash flow Coupon interface Rate rate () const accrued rate Real price (const Handle<…

XMLTV::PreferredMethod – Adds a preferredmethod argument to XMLTV grabbers DescriptionAdd a –preferredmethod argument to your program, eg use XMLTV::PreferredMethod ‘allatonce’;If a –preferredmethod parameter is supplied on the command-line, it will be caught already by the “use” statement, the string supplied in the use-line will be printed to STDOUT and the program will exit. Don’t forget…

Date and time calculations – Classesclass DateInterval Date interval described by a number of a given time unit. class PricingPeriod Time pricingperiod described by a number of a given time unit. class Calendar calendar class class Date Concrete date class. struct DateGeneration Date-generation rule. class DayCounter day counter class class Period ModulesCalendars Day counters Typedefstypedef…

ql/math/distributions/poissondistribution.hpp – Poisson distribution. Synopsis #include <ql/math/factorial.hpp> #include <ql/math/incompletegamma.hpp> Classes class PoissonDistribution Normal distribution function. class CumulativePoissonDistribution Cumulative Poisson distribution function. class InverseCumulativePoisson Inverse cumulative Poisson distribution function. Detailed Description Poisson distribution. Author Generated automatically by Doxygen for QuantLib from the source code.

BlackPixelOfScreen, WhitePixelOfScreen, CellsOfScreen, DefaultColormapOfScreen, DefaultDepthOfScreen, DefaultGCOfScreen, DefaultVisualOfScreen, DoesBackingStore, DoesSaveUnders, DisplayOfScreen, XScreenNumberOfScreen, EventMaskOfScreen, HeightOfScreen, HeightMMOfScreen, MaxCmapsOfScreen, MinCmapsOfScreen, PlanesOfScreen, RootWindowOfScreen, WidthOfScreen, WidthMMOfScreen – screen information functions and macros Syntaxunsigned long BlackPixelOfScreen(Screen *screen); unsigned long WhitePixelOfScreen(Screen *screen); int CellsOfScreen(Screen *screen); Colormap DefaultColormapOfScreen(Screen *screen); int DefaultDepthOfScreen(Screen *screen); GC DefaultGCOfScreen(Screen *screen); Visual *DefaultVisualOfScreen(Screen *screen); int DoesBackingStore(Screen *screen); Bool DoesSaveUnders(Screen *screen);…

QuantLib::PlainVanillaPayoff – Plain-vanilla payoff. Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member FunctionsPlainVanillaPayoff (Option::Type type, Real strike) Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed DescriptionPlain-vanilla payoff. Examples: DiscreteHedging.cpp, EquityOption.cpp, and Replication.cpp. Member Function Documentationstd::string name () const [virtual]Warning This method is used for output and comparison between…

ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp – Piecewise-zero-spreaded term structure. Synopsis #include <ql/termstructures/yield/zeroyieldstructure.hpp> #include <ql/quote.hpp> #include <vector> Classes class PiecewiseZeroSpreadedTermStructure Term structure with an added vector of spreads on the zero-yield rate. Detailed Description Piecewise-zero-spreaded term structure. Author Generated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/inflation/piecewisezeroinflationcurve.hpp – Piecewise zero-inflation term structure. Synopsis #include <ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp> #include <ql/termstructures/iterativebootstrap.hpp> #include <ql/patterns/lazyobject.hpp> Classes class ZeroInflationTraits Bootstrap traits to use for PiecewiseZeroInflationCurve. class PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits > Piecewise zero-inflation term structure. Detailed Description Piecewise zero-inflation term structure. Author Generated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp – Piecewise year-on-year inflation term structure. Synopsis #include <ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp> #include <ql/termstructures/iterativebootstrap.hpp> #include <ql/patterns/lazyobject.hpp> Classes class YoYInflationTraits Bootstrap traits to use for PiecewiseZeroInflationCurve. class PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits > Piecewise year-on-year inflation term structure. Detailed Description Piecewise year-on-year inflation term structure. Author Generated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/yield/piecewiseyieldcurve.hpp – piecewise-interpolated term structure Synopsis #include <ql/termstructures/iterativebootstrap.hpp> #include <ql/termstructures/localbootstrap.hpp> #include <ql/termstructures/yield/bootstraptraits.hpp> #include <ql/patterns/lazyobject.hpp> #include <ql/quote.hpp> Classes class PiecewiseYieldCurve< Traits, Interpolator, Bootstrap > Piecewise yield term structure. Detailed Description piecewise-interpolated term structure Author Generated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/credit/piecewisedefaultcurve.hpp – piecewise-interpolated default-probability structure Synopsis #include <ql/termstructures/iterativebootstrap.hpp> #include <ql/termstructures/credit/probabilitytraits.hpp> #include <ql/patterns/lazyobject.hpp> #include <ql/quote.hpp> Classes class PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap > Piecewise default-probability term structure. Detailed Description piecewise-interpolated default-probability structure Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::PiecewiseConstantParameter – Piecewise-constant parameter. Synopsis#include <ql/models/parameter.hpp> Inherits QuantLib::Parameter. Public Member FunctionsPiecewiseConstantParameter (const std::vector< Time > &times) Detailed DescriptionPiecewise-constant parameter. $ a(t) = a_i if t_{i-1} geq t < t_i $. This kind of parameter is usually used to enhance the fitting of a model AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::PerturbativeBarrierOptionEngine – perturbative barrier-option engine Synopsis#include <ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp> Inherits QuantLib::BarrierOption::engine. Public Member FunctionsPerturbativeBarrierOptionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Natural order=1, bool zeroGamma=false) void calculate () const Detailed Descriptionperturbative barrier-option engine This engine implements the approach described in <http://www.econ.univpm.it/recchioni/finance/w3/>. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::CubicInterpolation – Cubic interpolation between discrete points. Synopsis#include <ql/math/interpolations/cubicinterpolation.hpp> Inherits QuantLib::Interpolation. Inherited by MonotonicNaturalCubicInterpolation, and NaturalCubicInterpolation. Public Typesenum DerivativeApprox { Spline, FourthOrder, Parabolic, ModifiedParabolic, FritschButland, Akima, Kruger } enum BoundaryCondition { NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange } Public Member Functionstemplate<class I1 , class I2 > CubicInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin,…

ql/time/period.hpp – period- and frequency-related classes and enumerations Synopsis #include <ql/time/frequency.hpp> #include <ql/time/timeunit.hpp> #include <ql/types.hpp> Classes class Period Functions std::ostream & operator<< (std::ostream &, const long_period_holder &) std::ostream & operator<< (std::ostream &, const short_period_holder &) detail::long_period_holder long_period (const Period &) output periods in long format (e.g. ‘2 weeks’) detail::short_period_holder short_period (const Period &) output periods…

QuantLib::PercentageStrikePayoff – Payoff with strike expressed as percentage Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member FunctionsPercentageStrikePayoff (Option::Type type, Real moneyness) Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed DescriptionPayoff with strike expressed as percentage Member Function Documentationstd::string name () const [virtual]Warning This method is used for output…

QuantLib::PathwiseVegasAccountingEngine – Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas. Synopsis#include <ql/models/marketmodels/pathwiseaccountingengine.hpp> Public Member FunctionsPathwiseVegasAccountingEngine (const boost::shared_ptr< LogNormalFwdRateEuler > &evolver, const Clone< MarketModelPathwiseMultiProduct > &product, const boost::shared_ptr< MarketModel > &pseudoRootStructure, const std::vector< std::vector< Matrix > > &VegaBumps, Real initialNumeraireValue) void multiplePathValues (std::vector< Real > &means, std::vector< Real…

QuantLib::PathwiseAccountingEngine – Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas. Synopsis#include <ql/models/marketmodels/pathwiseaccountingengine.hpp> Public Member FunctionsPathwiseAccountingEngine (const boost::shared_ptr< LogNormalFwdRateEuler > &evolver, const Clone< MarketModelPathwiseMultiProduct > &product, const boost::shared_ptr< MarketModel > &pseudoRootStructure, Real initialNumeraireValue) void multiplePathValues (SequenceStatisticsInc &stats, Size numberOfPaths) Detailed DescriptionEngine collecting cash flows along a market-model simulation for doing…

ql/experimental/mcbasket/pathmultiassetoption.hpp – Option on multiple assets. Synopsis #include <ql/instrument.hpp> #include <ql/stochasticprocess.hpp> #include <ql/math/matrix.hpp> #include <ql/experimental/mcbasket/pathpayoff.hpp> Classes class PathMultiAssetOption Base class for path-dependent options on multiple assets. class arguments Arguments for multi-asset option calculation class results Results from multi-asset option calculation Detailed Description Option on multiple assets. Author Generated automatically by Doxygen for QuantLib from the…