QuantLib

An open source library for quantitative finance

Version 0.3.4

Generated by Doxygen 1.3.4

18 Nov 2003
Contents

I User Manual 1

1 An introduction to QuantLib 3
1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.2 Project overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.3 Where to get QuantLib . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.4 Installation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.5 Usage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.6 Supported platforms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.7 Version history . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
1.8 Todo List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
1.9 Additional resources . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
1.10 The QuantLib Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
1.11 Copyright and License . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24

2 QuantLib components 27
2.1 Core classes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
2.2 Date and time calculations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
2.3 Lattice methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
2.4 The finite differences framework . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
2.5 The Monte Carlo framework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
2.6 The short-rate modelling framework . . . . . . . . . . . . . . . . . . . . . . . . . 42
2.7 Currencies and FX rates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
2.8 Instruments and pricers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
2.9 Math tools . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
2.10 Design patterns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
2.11 Term structures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
2.12 Utilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51

3 Examples 53
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3.1 QuantLib Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53

II Reference Manual 55

4 QuantLib Module Index 57

4.1 QuantLib Modules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57

5 QuantLib Namespace Index 59

5.1 QuantLib Namespace List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59

6 QuantLib Hierarchical Index 61

6.1 QuantLib Class Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61

7 QuantLib Class Index 73

7.1 QuantLib Class List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73

8 QuantLib File Index 83

8.1 QuantLib File List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83

9 QuantLib Module Documentation 95

9.1 Global QuantLib macros . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
9.2 Math functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
9.3 Numeric limits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98
9.4 Time functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
9.5 String functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100
9.6 Character functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101
9.7 Input/output functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
9.8 Min and max functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103
9.9 Template capabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104
9.10 Iterator support . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106

10 QuantLib Namespace Documentation 107

10.1 QuantLib Namespace Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107
10.2 QuantLib::Calendars Namespace Reference . . . . . . . . . . . . . . . . . . . . . 117
10.3 QuantLib::CashFlows Namespace Reference . . . . . . . . . . . . . . . . . . . . . 119
10.4 QuantLib::DayCounters Namespace Reference . . . . . . . . . . . . . . . . . . . 124
10.5 QuantLib::FiniteDifferences Namespace Reference . . . . . . . . . . . . . . . . . 125
10.6 QuantLib::Indexes Namespace Reference . . . . . . . . . . . . . . . . . . . . . . . 127
10.7 QuantLib::Instruments Namespace Reference . . . . . . . . . . . . . . . . . . . . 128

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10.8 QuantLib::Math Namespace Reference . . . . . . . . . . . . . . . . . . . . . . . . 131

10.9 QuantLib::MonteCarlo Namespace Reference . . . . . . . . . . . . . . . . . . . . 135
10.10 QuantLib::Patterns Namespace Reference . . . . . . . . . . . . . . . . . . . . . . . 138
10.11 QuantLib::Pricers Namespace Reference . . . . . . . . . . . . . . . . . . . . . . . 139
10.12 QuantLib::RandomNumbers Namespace Reference . . . . . . . . . . . . . . . . . 142
10.13 QuantLib::ShortRateModels Namespace Reference . . . . . . . . . . . . . . . . . 144
10.14 QuantLib::Solvers1D Namespace Reference . . . . . . . . . . . . . . . . . . . . . 147
10.15 QuantLib::TermStructures Namespace Reference . . . . . . . . . . . . . . . . . . 148
10.16 QuantLib::Utilities Namespace Reference . . . . . . . . . . . . . . . . . . . . . . . 150
10.17 QuantLib::VolTermStructures Namespace Reference . . . . . . . . . . . . . . . . 151

11 QuantLib Class Documentation 153

11.1 Actual360 Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153
11.2 Actual365 Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 154
11.3 ActualActual Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155
11.4 AcyclicVisitor Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 156
11.5 AdditiveEQPBinomialTree Class Reference . . . . . . . . . . . . . . . . . . . . . . 157
11.6 AffineModel Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158
11.7 AffineTermStructure Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 159
11.8 AmericanCondition Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 161
11.9 AmericanExercise Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 162
11.10 AmericanMCVanillaEngine Class Reference . . . . . . . . . . . . . . . . . . . . . 163
11.11 AnalyticalCapFloor Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 164
11.12 AnalyticAmericanBinaryEngine Class Reference . . . . . . . . . . . . . . . . . . . 165
11.13 AnalyticBarrierEngine Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 166
11.14 AnalyticEuropeanBinaryEngine Class Reference . . . . . . . . . . . . . . . . . . . 167
11.15 AnalyticEuropeanEngine Class Reference . . . . . . . . . . . . . . . . . . . . . . . 168
11.16 Arguments Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 169
11.17 ArithmeticAPOPathPricer_old Class Reference . . . . . . . . . . . . . . . . . . . 170
11.18 ArithmeticASOPathPricer_old Class Reference . . . . . . . . . . . . . . . . . . . 171
11.19 ArmijoLineSearch Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 172
11.20 Array Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 173
11.21 ArrayFormatter Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 176
11.22 AssertionFailedError Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 177
11.23 AssetOrNothingPayoff Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 178
11.24 AUDLibor Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 179
11.25 Barrier Struct Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 180

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11.26 BarrierEngine Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 181

11.27 BarrierOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 182
11.28 BarrierOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 184
11.29 BarrierOption::arguments Class Reference . . . . . . . . . . . . . . . . . . . . . . 185
11.30 BarrierOption::results Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 186
11.31 BarrierPathPricer Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 187
11.32 BasketPathPricer_old Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 188
11.33 BermudanExercise Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 189
11.34 BiasedBarrierPathPricer Class Reference . . . . . . . . . . . . . . . . . . . . . . . 190
11.35 BicubicSplineInterpolation Class Template Reference . . . . . . . . . . . . . . . . 191
11.36 BilinearInterpolation Class Template Reference . . . . . . . . . . . . . . . . . . . 193
11.37 Binary Struct Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 195
11.38 BinaryEngine Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 196
11.39 BinaryOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 197
11.40 BinaryOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 199
11.41 BinaryOption::arguments Class Reference . . . . . . . . . . . . . . . . . . . . . . 200
11.42 BinaryOption::results Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 201
11.43 BinaryPathPricer Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 202
11.44 BinomialTree Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 203
11.45 BinomialVanillaEngine Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 204
11.46 Bisection Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 205
11.47 BlackCapFloor Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 206
11.48 BlackConstantVol Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 207
11.49 BlackKarasinski Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 209
11.50 BlackKarasinski::Dynamics Class Reference . . . . . . . . . . . . . . . . . . . . . 210
11.51 BlackModel Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211
11.52 BlackScholesLattice Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 213
11.53 BlackScholesProcess Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 214
11.54 BlackSwaption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 215
11.55 BlackVarianceCurve Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 216
11.56 BlackVarianceSurface Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 218
11.57 BlackVarianceTermStructure Class Reference . . . . . . . . . . . . . . . . . . . . . 220
11.58 BlackVolatilityTermStructure Class Reference . . . . . . . . . . . . . . . . . . . . 221
11.59 BlackVolTermStructure Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 222
11.60 BoundaryCondition Class Template Reference . . . . . . . . . . . . . . . . . . . . 224
11.61 BoundaryConstraint Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 226

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11.62 BoxMullerGaussianRng Class Template Reference . . . . . . . . . . . . . . . . . . 227

11.63 BPSCalculator Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228
11.64 Brent Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 229
11.65 Bridge Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 230
11.66 BrownianBridge Class Template Reference . . . . . . . . . . . . . . . . . . . . . . 231
11.67 BSMOperator Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 232
11.68 Budapest Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 233
11.69 CADLibor Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 234
11.70 Calendar Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 235
11.71 Calendar::WesternImpl Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 238
11.72 CalendarImpl Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 239
11.73 CalibrationHelper Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 240
11.74 CalibrationSet Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 242
11.75 Cap Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 243
11.76 CapFlatVolatilityStructure Class Reference . . . . . . . . . . . . . . . . . . . . . . 244
11.77 CapFlatVolatilityVector Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 246
11.78 CapFloor Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 247
11.79 CapFloor::arguments Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 249
11.80 CapFloor::results Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 250
11.81 CapletForwardVolatilityStructure Class Reference . . . . . . . . . . . . . . . . . . 251
11.82 CashFlow Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 252
11.83 CashOrNothingPayoff Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 254
11.84 CHFLibor Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 255
11.85 CLGaussianRng Class Template Reference . . . . . . . . . . . . . . . . . . . . . . 256
11.86 CliquetEngine Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 257
11.87 CliquetOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 258
11.88 CliquetOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 259
11.89 CliquetOption::arguments Class Reference . . . . . . . . . . . . . . . . . . . . . . 260
11.90 CliquetOptionPathPricer Class Reference . . . . . . . . . . . . . . . . . . . . . . . 261
11.91 CliquetOptionPathPricer_old Class Reference . . . . . . . . . . . . . . . . . . . . 262
11.92 Collar Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 263
11.93 combining_iterator Class Template Reference . . . . . . . . . . . . . . . . . . . . 264
11.94 CompositeConstraint Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 266
11.95 CompositeMarketElement Class Template Reference . . . . . . . . . . . . . . . . 267
11.96 ConjugateGradient Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 268
11.97 ConstantParameter Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 269

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11.98 Constraint Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 270

11.99 ConstraintImpl Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 271
11.100 ContinuousGeometricAPO Class Reference . . . . . . . . . . . . . . . . . . . . . 272
11.101 CostFunction Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 273
11.102 coupling_iterator Class Template Reference . . . . . . . . . . . . . . . . . . . . . 274
11.103 Coupon Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 276
11.104 CoxIngersollRoss Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 278
11.105 CoxIngersollRoss::Dynamics Class Reference . . . . . . . . . . . . . . . . . . . . 280
11.106 CoxRossRubinstein Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 281
11.107 CrankNicolson Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . 282
11.108 CubicSpline Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 283
11.109 CubicSplineInterpolation Class Template Reference . . . . . . . . . . . . . . . . . 284
11.110 CumulativeNormalDistribution Class Reference . . . . . . . . . . . . . . . . . . . 285
11.111 CuriouslyRecurringTemplate Class Template Reference . . . . . . . . . . . . . . 286
11.112 CurrencyFormatter Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 287
11.113 Date Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 288
11.114 DateFormatter Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 291
11.115 DayCounter Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 292
11.116 DayCounterImpl Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 294
11.117 DepositRateHelper Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 295
11.118 DerivedMarketElement Class Template Reference . . . . . . . . . . . . . . . . . . 297
11.119 DiffusionProcess Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 298
11.120 DirichletBC Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 300
11.121 DiscountCurve Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 301
11.122 DiscountStructure Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 303
11.123 DiscrepancyStatistics Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 305
11.124 DiscreteGeometricAPO Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 306
11.125 DiscreteGeometricASO Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 307
11.126 DiscretizedAsset Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 308
11.127 DiscretizedDiscountBond Class Reference . . . . . . . . . . . . . . . . . . . . . . 310
11.128 DiscretizedOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 311
11.129 Disposable Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . . . 313
11.130 DMinus Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 314
11.131 DoubleFormatter Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 315
11.132 DPlus Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 316
11.133 DPlusDMinus Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 317

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11.134 DriftTermStructure Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 318

11.135 DZero Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 320
11.136 EndCriteria Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 321
11.137 EqualJumpsBinomialTree Class Reference . . . . . . . . . . . . . . . . . . . . . . 323
11.138 EqualProbabilitiesBinomialTree Class Reference . . . . . . . . . . . . . . . . . . . 324
11.139 Error Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 325
11.140 ErrorFunction Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 326
11.141 Euribor Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 327
11.142 EuroFormatter Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 328
11.143 EuropeanExercise Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 329
11.144 EuropeanOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 330
11.145 EuropeanPathPricer Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 331
11.146 EuropeanPathPricer_old Class Reference . . . . . . . . . . . . . . . . . . . . . . . 332
11.147 EverestPathPricer_old Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 333
11.148 Exercise Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 334
11.149 ExplicitEuler Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . . 335
11.150 ExtendedCoxIngersollRoss Class Reference . . . . . . . . . . . . . . . . . . . . . 336
11.151 ExtendedCoxIngersollRoss::Dynamics Class Reference . . . . . . . . . . . . . . . 338
11.152 ExtendedCoxIngersollRoss::FittingParameter Class Reference . . . . . . . . . . . 339
11.153 ExtendedDiscountCurve Class Reference . . . . . . . . . . . . . . . . . . . . . . . 340
11.154 FalsePosition Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 342
11.155 FdAmericanOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 343
11.156 FdBermudanOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 344
11.157 FdBsmOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 345
11.158 FdDividendEuropeanOption Class Reference . . . . . . . . . . . . . . . . . . . . 347
11.159 FdDividendShoutOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . 348
11.160 FdEuropean Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 349
11.161 FdStepConditionOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . 350
11.162 filtering_iterator Class Template Reference . . . . . . . . . . . . . . . . . . . . . . 351
11.163 FiniteDifferenceModel Class Template Reference . . . . . . . . . . . . . . . . . . 352
11.164 FixedRateCoupon Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 353
11.165 FloatingRateCoupon Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 355
11.166 Floor Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 357
11.167 ForwardEngine Class Template Reference . . . . . . . . . . . . . . . . . . . . . . 358
11.168 ForwardOptionArguments Class Template Reference . . . . . . . . . . . . . . . . 359
11.169 ForwardPerformanceEngine Class Template Reference . . . . . . . . . . . . . . . 360

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11.170 ForwardRateStructure Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 361

11.171 ForwardSpreadedTermStructure Class Reference . . . . . . . . . . . . . . . . . . 363
11.172 ForwardVanillaOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 365
11.173 Frankfurt Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 367
11.174 FraRateHelper Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 368
11.175 FuturesRateHelper Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 370
11.176 G2 Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 371
11.177 G2::FittingParameter Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 373
11.178 GammaFunction Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 374
11.179 GaussianStatistics Class Template Reference . . . . . . . . . . . . . . . . . . . . . 375
11.180 GBPLibor Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 377
11.181 GeneralStatistics Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 378
11.182 GenericEngine Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . 381
11.183 GenericModelEngine Class Template Reference . . . . . . . . . . . . . . . . . . . 382
11.184 GenericRiskStatistics Class Template Reference . . . . . . . . . . . . . . . . . . . 383
11.185 GeometricAPOPathPricer_old Class Reference . . . . . . . . . . . . . . . . . . . . 386
11.186 GeometricASOPathPricer_old Class Reference . . . . . . . . . . . . . . . . . . . . 387
11.187 Greeks Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 388
11.188 HaltonRsg Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 389
11.189 Handle Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 390
11.190 Helsinki Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 392
11.191 HimalayaPathPricer_old Class Reference . . . . . . . . . . . . . . . . . . . . . . . 393
11.192 History Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 394
11.193 History::const_iterator Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 397
11.194 History::Entry Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 399
11.195 HullWhite Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 400
11.196 HullWhite::Dynamics Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 402
11.197 HullWhite::FittingParameter Class Reference . . . . . . . . . . . . . . . . . . . . 403
11.198 ICGaussianRng Class Template Reference . . . . . . . . . . . . . . . . . . . . . . 404
11.199 ICGaussianRsg Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . 405
11.200 IllegalArgumentError Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 406
11.201 IllegalResultError Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 407
11.202 ImplicitEuler Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . . 408
11.203 ImpliedTermStructure Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 409
11.204 ImpliedVolTermStructure Class Reference . . . . . . . . . . . . . . . . . . . . . . 411
11.205 InArrearIndexedCoupon Class Reference . . . . . . . . . . . . . . . . . . . . . . . 413

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11.206 IncrementalStatistics Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 414

11.207 Index Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 417
11.208 IndexedCoupon Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 419
11.209 IndexError Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 421
11.210 Instrument Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 422
11.211 IntegerFormatter Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 425
11.212 IntegralEngine Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 426
11.213 Interpolation Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . . 427
11.214 Interpolation2D Class Template Reference . . . . . . . . . . . . . . . . . . . . . . 429
11.215 InverseCumulativeNormal Class Reference . . . . . . . . . . . . . . . . . . . . . 431
11.216 JamshidianSwaption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 432
11.217 JarrowRudd Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 433
11.218 Johannesburg Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 434
11.219 JointCalendar Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 435
11.220 JPYLibor Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 436
11.221 KnuthUniformRng Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 437
11.222 KronrodIntegral Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 438
11.223 Lattice Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 439
11.224 Lattice2D Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 441
11.225 LatticeShortRateModelEngine Class Template Reference . . . . . . . . . . . . . . 442
11.226 LazyObject Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 443
11.227 LeastSquareFunction Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 446
11.228 LeastSquareProblem Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 447
11.229 LecuyerUniformRng Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 448
11.230 LexicographicalView Class Template Reference . . . . . . . . . . . . . . . . . . . 449
11.231 Linear Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 451
11.232 LinearInterpolation Class Template Reference . . . . . . . . . . . . . . . . . . . . 452
11.233 LineSearch Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 453
11.234 Link Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 455
11.235 LocalConstantVol Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 457
11.236 LocalVolCurve Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 459
11.237 LocalVolSurface Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 461
11.238 LocalVolTermStructure Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 463
11.239 LogLinear Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 465
11.240 LogLinearInterpolation Class Template Reference . . . . . . . . . . . . . . . . . . 466
11.241 London Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 467

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11.242 lowest_category_iterator Struct Template Reference . . . . . . . . . . . . . . . . . 468

11.243 MakeSchedule Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 469
11.244 MarketElement Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 470
11.245 Matrix Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 471
11.246 MaxBasketPathPricer_old Class Reference . . . . . . . . . . . . . . . . . . . . . . 474
11.247 MCBarrierEngine Class Template Reference . . . . . . . . . . . . . . . . . . . . . 475
11.248 McBasket Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 477
11.249 MCBinaryEngine Class Template Reference . . . . . . . . . . . . . . . . . . . . . 478
11.250 McCliquetOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 480
11.251 McDiscreteArithmeticAPO Class Reference . . . . . . . . . . . . . . . . . . . . . 481
11.252 McDiscreteArithmeticASO Class Reference . . . . . . . . . . . . . . . . . . . . . . 482
11.253 McEuropean Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 483
11.254 MCEuropeanEngine Class Template Reference . . . . . . . . . . . . . . . . . . . . 484
11.255 McEverest Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 485
11.256 McHimalaya Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 486
11.257 McMaxBasket Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 487
11.258 McPagoda Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 488
11.259 McPerformanceOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 489
11.260 McPricer Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 490
11.261 McSimulation Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . 492
11.262 MCVanillaEngine Class Template Reference . . . . . . . . . . . . . . . . . . . . . 494
11.263 MersenneTwisterUniformRng Class Reference . . . . . . . . . . . . . . . . . . . . 496
11.264 Method Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 497
11.265 Milan Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 499
11.266 MixedScheme Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . 500
11.267 Model Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 502
11.268 MonteCarloModel Class Template Reference . . . . . . . . . . . . . . . . . . . . . 504
11.269 MoroInverseCumulativeNormal Class Reference . . . . . . . . . . . . . . . . . . 505
11.270 MultiPath Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 506
11.271 MultiPathGenerator Class Template Reference . . . . . . . . . . . . . . . . . . . . 507
11.272 MultiPathGenerator_old Class Template Reference . . . . . . . . . . . . . . . . . 508
11.273 MultivariateAccumulator Class Reference . . . . . . . . . . . . . . . . . . . . . . 509
11.274 NeumannBC Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 511
11.275 Newton Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 512
11.276 NewtonSafe Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 513
11.277 NewYork Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 514

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11.278 NoConstraint Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 515

11.279 NonLinearLeastSquare Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 516
11.280 NormalDistribution Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 518
11.281 Null Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 519
11.282 NullCalendar Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 520
11.283 NullParameter Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 521
11.284 NumericalMethod Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 522
11.285 Observable Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 523
11.286 Observer Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 525
11.287 OneFactorAffineModel Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 528
11.288 OneFactorModel Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 529
11.289 OneFactorModel::ShortRateDynamics Class Reference . . . . . . . . . . . . . . . 530
11.290 OneFactorModel::ShortRateTree Class Reference . . . . . . . . . . . . . . . . . . 531
11.291 OneFactorOperator Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 532
11.292 Option Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 533
11.293 OrnsteinUhlenbeckProcess Class Reference . . . . . . . . . . . . . . . . . . . . . . 534
11.294 Oslo Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 536
11.295 OutOfMemoryError Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 537
11.296 PagodaPathPricer_old Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 538
11.297 Parameter Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 539
11.298 ParameterImpl Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 540
11.299 ParCoupon Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 541
11.300 Path Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 543
11.301 PathGenerator Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . 544
11.302 PathGenerator_old Class Template Reference . . . . . . . . . . . . . . . . . . . . 545
11.303 PathPricer Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . . . 546
11.304 PathPricer_old Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . 547
11.305 Payoff Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 548
11.306 PerformanceOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 549
11.307 PerformanceOptionPathPricer_old Class Reference . . . . . . . . . . . . . . . . . 550
11.308 Period Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 551
11.309 PiecewiseConstantParameter Class Reference . . . . . . . . . . . . . . . . . . . . 552
11.310 PiecewiseFlatForward Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 553
11.311 PlainVanillaPayoff Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 555
11.312 PositiveConstraint Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 556
11.313 PostconditionNotSatisfiedError Class Reference . . . . . . . . . . . . . . . . . . . 557

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11.314 PreconditionNotSatisfiedError Class Reference . . . . . . . . . . . . . . . . . . . 558

11.315 PricingEngine Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 559
11.316 PrimeNumbers Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 560
11.317 Problem Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 561
11.318 processing_iterator Class Template Reference . . . . . . . . . . . . . . . . . . . . 563
11.319 QuantoEngine Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . 565
11.320 QuantoForwardVanillaOption Class Reference . . . . . . . . . . . . . . . . . . . . 566
11.321 QuantoOptionArguments Class Template Reference . . . . . . . . . . . . . . . . 568
11.322 QuantoOptionResults Class Template Reference . . . . . . . . . . . . . . . . . . . 569
11.323 QuantoTermStructure Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 570
11.324 QuantoVanillaOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 572
11.325 RandomArrayGenerator Class Template Reference . . . . . . . . . . . . . . . . . 574
11.326 RandomSequenceGenerator Class Template Reference . . . . . . . . . . . . . . . 575
11.327 RateFormatter Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 576
11.328 RateHelper Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 577
11.329 RelinkableHandle Class Template Reference . . . . . . . . . . . . . . . . . . . . . 579
11.330 Results Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 581
11.331 Ridder Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 582
11.332 RiskMeasures Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 583
11.333 RiskStatistics_old Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 585
11.334 Sample Struct Template Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 587
11.335 Schedule Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 588
11.336 Secant Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 589
11.337 SegmentIntegral Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 590
11.338 SequenceStatistics Class Template Reference . . . . . . . . . . . . . . . . . . . . . 591
11.339 Short Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 593
11.340 ShortFloatingRateCoupon Class Reference . . . . . . . . . . . . . . . . . . . . . . 594
11.341 ShoutCondition Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 595
11.342 SimpleCashFlow Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 596
11.343 SimpleDayCounter Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 597
11.344 SimpleMarketElement Class Reference . . . . . . . . . . . . . . . . . . . . . . . . 598
11.345 SimpleSwap Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 599
11.346 SimpleSwap::arguments Class Reference . . . . . . . . . . . . . . . . . . . . . . . 601
11.347 SimpleSwap::results Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 602
11.348 Simplex Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 603
11.349 SimpsonIntegral Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 604

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11.350 SingleAssetOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 605

11.351 SobolRsg Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 607
11.352 Solver1D Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 608
11.353 SquareRootProcess Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 610
11.354 SteepestDescent Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 611
11.355 StepCondition Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . 612
11.356 stepping_iterator Class Template Reference . . . . . . . . . . . . . . . . . . . . . 613
11.357 Stock Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 615
11.358 Stockholm Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 616
11.359 StrikedTypePayoff Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 617
11.360 StringFormatter Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 618
11.361 SupersharePayoff Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 619
11.362 SVD Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 620
11.363 Swap Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 621
11.364 SwapRateHelper Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 623
11.365 Swaption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 625
11.366 Swaption::arguments Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 627
11.367 Swaption::results Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 628
11.368 SwaptionVolatilityMatrix Class Reference . . . . . . . . . . . . . . . . . . . . . . 629
11.369 SwaptionVolatilityStructure Class Reference . . . . . . . . . . . . . . . . . . . . . 630
11.370 Sydney Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 631
11.371 SymmetricSchurDecomposition Class Reference . . . . . . . . . . . . . . . . . . . 632
11.372 TARGET Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 633
11.373 TermStructure Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 634
11.374 TermStructureConsistentModel Class Reference . . . . . . . . . . . . . . . . . . . 637
11.375 TermStructureFittingParameter Class Reference . . . . . . . . . . . . . . . . . . . 638
11.376 Thirty360 Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 639
11.377 Tian Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 640
11.378 TimeBasket Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 641
11.379 TimeGrid Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 642
11.380 Tokyo Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 643
11.381 Toronto Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 645
11.382 TrapezoidIntegral Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 646
11.383 Tree Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 648
11.384 TreeCapFloor Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 649
11.385 TreeSwaption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 650

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11.386 TridiagonalOperator Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 651

11.387 TridiagonalOperator::TimeSetter Class Reference . . . . . . . . . . . . . . . . . . 653
11.388 Trigeorgis Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 654
11.389 TrinomialBranching Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 655
11.390 TrinomialTree Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 656
11.391 TwoFactorModel Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 657
11.392 TwoFactorModel::ShortRateDynamics Class Reference . . . . . . . . . . . . . . . 658
11.393 TwoFactorModel::ShortRateTree Class Reference . . . . . . . . . . . . . . . . . . 659
11.394 UpFrontIndexedCoupon Class Reference . . . . . . . . . . . . . . . . . . . . . . . 660
11.395 USDLibor Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 661
11.396 Value Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 662
11.397 VanillaEngine Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 663
11.398 VanillaOption Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 664
11.399 VanillaOption::arguments Class Reference . . . . . . . . . . . . . . . . . . . . . . 667
11.400 VanillaOption::results Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . 668
11.401 Vasicek Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 669
11.402 Vasicek::Dynamics Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 671
11.403 Visitor Class Template Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 672
11.404 Warsaw Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 673
11.405 Wellington Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 674
11.406 Xibor Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 675
11.407 XiborManager Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 677
11.408 ZARLibor Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 678
11.409 ZeroCurve Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 679
11.410 ZeroSpreadedTermStructure Class Reference . . . . . . . . . . . . . . . . . . . . . 681
11.411 ZeroYieldStructure Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 683
11.412 Zurich Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 685

12 QuantLib File Documentation 687

12.1 ql/argsandresults.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 687
12.2 ql/array.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 688
12.3 ql/blackmodel.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 689
12.4 ql/calendar.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 690
12.5 ql/calendar.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 691
12.6 ql/Calendars/budapest.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 692
12.7 ql/Calendars/budapest.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . 693
12.8 ql/Calendars/frankfurt.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 694

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12.9 ql/Calendars/frankfurt.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . 695

12.10 ql/Calendars/helsinki.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 696
12.11 ql/Calendars/helsinki.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 697
12.12 ql/Calendars/johannesburg.cpp File Reference . . . . . . . . . . . . . . . . . . . . 698
12.13 ql/Calendars/johannesburg.hpp File Reference . . . . . . . . . . . . . . . . . . . . 699
12.14 ql/Calendars/jointcalendar.cpp File Reference . . . . . . . . . . . . . . . . . . . . 700
12.15 ql/Calendars/jointcalendar.hpp File Reference . . . . . . . . . . . . . . . . . . . . 701
12.16 ql/Calendars/london.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 702
12.17 ql/Calendars/london.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 703
12.18 ql/Calendars/milan.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 704
12.19 ql/Calendars/milan.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 705
12.20 ql/Calendars/newyork.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 706
12.21 ql/Calendars/newyork.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 707
12.22 ql/Calendars/nullcalendar.hpp File Reference . . . . . . . . . . . . . . . . . . . . 708
12.23 ql/Calendars/oslo.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 709
12.24 ql/Calendars/oslo.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 710
12.25 ql/Calendars/stockholm.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . 711
12.26 ql/Calendars/stockholm.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . 712
12.27 ql/Calendars/sydney.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 713
12.28 ql/Calendars/sydney.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 714
12.29 ql/Calendars/target.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 715
12.30 ql/Calendars/target.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 716
12.31 ql/Calendars/tokyo.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 717
12.32 ql/Calendars/tokyo.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 718
12.33 ql/Calendars/toronto.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 719
12.34 ql/Calendars/toronto.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 720
12.35 ql/Calendars/warsaw.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 721
12.36 ql/Calendars/warsaw.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 722
12.37 ql/Calendars/wellington.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . 723
12.38 ql/Calendars/wellington.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 724
12.39 ql/Calendars/zurich.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 725
12.40 ql/Calendars/zurich.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 726
12.41 ql/capvolstructures.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 727
12.42 ql/cashflow.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 728
12.43 ql/CashFlows/basispointsensitivity.cpp File Reference . . . . . . . . . . . . . . . 729
12.44 ql/CashFlows/basispointsensitivity.hpp File Reference . . . . . . . . . . . . . . . 730

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12.45 ql/CashFlows/cashflowvectors.cpp File Reference . . . . . . . . . . . . . . . . . . 731

12.46 ql/CashFlows/cashflowvectors.hpp File Reference . . . . . . . . . . . . . . . . . . 732
12.47 ql/CashFlows/coupon.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 733
12.48 ql/CashFlows/fixedratecoupon.hpp File Reference . . . . . . . . . . . . . . . . . . 734
12.49 ql/CashFlows/floatingratecoupon.hpp File Reference . . . . . . . . . . . . . . . . 735
12.50 ql/CashFlows/inarrearindexedcoupon.hpp File Reference . . . . . . . . . . . . . 736
12.51 ql/CashFlows/indexcashflowvectors.hpp File Reference . . . . . . . . . . . . . . 737
12.52 ql/CashFlows/indexedcoupon.hpp File Reference . . . . . . . . . . . . . . . . . . 738
12.53 ql/CashFlows/parcoupon.cpp File Reference . . . . . . . . . . . . . . . . . . . . . 739
12.54 ql/CashFlows/parcoupon.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 740
12.55 ql/CashFlows/shortfloatingcoupon.cpp File Reference . . . . . . . . . . . . . . . 741
12.56 ql/CashFlows/shortfloatingcoupon.hpp File Reference . . . . . . . . . . . . . . . 742
12.57 ql/CashFlows/shortindexedcoupon.hpp File Reference . . . . . . . . . . . . . . . 743
12.58 ql/CashFlows/simplecashflow.hpp File Reference . . . . . . . . . . . . . . . . . . 744
12.59 ql/CashFlows/timebasket.cpp File Reference . . . . . . . . . . . . . . . . . . . . . 745
12.60 ql/CashFlows/timebasket.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 746
12.61 ql/CashFlows/upfrontindexedcoupon.hpp File Reference . . . . . . . . . . . . . . 747
12.62 ql/currency.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 748
12.63 ql/dataformatters.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 749
12.64 ql/dataformatters.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 750
12.65 ql/dataparsers.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 751
12.66 ql/dataparsers.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 752
12.67 ql/date.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 753
12.68 ql/date.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 754
12.69 ql/daycounter.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 755
12.70 ql/DayCounters/actual360.hpp File Reference . . . . . . . . . . . . . . . . . . . . 756
12.71 ql/DayCounters/actual365.hpp File Reference . . . . . . . . . . . . . . . . . . . . 757
12.72 ql/DayCounters/actualactual.cpp File Reference . . . . . . . . . . . . . . . . . . . 758
12.73 ql/DayCounters/actualactual.hpp File Reference . . . . . . . . . . . . . . . . . . . 759
12.74 ql/DayCounters/simpledaycounter.cpp File Reference . . . . . . . . . . . . . . . . 760
12.75 ql/DayCounters/simpledaycounter.hpp File Reference . . . . . . . . . . . . . . . 761
12.76 ql/DayCounters/thirty360.cpp File Reference . . . . . . . . . . . . . . . . . . . . . 762
12.77 ql/DayCounters/thirty360.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 763
12.78 ql/diffusionprocess.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 764
12.79 ql/diffusionprocess.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 765
12.80 ql/discretizedasset.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 766

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12.81 ql/discretizedasset.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 767

12.82 ql/disposable.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 768
12.83 ql/errors.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 769
12.84 ql/exercise.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 771
12.85 ql/exercise.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 772
12.86 ql/FiniteDifferences/americancondition.hpp File Reference . . . . . . . . . . . . . 773
12.87 ql/FiniteDifferences/boundarycondition.cpp File Reference . . . . . . . . . . . . . 774
12.88 ql/FiniteDifferences/boundarycondition.hpp File Reference . . . . . . . . . . . . 775
12.89 ql/FiniteDifferences/bsmoperator.cpp File Reference . . . . . . . . . . . . . . . . . 776
12.90 ql/FiniteDifferences/bsmoperator.hpp File Reference . . . . . . . . . . . . . . . . 777
12.91 ql/FiniteDifferences/cranknicolson.hpp File Reference . . . . . . . . . . . . . . . . 778
12.92 ql/FiniteDifferences/dminus.hpp File Reference . . . . . . . . . . . . . . . . . . . 779
12.93 ql/FiniteDifferences/dplus.hpp File Reference . . . . . . . . . . . . . . . . . . . . 780
12.94 ql/FiniteDifferences/dplusdminus.hpp File Reference . . . . . . . . . . . . . . . . 781
12.95 ql/FiniteDifferences/dzero.hpp File Reference . . . . . . . . . . . . . . . . . . . . 782
12.96 ql/FiniteDifferences/expliciteuler.hpp File Reference . . . . . . . . . . . . . . . . . 783
12.97 ql/FiniteDifferences/fdtypedefs.hpp File Reference . . . . . . . . . . . . . . . . . 784
12.98 ql/FiniteDifferences/finitedifferencemodel.hpp File Reference . . . . . . . . . . . 785
12.99 ql/FiniteDifferences/impliciteuler.hpp File Reference . . . . . . . . . . . . . . . . 786
12.100 ql/FiniteDifferences/mixedscheme.hpp File Reference . . . . . . . . . . . . . . . . 787
12.101 ql/FiniteDifferences/onefactoroperator.cpp File Reference . . . . . . . . . . . . . . 788
12.102 ql/FiniteDifferences/onefactoroperator.hpp File Reference . . . . . . . . . . . . . 789
12.103 ql/FiniteDifferences/shoutcondition.hpp File Reference . . . . . . . . . . . . . . . 790
12.104 ql/FiniteDifferences/stepcondition.hpp File Reference . . . . . . . . . . . . . . . . 791
12.105 ql/FiniteDifferences/tridiagonaloperator.cpp File Reference . . . . . . . . . . . . . 792
12.106 ql/FiniteDifferences/tridiagonaloperator.hpp File Reference . . . . . . . . . . . . 793
12.107 ql/FiniteDifferences/valueatcenter.cpp File Reference . . . . . . . . . . . . . . . . 794
12.108 ql/FiniteDifferences/valueatcenter.hpp File Reference . . . . . . . . . . . . . . . . 795
12.109 ql/functions/daycounters.cpp File Reference . . . . . . . . . . . . . . . . . . . . . 796
12.110 ql/functions/daycounters.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 797
12.111 ql/functions/mathf.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 798
12.112 ql/functions/mathf.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 799
12.113 ql/functions/vols.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 800
12.114 ql/functions/vols.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 801
12.115 ql/grid.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 802
12.116 ql/grid.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 803

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12.117 ql/handle.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 804

12.118 ql/history.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 805
12.119 ql/index.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 806
12.120 ql/Indexes/audlibor.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 807
12.121 ql/Indexes/cadlibor.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 808
12.122 ql/Indexes/chflibor.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 809
12.123 ql/Indexes/euribor.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 810
12.124 ql/Indexes/gbplibor.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 811
12.125 ql/Indexes/jpylibor.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 812
12.126 ql/Indexes/usdlibor.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 813
12.127 ql/Indexes/xibor.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 814
12.128 ql/Indexes/xibor.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 815
12.129 ql/Indexes/xibormanager.cpp File Reference . . . . . . . . . . . . . . . . . . . . . 816
12.130 ql/Indexes/xibormanager.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 817
12.131 ql/Indexes/zarlibor.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 818
12.132 ql/instrument.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 819
12.133 ql/Instruments/barrieroption.cpp File Reference . . . . . . . . . . . . . . . . . . . 820
12.134 ql/Instruments/barrieroption.hpp File Reference . . . . . . . . . . . . . . . . . . . 821
12.135 ql/Instruments/binaryoption.cpp File Reference . . . . . . . . . . . . . . . . . . . 822
12.136 ql/Instruments/binaryoption.hpp File Reference . . . . . . . . . . . . . . . . . . . 823
12.137 ql/Instruments/capfloor.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . 824
12.138 ql/Instruments/capfloor.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . 825
12.139 ql/Instruments/forwardvanillaoption.cpp File Reference . . . . . . . . . . . . . . 826
12.140 ql/Instruments/forwardvanillaoption.hpp File Reference . . . . . . . . . . . . . . 827
12.141 ql/Instruments/quantoforwardvanillaoption.cpp File Reference . . . . . . . . . . 828
12.142 ql/Instruments/quantoforwardvanillaoption.hpp File Reference . . . . . . . . . . 829
12.143 ql/Instruments/quantovanillaoption.cpp File Reference . . . . . . . . . . . . . . . 830
12.144 ql/Instruments/quantovanillaoption.hpp File Reference . . . . . . . . . . . . . . . 831
12.145 ql/Instruments/simpleswap.cpp File Reference . . . . . . . . . . . . . . . . . . . . 832
12.146 ql/Instruments/simpleswap.hpp File Reference . . . . . . . . . . . . . . . . . . . . 833
12.147 ql/Instruments/stock.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 834
12.148 ql/Instruments/stock.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 835
12.149 ql/Instruments/swap.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 836
12.150 ql/Instruments/swap.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 837
12.151 ql/Instruments/swaption.cpp File Reference . . . . . . . . . . . . . . . . . . . . . 838
12.152 ql/Instruments/swaption.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 839

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CONTENTS xix

12.153 ql/Instruments/vanillaoption.cpp File Reference . . . . . . . . . . . . . . . . . . . 840

12.154 ql/Instruments/vanillaoption.hpp File Reference . . . . . . . . . . . . . . . . . . . 841
12.155 ql/Lattices/binomialtree.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . 842
12.156 ql/Lattices/binomialtree.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . 843
12.157 ql/Lattices/bsmlattice.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 844
12.158 ql/Lattices/bsmlattice.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 845
12.159 ql/Lattices/lattice.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 846
12.160 ql/Lattices/lattice.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 847
12.161 ql/Lattices/lattice2d.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 848
12.162 ql/Lattices/lattice2d.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 849
12.163 ql/Lattices/tree.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 850
12.164 ql/Lattices/trinomialtree.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . 851
12.165 ql/Lattices/trinomialtree.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . 852
12.166 ql/marketelement.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 853
12.167 ql/Math/bicubicsplineinterpolation.hpp File Reference . . . . . . . . . . . . . . . 854
12.168 ql/Math/bilinearinterpolation.hpp File Reference . . . . . . . . . . . . . . . . . . 855
12.169 ql/Math/chisquaredistribution.cpp File Reference . . . . . . . . . . . . . . . . . . 856
12.170 ql/Math/chisquaredistribution.hpp File Reference . . . . . . . . . . . . . . . . . . 857
12.171 ql/Math/cubicspline.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 858
12.172 ql/Math/discrepancystatistics.cpp File Reference . . . . . . . . . . . . . . . . . . . 859
12.173 ql/Math/discrepancystatistics.hpp File Reference . . . . . . . . . . . . . . . . . . . 860
12.174 ql/Math/errorfunction.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 861
12.175 ql/Math/errorfunction.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 862
12.176 ql/Math/functional.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 863
12.177 ql/Math/gammadistribution.cpp File Reference . . . . . . . . . . . . . . . . . . . 864
12.178 ql/Math/gammadistribution.hpp File Reference . . . . . . . . . . . . . . . . . . . 865
12.179 ql/Math/gaussianstatistics.hpp File Reference . . . . . . . . . . . . . . . . . . . . 866
12.180 ql/Math/generalstatistics.cpp File Reference . . . . . . . . . . . . . . . . . . . . . 867
12.181 ql/Math/generalstatistics.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 868
12.182 ql/Math/incrementalstatistics.cpp File Reference . . . . . . . . . . . . . . . . . . . 869
12.183 ql/Math/incrementalstatistics.hpp File Reference . . . . . . . . . . . . . . . . . . . 870
12.184 ql/Math/interpolation.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 871
12.185 ql/Math/interpolation2D.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 872
12.186 ql/Math/interpolationtraits.hpp File Reference . . . . . . . . . . . . . . . . . . . . 873
12.187 ql/Math/kronrodintegral.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 874
12.188 ql/Math/lexicographicalview.hpp File Reference . . . . . . . . . . . . . . . . . . . 875

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12.189 ql/Math/linearinterpolation.hpp File Reference . . . . . . . . . . . . . . . . . . . . 876

12.190 ql/Math/loglinearinterpolation.hpp File Reference . . . . . . . . . . . . . . . . . . 877
12.191 ql/Math/matrix.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 878
12.192 ql/Math/matrix.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . 879
12.193 ql/Math/multivariateaccumulator.cpp File Reference . . . . . . . . . . . . . . . . 880
12.194 ql/Math/multivariateaccumulator.hpp File Reference . . . . . . . . . . . . . . . . 881
12.195 ql/Math/normaldistribution.cpp File Reference . . . . . . . . . . . . . . . . . . . . 882
12.196 ql/Math/normaldistribution.hpp File Reference . . . . . . . . . . . . . . . . . . . 883
12.197 ql/Math/primenumbers.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . 884
12.198 ql/Math/primenumbers.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . 885
12.199 ql/Math/riskmeasures.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 886
12.200 ql/Math/segmentintegral.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 887
12.201 ql/Math/sequencestatistics.hpp File Reference . . . . . . . . . . . . . . . . . . . . 888
12.202 ql/Math/statistics.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 890
12.203 ql/Math/svd.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 891
12.204 ql/Math/svd.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . 892
12.205 ql/Math/symmetriceigenvalues.hpp File Reference . . . . . . . . . . . . . . . . . 893
12.206 ql/Math/symmetricschurdecomposition.cpp File Reference . . . . . . . . . . . . . 894
12.207 ql/Math/symmetricschurdecomposition.hpp File Reference . . . . . . . . . . . . 895
12.208 ql/Math/trapezoidintegral.hpp File Reference . . . . . . . . . . . . . . . . . . . . 896
12.209 ql/MonteCarlo/arithmeticapopathpricer.cpp File Reference . . . . . . . . . . . . . 897
12.210 ql/MonteCarlo/arithmeticapopathpricer.hpp File Reference . . . . . . . . . . . . 898
12.211 ql/MonteCarlo/arithmeticasopathpricer.cpp File Reference . . . . . . . . . . . . . 899
12.212 ql/MonteCarlo/arithmeticasopathpricer.hpp File Reference . . . . . . . . . . . . . 900
12.213 ql/MonteCarlo/barrierpathpricer.cpp File Reference . . . . . . . . . . . . . . . . . 901
12.214 ql/MonteCarlo/barrierpathpricer.hpp File Reference . . . . . . . . . . . . . . . . . 902
12.215 ql/MonteCarlo/basketpathpricer.cpp File Reference . . . . . . . . . . . . . . . . . 903
12.216 ql/MonteCarlo/basketpathpricer.hpp File Reference . . . . . . . . . . . . . . . . . 904
12.217 ql/MonteCarlo/binarypathpricer.cpp File Reference . . . . . . . . . . . . . . . . . 905
12.218 ql/MonteCarlo/binarypathpricer.hpp File Reference . . . . . . . . . . . . . . . . . 906
12.219 ql/MonteCarlo/brownianbridge.hpp File Reference . . . . . . . . . . . . . . . . . 907
12.220 ql/MonteCarlo/cliquetoptionpathpricer.cpp File Reference . . . . . . . . . . . . . 908
12.221 ql/MonteCarlo/cliquetoptionpathpricer.hpp File Reference . . . . . . . . . . . . . 909
12.222 ql/MonteCarlo/europeanpathpricer.cpp File Reference . . . . . . . . . . . . . . . 910
12.223 ql/MonteCarlo/europeanpathpricer.hpp File Reference . . . . . . . . . . . . . . . 911
12.224 ql/MonteCarlo/everestpathpricer.cpp File Reference . . . . . . . . . . . . . . . . . 912

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12.225 ql/MonteCarlo/everestpathpricer.hpp File Reference . . . . . . . . . . . . . . . . 913

12.226 ql/MonteCarlo/geometricapopathpricer.cpp File Reference . . . . . . . . . . . . . 914
12.227 ql/MonteCarlo/geometricapopathpricer.hpp File Reference . . . . . . . . . . . . . 915
12.228 ql/MonteCarlo/geometricasopathpricer.cpp File Reference . . . . . . . . . . . . . 916
12.229 ql/MonteCarlo/geometricasopathpricer.hpp File Reference . . . . . . . . . . . . . 917
12.230 ql/MonteCarlo/getcovariance.hpp File Reference . . . . . . . . . . . . . . . . . . . 918
12.231 ql/MonteCarlo/himalayapathpricer.cpp File Reference . . . . . . . . . . . . . . . 919
12.232 ql/MonteCarlo/himalayapathpricer.hpp File Reference . . . . . . . . . . . . . . . 920
12.233 ql/MonteCarlo/maxbasketpathpricer.cpp File Reference . . . . . . . . . . . . . . 921
12.234 ql/MonteCarlo/maxbasketpathpricer.hpp File Reference . . . . . . . . . . . . . . 922
12.235 ql/MonteCarlo/mctraits.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . 923
12.236 ql/MonteCarlo/mctypedefs.hpp File Reference . . . . . . . . . . . . . . . . . . . . 924
12.237 ql/MonteCarlo/montecarlomodel.hpp File Reference . . . . . . . . . . . . . . . . 925
12.238 ql/MonteCarlo/multipath.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 926
12.239 ql/MonteCarlo/multipathgenerator.hpp File Reference . . . . . . . . . . . . . . . 927
12.240 ql/MonteCarlo/pagodapathpricer.cpp File Reference . . . . . . . . . . . . . . . . 928
12.241 ql/MonteCarlo/pagodapathpricer.hpp File Reference . . . . . . . . . . . . . . . . 929
12.242 ql/MonteCarlo/path.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 930
12.243 ql/MonteCarlo/pathgenerator.hpp File Reference . . . . . . . . . . . . . . . . . . 931
12.244 ql/MonteCarlo/pathpricer.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 932
12.245 ql/MonteCarlo/performanceoptionpathpricer.cpp File Reference . . . . . . . . . 933
12.246 ql/MonteCarlo/performanceoptionpathpricer.hpp File Reference . . . . . . . . . 934
12.247 ql/MonteCarlo/sample.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . 935
12.248 ql/null.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 936
12.249 ql/numericalmethod.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 937
12.250 ql/Optimization/armijo.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . 938
12.251 ql/Optimization/armijo.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . 939
12.252 ql/Optimization/conjugategradient.cpp File Reference . . . . . . . . . . . . . . . 940
12.253 ql/Optimization/conjugategradient.hpp File Reference . . . . . . . . . . . . . . . 941
12.254 ql/Optimization/constraint.hpp File Reference . . . . . . . . . . . . . . . . . . . . 942
12.255 ql/Optimization/costfunction.hpp File Reference . . . . . . . . . . . . . . . . . . . 943
12.256 ql/Optimization/criteria.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . 944
12.257 ql/Optimization/leastsquare.hpp File Reference . . . . . . . . . . . . . . . . . . . 945
12.258 ql/Optimization/linesearch.hpp File Reference . . . . . . . . . . . . . . . . . . . . 946
12.259 ql/Optimization/method.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 947
12.260 ql/Optimization/problem.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 948

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xxii CONTENTS

12.261 ql/Optimization/simplex.cpp File Reference . . . . . . . . . . . . . . . . . . . . . 949

12.262 ql/Optimization/simplex.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 950
12.263 ql/Optimization/steepestdescent.cpp File Reference . . . . . . . . . . . . . . . . . 951
12.264 ql/Optimization/steepestdescent.hpp File Reference . . . . . . . . . . . . . . . . . 952
12.265 ql/option.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 953
12.266 ql/Patterns/bridge.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 954
12.267 ql/Patterns/curiouslyrecurring.hpp File Reference . . . . . . . . . . . . . . . . . . 955
12.268 ql/Patterns/lazyobject.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 956
12.269 ql/Patterns/observable.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 957
12.270 ql/Patterns/visitor.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 958
12.271 ql/payoff.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 959
12.272 ql/Pricers/analyticalcapfloor.cpp File Reference . . . . . . . . . . . . . . . . . . . 960
12.273 ql/Pricers/analyticalcapfloor.hpp File Reference . . . . . . . . . . . . . . . . . . . 961
12.274 ql/Pricers/barrieroptionpricer.cpp File Reference . . . . . . . . . . . . . . . . . . . 962
12.275 ql/Pricers/barrieroptionpricer.hpp File Reference . . . . . . . . . . . . . . . . . . . 963
12.276 ql/Pricers/binaryoptionpricer.cpp File Reference . . . . . . . . . . . . . . . . . . . 964
12.277 ql/Pricers/binaryoptionpricer.hpp File Reference . . . . . . . . . . . . . . . . . . . 965
12.278 ql/Pricers/blackcapfloor.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . 966
12.279 ql/Pricers/blackcapfloor.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . 967
12.280 ql/Pricers/blackswaption.cpp File Reference . . . . . . . . . . . . . . . . . . . . . 968
12.281 ql/Pricers/blackswaption.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 969
12.282 ql/Pricers/capfloorpricer.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . 970
12.283 ql/Pricers/capfloorpricer.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . 971
12.284 ql/Pricers/cliquetoption.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . 972
12.285 ql/Pricers/continuousgeometricapo.hpp File Reference . . . . . . . . . . . . . . . 973
12.286 ql/Pricers/discretegeometricapo.cpp File Reference . . . . . . . . . . . . . . . . . 974
12.287 ql/Pricers/discretegeometricapo.hpp File Reference . . . . . . . . . . . . . . . . . 975
12.288 ql/Pricers/discretegeometricaso.cpp File Reference . . . . . . . . . . . . . . . . . . 976
12.289 ql/Pricers/discretegeometricaso.hpp File Reference . . . . . . . . . . . . . . . . . 977
12.290 ql/Pricers/europeanoption.cpp File Reference . . . . . . . . . . . . . . . . . . . . . 978
12.291 ql/Pricers/europeanoption.hpp File Reference . . . . . . . . . . . . . . . . . . . . 979
12.292 ql/Pricers/fdamericanoption.hpp File Reference . . . . . . . . . . . . . . . . . . . 980
12.293 ql/Pricers/fdbermudanoption.cpp File Reference . . . . . . . . . . . . . . . . . . . 981
12.294 ql/Pricers/fdbermudanoption.hpp File Reference . . . . . . . . . . . . . . . . . . 982
12.295 ql/Pricers/fdbsmoption.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . 983
12.296 ql/Pricers/fdbsmoption.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . 984

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12.297 ql/Pricers/fddividendamericanoption.cpp File Reference . . . . . . . . . . . . . . 985

12.298 ql/Pricers/fddividendamericanoption.hpp File Reference . . . . . . . . . . . . . . 986
12.299 ql/Pricers/fddividendeuropeanoption.cpp File Reference . . . . . . . . . . . . . . 987
12.300 ql/Pricers/fddividendeuropeanoption.hpp File Reference . . . . . . . . . . . . . . 988
12.301 ql/Pricers/fddividendoption.cpp File Reference . . . . . . . . . . . . . . . . . . . 989
12.302 ql/Pricers/fddividendoption.hpp File Reference . . . . . . . . . . . . . . . . . . . 990
12.303 ql/Pricers/fddividendshoutoption.cpp File Reference . . . . . . . . . . . . . . . . 991
12.304 ql/Pricers/fddividendshoutoption.hpp File Reference . . . . . . . . . . . . . . . . 992
12.305 ql/Pricers/fdeuropean.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 993
12.306 ql/Pricers/fdeuropean.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 994
12.307 ql/Pricers/fdmultiperiodoption.cpp File Reference . . . . . . . . . . . . . . . . . . 995
12.308 ql/Pricers/fdmultiperiodoption.hpp File Reference . . . . . . . . . . . . . . . . . . 996
12.309 ql/Pricers/fdshoutoption.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 997
12.310 ql/Pricers/fdstepconditionoption.cpp File Reference . . . . . . . . . . . . . . . . . 998
12.311 ql/Pricers/fdstepconditionoption.hpp File Reference . . . . . . . . . . . . . . . . . 999
12.312 ql/Pricers/jamshidianswaption.cpp File Reference . . . . . . . . . . . . . . . . . . 1000
12.313 ql/Pricers/jamshidianswaption.hpp File Reference . . . . . . . . . . . . . . . . . . 1001
12.314 ql/Pricers/mcbasket.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 1002
12.315 ql/Pricers/mcbasket.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 1003
12.316 ql/Pricers/mccliquetoption.cpp File Reference . . . . . . . . . . . . . . . . . . . . 1004
12.317 ql/Pricers/mccliquetoption.hpp File Reference . . . . . . . . . . . . . . . . . . . . 1005
12.318 ql/Pricers/mcdiscretearithmeticapo.cpp File Reference . . . . . . . . . . . . . . . 1006
12.319 ql/Pricers/mcdiscretearithmeticapo.hpp File Reference . . . . . . . . . . . . . . . 1007
12.320 ql/Pricers/mcdiscretearithmeticaso.cpp File Reference . . . . . . . . . . . . . . . . 1008
12.321 ql/Pricers/mcdiscretearithmeticaso.hpp File Reference . . . . . . . . . . . . . . . 1009
12.322 ql/Pricers/mceuropean.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 1010
12.323 ql/Pricers/mceuropean.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . 1011
12.324 ql/Pricers/mceverest.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 1012
12.325 ql/Pricers/mceverest.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 1013
12.326 ql/Pricers/mchimalaya.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 1014
12.327 ql/Pricers/mchimalaya.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . 1015
12.328 ql/Pricers/mcmaxbasket.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . 1016
12.329 ql/Pricers/mcmaxbasket.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . 1017
12.330 ql/Pricers/mcpagoda.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 1018
12.331 ql/Pricers/mcpagoda.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 1019
12.332 ql/Pricers/mcperformanceoption.cpp File Reference . . . . . . . . . . . . . . . . . 1020

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xxiv CONTENTS

12.333 ql/Pricers/mcperformanceoption.hpp File Reference . . . . . . . . . . . . . . . . . 1021

12.334 ql/Pricers/mcpricer.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 1022
12.335 ql/Pricers/performanceoption.cpp File Reference . . . . . . . . . . . . . . . . . . . 1023
12.336 ql/Pricers/performanceoption.hpp File Reference . . . . . . . . . . . . . . . . . . 1024
12.337 ql/Pricers/singleassetoption.cpp File Reference . . . . . . . . . . . . . . . . . . . . 1025
12.338 ql/Pricers/singleassetoption.hpp File Reference . . . . . . . . . . . . . . . . . . . . 1026
12.339 ql/Pricers/swaptionpricer.cpp File Reference . . . . . . . . . . . . . . . . . . . . . 1027
12.340 ql/Pricers/swaptionpricer.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 1028
12.341 ql/Pricers/treecapfloor.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 1029
12.342 ql/Pricers/treecapfloor.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 1030
12.343 ql/Pricers/treeswaption.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . 1031
12.344 ql/Pricers/treeswaption.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . 1032
12.345 ql/pricingengine.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 1033
12.346 ql/PricingEngines/americanmcengines.cpp File Reference . . . . . . . . . . . . . 1034
12.347 ql/PricingEngines/americanmcengines.hpp File Reference . . . . . . . . . . . . . 1035
12.348 ql/PricingEngines/analyticamericanbinaryengine.cpp File Reference . . . . . . . 1036
12.349 ql/PricingEngines/analyticeuropeanbinaryengine.cpp File Reference . . . . . . . 1037
12.350 ql/PricingEngines/analyticeuropeanengine.cpp File Reference . . . . . . . . . . . 1038
12.351 ql/PricingEngines/barrierengines.hpp File Reference . . . . . . . . . . . . . . . . 1039
12.352 ql/PricingEngines/binaryengines.hpp File Reference . . . . . . . . . . . . . . . . 1040
12.353 ql/PricingEngines/binomialvanillaengine.cpp File Reference . . . . . . . . . . . . 1041
12.354 ql/PricingEngines/cliquetengines.hpp File Reference . . . . . . . . . . . . . . . . 1042
12.355 ql/PricingEngines/discretizedvanillaoption.cpp File Reference . . . . . . . . . . . 1043
12.356 ql/PricingEngines/discretizedvanillaoption.hpp File Reference . . . . . . . . . . . 1044
12.357 ql/PricingEngines/forwardengines.hpp File Reference . . . . . . . . . . . . . . . . 1045
12.358 ql/PricingEngines/genericengine.hpp File Reference . . . . . . . . . . . . . . . . . 1046
12.359 ql/PricingEngines/integralengines.cpp File Reference . . . . . . . . . . . . . . . . 1047
12.360 ql/PricingEngines/latticeshortratemodelengine.hpp File Reference . . . . . . . . 1048
12.361 ql/PricingEngines/mcengine.hpp File Reference . . . . . . . . . . . . . . . . . . . 1049
12.362 ql/PricingEngines/quantoengines.hpp File Reference . . . . . . . . . . . . . . . . 1050
12.363 ql/PricingEngines/vanillaengines.hpp File Reference . . . . . . . . . . . . . . . . 1051
12.364 ql/qldefines.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1052
12.365 ql/RandomNumbers/boxmullergaussianrng.hpp File Reference . . . . . . . . . . 1054
12.366 ql/RandomNumbers/centrallimitgaussianrng.hpp File Reference . . . . . . . . . 1055
12.367 ql/RandomNumbers/haltonrsg.cpp File Reference . . . . . . . . . . . . . . . . . . 1056
12.368 ql/RandomNumbers/haltonrsg.hpp File Reference . . . . . . . . . . . . . . . . . . 1057

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CONTENTS xxv

12.369 ql/RandomNumbers/inversecumgaussianrng.hpp File Reference . . . . . . . . . 1058

12.370 ql/RandomNumbers/inversecumgaussianrsg.hpp File Reference . . . . . . . . . 1059
12.371 ql/RandomNumbers/knuthuniformrng.cpp File Reference . . . . . . . . . . . . . 1060
12.372 ql/RandomNumbers/knuthuniformrng.hpp File Reference . . . . . . . . . . . . . 1061
12.373 ql/RandomNumbers/lecuyeruniformrng.cpp File Reference . . . . . . . . . . . . 1062
12.374 ql/RandomNumbers/lecuyeruniformrng.hpp File Reference . . . . . . . . . . . . 1063
12.375 ql/RandomNumbers/mt19937uniformrng.cpp File Reference . . . . . . . . . . . . 1064
12.376 ql/RandomNumbers/mt19937uniformrng.hpp File Reference . . . . . . . . . . . 1065
12.377 ql/RandomNumbers/randomarraygenerator.hpp File Reference . . . . . . . . . . 1066
12.378 ql/RandomNumbers/randomsequencegenerator.hpp File Reference . . . . . . . 1067
12.379 ql/RandomNumbers/rngtypedefs.hpp File Reference . . . . . . . . . . . . . . . . 1068
12.380 ql/RandomNumbers/sobolrsg.cpp File Reference . . . . . . . . . . . . . . . . . . 1069
12.381 ql/RandomNumbers/sobolrsg.hpp File Reference . . . . . . . . . . . . . . . . . . 1070
12.382 ql/relinkablehandle.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 1071
12.383 ql/scheduler.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1072
12.384 ql/scheduler.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1073
12.385 ql/ShortRateModels/calibrationhelper.cpp File Reference . . . . . . . . . . . . . . 1074
12.386 ql/ShortRateModels/calibrationhelper.hpp File Reference . . . . . . . . . . . . . . 1075
12.387 ql/ShortRateModels/CalibrationHelpers/caphelper.cpp File Reference . . . . . . 1076
12.388 ql/ShortRateModels/CalibrationHelpers/caphelper.hpp File Reference . . . . . . 1077
12.389 ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp File Reference . . . 1078
12.390 ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp File Reference . . . 1079
12.391 ql/ShortRateModels/model.cpp File Reference . . . . . . . . . . . . . . . . . . . . 1080
12.392 ql/ShortRateModels/model.hpp File Reference . . . . . . . . . . . . . . . . . . . . 1081
12.393 ql/ShortRateModels/onefactormodel.cpp File Reference . . . . . . . . . . . . . . 1082
12.394 ql/ShortRateModels/onefactormodel.hpp File Reference . . . . . . . . . . . . . . 1083
12.395 ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp File Reference . . . . 1084
12.396 ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp File Reference . . . 1085
12.397 ql/ShortRateModels/OneFactorModels/coxingersollross.cpp File Reference . . . 1086
12.398 ql/ShortRateModels/OneFactorModels/coxingersollross.hpp File Reference . . . 1087
12.399 ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp File Refer-
ence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1088
12.400 ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp File Ref-
erence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1089
12.401 ql/ShortRateModels/OneFactorModels/hullwhite.cpp File Reference . . . . . . . 1090
12.402 ql/ShortRateModels/OneFactorModels/hullwhite.hpp File Reference . . . . . . . 1091
12.403 ql/ShortRateModels/OneFactorModels/vasicek.cpp File Reference . . . . . . . . 1092

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xxvi CONTENTS

12.404 ql/ShortRateModels/OneFactorModels/vasicek.hpp File Reference . . . . . . . . 1093

12.405 ql/ShortRateModels/parameter.hpp File Reference . . . . . . . . . . . . . . . . . . 1094
12.406 ql/ShortRateModels/twofactormodel.cpp File Reference . . . . . . . . . . . . . . 1095
12.407 ql/ShortRateModels/twofactormodel.hpp File Reference . . . . . . . . . . . . . . 1096
12.408 ql/ShortRateModels/TwoFactorModels/g2.cpp File Reference . . . . . . . . . . . 1097
12.409 ql/ShortRateModels/TwoFactorModels/g2.hpp File Reference . . . . . . . . . . . 1098
12.410 ql/solver1d.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1099
12.411 ql/Solvers1D/bisection.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 1100
12.412 ql/Solvers1D/brent.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . 1101
12.413 ql/Solvers1D/falseposition.hpp File Reference . . . . . . . . . . . . . . . . . . . . 1102
12.414 ql/Solvers1D/newton.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . 1103
12.415 ql/Solvers1D/newtonsafe.hpp File Reference . . . . . . . . . . . . . . . . . . . . . 1104
12.416 ql/Solvers1D/ridder.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 1105
12.417 ql/Solvers1D/secant.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 1106
12.418 ql/swaptionvolstructure.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . 1107
12.419 ql/termstructure.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . 1108
12.420 ql/TermStructures/affinetermstructure.cpp File Reference . . . . . . . . . . . . . . 1109
12.421 ql/TermStructures/affinetermstructure.hpp File Reference . . . . . . . . . . . . . 1110
12.422 ql/TermStructures/compoundforward.cpp File Reference . . . . . . . . . . . . . . 1111
12.423 ql/TermStructures/compoundforward.hpp File Reference . . . . . . . . . . . . . . 1112
12.424 ql/TermStructures/discountcurve.cpp File Reference . . . . . . . . . . . . . . . . . 1113
12.425 ql/TermStructures/discountcurve.hpp File Reference . . . . . . . . . . . . . . . . 1114
12.426 ql/TermStructures/drifttermstructure.hpp File Reference . . . . . . . . . . . . . . 1115
12.427 ql/TermStructures/extendeddiscountcurve.cpp File Reference . . . . . . . . . . . 1116
12.428 ql/TermStructures/extendeddiscountcurve.hpp File Reference . . . . . . . . . . . 1117
12.429 ql/TermStructures/flatforward.hpp File Reference . . . . . . . . . . . . . . . . . . 1118
12.430 ql/TermStructures/forwardspreadedtermstructure.hpp File Reference . . . . . . 1119
12.431 ql/TermStructures/impliedtermstructure.hpp File Reference . . . . . . . . . . . . 1120
12.432 ql/TermStructures/piecewiseflatforward.cpp File Reference . . . . . . . . . . . . 1121
12.433 ql/TermStructures/piecewiseflatforward.hpp File Reference . . . . . . . . . . . . 1122
12.434 ql/TermStructures/quantotermstructure.hpp File Reference . . . . . . . . . . . . . 1123
12.435 ql/TermStructures/ratehelpers.cpp File Reference . . . . . . . . . . . . . . . . . . 1124
12.436 ql/TermStructures/ratehelpers.hpp File Reference . . . . . . . . . . . . . . . . . . 1125
12.437 ql/TermStructures/zerocurve.cpp File Reference . . . . . . . . . . . . . . . . . . . 1126
12.438 ql/TermStructures/zerocurve.hpp File Reference . . . . . . . . . . . . . . . . . . . 1127
12.439 ql/TermStructures/zerospreadedtermstructure.hpp File Reference . . . . . . . . . 1128

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CONTENTS xxvii

12.440 ql/types.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1129

12.441 ql/Utilities/combiningiterator.hpp File Reference . . . . . . . . . . . . . . . . . . . 1130
12.442 ql/Utilities/couplingiterator.hpp File Reference . . . . . . . . . . . . . . . . . . . . 1131
12.443 ql/Utilities/filteringiterator.hpp File Reference . . . . . . . . . . . . . . . . . . . . 1132
12.444 ql/Utilities/iteratorcategories.hpp File Reference . . . . . . . . . . . . . . . . . . . 1133
12.445 ql/Utilities/processingiterator.hpp File Reference . . . . . . . . . . . . . . . . . . . 1134
12.446 ql/Utilities/steppingiterator.hpp File Reference . . . . . . . . . . . . . . . . . . . . 1135
12.447 ql/Volatilities/blackconstantvol.hpp File Reference . . . . . . . . . . . . . . . . . . 1136
12.448 ql/Volatilities/blackvariancecurve.cpp File Reference . . . . . . . . . . . . . . . . 1137
12.449 ql/Volatilities/blackvariancecurve.hpp File Reference . . . . . . . . . . . . . . . . 1138
12.450 ql/Volatilities/blackvariancesurface.cpp File Reference . . . . . . . . . . . . . . . 1139
12.451 ql/Volatilities/blackvariancesurface.hpp File Reference . . . . . . . . . . . . . . . 1140
12.452 ql/Volatilities/capflatvolvector.hpp File Reference . . . . . . . . . . . . . . . . . . 1141
12.453 ql/Volatilities/impliedvoltermstructure.hpp File Reference . . . . . . . . . . . . . 1142
12.454 ql/Volatilities/localconstantvol.hpp File Reference . . . . . . . . . . . . . . . . . . 1143
12.455 ql/Volatilities/localvolcurve.hpp File Reference . . . . . . . . . . . . . . . . . . . . 1144
12.456 ql/Volatilities/localvolsurface.cpp File Reference . . . . . . . . . . . . . . . . . . . 1145
12.457 ql/Volatilities/localvolsurface.hpp File Reference . . . . . . . . . . . . . . . . . . . 1146
12.458 ql/Volatilities/swaptionvolmatrix.hpp File Reference . . . . . . . . . . . . . . . . 1147
12.459 ql/voltermstructure.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 1148
12.460 ql/voltermstructure.hpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . 1149

13 QuantLib Example Documentation 1151

13.1 AmericanOption.cpp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1151
13.2 BermudanSwaption.cpp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1156
13.3 DiscreteHedging.cpp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1161
13.4 EuropeanOption.cpp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1167
13.5 history_iterators.cpp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1179
13.6 swapvaluation.cpp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1180

14 Unstable features 1191

15 Deprecated List 1193

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 Part I

User Manual
Chapter 1

An introduction to QuantLib

1.1 Introduction
QuantLib (http://quantlib.org/) is a C++ library for financial quantitative analysts and devel-
opers.
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 use, copy, modify, merge, publish, distribute,
and/or sell copies of it under the conditions stated in the QuantLib Copyright and License(p. 24).
QuantLib and its documentation are distributed in the hope that they will be useful, but WITH-
OUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the Copyright and License(p. 24) for more details.

1.1.1 Disclaimer

At this time, this documentation is widely incomplete and must be regarded as a work in progress.
Eventually, all QuantLib classes will be documented. However, no date is currently set for this
goal. Join the mailing lists (http://quantlib.org/mailinglists.html) for the latest updates.
4 An introduction to QuantLib

1.2 Project overview

The QuantLib project is at this time in beta status.
The following list is an overview of the goals set for release 1.0. It is open for suggestions,
corrections, and additions which can be submitted through the QuantLib-users mailing list.
Every proposal will be seriously considered.

1.2.1 Project goals

Interfaces

• yield term structure—done;

• financial instrument—done;

• deal—to do;

• folder/portfolio/book levels of deal aggregation (strict vertical inclusion)—to do;

• trade-group deal aggregation (horizontal cross section)—to do;

• volatility term structure for cap/floor and swaption—to do;

Generic Tools

• date/time module—done;

• one-dimensional solver—done;

• one-dimensional optimizer—to do;

• multi-dimensional solver—to do;

• multi-dimensional optimizer—in progress;

• linear algebra module—in progress;

• statistical module—in progress;

• PDE framework—in progress;

• Monte Carlo framework—in progress;

Financial Tools

• Black-Scholes analytic implementation—done;

• Black-Scholes PDE implementation (for American and exotic options)—done;

• Deposits, FRA, futures, swaps—partly done;

• Deposit/FRA/futures/swap yield term structure—partly done;

• Swaptions—in progress;

• Caps/floors—in progress;

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1.2 Project overview 5

• Bonds (IRR/duration)—to do;

• Treasury yield term structure (Nelson-Siegel/Vasichek-Fong)—to do;
• Short-rate models (BDT, BK, HW, etc.)—in progress;
• Local volatility models—in progress;
• Stochastic volatility—to do.

Assorted Possible Milestones

• Moving to the generic option pricing engine (see

http://quantlib.org/quep/quep005.html) where each option can be priced with
different engines: analytic, trees, Finite Differences, Monte Carlo. Allow everywhere for
time varying volatilities and interest rates.
• Two dimensions FD framework, with satisfactory solution of the Free Boundary problem
(early exercise).
• MC path-wise Greek evaluation.
• Full coverage of analytic models for option pricing.
• Complete coverage of basic Fixed Income instruments (cap/floor, swaption, Bermuda swap-
tion) with all major one-factor models.
• Modeling of stochastic process with jumps, reversion, etc.
• Extraction of local volatilities surface from Black volatility surface.
• Implementation of FI products using FD framework.
• Low-discrepancy sequences for MC simulation.

• FD solution of weak path-dependent options (Asian, look-back, etc).

• Advanced MC variance reduction techniques.
• Implementation of Fixed Income products using MC framework.

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6 An introduction to QuantLib

1.3 Where to get QuantLib

1.3.1 QuantLib releases

Source code, documentation, modules, etc. of current and previous QuantLib releases can be
downloaded from http://quantlib.org/download.html
Debian package is available from http://ftp.us.debian.org/debian/pool/main/q/quantlib
(the .us can be replaced by .jp, .uk, .de, .it, etc.)

1.3.2 Current CVS snapshot

Instructions for anonymous CVS access are available at http://quantlib.org/cvs.html

Access to the CVS repository is intended mainly for developers and is not recommended to end
users which should download the latest stable release instead.

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1.4 Installation 7

1.4 Installation

1.4.1 Linux/Unix

The simplest way to compile and install QuantLib is:

1. get the sources from

http://quantlib.org/download.html and untar them.
2. ‘cd’ to the QuantLib directory and type ‘./configure’ to configure the package for your
system. If you’re using ‘csh’ on an old version of System V, you might need to type
‘sh ./configure’ instead to prevent ‘csh’ from trying to execute ‘configure’ itself. Running
‘configure’ takes awhile. While running, it prints some messages telling which features it is
checking for.
3. Type ‘make’ to compile the package.

4. Type ‘make install’ to install the programs and any data files and documentation.
5. You can remove the program binaries and object files from the source code directory by
typing ‘make clean’. To also remove the files that ‘configure’ created (so you can compile
the package for a different kind of computer), type ‘make distclean’. There is also a ‘make
maintainer-clean’ target, but that is intended mainly for the package’s developers. If you
use it, you will need some GNU tools that usually only developers use, and which are not
required to build QuantLib from tarballs. These are automake, autoconf, libtool, GNU m4,
GNU make, and maybe others. They all come with recent GNU/Linux distributions. To
begin the build process after ‘make distclean’ start with ‘sh ./bootstrap’ which will prepare
the package for compilation. You can then use ‘configure’ and ‘make’ in the usual way.

The file INSTALL.txt in the QuantLib source distribution contains more detailed instructions.

1.4.2 Win32

Binary installers are available at

http://quantlib.org/download.html
Visual C++ 6.0 projects files and Borland C++ makefiles are supplied in case one wants to rebuild
the library.
The free Borland C++ compiler is available at
http://www.borland.com/bcppbuilder/freecompiler/

1.4.3 Macintosh

Codewarrior support is currently broken. QuantLib should compile under Mac OS X as outlined
under Linux/Unix(p. ??).

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8 An introduction to QuantLib

1.5 Usage
To use QuantLib classes in your own code just add

#include <ql/quantlib.hpp>

at the beginning of your source/header files.

Under the Examples folder you can find examples of QuantLib usage, including makefiles for gcc,
Borland Free compiler, and Microsoft Visual C++. For the latter project files are also available.

1.5.1 Microsoft Visual C++

A few suggestions for Visual C++ users wanting to use QuantLib into their own application:

1. As long as you include ql/quantlib.hpp, you won’t have to explicitly link your application
to QuantLib(p. 107) library. This is automatically done by quantlib.hpp using the pragma
statement:

#ifdef _DLL
#ifdef _DEBUG
#pragma comment(lib,"QuantLib_MTDLL_d.lib")
#else
#pragma comment(lib,"QuantLib_MTDLL.lib")
#endif
#else
#ifdef _DEBUG
#pragma comment(lib,"QuantLib_d.lib")
#else
#pragma comment(lib,"QuantLib.lib")
#endif
#endif

2. Your main() must be compiled with the same options that were used in compiling the
QuantLib library - namely, you’ll have to set the run-time library to "(Debug) Multithreaded
(DLL)". For single-threaded version of QuantLib(p. 107) one must change the settings under
project settings, "C/C++" tab, "Code Generation", and then re-build the library with the new
settings. You’ll have to check the "Use RTTI" option under the "C++ Language" category,
too. Finally, you have to define NOMINMAX

3. To create your own project, add it to a new or existing Workspace. Under File | New | Projects
select "Win32 Console Application" (or equivalent). Under Project | Settings select your
project. Select settings for: "All configuration". On the "C/C++" tab select "Preprocessor"
and under "Additional include directory" add "\$(QL_DIR)". This will add your current
QuantLib installation directory to the include path. On the "Link" tab select "Input" and
under "Additional library path" add "\$(QL_DIR)\lib\Win32\VisualStudio\". This will add
your current QuantLib installation directory to the library path.
4. To compile in "Win32 Debug" configuration you will need the QuantLib debug libraries,
available for download from http://quantlib.org/download.html

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1.6 Supported platforms 9

1.6 Supported platforms

The following is a list of configurations and compilers supported by QuantLib. All configuration
names may have up to four parts: cpu-manufacturer-kernel-operating_system.
There are 3 officially supported configuration/compiler couples:
CONFIGURATION COMPILER COORDINATOR
i686-pc-linux-debian2.2 gcc 2.95 and 3.0.1 Luigi Ballabio
i686-pc-Win2000 MS Visual C++ 6 Ferdinando Ametrano
i686-pc-Win2000 Borland free compiler Ametrano/Ballabio
Dirk Eddelbuettel is the maintainer of the QuantLib Debian packages. Liguo Song is the main-
tainer of the QuantLib RPM packages. QuantLib was reported to compile also under:
CONFIGURATION COMPILER

FreeBSD gcc 2.95.2

alpha-RedHat6.2 Compaq 6.3.9.3
i686-pc-cygwin gcc 2.95.2
ppc-linux gcc 2.95.2
sgi-linux gcc 2.95
sparc-sun-solaris gcc 2.95.2

arm-Debian
hppa-Debian
ia64-Debian
m68k-Debian
mips-Debian
mipsel-Debian
powerpc-Debian
s390-Debian
sparc-Debian
For all these platforms Debian packages are available. If you compiled (or failed to com-
pile) QuantLib on different configurations and/or compilers please report your feedback to:
[email protected]

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10 An introduction to QuantLib

1.7 Version history

Release 0.3.4 - November 21th, 2003
MONTE CARLO FRAMEWORK

• MC European in one step with strike-independent vol curve (hopefully)

• Path pricer for Binary options. It should cover both European and American style options.
Also known as: Digital, Binary, Cash-At-Hit, Cash-At-Expiry.

• Path pricers for barrier options

PRICING ENGINES FRAMEWORK

• More options moved to the new pricing engine framework: binary, barrier

• Changed setupEngine() into setupArguments(args)

• Moved pricing-engine machinery up to Instrument class

FIXED INCOME

• New basis-point sensitivity functions

• Added Swap::startDate() and maturity()

• Cap/floor fixing days taken into account

SHORT RATE MODELS

• An additional constraint can now be passed to the calibration

VOLATILITY FRAMEWORK

• Visitable volatility term structures

OPTIMIZATION FRAMEWORK

• Added composite constraint

PATTERNS

• Visitor, Alexandrescu-style (saves some code duplication)

MATH

• Added more integration algorithms contributed by Roman Gitlin

• Relaxed constaints on interval boundaries for integration algorithms

• Interpolation traits

TEST SUITE

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1.7 Version history 11

• Added implied cap/floor term volatility test

• Added test for binary options in PricingEngine Framework.

• Added tests for Barrier options in PricingEngine Framework. Some Monte Carlo tests, but
not comprehensive.

MISCELLANEA

• Conditionally allowed negative yields (disabled by default)

• Null calendar and simple day counter for reproducing theoretical calculations

• Fixed for VC++.Net compilation

• Added spec file for RPMs

• Added global flag for early/late payments

• Enabled test suite for Borland

• Removed OnTheEdge VC++ configurations

• Added VC++ configurations for static and dynamic Multithread libraries

• Upgraded to use Doxygen 1.3.4

Release 0.3.3 - September 3rd, 2003

MONTE CARLO FRAMEWORK

• Re-templatized Monte Carlo model based on traits.

• New path generator based on DiffusionProcess, TimeGrid, and externally initialized random
number generator.

• Added Halton low discrepancy sequence.

• Added sequence generators: random sequence generator creates a sequence generator out
of a random number generator. InvCumGaussianRsg creates a gaussian sequence generator
out of a uniform (random or low discrepancy) sequence generator.

• RNG as constructor input constructor( long seed) deprecated.

• Mersenne Twister random number generator added

• Old PathPricers, PathGenerators, etc are available with a trailing _old

• Added Jäckel’s Brownian Bridge (not used yet.)

• Sobol Random Sequence Generator. Unit and Jäckel.

• Added randomized Halton sequences.

FINITE DIFFERENCE FRAMEWORK

• Old class Grid no longer exists, use CenteredGrid to obtain the same result.

LATTICE FRAMEWORK

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12 An introduction to QuantLib

• Abstracted discretized option.

• Additive binomial trees. All binomial trees now use DiffusionProcess.

• Added Tian binomial tree.

PRICING ENGINES FRAMEWORK

• Partially implemented.

• Quanto forward compounded engines.

• Integral (european) pricing engine.

YIELD TERM STRUCTURE

• ZeroCurve: a term structure based on linear interpolation of zero yields.

FIXED INCOME

• Up-front and in-arrear indexed coupon.

• Specific implementation of compound forward rate from zero yield.

• Added compound forward and zero coupon implementations.

• Added Futures rate helper with specified maturity date.

• Added bucketed bps calculation.

• Added swap constructor using specified maturity date as well as added functionality in
Scheduler.

• Added date-bucketed basis point sensitivity based on 1st derivative of zero coupon rate.

OPTIMIZATION FRAMEWORK

• Solvers now take any function. ObjectiveFunction disappeared.

PATTERNS

• Abstracted lazy object.

• Abstracted the curiously recurring template pattern.

DATE AND CALENDARS

• Added joint calendars.

• Tokyo, Stockholm, Johannesburg calendar improved.

• "MonthEndReference" business day rolling convention. Similar to "ModifiedFollowing",

unless where original date is last business day of month all resulting dates will also be last
business day of month.

• Added basic date generation starting from the end.

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1.7 Version history 13

MATH

• Added Gauss-Kronrod integration algorithm.

• Added primitive polynomial modulo 2 up to dimension 18 (available up to dimension 27.)

• Added BicubicSplineInterpolation.

• Numerical Recipes algorithm is back since there is a problem with Nicolas’ code: it is unable
to fit a straight line, it waves around the line.

• Prime number generation.

• Acklam’s approximation for inverse cumulative normal distribution function (replaced

Moro’s algorithm as default.)

• Added error function.

• Improved Cumulative Normal Distribution function using the error function.

• Matrix pseudo square algorithm using salvaging algorithm(s).

• Added SequenceStatistics.

• Major Statistic reworking.

• Added DiscrepancyStatistic that inherits from SequenceStatistic and extends it with the
calculation of L2-discrepancy.

• HStatistics.

• Added first and second derivative ot cubic splines.

RISK MEASURES

• Introduced semiVariance and regret.

• Redefinition of average shorfall (normalization factor now is cumulative(target) instead of

1.0)

MISCELLANEA

• QuEP 9 "generic disposable objects" implemented.

• Added test suite.

• Dataformatters extended to format long integers, Ordinal numerals, power of two format-
ting.

• Exercise class adopted.

• Added user configuration section.

• Inhibited automatic conversion of Handle<T> to RelinkableHandle<T>.

• Diffusion process extended.

• Added strikeSensitivity to the Greeks.

• BS does handle t==0.0 and sigma==0.0.

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14 An introduction to QuantLib

• TimeGrid has been reworked.

• Added payoff file for Payoff classes. Added Cash-Or-Nothing and Asset-Or-Nothing payoff
classes.
• Upgraded to use Doxygen 1.3.

Release 0.3.1 - February 4th, 2003

FINITE DIFFERENCE FRAMEWORK

• partially implemented QuEP 2 (http://quantlib.org/quep.html)

VOLATILITY FRAMEWORK

• added Black and local volatility interface

PRICING ENGINES FRAMEWORK

• partially implemented QuEP 5 (http://quantlib.org/quep.html)

YIELD TERM STRUCTURE

• interface revisited
• added discrete time forward methods
• added DiscountCurve (loglinear interpolated) and CompoundForward term structures
• ForwardSpreadedTermStructure moved under QuantLib::TermStructures(p. 148) names-
pace

FIXED INCOME

• Modified coupons so that the payment date can be after the end of the accrual period

MISCELLANEA

• added/verified holidays of many calendars

• added new calendars
• added new currencies
• more date formatters
• added Period(std::string&)
• it is now possible to advance a calandar using a Period
• added LogLinear Interpolation
• the allowExtrapolation boolean in interpolation classes has been removed from constructors
and added to the operator()
• Renamed Solver1D::lowBound and hiBound
• bug fixes

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1.7 Version history 15

BUILD PROCESS

• More autoconfiscated time functions and types

• Migrated to latest autotools

• added patches for Darwin and Solaris

Release 0.3.0 - May 6th, 2002

MONTE CARLO FRAMEWORK

• Path and MultiPath are time-aware

• McPricer: extended interface, improved convergency algorithm

FINITE DIFFERENCE FRAMEWORK

• added mixed (implicit/explicit) scheme, from which Crank-Nicolson, ImplicitEuler, and

ExplicitEuler are now derived

• Finite Difference exercise conditions are now in the FiniteDifferences folder/namespace

• Finite Difference pricers now start with ’Fd’ letters

• BSMNumericalOption became BsmFdOption

LATTICE FRAMEWORK

• introduced first version of the framework

• CRR and JR binomial trees

VOLATILITY FRAMEWORK

• early works on reorganization of vol structures

YIELD TERM STRUCTURE

• new TermStructure class based on affine model

• yield curves can be spreaded in term of zeros (ZeroSpreadedTermStructure) and forwards

(ForwardSpreadedTermStructure)

• Added dates() and times() to PiecewiseFlatForward

• discount factor accuracy in the yield curve bootstrapping is an input

• added single factor short-rate models (Hull-White, Black-Karasinski)

• added two factor short-rate models framework

• cap/floor and swaption calibration helpers

• added bermudan swaption pricing example (including BK and HW calibrations)

FIXED INCOME

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16 An introduction to QuantLib

• cap/floor and swaption tree pricer

• cap/floor analytical pricer
• vanilla swaption Jamshidian pricer
• Added accruedAmount() to coupons
• Made cash flow vector builders into functions

OPTIMIZATION FRAMEWORK

• added conjugate gradient, simplex

PATTERNS

• implemented QuEP 8 and 10

MISCELLANEA

• added allowExtrapolation parameter to interpolaton classes

• added 2D bilinear interpolation
• better spline interpolation algorithm
• Added non-central chi-square distribution function.
• Improved Inverse Cumulative Normal Distribution using Moro’s algorithm
• Introduced class representing stochastic processes
• added isExpired() to Instrument interface
• added functions folder and namespace for QuantLibXL and any other function-like interface
to QuantLib(p. 107)
• Handle is now castable to an Handle of a compatible type
• added downsideVariance to the Statistics class
• kustosis() and skewness() now handles the case of stddev == 0 and/or variance == 0
• added Correlation Matrix to MultiVariateAccumulator
• enforced MS VC compilation settings
• added "-debug" to the QL_VERSION version string ifdef QL_DEBUG
• "make check" runs the example programs under Borland C++
• fixed compilation with "g++ -pedantic"
• Spread as market element
• new calendars introduced
• new Xibor Indexes introduced
• Added optional day count to libor indexes
• Shortened file names within 31 char limit to support HFS

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1.7 Version history 17

Release 0.2.1 - December 3rd, 2001

MONTE CARLO FRAMEWORK

• Path and MultiPath are now classes on their own

• PathPricer now handles both Path and MultiPath

• MonteCarloModel now handles both single factor and multi factors simulations.

• McPricer now handles both single factor and multi factors pricing. New pricing interface

• antithetic variance-reduction technique made possible in Monte Carlo for both single factor
and multi factors

• Control Variate specific class removed: control variation technique is now handled by the
general MC model

• average price and average strike asian option refactored

• Sample as a (value,weight) struct

• random number generators moved under RandomNumbers folder and namespace

FINITE DIFFERENCE FRAMEWORK

• BackwardEuler and ForwardEuler renamed ImplicitEuler and ExplicitEuler, respectively

• refactoring of TridiagonalOperator and derived classes

YIELD TERM STRUCTURE AND FIXED INCOME

• Added some useful methods to term structure classes

• Allowed passing a quote to RateHelpers as double

• added FuturesRateHelpers (no convexity adjustment yet)

• PiecewiseFlatForward now observer of rates passed as MarketElements

• Unified Date and Time interface in TermStructure

• Added BPS to generic swap legs

• added term_structure+swap example

• Fixing days introduced for floating-coupon bond

PATTERNS

• Added factory pattern

• Calendar and DayCounter now use the Strategy pattern

VARIOUS

• used do-while-false idiom in QL_REQUIRE-like macros

• now using size_t where appropriate

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18 An introduction to QuantLib

• dividendYield is now a Spread instead of a Rate (that is: cost of carry is allowed)
• RelinkableHandle initialized with an optional Handle
• Worked around VC++ problems in History constructor
• added QL_VERSION and QL_HEX_VERSION
• generic bug fixes
• removed classes deprecated in 0.2.0

INSTALLATION FACILITIES

• improved and smoother Win32 binary installer

DOCUMENTATION

• general re-hauling
• improved and extended Monte Carlo documentation
• improved and extended examples
• Upgraded to Doxygen 1.2.11.1
• Added man pages for installed executables
• added docs in Windows Help format
• added info on "Win32 OnTheEdgeRelease" and "Win32 OnTheEdgeDebug" MS VC++ con-
figurations
• additional information on how to create a MS VC++ project based on QuantLib(p. 107)

Release 0.2.0 - September 18th, 2001

• Library:
– source code moved under ql, better GNU standards
– gcc build dir can now be separated from source tree
– gcc 3.0.1 port
– clean compilation (no warnings)
– bootstrap script on cygwin
– Fixed automatic choice of seed for random number generators
– Actual/actual classes
– extended platform support (see table in documentation)
– antithetic variance-reduction technique made possible in Monte Carlo
– added dividend-Rho greek
– First implementation of segment integral (to be redesigned)
– Knuth random generator
– Cash flows, scheduler, and swap (both generic and simple) added
– added ICGaussian random generator

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1.7 Version history 19

– generic bug fixes

• Installation facilities:
– improved and smoother Win32 binary installer
– better distribution
– debian packages available
• Documentation:
– general re-hauling
– added examples of using QuantLib and of projects based on QL

Release 0.1.9 - May 31st, 2001

• Library:
– Style guidelines introduced (see http://quantlib.org/style.html) and partially en-
forced
– full support for Microsoft Visual Studio
– full support for Linux/gcc
– momentarily broken support for Metrowerks CodeWarrior
– autoconfiscation (with specialized config.∗.hpp files for platforms without au-
tomake/autoconf support)
– Include files moved under Include/ql folder and referenced as "ql/header.hpp"
– Implemented expression templates techniques for array algebra optimization
– Added custom iterators
– Improved term structure
– Added Asian, Bermudan, Shout, Cliquet, Himalaya, and Barrier options (all with
greeks calculation, control variated where possible)
– Added Helsinki and Wellington calendars
– Improved Normal distribution related functions: cumulative, inverse cumulative, etc.
– Added uniform and Gaussian random number generators
– Added Statistics class (mean, variance, skewness, downside variance, etc.)
– Added RiskMeasures class: VAR, average shortfall, expected shortfall, etc.
– Added RiskStatistics class combining Statistics and RiskMeasures
– Added sample accumulator for multivariate analysis
– Added Monte Carlo tools
– Added matrix-related functions (square root, symmetric Schur decomposition)
– Added interpolation framework (linear and cubic spline interpolation implemented).
• Installation facilities:
– Added Win32 GUI installer for binaries
• Documentation:
– support for Doxygen 1.2.7
– Added man documentation

Release 0.1.1 - November 21st, 2000

Initial release.

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20 An introduction to QuantLib

1.8 Todo List

Class AmericanCondition(p. 161) Unify the intrinsicValues/Payoff thing

Member Side(p. 224) Generalize for n-dimensional conditions

Class CADLibor(p. 234) check settlement days

Class CapFlatVolatilityVector(p. 246) Either add correct copy behavior or inhibit copy. Right
now, a copied instance would end up with its own copy of the length vector but an interpo-
lation pointing to the original ones.

Class CHFLibor(p. 255) check settlement days and day-count

Class ContinuousGeometricAPO(p. 272) add Average Strike version and make it backward
starting

Class DirichletBC(p. 300) generalize to time-dependent conditions.

Class DiscreteGeometricAPO(p. 306) add analytical greeks

Class DiscreteGeometricASO(p. 307) add analytical greeks

Class ExplicitEuler(p. 335) add Richardson extrapolation

Class FdAmericanOption(p. 343) make american call with no dividends = european

Class FraRateHelper(p. 368) convexity adjustment should be implemented.

Class Interpolation2D(p. 429) Bicubic interpolation and bicubic spline

Class McDiscreteArithmeticAPO(p. 481) Continous Averaging version

Class McDiscreteArithmeticASO(p. 482) Continous Averaging version

Class MixedScheme(p. 500) add Douglas Scheme

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1.8 Todo List 21

Class MultiPath(p. 506) make it time-aware

Class NeumannBC(p. 511) generalize to time-dependent conditions.

Class ShoutCondition(p. 595) Unify the intrinsicValues/Payoff thing

Class SwaptionVolatilityMatrix(p. 629) Either add correct copy behavior or inhibit copy. Right
now, a copied instance would end up with its own copy of the exercise date and length
vector but an interpolation pointing to the original ones.

Class TermStructure(p. 634) add derived class ParSwapTermStructure similar to ZeroYield-

TermStructure, DiscountStructure, ForwardRateStructure
allow for different compounding rules and compounding frequencies

Class TimeGrid(p. 642) What was the rationale for limiting the grid to positive times? Investi-
gate and see whether we can use it for negative ones as well.

Class ZARLibor(p. 678) check settlement days

Member FloatingRateCouponVector(p. 122)(const Schedule &schedule, const std::vector< double > &nominals,
A suitable algorithm should be implemented for the calculation of the interpolated index
fixing for a short/long first coupon.

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22 An introduction to QuantLib

1.9 Additional resources

The main QuantLib resource is the QuantLib site (http://quantlib.org).
Additional resources available from the above site include:

• current news;
• the QuantLib mailing lists (http://quantlib.org/mailinglists.html);
• the QuantLib FAQ (http://quantlib.org/FAQ.html);
• the QuantLib programming style guidelines (http://quantlib.org/style.html);

• a link to the QuantLib project page on SourceForge.net;

• links to pages for bug reports, patch submissions and feature requests;
• a page (http://quantlib.org/extensions.html) about how to use QuantLib in other
languages/platforms;
• as well as links to additional quantitative finance resources.

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1.10 The QuantLib Group 23

1.10 The QuantLib Group

1.10.1 Authors

The QuantLib Group members are:

• Ferdinando Ametrano (nando AT ametrano DOT net), project manager

• Luigi Ballabio ([email protected]), library designer
• Nicolas Di Césaré, spline and optimizer
• Dirk Eddelbuettel: Debian maintainer, RQuantLib
• Neil Firth: Monte Carlo: Longstaff-Schwartz American option, Barrier option
• Roman Gitlin: integration algorithms
• Marco Marchioro ([email protected])
• Sadruddin Rejeb ([email protected]), interest rate models
• Niels Elken Sønderby: Gauss-Kronrod integration
• Liguo Song (Liguo.Song AT vanderbilt.edu): RPM maintainer

1.10.2 Contributors

• Mario Aleppo ([email protected])

• Toyin Akin
• James Battle

• Christopher Baus: inspiration for custom iterators

• Thomas Becker: inspiration for custom iterators
• Adolfo Benin ([email protected])
• David Binderman
• Jon Davidson - UK bank holidays fix
• Matteo Gallivanoni ([email protected])
• Gilbert Peffer
• Peter Schmitteckert ([email protected])
• Enrico Sirola ([email protected])
• Maxim Sokolov ([email protected]): examples
• Tomoya Kawanishi: Japan holidays fix
• David Schwartz: fixes for VC7
• Bernd Johannes Wuebben

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24 An introduction to QuantLib

1.11 Copyright and License

Copyright ©2002, 2003 Ferdinando Ametrano

Copyright ©2001, 2002, 2003 Nicolas Di Césaré
Copyright ©2003 Neil Firth Copyright ©2002, 2003 Roman Gitlin Copyright ©2001, 2002, 2003
Sadruddin Rejeb
Copyright ©2000, 2001, 2002, 2003 RiskMap srl
Copyright ©2003 Niels Elken Sønderby Copyright ©2003 StatPro Italia srl All rights reserved.
Redistribution and use in source and binary forms, with or without modification, are permitted
provided that the following conditions are met:

• Redistributions of source code must retain the above copyright notice, this list of conditions
and the following disclaimer.

• Redistributions in binary form must reproduce the above copyright notice, this list of con-
ditions and the following disclaimer in the documentation and/or other materials provided
with the distribution.

• Neither the names of the copyright holders nor the names of the QuantLib Group and
its contributors may be used to endorse or promote products derived from this software
without specific prior written permission.

THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS

IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO,
THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR
PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDERS OR CON-
TRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY,
OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT
OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS
INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER
IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE)
ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE
POSSIBILITY OF SUCH DAMAGE.

1.11.1 Comments on Copyright and License

QuantLib is Non-Copylefted Free Software [1] released under the modified BSD License [2] (also
know as XFree86-style license).
QuantLib is Open Source [3] because of its license: it is OSI Certified Open Source Software [4].
OSI Certified is a certification mark of the Open Source Initiative [5].
The modified BSD License is GPL compatible as confirmed by the Free Software Foundation [6].
This license has been adopted to allow free use of QuantLib and its source, to make QuantLib
flourish as a free-software/open-source project. It allows proprietary extensions to be commer-
cialized.
[1] http://www.gnu.org/philosophy/categories.html#Non-CopyleftedFreeSoftware
[2] http://www.opensource.org/licenses/bsd-license.html

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1.11 Copyright and License 25

[3] http://www.opensource.org/docs/definition.html
[4] http://www.opensource.org/docs/certification_mark.html
[5] http://www.opensource.org
[6] http://www.gnu.org/philosophy/bsd.html

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26 An introduction to QuantLib

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Chapter 2

QuantLib components

2.1 Core classes

Documentation for this part of the library is in progress.
The root namespace QuantLib(p. 107) contains what can be considered the QuantLib foundation,
i.e., the core of abstract classes upon which the rest of the library is built.
The folder structure of the sources reflects the organization of classes and functions into names-
paces. These are in turn chosen to represent definite packages or class families: the former being
groups of classes forming a framework for particular applications, e.g., the PDE package for
partial differential equations; and the latter being sets of classes which inherit from a common
base class or otherwise share a common functionality and interface, e.g., the TermStructures or
Operators families, respectively.
In the QuantLib(p. 107) namespace:

• A number of financial types is provided, such as QuantLib::Rate(p. 112), Quant-

Lib::Spread(p. 112), or QuantLib::DiscountFactor(p. 112). All these types act as, and indeed
are, doubles.

• The Date, Calendar and DayCounter classes are defined (see Date and time calcula-
tions(p. 28)).
• The abstract classes QuantLib::ForwardVolatilitySurface and QuantLib::SwaptionVolatility-
Surface provide the common interface to concrete volatility models. No examples are
available at this time, and the classes themselves will probably need some reworking.
• The abstract class QuantLib::Solver1D(p. 608) provides a common interface for the one-
dimensional solvers implemented in the QuantLib::Solvers1D(p. 147) namespace.
• The abstract class QuantLib::Index(p. 417) provides the common interface of the classes
implemented in the QuantLib::Indexes(p. 127) namespace.
• The abstract class QuantLib::Instrument(p. 422) provides a common interface and a calcu-
lation ramework for the classes implemented in the QuantLib::Instruments(p. 128) names-
pace.
• The abstract class QuantLib::TermStructure(p. 634) provides a common interface for the
classes implemented in the QuantLib::TermStructures(p. 148) namespace.
28 QuantLib components

2.2 Date and time calculations

Documentation for this part of the library is in progress.

2.2.1 Dates

The concrete class QuantLib::Date(p. 288) implements the concept of date. Its functionalities
include:

• providing basic information such as weekday, day of the month, day of the year, month,
and year;

• comparing two dates to determine whether they are equal, or which one is the earlier or
later, or the difference between them expressed in days;

• incrementing or decrementing a date of a given number of days, or of a given period

expressed in weeks, months, or years.

2.2.2 Calendars

The abstract class QuantLib::Calendar(p. 235) provides the interface for determining whether
a date is a business day or a holiday for a given market, or incrementing/decrementing a
date of a given number of business days. A number of calendars is contained in the Quant-
Lib::Calendars(p. 117) namespace.

2.2.3 Day counters

The abstract class QuantLib::DayCounter(p. 292) provides more advanced means of measuring
the distance between two dates according to a given market convention, both as number of
days of fraction of year. A number of such conventions is contained in the QuantLib::Day-
Counters(p. 124) namespace, namely,

• Actual/360

• Actual/365
• Actual/Actual, which can be calculated according to:
– ISMA and US Treasury convention, also known as "Actual/Actual (Bond)";
– ISDA, also known as "Actual/Actual (Historical)";
– AFB, also known as "Actual/Actual (Euro)";
• 30/360, which can be calculated according to:
– USA convention;
– European convention;
– Italian convention.

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2.3 Lattice methods 29

2.3 Lattice methods

The framework corresponding to the QuantLib::Lattices namespace contains basic building blocks
for pricing instruments using lattice methods (trees). A lattice, i.e. an instance of the abstract
class QuantLib::Lattices::Lattice(p. 439), relies on one or several trees (each one approximating a
diffusion process) to price an instance of the DiscretizedAsset class. Trees are instances of classes
derived from QuantLib::Lattices::Tree(p. 648), classes which define the branching between nodes
and transition probabilities.

2.3.1 Binomial trees

The binomial method is the simplest numerical method that can be used to price path-independent
derivatives. It is usually the preferred lattice method under the Black-Scholes-Merton model. As
an example, let’s see the framework implemented in the bsmlattice.hpp(p. 845) file. It is a method
based on a binomial tree, with constant short-rate (discounting). There are several approaches to
build the underlying binomial tree, like Jarrow-Rudd or Cox-Ross-Rubinstein.

2.3.2 Trinomial trees

When the underlying stochastic process has a mean-reverting pattern, it is usually better to
use a trinomial tree instead of a binomial tree. An example is implemented in the Quant-
Lib::Lattices::TrinomialTree(p. 656) class, which is constructed using a diffusion process and a
time-grid. The goal is to build a recombining trinomial tree that will discretize, at a finite set of
times, the possible evolutions of a random variable y satisfying

dyt = µ(t, yt )dt + σ(t, yt )dWt .

At each node, there is a probability pu , pm andpd to go through respectively the upper, the middle
and the lower branch. These probabilities must satisfy

pu yi+1,k+1 + pm yi+1,k + pd yi+1,k−1 = Ei, j

and
pu y2i+1,k+1 + pm y2i+1,k + pd y2i+1,k−1 = Vi,2 j + E2i, j ,
where k (the index of the node at the end of themiddle branch) is the index of the node which is the
nearest to the expected future value, Ei, j = E y(ti+1 )|y(ti ) = yi, j and Vi,2 j = Var{y(ti+1 )|y(ti ) = yi, j }.
√
If we suppose that the variance is only dependant on time Vi,j = Vi and set yi+1 to Vi 3, we find
that
2
1 (Ei, j − yi+1,k ) Ei, j − yi+1,k
pu = + 2
+ √ ,
6 6Vi 2 3Vi
2
2 (Ei, j − yi+1,k )
pm = − ,
3 3Vi2
2
1 (Ei, j − yi+1,k ) Ei, j − yi+1,k
pd = + 2
− √ .
6 6Vi 2 3Vi

2.3.3 Bidimensional lattices

To come...

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30 QuantLib components

2.3.4 The QuantLib::DiscretizedAsset class

This class is a representation of the price of a derivative at a specific time. It is roughly an array
of values, each value being associated to a state of the underlying stochastic variables. For the
moment, it is only used when working with trees, but it should be quite easy to make a use
of it in finite-differences methods. The two main points, when deriving classes from Quant-
Lib::DiscretizedAsset(p. 308), are:

1. Define the initialisation procedure (e.g. terminal payoff for european stock options).
2. Define the method adjusting values, when necessary, at each time steps (e.g. apply the
step condition for american or bermudan options). Some examples are found in Quant-
Lib::Pricers::DiscretizedSwap and QuantLib::Pricers::DiscretizedSwaption.

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2.4 The finite differences framework 31

2.4 The finite differences framework

This framework (corresponding to the QuantLib::FiniteDifferences(p. 125) namespace) contains
basic building blocks for the numerical solution of a generic differential equation

∂f
= Lf
∂t
where L is a differential operator in “space”, i.e., one which does not contain partial derivatives
in t but can otherwise contain any derivative in any other variable of the problem.
Writing the equation in the above form allows us to implement separately the discretization
of the differential operator L and the time scheme used for the evolution of the solution. The
QuantLib::FiniteDifferences::FiniteDifferenceModel(p. 352) class acts as a glue for such two
steps—which are outlined in the following sections—and provides the interface of the resulting
finite difference model for the end user. Furthermore, it provides the possibility of checking
and operating on the solution array at each step—which is typically used to apply an exercise
condition for an option. This is also outlined in a section below.

2.4.1 Differential operators

The discretization of the differential operator L depends on the discretization chosen for the
solution f of the given equation.
Such choice is obvious in the 1-D case where the domain [a, b] of the equation is discretized as
a series of points xi , i = 0 . . . N − 1 (note that the index is zero based) where xi = a + hi and
h = (b − a)/(N − 1). In turn, the solution f of the equation is discretized as an array ui , i = 0 . . . N − 1
whose elements are defined as ui = f (xi ). The discretization of the differential operator follows
by substituting the derivatives with the corresponding incremental ratios defined in terms of the
fi . A number of basic operators are defined in the framework which can be composed to form
more complex operators, namely:
the first derivative ∂/∂x is discretized as the operator D+ , defined as
ui+1 − ui
D+ ui =
h
and implemented in class QuantLib::FiniteDifferences::DPlus(p. 316); the operator D− , defined
as
ui − ui−1
D− ui =
h
and implemented in class QuantLib::FiniteDifferences::DMinus(p. 314); and the operator D0 ,
defined as
ui+1 − ui−1
D0 ui =
2h
and implemented in class QuantLib::FiniteDifferences::DZero(p. 320). The discretization error
of the above operators is O(h) for D+ and D− and O(h2 ) for D0 ;
the second derivative ∂2 /∂x2 is discretized as the operator D+ D− , defined as
ui+1 − 2ui + ui−1
D+ D− ui =
h2
and implemented in class QuantLib::FiniteDifferences::DPlusDMinus(p. 317). Its discretization
error is O(h2 ).
The boundary condition for the above operators is by default linear extrapolation. Methods are
currently provided for setting other kinds of boundary conditions to a tridiagonal operator which

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32 QuantLib components

these operators inherit, namely, Dirichlet—i.e., constant value—and Neumann—i.e., constant

derivative—boundary conditions. This might change in the future as boundary conditions could
be astracted and passed as an additional argument to the model.
A programmer can also implement its own operator. However, in order to fit into this framework
it will have to implement a required interface depending on the chosen evolver (see below). Also,
it is currently required to manage itself any boundary conditions. Again, this could change in the
future.
On the other hand, there is no obvious choice in the 2-D case. While it is immediate to discretize
the domain into a series of points (xi , y j ) and the solution into a matrix fi j = f (xi , y j ), there is a
number of ways into which the fij can be arranged into an array—each of them determining a
different discretization of the differential operators. One of such ways was implemented in the
LexicographicalView class, while others will be implemented in the future. No 2-D operator is
currently implemented.

2.4.2 Time schemes

Once the differential operator L has been discretized, a number of choices are available for
discretizing the time derivative at the left-hand side of the equation.
In this framework, such choice is encapsulated in so-called evolvers which, given L and the
solution u(k) at time tk , yield the solution u(k−1) at the previous time step.
A number of evolvers are currently provided in the library which implement well-known schemes,
namely,
the forward Euler explicit scheme in which the equation is discretized as
u(k) − u(k−1)
= Lu(k)
∆t
hence
u(k−1) = (I − ∆tL) u(k)
from which u(k−1) can be obtained directly;
the backward Euler implicit scheme in which the equation is discretized as
u(k) − u(k−1)
= Lu(k−1)
∆t
hence
(I + ∆tL) u(k−1) = u(k)
from which u(k−1) can be obtained by solving a linear system;
the Crank-Nicolson scheme in which the equation is discretized as
u(k) − u(k−1) u(k) + u(k−1)
=L
∆t 2
hence
∆t ∆t
   
I+
L u(k−1) = I − L u(k)
2 2
(k−1)
from which u can be obtained by solving a linear system.
Each of the above evolvers forces a set of interface requirements upon the dif-
ferential operator which are detailed in the documentation of the correspond-
ing class, namely, QuantLib::FiniteDifferences::ExplicitEuler(p. 335), QuantLib::Finite-
Differences::ImplicitEuler(p. 408), and QuantLib::FiniteDifferences::CrankNicolson(p. 282), re-
spectively.

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2.4 The finite differences framework 33

A programmer could implement its own evolver, which does not need to inherit from any base
class.
However, it must implement the following interface:

class Evolver {
public:
typedef ... arrayType;
typedef ... operatorType;
// constructors
Evolver(const operatorType& D);
// member functions
void step(arrayType& a, Time t) const;
void setStep(Time dt);
};

Finally, we note again that the pricing of an option requires the finite difference model to solve
the corresponding equation backwards in time. Therefore, given a discretization u of the solution
at a given time t, the call

evolver.step(u,t)

must calculate the discrete solution at the previous time, t − dt.

2.4.3 Step conditions

A finite difference model can be passed a step condition to be applied at each step during the
rollback of the solution (e.g. the early exercise American condition). Such condition must be
embodied in a class derived from QuantLib::FiniteDifferences::StepCondition(p. 612) and must
implement the interface of the latter, namely,

class MyCondition : public StepCondition<arrayType> {

public:
void applyTo(arrayType& a, Time t) const;
};

2.4.4 An example of finite difference model

The Black-Scholes equation can be written in the above form as

∂f σ2 ∂2 f ∂f
=− −ν + r f.
∂t 2 ∂x 2 ∂x
It can be seen that the operator LBS is

σ2 ∂2 ∂
LBS = − − ν + rI
2 ∂x2 ∂x
and can be built from the basic operators provided in the library as

σ2
LBS = − D+ D− − νD0 + rI.
2

Its implementation closely reflects the above decomposition and can be written as

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34 QuantLib components

class BlackScholesOperator : public TridiagonalOperator {

public:
BlackScholesOperator(
double sigma, double nu, // parameters of the
Rate r, // Black-Scholes equation;
unsigned int points, // number of discretized points;
double h) // grid spacing.
: TridiagonalOperator(
// build the operator by adding basic ones
- (sigma*sigma/2.0) * DPlusDMinus(points,h)
- nu * DZero(points,h)
+ r * TridiagonalOperator::identity(points)
) {}
};

taking as inputs the relevant parameters of the equation (σ, ν and r) as well as model parameters
such as the number N of grid points and their spacing h.
As simple example cases, we will use the above operator to price both an European and an
American option. The parameters of the two options will be the same, namely, they will be both
call options with underlying price u = 100, strike s = 95, residual time T = 1 year, dividend yield
q = 3% and volatility σ = 10%. The risk-free rate will be r = 5%. Such parameters are expressed
using QuantLib types as

Option::Type type = Option::Call;

double underlying = 100.0, strike = 95.0;
Time residualTime = 1.0;
Rate dividendYield = 0.03, riskFreeRate = 0.05;
double volatility = 0.10;

The grid upon which the model will act will be a logarithmic grid of underlying prices, i.e., f will
be defined in a range [ln umin , ln umax ] discretized as an array xi , i = 0 . . . N − 1 with xi = ln umin + ih
and h = (ln umax − ln umin )/(N − 1). Such a grid and the corresponding vector of actual prices can
√ in the code below. The domain of the model will be defined as [ln u − ∆, ln u + ∆]
be built as shown
where ∆ = 4σ T. A number of grid points N = 101 will be used.

unsigned int gridPoints = 101;

Array grid(gridPoints), prices(gridPoints);
double x0 = QL_LOG(underlying);
double Delta = 4.0*volatility*QL_SQRT(residualTime);
double xMin = x0 - Delta, xMax = x0 + Delta;
double h = (xMax-xMin)/(gridPoints-1);
for (unsigned int i=0; i<gridPoints; i++) {
grid[i] = xMin + i*h;
prices[i] = QL_EXP(grid[i]);
}

The initial condition is determined by the values of the option at maturity, i.e., either the difference
between underlying price and strike if such difference is positive, or 0 if that is not the case (the
above will have to be suitably modified for a put option or a straddle.) Such “initial” condition
will be rolled back in time by our model.

Array exercisingValue(gridPoints);
for (unsigned int i=0; i<gridPoints; i++)
exercisingValue[i] = QL_MAX(prices[i]-strike,0.0);

Now the differential operator can be initialized. Also, Neumann initial conditions are set which
correspond to the initial value of the derivatives at the boundaries (see the BoundaryCondition
class documentation for details).

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2.4 The finite differences framework 35

double nu = riskFreeRate - dividendYield - volatility*volatility/2.0;

TridiagonalOperator L = BlackScholesOperator(volatility, nu,
riskFreeRate, gridPoints, h);
L.setLowerBC(BoundaryCondition(BoundaryCondition::Neumann,
exercisingValue[1]-exercisingValue[0]));
L.setUpperBC(BoundaryCondition(BoundaryCondition::Neumann,
exercisingValue[gridPoints_-1]-exercisingValue[gridPoints_-2]));

We are now already set for the pricing of the European option. Also, the exercise condition is the
only thing still to be defined for the American option to be priced. Such condition is equivalent
to the statement that at each time step, the value of the option is the maximum between the profit
realized in exercising the option (which we already calculated and stored in exercisingValue)
and the value of the option should we keep it (which corresponds to the solution rolled back to
the current time step). This logic can be implemented as:

class ExerciseCondition : public StepCondition<Array> {

public:
ExerciseCondition(const Array& exercisingValue)
: exercisingValue_(exercisingValue) {}
void applyTo(Array& a, Time) const {
for (unsigned int i = 0; i < a.size(); i++)
a[i] = QL_MAX(a[i], exercisingValue_[i]);
}
private:
Array exercisingValue_;
};

Everything is now ready. The model can be created gluing the piece together by means of
the QuantLib::FiniteDifferences::FiniteDifferenceModel(p. 352) class. The current value of the
option is calculated by rolling back the solution to the current time, i.e., t = 0, and by taking the
value corresponding at the current underlying price—which by construction corresponds to the
central value provided that the number of grid points is odd.

unsigned int timeSteps = 365;

// build the model - Crank-Nicolson scheme chosen

FiniteDifferenceModel<CrankNicolson<TridiagonalOperator> > model(L);

// European option
Array f = exercisingValue; // initial condition
model.rollback(f, residualTime, 0.0, timeSteps);
double europeanValue = valueAtCenter(f);

// American option
f = exercisingValue; // reset
Handle<StepCondition<Array> > condition(
new ExerciseCondition(exercisingValue));
model.rollback(f, residualTime, 0.0, timeSteps, condition);
double americanValue = valueAtCenter(f);

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36 QuantLib components

2.5 The Monte Carlo framework

Anyone attempting to generate random numbers by deterministic means is, of course, living
in a state of sin. — John Von Neumann

Warning: this section of the documentation is currently outdated.

This framework (corresponding to the QuantLib::MonteCarlo(p. 135) namespace) contains basic
building blocks for the numerical calculation of the integral
Z
f (x)p(x)dx
Ω

where p(x) is a normalized probability function. Monte Carlo methods solve the above integral
by approximating it with the discrete sum
N
1 X
f (xi )w(xi )
N
i=1

where the xi are drawn from p(x), possibly with a weight w(xi ) — which otherwise can be
considered uniformly equal to 1.
The above sum has a straightforward interpretation in the case of a derivative product, namely,
the xi are N generated random paths which the value of the underlying can possibly follow, while
the f (xi ) are the values of the derivative on each of such paths. The sum above can therefore be
taken as an estimate of the price of the derivative, namely, the average of its value on all possible
paths — or rather all considered paths. Such a method enables the user to construct pricing
classes for an unlimited range of derivatives, most notably path-dependent ones which cannot
be priced by means of finite difference methods.
It must also be mentioned that for all such methods, the error e on the estimated value is propor-
tional to the square root of the number of samples N. A number of so-called variance-reduction
methods have been found which allows one to reduce the coefficient of proportionality between
√
e and 1/ N.
Separate implementations are provided in the library for the three components of the above
average, namely, the random drawing of the xi , the evaluation of the f (xi ), and the averaging
process itself. The QuantLib::MonteCarlo::MonteCarloModel(p. 504) class acts as a glue for such
three steps — which are outlined in the following sections — and provides the interface of the
resulting Monte Carlo model to the end user.

2.5.1 Path generation

The Black-Scholes equation

∂ f σ2 ∂2 f ∂f
+ +ν − r f = 0,
∂t 2 ∂x 2 ∂x
where r is the risk-free rate, σ is the volatility of the underlying, and ν = r − σ2 /2, has the form
of a diffusion process. According to this heuristic interpretation (1)(p. ??), paths followed by the
logarithm of the underlying would be Brownian random walks with a constant drift ν per unit
√
time and a standard deviation σ T over a time T.
Therefore, the paths to be generated for a Monte Carlo model of the Black-Scholes equation will
be vectors of successive variations of the logarithm of the underlying price over M consecutive
time intervals ∆ti , i = 0 . . . M − 1. Each such variation will be drawn from a Gaussian distribution

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2.5 The Monte Carlo framework 37

√ √
with average ν∆Ti and standard deviation σ ∆Ti — or possibly νi ∆Ti and σi ∆Ti should ν and
σ vary in time.
The QuantLib::MonteCarlo::Path(p. 543) class stores the variation vector decomposed in its drift
(determined) and diffusion (random) components. As shown below, this allows the implemen-
tation of antithetic variance reduction techniques.
The QuantLib::MonteCarlo::MultiPath(p. 506) class is a straightforward extension which acts as
a vector of Path objects.
Classes are provided which generate paths and multi-paths with the desired drift and diffusion
components, namely, QuantLib::MonteCarlo::PathGenerator(p. 544) and QuantLib::Monte-
Carlo::MultiPathGenerator(p. 507).
For the time being, the path generator is initialized with a constant drift and variance. This
requirement will most likely be relaxed in the next release. The multi-path generator is initialized
with an array of constant drifts—one for each single asset—and a covariance matrix which
encapsulates the relations between the diffusion components of the single assets.
The time discretization of the (multi)paths can be specified either as a given number of equal time
steps over a given time span, or as a vector of explicitly specified times at which the path will be
sampled.

2.5.2 Pricing an instrument on a path

The QuantLib::MonteCarlo::PathPricer(p. 546) class is the base class from which path pricers
must inherit. The only method which subclasses are required to implement is

double operator()(const P&) const;

where P can be Path or MultiPath depending on the derivative whose value must be calculated.
Similarly, the term path will be used in the following discussion as meaning either path or multi-
path depending on the context. The term single path is not to be taken as opposite to multi-path,
but rather as meaning “a single instance of a (multi)path" as opposed to the set of all generated
(multi)paths.
The above method encapsulates the pricing of the derivative on a single path and must return
its value had the evolution of the underlying(s) followed the path passed as argument. For this
reason, control variate techniques (see below) must not be implemented at this level since they
would cause the returned value to differ from the actual price of the derivative on the path.
Instead, antithetic variance-reduction techniques can be effectively implemented at this level and
indeed are used in the pricers currently included in the library.
In short, such techniques consist in pricing an option on both the given path and its antithetic,
the latter being a path with the same drift and the opposite diffusion component. The value of
the sample is defined as the average of the prices on the two paths.
A generic implementation of antithetic techniques could consist of a path pricer class which takes
a concrete path pricer upon construction and whose operator() simply proxies two calls to the
contained pricer, passing the given path and its antithetic, and averages the result. However, this
would not take full advantage of the technique.
In fact, it must be noted that using antithetic paths not only reduces the variance per se but also
allows to factor out calculations commons to a path and its antithetic, thus reducing greatly the
computation time. Therefore, such techniques are best implemented inside the path pricer itself,
whose algorithm can fully exploit such factorization.

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38 QuantLib components

A number of path pricers are available in the library and are listed in the QuantLib::Monte-
Carlo(p. 135) namespace reference.

2.5.3 Accumulating and averaging samples

The class QuantLib::MonteCarlo::MonteCarloModel(p. 504) encapsulates the general structure

of a Monte Carlo calculations, namely, the generation of a number of paths, the pricing of the
derivative on each path, and the averaging of the results to yield the actual derivative price.
As outlined above, the first two steps are delegated to a path generator and a path pricer. The
third step is also delegated to an object which accumulates weighted values and returns the
statistic properties of the set of such values. One such class provided by the library is Quant-
Lib::Math::Statistics(p. 133).
The concern of the Monte Carlo model is therefore to act as a glue between such three components
and can be expressed by the following pseudo-code:

given pathGenerator, pathPricer, accumulator;

for i in number of samples {
path,weight = pathGenerator.next();
price = pathPricer(path);
accumulator.add(price,weight);
}

The Monte Carlo model also provides the user with the possibility to take advantage of control-
variate techniques.
Such techniques consist in pricing a portfolio from which the price of the derivative can be
deduced, but with a lower variance than the derivative alone.
In our current implementation, static-hedge control variate is used, namely, the formed portfolio
is long of the derivative we need to price and short of a similar derivative whose price can be
calculated analytically. The value of the portfolio on a given path will of course be given by
the difference of the values of the two derivatives on such path. However, due to the similarity
between the derivatives, the portfolio price will have a lower variance than either derivative alone
since any variation in the price of the latter will be partly compensated by a similar variation in
the price of the other. Lastly, given the portfolio price, the price of the derivative we are interested
in can be deduced by adding the analytic value of the other.
In order to use such technique, the user must provide the model with a path pricer for the
additional option and the value of the latter. The action of the Monte Carlo model is in this case
expressed as:

given pathGenerator, pathPricer, cvPathPricer, cvPrice, accumulator;

for i in number of samples {
path,weight = pathGenerator.next();
portfolioPrice = pathPricer(path) - cvPathPricer(path);
accumulator.add(portfolioPrice+cvPrice,weight);
}

Martingale (a.k.a. dynamic-hedge) control variate techniques are planned for future releases.
A QuantLib::Pricers::McPricer(p. 490) class is also available which wraps the typical usage of a
Monte Carlo model.
Details on the Monte Carlo Pricer interface will be available in the Pricers(p. ??) section.

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2.5 The Monte Carlo framework 39

2.5.4 Examples of Monte Carlo models

As a simple example, we will use the outlined tools to price an European option by means of
Monte Carlo techniques.
Given a current underlying price u0 and a path p = [p1 , . . . , pN ] where every variation pi is the
sum of a drift term di and a random diffusion term ri , the price of the underlying at maturity is
N
 N   N N

Y X  X X 
u = u0 epi = u0 exp  pi  = u0 exp  di + ri 
1 1 1 1

while the price on the antithetic path — i.e., same drift and opposite diffusion — is
 N N

X X 
u0 exp  di − ri  .
1 1

The corresponding path pricer can be implemented as:

class EuropeanPathPricer : public PathPricer<Path> {

public:
EuropeanPathPricer(Option::Type type, double underlying,
double strike, DiscountFactor discount,
bool useAntithetic)
// just store the needed parameters
: type_(type), underlying_(underlying), strike_(strike),
discount_(discount), useAntithetic_(useAntithetic) {}
// here is the logic
double operator()(const Path& path) const {

size_t n = path.size();

// factor out the sums in the formula above

double sum_d = 0.0, sum_r = 0.0;
for (size_t i = 0; i < n; i++) {
sum_d += path.drift()[i];
sum_r += path.diffusion()[i];
}

// calculate final underlying price on path

double price = underlying_*QL_EXP(sum_d+sum_r);

// calculate payoff
double payoff;
switch (type_) {
case Option::Call;
payoff = QL_MAX(price-strike,0.0);
break;
// other cases are left as an exercise to the reader
...
}

// current value of the option is the discounted payoff

double optionValue = payoff*discount_;

// stop here if not antithetic...

if (!useAntithetic_)
return optionValue;

// ...otherwise calculate the value on the antithetic path

double antiPrice = underlying_*QL_EXP(sum_d-sum_r);

// calculate payoff and option value as above

...

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40 QuantLib components

// return the average of the results on the two paths

return (optionValue + antiOptionValue)/2.0;
}
private:
// stored parameters
...
};

The path pricer can now be used in a model. Let us assume the following parameters:

Option::Type type = Option::Call;

double underlying = 100.0, strike = 95.0;
Time residualTime = 1.0;
Rate dividendYield = 0.03, riskFreeRate = 0.05;
double volatility = 0.10;

The path generator can be instantiated as

// parameters of the Black-Scholes equation

double vol2 = volatility*volatility;
double nu = riskFreeRate - dividendYield - vol2/2.0;
// in this case we are only interested in the final underlying price.
// Therefore, we can cover all the residual time in one big time step.
int timeSteps = 1;

Handle<GaussianPathGenerator> pathGenerator(
new GaussianPathGenerator(nu,vol2,residualTime,timeSteps));

where QuantLib::MonteCarlo::GaussianPathGenerator is a typedef to a path generator using the

default choice for a Gaussian random number generator.
The path pricer is instantiated as

// discount at maturity
DiscountFactor discount = QL_EXP(-riskFreeRate*residualTime);
bool antithetic = true;

Handle<PathPricer<Path> > pathPricer(

new EuropeanPathPricer(type,underlying,strike,discount,antithetic));

The model can now be created and used as following:

// number of samples to be generated

size_t samples = 1000000;

// pass the path generator and pricer we just created and a

// newly instantiated Statistics object
MonteCarloModel<Statistics,GaussianPathGenerator,PathPricer> model(
pathGenerator,pathPricer,Statistics());

model.addSamples(samples);

// now get the results: the option price is given by value with
// a confidence level given by error
value = model.sampleAccumulator().mean();
error = model.sampleAccumulator().errorEstimate();

More examples of path pricers can be found in the QuantLib::MonteCarlo(p. 135) namespace,
while examples of more sophisticated pricers which uses them in Monte Carlo models can be
found in the QuantLib::Pricers(p. 139) namespace.

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2.5 The Monte Carlo framework 41

2.5.5 Notes

(1)(p. ??) A more rigorous approach would lead us to integrate the above equation by means of
Green functions or Laplace transforms. Both such methods would show that the price at time
t = 0 of an option with payoff G(S(T)) where S(T) is the underlying price at expiry is given by the
integral Z ∞
(ξ − νT)2
!
1
e−rT G(S0 eξ ) √ exp − dξ
−∞ 2πσ2 T 2σ2 T
where S0 is the price of the underlying at t = 0. It can be seen that the above integral is of the
form shown at the beginning of this section, namely, the pricing function is

f (x) = e−rT G(S0 ex )

and can be interpreted as the option payoff discounted to the present time, while the probability
distribution is
(x − νT)2
!
1
p(x) = √ exp − .
2πσ2 T 2σ2 T
which again shows that the logarithms of the underlying prices at time T are distributed as a
√
Gaussian with average νT and standard deviation σ T.

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42 QuantLib components

2.6 The short-rate modelling framework

This framework (corresponding to the ShortRateModels namespace) implements some single-
factor and two-factor short rate models. The models implemented in this library are widely
used by practitionners. For the moment, the ShortRateModels::Model class defines the short-rate
dynamics with stochastic equations of the type

dxi = µ(t, xi )dt + σ(t, xi )dWt

where r = f (t, x). If the model is affine (i.e. derived from the QuantLib::ShortRateModels::Affine-
Model(p. 158) class), analytical formulas for discount bonds and discount bond options are given
(useful for calibration).

2.6.1 Single-factor models

The Hull & White model

drt = (θ(t) − α(t)rt )dt + σ(t)dWt

When α and σ are constants, this model has analytical formulas for discount bonds and
discount bond options.

The Black-Karasinski model

d ln rt = (θ(t) − α ln rt )dt + σdWt

No analytical tractability here.

The extended Cox-Ingersoll-Ross model

√
drt = (θ(t) − krt )dt + σ rt dWt

There are analytical formulas for discount bonds (and soon for discount bond options).

2.6.2 Calibration

The class CalibrationHelper is a base class that facilitates the instanciation of market instruments
used for calibration. It has a method marketValue() that gives the market price using a Black
formula, and a modelValue() method that gives the price according to a model
Derived classed are QuantLib::ShortRateModels::CalibrationHelpers::CapHelper and Quant-
Lib::ShortRateModels::CalibrationHelpers::SwaptionHelper.
For the calibration itself, you must choose an optimization method that will find constant param-
eters such that the value: v
t n
X (T − M )2
i i
V= ,
Mi
i=1

where Ti is the price given by the model and Mi is the market price, is minimized. A few
optimization methods are available in the QuantLib::Optimization namespace, and more are on
the way...

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2.6 The short-rate modelling framework 43

2.6.3 Two-factor models

2.6.4 Pricers
Analytical pricers

If the model is affine, i.e. discount bond options formulas exist, caps are easily priced since
they are a portfolio of discount bond options. Such a pricer is implemented in Quant-
Lib::Pricers::AnalyticalCapFloor(p. 164). In the case of single-factor affine models, swaptions can
be priced using the Jamshidian decomposition, implemented in QuantLib::Pricers::Jamshidian-
Swaption(p. 432).

Using Finite Differences

(Doesn’t work for the moment) For the moment, this is only available for single-factor affine
models. If x = x(t, r) is the state variable and follows this stochastic process:

dxt = µ(t, x)dt + σ(t, x)dWt

any european-style instrument will follow the following PDE:

∂P ∂P 1 2 ∂2 P
+µ + σ = r(t, x)P
∂t ∂x 2 ∂x2

The adequate operator to feed a Finite Difference Model instance is defined in the Quant-
Lib::FiniteDifferences::OneFactorOperator(p. 532) class.

Using Trees

Each model derived from the single-factor model class has the ability to return a trinomial tree. For
yield-curve consistent models, the fitting parameter can be determined either analytically (when
possible) or numerically. When a tree is built, it is then pretty straightforward to implement
a pricer for any path-independant derivative. Just implement a class derived from Numerical-
Derivative (see QuantLib::Pricers::NumericalSwaption for example) and roll it back until the
present time... Just look at QuantLib::Pricers::TreeCapFloor(p. 649) and QuantLib::Pricers::Tree-
Swaption(p. 650) for working pricers.

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44 QuantLib components

2.7 Currencies and FX rates

Documentation for this part of the library is in progress.

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2.8 Instruments and pricers 45

2.8 Instruments and pricers

Documentation for this part of the library is in progress.
This section will include documentation for classes such as QuantLib::Instrument(p. 422), its
derived classes in the QuantLib::Instruments(p. 128) namespace, and the pricing engines in the
QuantLib::Pricers(p. 139) namespace.

2.8.1 Instruments and pricers

Since version 0.3.4, the Instrument class was reworked as shown in the following figure.

if (isExpired()) LazyObject
setupExpired();
else #calculate(): void
LazyObject::calculate(); #performCalculations(): void

setupArguments(engine_->arguments());
engine_->arguments()->validate();
engine_->calculate(); engine_
// dynamic_cast needed in real code
NPV_ = engine_->results()->NPV;
Instrument
+isExpired(): bool
#calculate(): void PricingEngine
#performCalculations(): void
#setupExpired(): void -arguments: Arguments *
+setupArguments(Arguments *): void -results: Results *
+calculate()

Old-style instrument New-style instrument

+isExpired(): bool +isExpired(): bool
#performCalculations(): void +setupArguments(Arguments *): void Concrete engine
----- and possibly -----() ----- and possibly -----()
#setupExpired(): void #setupExpired(): void +calculate(): void
#performCalculations(): void

// override parent implementation

Instrument::performCalculations();
// additional behavior

On the one hand, the checking of the expiration condition is now performed in a method is-
Expired() separated from the actual calculation, and a setupExpired() method is provided.
The latter sets the NPV to 0.0 and can be extended in derived classes should any other results be
returned.
On the other hand, the pricing-engine machinery previously contained in the Option class was
moved upwards to the Instrument class. Also, the setupEngine() method was replaced by a
setupArguments(Arguments∗) method. This allows one to cleanly implement containment of
instruments with code such as:

class FooArguments : public Arguments { ... };

class Foo : public Instrument {

public:
void setupArguments(Arguments*);
...
};

class FooOptionArguments : public FooArguments { ... };

class FooOption : public Option {

private:
Foo underlying_;
public:
void setupArguments(Arguments* args) {
underlying_.setupArguments(args);
// set the option-specific part
}
...
};

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46 QuantLib components

which was more difficult to write with setupEngine().

Therefore, there are now two ways to inherit from Instrument, namely:

1. implement the isExpired method, and completely override the performCalculations

method so that it bypasses the pricing-engine machinery. If the class declared any other
results beside NPV_ and errorEstimate_, the setupExpired method should also be extended
so that those results are set to a value suitable for an expired instrument. This was the
migration path taken for all instruments not previously deriving from the Option class.
2. define suitable argument and result classes for the instrument and implement the is-
Expired and setupArguments methods, reusing the pricing-engine machinery provided by
the default performCalculations method. The latter can be extended by first calling
the default implementation and then performing any additional tasks required by the
instrument—most often, copying additional results from the pricing engine results to the
corresponding data members of the instrument. As in the previous case, the setupExpired
method can be extended to account for such extra data members.

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2.9 Math tools 47

2.9 Math tools

Documentation for this part of the library is in progress.
Math facilities of the library include:

2.9.1 Random number and low discrepancy sequence generators

Documentation for this part of the library is in progress.

Implementations of random number and low discrepancy sequence generators. They share the
QuantLib::RandomNumbers(p. 142) namespace.

2.9.2 One-dimensional solvers

Documentation for this part of the library is in progress.

The abstract class QuantLib::Solver1D(p. 608) provides the interface for one-dimensional solvers
which can find the zeroes of a given function.
A number of such solvers is contained in the QuantLib::Solvers1D(p. 147) namespace.
The implementation of the algorithms was inspired by "Numerical Recipes in C", 2nd edition,
Press, Teukolsky, Vetterling, Flannery - Chapter 9
Some work is needed to resolve the ambiguity of the root finding accuracy defition: for some
algorithms it is the x-accuracy, for others it is f(x)-accuracy.

2.9.3 Optimizers

The optimization framework (corresponding to the Optimization namespace) implements some

multi-dimensional minimizing methods. The function to be minimized is to be derived from
the QuantLib::Optimization::CostFunction(p. 273) base class (if the gradient is not analytically
implemented, it will be computed numerically).

The simplex method

This method, implemented in QuantLib::Optimization::Simplex(p. 603), is rather raw and re-

quires quite a lot of computing resources, but it has the advantage that it does not need any
evaluation of the cost function’s gradient, and that it is quite easily implemented. First, we must
choose N+1 starting points, given here by a starting point P0 and N points such that

Pi = P0 + λei ,

where λ is the problem’s characteristic length scale). These points will form a geometrical form
called simplex. The principle of the downhill simplex method is, at each iteration, to move the
worst point (highest cost function value) through the opposite face to a better point. When the
simplex seems to be constrained in a valley, it will be contracted downhill, keeping the best point
unchanged.

The conjugate gradient method

We’ll now continue with a bit more sophisticated method, implemented in Quant-
Lib::Optimization::ConjugateGradient(p. 268) . At each step, we minimize (using Armijo’s

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48 QuantLib components

line search algorithm, implemented in QuantLib::Optimization::ArmijoLineSearch(p. 172)

) the function along a line defined by
2
∇ f (xi )
di = −∇ f (xi ) + 2 di−1 ,
∇ f (xi−1 )

d0 = −∇ f (x0 ).

As we can see, this optimization method requires the knowledge of the gradient of the cost
function. see QuantLib::Optimization::ConjugateGradient(p. 268) .

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2.10 Design patterns 49

2.10 Design patterns

Documentation for this part of the library is in progress.

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50 QuantLib components

2.11 Term structures

Documentation for this part of the library is in progress.
The abstract class QuantLib::TermStructure(p. 634) provides the common interface to concrete
term structure models. Among others, methods are declared which return instantaneous forward
rate, discount factor, and zero rate at a given date. Adapter classes are provided which already
implement part of the required methods, thus allowing the programmer to define only the
non-redundant part. The PiecewiseConstantForwards class is provided as an example in the
QuantLib::TermStructures(p. 148) namespace.

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2.12 Utilities 51

2.12 Utilities
Documentation for this part of the library is in progress.
Iterators are meant to build a sequence on the fly from one or more other sequences, without
having to allocate place for storing it. A couple of examples: suppose we have a function which
calculates the average of a sequence, and that for genericity we have implemented it as a template
function which takes the beginning and the end of the sequence, so that its declaration is:

template <class Iterator>

typename Iterator::value_type
average(const Iterator& begin, const Iterator& end)

This kind of genericity allows one to use the same function to calculate the average of a std::vector,
a std::list, a QuantLib::History(p. 394), any other container, of a subset of any of the former.
Now let’s say we have two sequences of numbers, and we want to calculate the average of their
products. One approach could be to store the products in another sequence, and to calculate the
average of the latter, as in:

// we have sequence1 and sequence2 and assume equal size:

// first we store their product in a vector...
std::vector<double> products;
std::transform(sequence1.begin(),sequence1.end(), // first sequence
sequence2.begin(), // second sequence
std::back_inserter(products), // output
std::multiplies<double>()); // operation to perform
// ...then we calculate the average
double result = average(products.begin(),products.end());

The above works, however, it might be not particularly efficient since we have to allocate the
product vector, quite possibly just to throw it away when the calculation is done.
QuantLib::Utilities::coupling_iterator(p. 274) allows us to do the same thing without allocating
the extra vector: what we do is simply:

// we have sequence1 and sequence2 and assume equal size:

double result = average(
make_coupling_iterator(sequence1.begin(),
sequence2.begin(),
std::multiplies<double()),
make_coupling_iterator(sequence1.end(),
sequence2.end(),
std::multiplies<double()));

The call to make_coupling_iterator creates an iterator which is really a reference to the two
iterators and the operation we passed. Dereferencing such iterator returns the result of applying
such operation to the values pointed to by the two contained iterators. Advancing the coupling
iterator advances the two underlying ones. One can see how iterating on such iterator generates
the products one by one so that they can be processed by average(), but does not need allocating
memory for storing the results. The product sequence is generated on the fly.
The other iterators share the same principle but have different functionalities:

• combining_iterator is the same as coupling_iterator, but works on N sequences while the

latter works on 2;
• filtering_iterator generates the elements of a given sequence which satisfy a given predicate,
i.e., it takes a sequence [x0 , x1 , . . .] and a predicate p and generates the sequence of those xi
for which p(xi ) returns true;

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52 QuantLib components

• processing_iterator takes a sequence [x0 , x1 , . . .] and a function f and generates the sequence
[ f (x0 ), f (x1 ), . . .];
• stepping_iterator takes a sequence [x0 , x1 , . . .] and a step m and generates the sequence
[x0 , xm , x2m , . . .]

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Chapter 3

Examples

More examples of using the QuantLib library can be found in chapter 13 of the reference manual.
Should your viewer allow it, they can also be reached via the hyperlinks in the following list.

3.1 QuantLib Examples

Here is a list of all examples:

• AmericanOption.cpp
• BermudanSwaption.cpp
• DiscreteHedging.cpp
• EuropeanOption.cpp
• history_iterators.cpp
• swapvaluation.cpp
54 Examples

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 Part II

Reference Manual
Chapter 4

QuantLib Module Index

4.1 QuantLib Modules

Here is a list of all modules:
Global QuantLib macros . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
Math functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
Numeric limits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98
Time functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
String functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100
Character functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101
Input/output functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
Min and max functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103
Template capabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104
Iterator support . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106
58 QuantLib Module Index

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Chapter 5

QuantLib Namespace Index

5.1 QuantLib Namespace List

Here is a list of all documented namespaces with brief descriptions:
QuantLib (A.k.a. the QuantLib Foundation ) . . . . . . . . . . . . . . . . . . . . . . . . . 107
QuantLib::Calendars (Specialized Calendar(p. 235) classes ) . . . . . . . . . . . . . . . . 117
QuantLib::CashFlows (Concrete implementations of the CashFlow(p. 252) interface ) . 119
QuantLib::DayCounters (Specialized DayCounter(p. 292) classes ) . . . . . . . . . . . . 124
QuantLib::FiniteDifferences (Finite difference framework ) . . . . . . . . . . . . . . . . 125
QuantLib::Indexes (Concrete implementations of the Index(p. 417) interface ) . . . . . . 127
QuantLib::Instruments (Concrete implementations of the Instrument(p. 422) interface ) 128
QuantLib::Math (Mathematical functions and classes ) . . . . . . . . . . . . . . . . . . . 131
QuantLib::MonteCarlo (Monte Carlo framework ) . . . . . . . . . . . . . . . . . . . . . . 135
QuantLib::Patterns (Implementations of design patterns ) . . . . . . . . . . . . . . . . . 138
QuantLib::Pricers (Pricing models for options ) . . . . . . . . . . . . . . . . . . . . . . . . 139
QuantLib::RandomNumbers (Random Number Generators and Low Discrepancy Se-
quences ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 142
QuantLib::ShortRateModels (Implementations of short-rate models ) . . . . . . . . . . 144
QuantLib::Solvers1D (Implementations of the Solver1D(p. 608) interface ) . . . . . . . . 147
QuantLib::TermStructures (Concrete implementations of the TermStructure(p. 634) in-
terface ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 148
QuantLib::Utilities (Classes and functions of general utility ) . . . . . . . . . . . . . . . . 150
QuantLib::VolTermStructures (Concrete implementations of Volatility Term Structures ) 151
60 QuantLib Namespace Index

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Chapter 6

QuantLib Hierarchical Index

6.1 QuantLib Class Hierarchy

This inheritance list is sorted roughly, but not completely, alphabetically:
AcyclicVisitor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 156
BPSCalculator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228
AffineModel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158
G2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 371
OneFactorAffineModel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 528
CoxIngersollRoss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 278
ExtendedCoxIngersollRoss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 336
Vasicek . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 669
HullWhite . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 400
Arguments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 169
CapFloor::arguments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 249
SimpleSwap::arguments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 601
Swaption::arguments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 627
VanillaOption::arguments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 667
BarrierOption::arguments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 185
BinaryOption::arguments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 200
CliquetOption::arguments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 260
Array . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 173
ArrayFormatter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 176
Barrier . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 180
Binary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 195
BlackKarasinski::Dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 210
BoundaryCondition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 224
BoundaryCondition< TridiagonalOperator > . . . . . . . . . . . . . . . . . . . . . . . . . 224
DirichletBC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 300
NeumannBC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 511
BoxMullerGaussianRng . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227
Bridge . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 230
Bridge< Calendar, CalendarImpl > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 230
Calendar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 235
Budapest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 233
62 QuantLib Hierarchical Index

Frankfurt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 367
Helsinki . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 392
Johannesburg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 434
JointCalendar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 435
London . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 467
Milan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 499
NewYork . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 514
NullCalendar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 520
Oslo . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 536
Stockholm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 616
Sydney . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 631
TARGET . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 633
Tokyo . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 643
Toronto . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 645
Warsaw . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 673
Wellington . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 674
Zurich . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 685
Bridge< Constraint, ConstraintImpl > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 230
Constraint . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 270
BoundaryConstraint . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 226
CompositeConstraint . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 266
NoConstraint . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 515
PositiveConstraint . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 556
Bridge< DayCounter, DayCounterImpl > . . . . . . . . . . . . . . . . . . . . . . . . . . . 230
DayCounter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 292
Actual360 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153
Actual365 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 154
ActualActual . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155
SimpleDayCounter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 597
Thirty360 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 639
Bridge< Parameter, ParameterImpl > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 230
Parameter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 539
ConstantParameter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 269
NullParameter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 521
PiecewiseConstantParameter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 552
TermStructureFittingParameter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 638
ExtendedCoxIngersollRoss::FittingParameter . . . . . . . . . . . . . . . . . . . 339
G2::FittingParameter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 373
HullWhite::FittingParameter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 403
BrownianBridge . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 231
CalendarImpl . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 239
Calendar::WesternImpl . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 238
CalibrationSet . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 242
CLGaussianRng . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 256
CliquetOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 258
CliquetOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 259
combining_iterator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 264
ConstraintImpl . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 271
CostFunction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 273
LeastSquareFunction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 446
coupling_iterator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 274
CoxIngersollRoss::Dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 280

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ExtendedCoxIngersollRoss::Dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . 338
CubicSpline . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 283
CumulativeNormalDistribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 285
CuriouslyRecurringTemplate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 286
Solver1D . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 608
CuriouslyRecurringTemplate< Bisection > . . . . . . . . . . . . . . . . . . . . . . . . . . . 286
Solver1D< Bisection > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 608
Bisection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 205
CuriouslyRecurringTemplate< Brent > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 286
Solver1D< Brent > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 608
Brent . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 229
CuriouslyRecurringTemplate< FalsePosition > . . . . . . . . . . . . . . . . . . . . . . . . 286
Solver1D< FalsePosition > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 608
FalsePosition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 342
CuriouslyRecurringTemplate< Newton > . . . . . . . . . . . . . . . . . . . . . . . . . . . 286
Solver1D< Newton > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 608
Newton . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 512
CuriouslyRecurringTemplate< NewtonSafe > . . . . . . . . . . . . . . . . . . . . . . . . . 286
Solver1D< NewtonSafe > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 608
NewtonSafe . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 513
CuriouslyRecurringTemplate< Ridder > . . . . . . . . . . . . . . . . . . . . . . . . . . . . 286
Solver1D< Ridder > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 608
Ridder . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 582
CuriouslyRecurringTemplate< Secant > . . . . . . . . . . . . . . . . . . . . . . . . . . . . 286
Solver1D< Secant > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 608
Secant . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 589
CurrencyFormatter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 287
Date . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 288
DateFormatter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 291
DayCounterImpl . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 294
DiffusionProcess . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 298
BlackScholesProcess . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 214
OrnsteinUhlenbeckProcess . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 534
SquareRootProcess . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 610
DiscretizedAsset . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 308
DiscretizedDiscountBond . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 310
DiscretizedOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 311
Disposable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 313
DoubleFormatter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 315
EndCriteria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 321
Error . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 325
AssertionFailedError . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 177
IllegalArgumentError . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 406
IllegalResultError . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 407
IndexError . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 421
OutOfMemoryError . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 537
PostconditionNotSatisfiedError . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 557
PreconditionNotSatisfiedError . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 558
ErrorFunction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 326
EuroFormatter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 328

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Exercise . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 334
AmericanExercise . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 162
BermudanExercise . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 189
EuropeanExercise . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 329
FdBermudanOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 344
FdDividendShoutOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 348
filtering_iterator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 351
FiniteDifferenceModel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 352
ForwardOptionArguments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 359
GammaFunction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 374
GaussianStatistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 375
GeneralStatistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 378
GenericRiskStatistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 383
HaltonRsg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 389
Handle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 390
Handle< BlackModel > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 390
Handle< Impl > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 390
Handle< Link< TermStructure > > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 390
RelinkableHandle< TermStructure > . . . . . . . . . . . . . . . . . . . . . . . . . . . . 579
Handle< Link< Type > > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 390
RelinkableHandle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 579
Handle< MonteCarlo::MonteCarloModel< MonteCarlo::MultiAsset_old< Monte-
Carlo::PseudoRandomSequence_old >, Math::Statistics > > . . . . . . . . . . 390
Handle< MonteCarlo::MonteCarloModel< MonteCarlo::SingleAsset< RNG >, S > > . . 390
Handle< MonteCarlo::MonteCarloModel< MonteCarlo::SingleAsset_old< Monte-
Carlo::PseudoRandom_old >, Math::Statistics > > . . . . . . . . . . . . . . . . 390
Handle< path_generator_type > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 390
Handle< path_pricer_type > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 390
Handle< ShortRateModels::OneFactorAffineModel > . . . . . . . . . . . . . . . . . . . . 390
Handle< TermStructure > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 390
History . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 394
History::const_iterator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 397
History::Entry . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 399
HullWhite::Dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 402
ICGaussianRng . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 404
ICGaussianRsg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 405
IncrementalStatistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 414
IntegerFormatter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 425
Interpolation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 427
CubicSplineInterpolation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 284
LinearInterpolation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 452
LogLinearInterpolation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 466
Interpolation2D . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 429
BicubicSplineInterpolation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 191
BilinearInterpolation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 193
InverseCumulativeNormal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 431
KnuthUniformRng . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 437
KronrodIntegral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 438
LeastSquareProblem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 447
LecuyerUniformRng . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 448
LexicographicalView . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 449
Linear . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 451

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LineSearch . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 453
ArmijoLineSearch . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 172
LogLinear . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 465
lowest_category_iterator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 468
MakeSchedule . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 469
Matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 471
McPricer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 490
McBasket . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 477
McCliquetOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 480
McDiscreteArithmeticAPO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 481
McDiscreteArithmeticASO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 482
McEuropean . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 483
McEverest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 485
McHimalaya . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 486
McMaxBasket . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 487
McPagoda . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 488
McPerformanceOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 489
McPricer< MonteCarlo::MultiAsset_old< MonteCarlo::PseudoRandomSequence_old > > 490
McPricer< MonteCarlo::SingleAsset_old< MonteCarlo::PseudoRandom_old > > . . . . 490
McSimulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 492
MCBarrierEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 475
MCBinaryEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 478
MCVanillaEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 494
MCEuropeanEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 484
McSimulation< MonteCarlo::SingleAsset< RNG >, S > . . . . . . . . . . . . . . . . . . . 492
MersenneTwisterUniformRng . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 496
Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 497
ConjugateGradient . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 268
Simplex . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 603
SteepestDescent . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 611
MixedScheme . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 500
CrankNicolson . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 282
ExplicitEuler . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 335
ImplicitEuler . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 408
MonteCarloModel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 504
MonteCarloModel< MonteCarlo::MultiAsset_old< MonteCarlo::PseudoRandom-
Sequence_old >, Math::Statistics > . . . . . . . . . . . . . . . . . . . . . . . . . 504
MonteCarloModel< MonteCarlo::SingleAsset< RNG >, S > . . . . . . . . . . . . . . . . . 504
MonteCarloModel< MonteCarlo::SingleAsset_old< MonteCarlo::PseudoRandom_old
>, Math::Statistics > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 504
MoroInverseCumulativeNormal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 505
MultiPath . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 506
MultiPathGenerator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 507
MultiPathGenerator_old . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 508
MultivariateAccumulator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 509
NonLinearLeastSquare . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 516
NormalDistribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 518
Null . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 519
NumericalMethod . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 522
Lattice . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 439
BlackScholesLattice . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 213
Lattice2D . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 441

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66 QuantLib Hierarchical Index

TwoFactorModel::ShortRateTree . . . . . . . . . . . . . . . . . . . . . . . . . . . 659
OneFactorModel::ShortRateTree . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 531
Observable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 523
BlackModel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211
BlackVolTermStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 222
BlackVarianceTermStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 220
BlackVarianceCurve . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 216
BlackVarianceSurface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 218
ImpliedVolTermStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 411
BlackVolatilityTermStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 221
BlackConstantVol . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 207
CapFlatVolatilityStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 244
CapFlatVolatilityVector . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 246
CapletForwardVolatilityStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 251
CashFlow . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 252
Coupon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 276
FixedRateCoupon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 353
FloatingRateCoupon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 355
IndexedCoupon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 419
InArrearIndexedCoupon . . . . . . . . . . . . . . . . . . . . . . . . . . . . 413
UpFrontIndexedCoupon . . . . . . . . . . . . . . . . . . . . . . . . . . . . 660
ParCoupon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 541
ShortFloatingRateCoupon . . . . . . . . . . . . . . . . . . . . . . . . . . . 594
SimpleCashFlow . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 596
Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 417
Xibor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 675
AUDLibor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 179
CADLibor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 234
CHFLibor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 255
Euribor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 327
GBPLibor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 377
JPYLibor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 436
USDLibor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 661
ZARLibor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 678
Link . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 455
Link< TermStructure > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 455
LocalVolTermStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 463
LocalConstantVol . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 457
LocalVolCurve . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 459
LocalVolSurface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 461
MarketElement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 470
CompositeMarketElement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 267
DerivedMarketElement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 297
SimpleMarketElement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 598
LazyObject . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 443
Instrument . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 422
CapFloor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 247
Cap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 243
Collar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 263
Floor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 357
Stock . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 615
Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 621

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6.1 QuantLib Class Hierarchy 67

SimpleSwap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 599
Option . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 533
BarrierOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 182
BinaryOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 197
Swaption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 625
VanillaOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 664
ForwardVanillaOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 365
QuantoVanillaOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 572
QuantoForwardVanillaOption . . . . . . . . . . . . . . . . . . . . . . . . . 566
PiecewiseFlatForward . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 553
GenericModelEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 382
AnalyticalCapFloor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 164
BlackCapFloor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 206
BlackSwaption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 215
JamshidianSwaption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 432
LatticeShortRateModelEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 442
TreeCapFloor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 649
TreeSwaption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 650
LatticeShortRateModelEngine< Instruments::CapFloor::arguments,
Instruments::CapFloor::results > . . . . . . . . . . . . . . . . . . . . . . 442
LatticeShortRateModelEngine< Instruments::Swaption::arguments, Instru-
ments::Swaption::results > . . . . . . . . . . . . . . . . . . . . . . . . . 442
GenericModelEngine< BlackModel, Instruments::CapFloor::arguments,
Instruments::CapFloor::results > . . . . . . . . . . . . . . . . . . . . . . . . 382
GenericModelEngine< BlackModel, Instruments::Swaption::arguments, Instru-
ments::Swaption::results > . . . . . . . . . . . . . . . . . . . . . . . . . . . 382
GenericModelEngine< ShortRateModels::AffineModel, Instruments::Cap-
Floor::arguments, Instruments::CapFloor::results > . . . . . . . . . . . . . 382
GenericModelEngine< ShortRateModels::Model, Arguments, Results > . . . . . . . . 382
GenericModelEngine< ShortRateModels::Model, Instruments::Cap-
Floor::arguments, Instruments::CapFloor::results > . . . . . . . . . . . . . 382
GenericModelEngine< ShortRateModels::Model, Instru-
ments::Swaption::arguments, Instruments::Swaption::results > . . . . . . 382
GenericModelEngine< ShortRateModels::OneFactorAffineModel, Instru-
ments::Swaption::arguments, Instruments::Swaption::results > . . . . . . 382
CalibrationHelper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 240
Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 502
OneFactorModel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 529
BlackKarasinski . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 209
OneFactorAffineModel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 528
TwoFactorModel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 657
G2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 371
SwaptionVolatilityStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 630
SwaptionVolatilityMatrix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 629
TermStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 634
DiscountStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 303
AffineTermStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159
DiscountCurve . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 301
ExtendedDiscountCurve . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 340
ImpliedTermStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 409
ForwardRateStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 361
ForwardSpreadedTermStructure . . . . . . . . . . . . . . . . . . . . . . . . . . 363

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68 QuantLib Hierarchical Index

PiecewiseFlatForward . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 553
ZeroYieldStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 683
DriftTermStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 318
QuantoTermStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 570
ZeroCurve . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 679
ZeroSpreadedTermStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 681
RateHelper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 577
DepositRateHelper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 295
FraRateHelper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 368
FuturesRateHelper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 370
SwapRateHelper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 623
Observer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 525
BlackModel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211
IndexedCoupon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 419
ParCoupon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 541
CompositeMarketElement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 267
DerivedMarketElement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 297
Xibor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 675
Link . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 455
Link< TermStructure > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 455
LazyObject . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 443
GenericModelEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 382
GenericModelEngine< BlackModel, Instruments::CapFloor::arguments,
Instruments::CapFloor::results > . . . . . . . . . . . . . . . . . . . . . . . . 382
GenericModelEngine< BlackModel, Instruments::Swaption::arguments, Instru-
ments::Swaption::results > . . . . . . . . . . . . . . . . . . . . . . . . . . . 382
GenericModelEngine< ShortRateModels::AffineModel, Instruments::Cap-
Floor::arguments, Instruments::CapFloor::results > . . . . . . . . . . . . . 382
GenericModelEngine< ShortRateModels::Model, Arguments, Results > . . . . . . . . 382
GenericModelEngine< ShortRateModels::Model, Instruments::Cap-
Floor::arguments, Instruments::CapFloor::results > . . . . . . . . . . . . . 382
GenericModelEngine< ShortRateModels::Model, Instru-
ments::Swaption::arguments, Instruments::Swaption::results > . . . . . . 382
GenericModelEngine< ShortRateModels::OneFactorAffineModel, Instru-
ments::Swaption::arguments, Instruments::Swaption::results > . . . . . . 382
CalibrationHelper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 240
Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 502
AffineTermStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159
DriftTermStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 318
ExtendedDiscountCurve . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 340
ForwardSpreadedTermStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 363
ImpliedTermStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 409
QuantoTermStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 570
RateHelper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 577
ZeroSpreadedTermStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 681
BlackConstantVol . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 207
BlackVarianceCurve . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 216
BlackVarianceSurface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 218
ImpliedVolTermStructure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 411
LocalConstantVol . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 457
LocalVolCurve . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 459
LocalVolSurface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 461
OneFactorModel::ShortRateDynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 530

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6.1 QuantLib Class Hierarchy 69

ParameterImpl . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 540
Path . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 543
PathGenerator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 544
PathGenerator_old . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 545
PathPricer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 546
PathPricer< Path > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 546
BarrierPathPricer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 187
BiasedBarrierPathPricer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 190
BinaryPathPricer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 202
CliquetOptionPathPricer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 261
EuropeanPathPricer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 331
PathPricer_old . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 547
PathPricer_old< MultiPath > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 547
BasketPathPricer_old . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 188
EverestPathPricer_old . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 333
HimalayaPathPricer_old . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 393
MaxBasketPathPricer_old . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 474
PagodaPathPricer_old . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 538
PathPricer_old< Path > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 547
ArithmeticAPOPathPricer_old . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 170
ArithmeticASOPathPricer_old . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 171
CliquetOptionPathPricer_old . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 262
EuropeanPathPricer_old . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 332
GeometricAPOPathPricer_old . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 386
GeometricASOPathPricer_old . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 387
PerformanceOptionPathPricer_old . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 550
Payoff . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 548
StrikedTypePayoff . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 617
AssetOrNothingPayoff . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 178
CashOrNothingPayoff . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 254
PlainVanillaPayoff . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 555
SupersharePayoff . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 619
PerformanceOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 549
Period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 551
PricingEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 559
GenericEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 381
BarrierEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 181
AnalyticBarrierEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166
MCBarrierEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 475
BinaryEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 196
AnalyticAmericanBinaryEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . 165
AnalyticEuropeanBinaryEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . 167
MCBinaryEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 478
CliquetEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 257
ForwardEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 358
ForwardPerformanceEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 360
GenericModelEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 382
GenericModelEngine< BlackModel, Instruments::CapFloor::arguments,
Instruments::CapFloor::results > . . . . . . . . . . . . . . . . . . . . . . 382
GenericModelEngine< BlackModel, Instruments::Swaption::arguments, Instru-
ments::Swaption::results > . . . . . . . . . . . . . . . . . . . . . . . . . 382

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70 QuantLib Hierarchical Index

GenericModelEngine< ShortRateModels::AffineModel, Instruments::Cap-

Floor::arguments, Instruments::CapFloor::results > . . . . . . . . . . . 382
GenericModelEngine< ShortRateModels::Model, Instruments::Cap-
Floor::arguments, Instruments::CapFloor::results > . . . . . . . . . . . 382
GenericModelEngine< ShortRateModels::Model, Instru-
ments::Swaption::arguments, Instruments::Swaption::results > . . . . 382
GenericModelEngine< ShortRateModels::OneFactorAffineModel, Instru-
ments::Swaption::arguments, Instruments::Swaption::results > . . . . 382
QuantoEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 565
VanillaEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 663
AmericanMCVanillaEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163
AnalyticEuropeanEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 168
BinomialVanillaEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 204
IntegralEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 426
MCVanillaEngine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 494
GenericEngine< Arguments, Results > . . . . . . . . . . . . . . . . . . . . . . . . . . . 381
GenericModelEngine< ShortRateModels::Model, Arguments, Results > . . . . . . 382
GenericEngine< Instruments::BarrierOption::arguments, Instruments::Barrier-
Option::results > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 381
GenericEngine< Instruments::BinaryOption::arguments, Instruments::Binary-
Option::results > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 381
GenericEngine< Instruments::CapFloor::arguments, Instruments::CapFloor::results > 381
GenericEngine< Instruments::CliquetOption::arguments, Instruments::Vanilla-
Option::results > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 381
GenericEngine< Instruments::ForwardOptionArguments< ArgumentsType >,
ResultsType > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 381
GenericEngine< Instruments::QuantoOptionArguments< ArgumentsType >,
Instruments::QuantoOptionResults< ResultsType > > . . . . . . . . . . . 381
GenericEngine< Instruments::Swaption::arguments, Instruments::Swaption::results > 381
GenericEngine< Instruments::VanillaOption::arguments, Instruments::Vanilla-
Option::results > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 381
PrimeNumbers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 560
Problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 561
processing_iterator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 563
QuantoOptionArguments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 568
QuantoOptionResults . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 569
RandomArrayGenerator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 574
RandomSequenceGenerator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 575
RateFormatter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 576
Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 581
Greeks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 388
VanillaOption::results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 668
BarrierOption::results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 186
BinaryOption::results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 201
Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 662
CapFloor::results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 250
SimpleSwap::results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 602
Swaption::results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 628
VanillaOption::results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 668
RiskMeasures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 583
RiskStatistics_old . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 585
Sample . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 587
Schedule . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 588

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6.1 QuantLib Class Hierarchy 71

SegmentIntegral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 590
SequenceStatistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 591
SequenceStatistics< Statistics > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 591
DiscrepancyStatistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 305
Short . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 593
SingleAssetOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 605
BarrierOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 184
BinaryOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 199
DiscreteGeometricAPO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 306
DiscreteGeometricASO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 307
EuropeanOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 330
ContinuousGeometricAPO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272
FdDividendEuropeanOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 347
FdBsmOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 345
FdEuropean . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 349
FdStepConditionOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 350
FdAmericanOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 343
SobolRsg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 607
StepCondition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 612
AmericanCondition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161
ShoutCondition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 595
StepCondition< Array > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 612
stepping_iterator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 613
StringFormatter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 618
SVD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 620
SymmetricSchurDecomposition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 632
TermStructureConsistentModel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 637
BlackKarasinski . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 209
ExtendedCoxIngersollRoss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 336
G2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 371
HullWhite . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 400
TimeBasket . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 641
TimeGrid . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 642
TrapezoidIntegral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 646
SimpsonIntegral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 604
Tree . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 648
BinomialTree . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 203
EqualJumpsBinomialTree . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 323
CoxRossRubinstein . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 281
Trigeorgis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 654
EqualProbabilitiesBinomialTree . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 324
AdditiveEQPBinomialTree . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157
JarrowRudd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 433
Tian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 640
TrinomialTree . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 656
TridiagonalOperator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 651
BSMOperator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 232
DMinus . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 314
DPlus . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 316
DPlusDMinus . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 317
DZero . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 320

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72 QuantLib Hierarchical Index

OneFactorOperator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 532
TridiagonalOperator::TimeSetter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 653
TrinomialBranching . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 655
TwoFactorModel::ShortRateDynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 658
Vasicek::Dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 671
Visitor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 672
Visitor< BlackVolTermStructure > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 672
Visitor< CashFlow > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 672
BPSCalculator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228
Visitor< Coupon > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 672
BPSCalculator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228
Visitor< FixedRateCoupon > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 672
Visitor< VolTermStructures::BlackConstantVol > . . . . . . . . . . . . . . . . . . . . . . . 672
Visitor< VolTermStructures::BlackVarianceCurve > . . . . . . . . . . . . . . . . . . . . . . 672
XiborManager . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 677

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Chapter 7

QuantLib Class Index

7.1 QuantLib Class List

Here are the classes, structs, unions and interfaces with brief descriptions:
Actual360 (Actual/360 day count convention ) . . . . . . . . . . . . . . . . . . . . . . . . 153
Actual365 (Actual/365 day count convention ) . . . . . . . . . . . . . . . . . . . . . . . . 154
ActualActual (Actual/Actual day count ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 155
AcyclicVisitor (Degenerate base class for the Acyclic Visitor(p. 672) pattern ) . . . . . . 156
AdditiveEQPBinomialTree (Additive equal probabilities binomial tree ) . . . . . . . . . 157
AffineModel (Affine model class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158
AffineTermStructure (Term-structure implied by an affine model ) . . . . . . . . . . . . 159
AmericanCondition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161
AmericanExercise (American exercise class ) . . . . . . . . . . . . . . . . . . . . . . . . . 162
AmericanMCVanillaEngine (Least-square Monte Carlo engine ) . . . . . . . . . . . . . . 163
AnalyticalCapFloor (Analytical pricer for cap/floor ) . . . . . . . . . . . . . . . . . . . . . 164
AnalyticAmericanBinaryEngine (Pricing engine for American binary options using
analytic formulae ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 165
AnalyticBarrierEngine (Pricing engine for Barrier(p. 180) options using analytical for-
mulae ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166
AnalyticEuropeanBinaryEngine (Pricing engine for European binary options using an-
alytic formulae ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167
AnalyticEuropeanEngine (Pricing engine for European options using analytical formu-
lae ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 168
Arguments (Base class for generic argument groups ) . . . . . . . . . . . . . . . . . . . . 169
ArithmeticAPOPathPricer_old (path pricer for arithmetic average price option ) . . . . 170
ArithmeticASOPathPricer_old (path pricer for arithmetic average strike Asian options ) 171
ArmijoLineSearch . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 172
Array (1-D array used in linear algebra ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 173
ArrayFormatter (Formats arrays for output ) . . . . . . . . . . . . . . . . . . . . . . . . . 176
AssertionFailedError (Specialized error ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 177
AssetOrNothingPayoff (Binary(p. 195) Asset-Or-Nothing option payoff ) . . . . . . . . 178
AUDLibor (AUD Libor index (Also known as SIBOR, check settlement days) ) . . . . . 179
Barrier (Placeholder for enumerated barrier types ) . . . . . . . . . . . . . . . . . . . . . 180
BarrierEngine (Barrier(p. 180) engine base class ) . . . . . . . . . . . . . . . . . . . . . . . 181
BarrierOption (Barrier(p. 180) option on a single asset ) . . . . . . . . . . . . . . . . . . . 182
BarrierOption (Barrier(p. 180) option ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 184
BarrierOption::arguments (Arguments(p. 169) for barrier option calculation ) . . . . . . 185
74 QuantLib Class Index

BarrierOption::results (results from barrier option calculation ) . . . . . . . . . . . . . . 186

BarrierPathPricer (path pricer for Barrier(p. 180) options ) . . . . . . . . . . . . . . . . . 187
BasketPathPricer_old (Multipath pricer for European-type basket option ) . . . . . . . . 188
BermudanExercise (Bermudan exercise class ) . . . . . . . . . . . . . . . . . . . . . . . . 189
BiasedBarrierPathPricer (Biased, but simple, path pricer for Barrier(p. 180) options ) . . 190
BicubicSplineInterpolation (Bicubic spline interpolation between discrete points ) . . . 191
BilinearInterpolation (Bilinear interpolation between discrete points ) . . . . . . . . . . 193
Binary (Placeholder for enumerated binary types ) . . . . . . . . . . . . . . . . . . . . . . 195
BinaryEngine (Binary(p. 195) engine base class ) . . . . . . . . . . . . . . . . . . . . . . . 196
BinaryOption (Binary(p. 195) option on a single asset ) . . . . . . . . . . . . . . . . . . . 197
BinaryOption (Binary(p. 195) (digital) option ) . . . . . . . . . . . . . . . . . . . . . . . . 199
BinaryOption::arguments (arguments for binary option calculation ) . . . . . . . . . . . 200
BinaryOption::results (results from binary option calculation ) . . . . . . . . . . . . . . . 201
BinaryPathPricer (path pricer for Binary(p. 195) options ) . . . . . . . . . . . . . . . . . . 202
BinomialTree (Binomial tree base class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 203
BinomialVanillaEngine (Pricing engine for Vanilla options using binomial trees ) . . . . 204
Bisection (bisection 1-D solver ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 205
BlackCapFloor (CapFloor priced by the Black formula ) . . . . . . . . . . . . . . . . . . . 206
BlackConstantVol (Constant Black volatility, no time-strike dependence ) . . . . . . . . 207
BlackKarasinski (Standard Black-Karasinski model class ) . . . . . . . . . . . . . . . . . 209
BlackKarasinski::Dynamics (Short-rate dynamics in the Black-Karasinski model ) . . . 210
BlackModel (Black-model for vanilla interest-rate derivatives ) . . . . . . . . . . . . . . 211
BlackScholesLattice (Simple binomial lattice approximating the Black-Scholes model ) . 213
BlackScholesProcess (Black-Scholes diffusion process class ) . . . . . . . . . . . . . . . . 214
BlackSwaption (Swaption priced by the Black formula ) . . . . . . . . . . . . . . . . . . 215
BlackVarianceCurve (Black volatility curve modelled as variance curve ) . . . . . . . . . 216
BlackVarianceSurface (Black volatility surface modelled as variance surface ) . . . . . . 218
BlackVarianceTermStructure (Black Variance term structure ) . . . . . . . . . . . . . . . 220
BlackVolatilityTermStructure (Black Volatility term structure ) . . . . . . . . . . . . . . 221
BlackVolTermStructure (Black Volatility Term structure ) . . . . . . . . . . . . . . . . . . 222
BoundaryCondition (Abstract boundary condition class for finite difference problems ) 224
BoundaryConstraint (Constraint(p. 270) imposing all arguments to be in [low,high] ) . 226
BoxMullerGaussianRng (Gaussian random number generator ) . . . . . . . . . . . . . . 227
BPSCalculator (Basis point sensitivity (BPS) calculator ) . . . . . . . . . . . . . . . . . . . 228
Brent (Brent 1-D solver ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 229
Bridge (The Bridge(p. 230) pattern made explicit ) . . . . . . . . . . . . . . . . . . . . . . 230
BrownianBridge (Builds Wiener process paths using Gaussian variates ) . . . . . . . . . 231
BSMOperator (Black-Scholes-Merton differential operator ) . . . . . . . . . . . . . . . . 232
Budapest (Budapest calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 233
CADLibor (CAD Libor index (Also known as CDOR) ) . . . . . . . . . . . . . . . . . . . 234
Calendar (calendar class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 235
Calendar::WesternImpl . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 238
CalendarImpl (Abstract base class for calendar implementations ) . . . . . . . . . . . . . 239
CalibrationHelper (Liquid market instrument used during calibration ) . . . . . . . . . 240
CalibrationSet (Set of calibration instruments ) . . . . . . . . . . . . . . . . . . . . . . . . 242
Cap (Concrete cap class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 243
CapFlatVolatilityStructure (Cap/floor flat volatility structure ) . . . . . . . . . . . . . . . 244
CapFlatVolatilityVector (Cap/floor at-the-money flat volatility vector ) . . . . . . . . . . 246
CapFloor (Base class for cap-like instruments ) . . . . . . . . . . . . . . . . . . . . . . . . 247
CapFloor::arguments (Arguments(p. 169) for cap/floor calculation ) . . . . . . . . . . . . 249
CapFloor::results (results from cap/floor calculation ) . . . . . . . . . . . . . . . . . . . . 250
CapletForwardVolatilityStructure (Caplet/floorlet forward volatility structure ) . . . . . 251
CashFlow (Base class for cash flows ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 252
CashOrNothingPayoff (Binary(p. 195) Cash-Or-Nothing option payoff ) . . . . . . . . . 254

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CHFLibor (CHF Libor index (Also known as ZIBOR) ) . . . . . . . . . . . . . . . . . . . 255

CLGaussianRng (Gaussian random number generator ) . . . . . . . . . . . . . . . . . . 256
CliquetEngine (Cliquet engine base class ) . . . . . . . . . . . . . . . . . . . . . . . . . . 257
CliquetOption (Currently just a container for arguments and results ) . . . . . . . . . . 258
CliquetOption (Cliquet (Ratchet) option ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 259
CliquetOption::arguments (Arguments(p. 169) for cliquet option calculation ) . . . . . . 260
CliquetOptionPathPricer (path pricer for cliquet options ) . . . . . . . . . . . . . . . . . 261
CliquetOptionPathPricer_old (path pricer for cliquet options ) . . . . . . . . . . . . . . 262
Collar (Concrete cap class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 263
combining_iterator (Iterator mapping a function to a set of underlying sequences ) . . . 264
CompositeConstraint (Constraint(p. 270) enforcing both given sub-constraints ) . . . . 266
CompositeMarketElement (Market element whose value depends on two other market
element ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 267
ConjugateGradient (Multi-dimensional Conjugate Gradient class ) . . . . . . . . . . . . 268
ConstantParameter (Standard constant parameter a(t) = a ) . . . . . . . . . . . . . . . . . 269
Constraint (Base constraint class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 270
ConstraintImpl (Base class for Constraint(p. 270) implementations ) . . . . . . . . . . . 271
ContinuousGeometricAPO (Continuous Geometric Average Price Option(p. 533) (Eu-
ropean exercise) ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272
CostFunction (Cost function abstract class for optimization problem ) . . . . . . . . . . . 273
coupling_iterator (Iterator mapping a function to a pair of underlying sequences ) . . . 274
Coupon (coupon accruing over a fixed period ) . . . . . . . . . . . . . . . . . . . . . . . . 276
CoxIngersollRoss (Cox-Ingersoll-Ross model class ) . . . . . . . . . . . . . . . . . . . . . 278
CoxIngersollRoss::Dynamics (Dynamics(p. 280) of the short-rate under the Cox-
Ingersoll-Ross model ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 280
CoxRossRubinstein (Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree ) 281
CrankNicolson (Crank-Nicolson scheme for finite difference methods ) . . . . . . . . . . 282
CubicSpline (Cubic-spline interpolation traits ) . . . . . . . . . . . . . . . . . . . . . . . 283
CubicSplineInterpolation (Cubic spline interpolation between discrete points ) . . . . . 284
CumulativeNormalDistribution (Cumulative normal distribution function ) . . . . . . 285
CuriouslyRecurringTemplate (Support for the curiously recurring template pattern ) . 286
CurrencyFormatter (Formats currencies for output ) . . . . . . . . . . . . . . . . . . . . . 287
Date (Concrete date class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 288
DateFormatter (Formats dates for output ) . . . . . . . . . . . . . . . . . . . . . . . . . . 291
DayCounter (Day counter class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 292
DayCounterImpl (Abstract base class for day counter implementations ) . . . . . . . . . 294
DepositRateHelper (Deposit rate ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 295
DerivedMarketElement (Market element whose value depends on another market ele-
ment ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 297
DiffusionProcess (Diffusion process class ) . . . . . . . . . . . . . . . . . . . . . . . . . . 298
DirichletBC (Neumann boundary condition (i.e., constant value) ) . . . . . . . . . . . . 300
DiscountCurve (Term structure based on loglinear interpolation of discount factors ) . . 301
DiscountStructure (Discount factor term structure ) . . . . . . . . . . . . . . . . . . . . . 303
DiscrepancyStatistics (Statistic tool for sequences with discrepancy calculation ) . . . . 305
DiscreteGeometricAPO (Discrete Geometric Average Price Asian Option(p. 533) (Euro-
pean style) ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 306
DiscreteGeometricASO (Discrete Geometric Average Strike Asian Option(p. 533) (Eu-
ropean style) ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 307
DiscretizedAsset (Discretized asset class used by numerical methods ) . . . . . . . . . . 308
DiscretizedDiscountBond (Useful discretized discount bond asset ) . . . . . . . . . . . 310
DiscretizedOption (Discretized option on another asset ) . . . . . . . . . . . . . . . . . . 311
Disposable (Generic disposable object with move semantics ) . . . . . . . . . . . . . . . 313
DMinus (D− matricial representation ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 314
DoubleFormatter (Formats doubles for output ) . . . . . . . . . . . . . . . . . . . . . . . 315

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76 QuantLib Class Index

DPlus (D+ matricial representation ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 316

DPlusDMinus (D+ D− matricial representation ) . . . . . . . . . . . . . . . . . . . . . . . 317
DriftTermStructure (Drift term structure ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 318
DZero (D0 matricial representation ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 320
EndCriteria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 321
EqualJumpsBinomialTree (Base class for equal jumps binomial tree ) . . . . . . . . . . . 323
EqualProbabilitiesBinomialTree (Base class for equal probabilities binomial tree ) . . . 324
Error (Base error class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 325
ErrorFunction (Error(p. 325) function ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 326
Euribor (Euribor index ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 327
EuroFormatter (Formats amounts in Euro for output ) . . . . . . . . . . . . . . . . . . . . 328
EuropeanExercise (European exercise class ) . . . . . . . . . . . . . . . . . . . . . . . . . 329
EuropeanOption (Black-Scholes-Merton European option ) . . . . . . . . . . . . . . . . . 330
EuropeanPathPricer (path pricer for European options ) . . . . . . . . . . . . . . . . . . 331
EuropeanPathPricer_old (path pricer for European options ) . . . . . . . . . . . . . . . . 332
EverestPathPricer_old (path pricer for European-type Everest option ) . . . . . . . . . . 333
Exercise (Exercise(p. 334) class (American, Bermudan or European) ) . . . . . . . . . . . 334
ExplicitEuler (Forward Euler scheme for finite difference methods ) . . . . . . . . . . . . 335
ExtendedCoxIngersollRoss (Extended Cox-Ingersoll-Ross model class ) . . . . . . . . . 336
ExtendedCoxIngersollRoss::Dynamics (Short-rate dynamics in the extended Cox-
Ingersoll-Ross model ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 338
ExtendedCoxIngersollRoss::FittingParameter (Analytical term-structure fitting param-
eter ϕ(t) ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 339
ExtendedDiscountCurve (Term structure based on loglinear interpolation of discount
factors ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 340
FalsePosition (False position 1-D solver ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 342
FdAmericanOption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 343
FdBermudanOption (Bermudan option ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 344
FdBsmOption (Black-Scholes-Merton option priced numerically ) . . . . . . . . . . . . . 345
FdDividendEuropeanOption (European option with dividends ) . . . . . . . . . . . . . 347
FdDividendShoutOption (Shout option with dividends ) . . . . . . . . . . . . . . . . . . 348
FdEuropean (Example of European option calculated using finite differences ) . . . . . . 349
FdStepConditionOption (option executing additional code at each time step ) . . . . . 350
filtering_iterator (Iterator filtering undesired data ) . . . . . . . . . . . . . . . . . . . . . 351
FiniteDifferenceModel (Generic finite difference model ) . . . . . . . . . . . . . . . . . . 352
FixedRateCoupon (coupon paying a fixed interest rate ) . . . . . . . . . . . . . . . . . . . 353
FloatingRateCoupon (coupon at par on a term structure ) . . . . . . . . . . . . . . . . . . 355
Floor (Concrete floor class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 357
ForwardEngine (Forward engine base class ) . . . . . . . . . . . . . . . . . . . . . . . . . 358
ForwardOptionArguments (Arguments(p. 169) for forward (strike-resetting) option cal-
culation ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 359
ForwardPerformanceEngine (Forward Performance engine base class ) . . . . . . . . . . 360
ForwardRateStructure (Forward rate term structure ) . . . . . . . . . . . . . . . . . . . . 361
ForwardSpreadedTermStructure (Term structure with added spread on the instanta-
neous forward rate ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 363
ForwardVanillaOption (Forward version of a vanilla option ) . . . . . . . . . . . . . . . 365
Frankfurt (Frankfurt calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 367
FraRateHelper (Forward rate agreement ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 368
FuturesRateHelper (Interest Rate Futures ) . . . . . . . . . . . . . . . . . . . . . . . . . . 370
G2 (Two-additive-factor gaussian model class ) . . . . . . . . . . . . . . . . . . . . . . . . 371
G2::FittingParameter (Analytical term-structure fitting parameter ϕ(t) ) . . . . . . . . . 373
GammaFunction (Gamma function class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 374
GaussianStatistics (Statistics tool for gaussian-assumption risk measures ) . . . . . . . . 375
GBPLibor (GBP Libor index ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 377

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7.1 QuantLib Class List 77

GeneralStatistics (Statistics tool ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 378

GenericEngine (Template base class for option pricing engines ) . . . . . . . . . . . . . . 381
GenericModelEngine (Base class for some pricing engine on a particular model ) . . . . 382
GenericRiskStatistics (Empirical-distribution risk measures ) . . . . . . . . . . . . . . . 383
GeometricAPOPathPricer_old (path pricer for geometric average price option ) . . . . . 386
GeometricASOPathPricer_old (path pricer for geometric average strike option ) . . . . 387
Greeks (Additional option results ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 388
HaltonRsg (Halton low-discrepancy sequence generator ) . . . . . . . . . . . . . . . . . 389
Handle (Reference-counted pointer ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 390
Helsinki (Helsinki calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 392
HimalayaPathPricer_old (Multipath pricer for European-type Himalaya option ) . . . . 393
History (Container for historical data ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 394
History::const_iterator (Random access iterator on history entries ) . . . . . . . . . . . . 397
History::Entry (Single datum in history ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 399
HullWhite (Single-factor Hull-White (extended Vasicek(p. 669)) model class ) . . . . . . 400
HullWhite::Dynamics (Short-rate dynamics in the Hull-White model ) . . . . . . . . . . 402
HullWhite::FittingParameter (Analytical term-structure fitting parameter ϕ(t) ) . . . . . 403
ICGaussianRng (Inverse cumulative Gaussian random number generator ) . . . . . . . 404
ICGaussianRsg (Inverse cumulative Gaussian random sequence generator ) . . . . . . . 405
IllegalArgumentError (Specialized error ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 406
IllegalResultError (Specialized error ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 407
ImplicitEuler (Backward Euler scheme for finite difference methods ) . . . . . . . . . . . 408
ImpliedTermStructure (Implied term structure at a given date in the future ) . . . . . . 409
ImpliedVolTermStructure (Implied vol term structure at a given date in the future ) . . 411
InArrearIndexedCoupon (in arrear indexed coupon class ) . . . . . . . . . . . . . . . . . 413
IncrementalStatistics (Statistics tool based on incremental accumulation ) . . . . . . . . 414
Index (Purely virtual base class for indexes ) . . . . . . . . . . . . . . . . . . . . . . . . . 417
IndexedCoupon (base indexed coupon class ) . . . . . . . . . . . . . . . . . . . . . . . . . 419
IndexError (Specialized error ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 421
Instrument (Abstract instrument class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 422
IntegerFormatter (Formats integers for output ) . . . . . . . . . . . . . . . . . . . . . . . 425
IntegralEngine (Pricing engine for Vanilla options using integral approach ) . . . . . . . 426
Interpolation (Abstract base class for 1-D interpolations ) . . . . . . . . . . . . . . . . . . 427
Interpolation2D (Abstract base class for 2-D interpolations ) . . . . . . . . . . . . . . . . 429
InverseCumulativeNormal (Inverse cumulative normal distribution function ) . . . . . 431
JamshidianSwaption (Jamshidian swaption pricer ) . . . . . . . . . . . . . . . . . . . . . 432
JarrowRudd (Jarrow-Rudd (multiplicative) equal probabilities binomial tree ) . . . . . . 433
Johannesburg (Johannesburg calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 434
JointCalendar (Joint calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 435
JPYLibor (JPY Libor index (Also known as TIBOR, check settlement days) ) . . . . . . . 436
KnuthUniformRng (Uniform random number generator ) . . . . . . . . . . . . . . . . . 437
KronrodIntegral (Integral of a 1-dimensional function using the Gauss-Kronrod method )438
Lattice (Lattice-method base class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 439
Lattice2D (Two-dimensional lattice ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 441
LatticeShortRateModelEngine (Engine for a short-rate model specialized on a lattice ) . 442
LazyObject (Framework for calculation on demand and result caching ) . . . . . . . . . 443
LeastSquareFunction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 446
LeastSquareProblem (Base class for least square problem ) . . . . . . . . . . . . . . . . . 447
LecuyerUniformRng (Uniform random number generator ) . . . . . . . . . . . . . . . . 448
LexicographicalView (Lexicographical 2-D view of a contiguous set of data ) . . . . . . 449
Linear (Linear(p. 451) interpolation traits ) . . . . . . . . . . . . . . . . . . . . . . . . . . 451
LinearInterpolation (Linear(p. 451) interpolation between discrete points ) . . . . . . . . 452
LineSearch (Base class for line search ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 453
Link (Relinkable access to a Handle(p. 390) ) . . . . . . . . . . . . . . . . . . . . . . . . . 455

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78 QuantLib Class Index

LocalConstantVol (Constant local volatility, no time-strike dependence ) . . . . . . . . . 457

LocalVolCurve (Local volatility curve derived from a Black curve ) . . . . . . . . . . . . 459
LocalVolSurface (Local volatility surface derived from a Black vol surface ) . . . . . . . 461
LocalVolTermStructure (Local Volatility Term structure ) . . . . . . . . . . . . . . . . . . 463
LogLinear (Log-linear interpolation traits ) . . . . . . . . . . . . . . . . . . . . . . . . . . 465
LogLinearInterpolation (Log linear interpolation between discrete points ) . . . . . . . 466
London (London calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 467
lowest_category_iterator (Most generic of two given iterator categories ) . . . . . . . . . 468
MakeSchedule (Helper class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 469
MarketElement (Purely virtual base class for market observables ) . . . . . . . . . . . . 470
Matrix (matrix used in linear algebra ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 471
MaxBasketPathPricer_old (Multipath pricer for European-type basket option ) . . . . . 474
MCBarrierEngine (Pricing engine for Barrier(p. 180) options using Monte Carlo ) . . . . 475
McBasket (Simple example of multi-factor Monte Carlo pricer ) . . . . . . . . . . . . . . 477
MCBinaryEngine (Pricing engine for Binary(p. 195) options using Monte Carlo ) . . . . 478
McCliquetOption (Simple example of Monte Carlo pricer ) . . . . . . . . . . . . . . . . . 480
McDiscreteArithmeticAPO (Example of Monte Carlo pricer using a control variate ) . . 481
McDiscreteArithmeticASO (Example of Monte Carlo pricer using a control variate ) . . 482
McEuropean (Simple example of Monte Carlo pricer ) . . . . . . . . . . . . . . . . . . . . 483
MCEuropeanEngine (European option pricing engine using Monte Carlo simulation ) . 484
McEverest (Everest-type option pricer ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 485
McHimalaya (Himalayan-type option pricer ) . . . . . . . . . . . . . . . . . . . . . . . . 486
McMaxBasket (Simple example of multi-factor Monte Carlo pricer ) . . . . . . . . . . . 487
McPagoda (Roofed Asian option ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 488
McPerformanceOption (Performance option computed using Monte Carlo simulation ) 489
McPricer (Base class for Monte Carlo pricers ) . . . . . . . . . . . . . . . . . . . . . . . . . 490
McSimulation (Base class for Monte Carlo engines ) . . . . . . . . . . . . . . . . . . . . . 492
MCVanillaEngine (Base class for Monte Carlo vanilla option engines ) . . . . . . . . . . 494
MersenneTwisterUniformRng (Uniform random number generator ) . . . . . . . . . . 496
Method (Optimization Method(p. 497) abstract class for constrained optimization pb ) . 497
Milan (Milan calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 499
MixedScheme (Mixed (explicit/implicit) scheme for finite difference methods ) . . . . . 500
Model (Abstract short-rate model class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 502
MonteCarloModel (General purpose Monte Carlo model for path samples ) . . . . . . . 504
MoroInverseCumulativeNormal (Moro Inverse cumulative normal distribution class ) 505
MultiPath (Single random walk ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 506
MultiPathGenerator (Generates a multipath from a random number generator ) . . . . 507
MultiPathGenerator_old (Generates a multipath from a random number generator ) . . 508
MultivariateAccumulator (A sample accumulator for multivariate analysis ) . . . . . . 509
NeumannBC (Neumann boundary condition (i.e., constant derivative) ) . . . . . . . . . 511
Newton (Newton 1-D solver ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 512
NewtonSafe (Safe Newton 1-D solver ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 513
NewYork (New York calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 514
NoConstraint (No constraint ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 515
NonLinearLeastSquare . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 516
NormalDistribution (Normal distribution function ) . . . . . . . . . . . . . . . . . . . . 518
Null (Template class providing a null value for a given type ) . . . . . . . . . . . . . . . 519
NullCalendar (Calendar(p. 235) for reproducing theoretical calculations ) . . . . . . . . 520
NullParameter (Parameter(p. 539) which is always zero a(t) = 0 ) . . . . . . . . . . . . . 521
NumericalMethod (Numerical method (Tree, Finite Differences) base class ) . . . . . . . 522
Observable (Object that notifies its changes to a set of observables ) . . . . . . . . . . . . 523
Observer (Object that gets notified when a given observable changes ) . . . . . . . . . . 525
OneFactorAffineModel (Single-factor affine base class ) . . . . . . . . . . . . . . . . . . . 528
OneFactorModel (Single-factor short-rate model abstract class ) . . . . . . . . . . . . . . 529

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7.1 QuantLib Class List 79

OneFactorModel::ShortRateDynamics (Base class describing the short-rate dynamics ) 530

OneFactorModel::ShortRateTree (Recombining trinomial tree discretizing the state vari-
able ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 531
OneFactorOperator (Interest-rate single factor model differential operator ) . . . . . . . 532
Option (Base option class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 533
OrnsteinUhlenbeckProcess (Ornstein-Uhlenbeck process class ) . . . . . . . . . . . . . . 534
Oslo (Oslo calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 536
OutOfMemoryError (Specialized error ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 537
PagodaPathPricer_old (multipath pricer for pagoda options ) . . . . . . . . . . . . . . . 538
Parameter (Base class for model arguments ) . . . . . . . . . . . . . . . . . . . . . . . . . 539
ParameterImpl (Base class for model parameter implementation ) . . . . . . . . . . . . . 540
ParCoupon (coupon at par on a term structure ) . . . . . . . . . . . . . . . . . . . . . . . 541
Path (Single factor random walk ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 543
PathGenerator (Generates random paths using a sequence generator ) . . . . . . . . . . 544
PathGenerator_old (Generates random paths from a random number generator ) . . . . 545
PathPricer (Base class for path pricers ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 546
PathPricer_old (Base class for path pricers ) . . . . . . . . . . . . . . . . . . . . . . . . . . 547
Payoff (Option(p. 533) payoff base class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 548
PerformanceOption (Performance option ) . . . . . . . . . . . . . . . . . . . . . . . . . . 549
PerformanceOptionPathPricer_old (path pricer for performance options ) . . . . . . . . 550
Period (Time period described by a number of a given time unit ) . . . . . . . . . . . . . 551
PiecewiseConstantParameter (Piecewise constant parameter ) . . . . . . . . . . . . . . . 552
PiecewiseFlatForward (Piecewise flat forward term structure ) . . . . . . . . . . . . . . . 553
PlainVanillaPayoff . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 555
PositiveConstraint (Constraint(p. 270) imposing positivity to all arguments ) . . . . . . 556
PostconditionNotSatisfiedError (Specialized error ) . . . . . . . . . . . . . . . . . . . . . 557
PreconditionNotSatisfiedError (Specialized error ) . . . . . . . . . . . . . . . . . . . . . 558
PricingEngine (Base class for pricing engines ) . . . . . . . . . . . . . . . . . . . . . . . . 559
PrimeNumbers (Prime numbers calculator ) . . . . . . . . . . . . . . . . . . . . . . . . . 560
Problem (Constrained optimization problem ) . . . . . . . . . . . . . . . . . . . . . . . . 561
processing_iterator (Iterator mapping a unary function to an underlying sequence ) . . 563
QuantoEngine (Quanto engine base class ) . . . . . . . . . . . . . . . . . . . . . . . . . . 565
QuantoForwardVanillaOption (Quanto version of a forward vanilla option ) . . . . . . 566
QuantoOptionArguments (Arguments(p. 169) for quanto option calculation ) . . . . . . 568
QuantoOptionResults (results from quanto option calculation ) . . . . . . . . . . . . . . 569
QuantoTermStructure (Quanto term structure ) . . . . . . . . . . . . . . . . . . . . . . . 570
QuantoVanillaOption (Quanto version of a vanilla option ) . . . . . . . . . . . . . . . . 572
RandomArrayGenerator (Generates random arrays using a random number generator ) 574
RandomSequenceGenerator (Random sequence generator based on a pseudo-random
number generator ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 575
RateFormatter (Formats rates for output ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 576
RateHelper (Base class for rate helpers ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 577
RelinkableHandle (Globally accessible relinkable pointer ) . . . . . . . . . . . . . . . . . 579
Results (Base class for generic result groups ) . . . . . . . . . . . . . . . . . . . . . . . . . 581
Ridder (Ridder 1-D solver ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 582
RiskMeasures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 583
RiskStatistics_old (Risk analysis tool ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 585
Sample (Weighted sample ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 587
Schedule (Payment schedule ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 588
Secant (secant 1-D solver ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 589
SegmentIntegral (Integral of a one-dimensional function ) . . . . . . . . . . . . . . . . . 590
SequenceStatistics (Statistics analysis of N-dimensional (sequence) data ) . . . . . . . . 591
Short (Short(p. 593) indexed coupon ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 593
ShortFloatingRateCoupon (Short(p. 593) coupon at par on a term structure ) . . . . . . 594

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80 QuantLib Class Index

ShoutCondition (Shout option condition ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 595

SimpleCashFlow (Predetermined cash flow ) . . . . . . . . . . . . . . . . . . . . . . . . . 596
SimpleDayCounter (Simple day counter for reproducing theoretical calculations ) . . . 597
SimpleMarketElement (Market element returning a stored value ) . . . . . . . . . . . . 598
SimpleSwap (Simple fixed-rate vs Libor swap ) . . . . . . . . . . . . . . . . . . . . . . . 599
SimpleSwap::arguments (Arguments(p. 169) for simple swap calculation ) . . . . . . . 601
SimpleSwap::results (results from swaption calculation ) . . . . . . . . . . . . . . . . . . 602
Simplex (Multi-dimensional Simplex(p. 603) class ) . . . . . . . . . . . . . . . . . . . . . 603
SimpsonIntegral (Integral of a one-dimensional function ) . . . . . . . . . . . . . . . . . 604
SingleAssetOption (Black-Scholes-Merton option ) . . . . . . . . . . . . . . . . . . . . . 605
SobolRsg (Sobol low-discrepancy sequence generator ) . . . . . . . . . . . . . . . . . . . 607
Solver1D (Base class for 1-D solvers ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 608
SquareRootProcess (Square-root process class ) . . . . . . . . . . . . . . . . . . . . . . . . 610
SteepestDescent (Multi-dimensional steepest-descent class ) . . . . . . . . . . . . . . . . 611
StepCondition (Condition to be applied at every time step ) . . . . . . . . . . . . . . . . 612
stepping_iterator (Iterator advancing in constant steps ) . . . . . . . . . . . . . . . . . . 613
Stock (Simple stock class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 615
Stockholm (Stockholm calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 616
StrikedTypePayoff . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 617
StringFormatter (Formats strings as lower- or uppercase ) . . . . . . . . . . . . . . . . . 618
SupersharePayoff (Binary(p. 195) supershare option payoff ) . . . . . . . . . . . . . . . . 619
SVD (Singular Value(p. 662) Decomposition ) . . . . . . . . . . . . . . . . . . . . . . . . . 620
Swap (Interest rate swap ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 621
SwapRateHelper (Swap rate ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 623
Swaption (Swaption(p. 625) class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 625
Swaption::arguments (Arguments(p. 169) for swaption calculation ) . . . . . . . . . . . 627
Swaption::results (results from swaption calculation ) . . . . . . . . . . . . . . . . . . . . 628
SwaptionVolatilityMatrix (Swaption at-the-money volatility matrix ) . . . . . . . . . . . 629
SwaptionVolatilityStructure (Swaption volatility structure ) . . . . . . . . . . . . . . . . 630
Sydney (Sydney, calendar (New South Wales, Australia) ) . . . . . . . . . . . . . . . . . . 631
SymmetricSchurDecomposition (Symmetric threshold Jacobi algorithm ) . . . . . . . . 632
TARGET (TARGET calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 633
TermStructure (Term structure ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 634
TermStructureConsistentModel (Term-structure consistent model class ) . . . . . . . . 637
TermStructureFittingParameter (Deterministic time-dependent parameter used for
yield-curve fitting ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 638
Thirty360 (30/360 day count convention ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 639
Tian (Tian(p. 640) tree: third moment matching, multiplicative approach ) . . . . . . . . 640
TimeBasket (Distribution over a number of dates ) . . . . . . . . . . . . . . . . . . . . . . 641
TimeGrid (Time grid class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 642
Tokyo (Tokyo calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 643
Toronto (Toronto calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 645
TrapezoidIntegral (Integral of a one-dimensional function ) . . . . . . . . . . . . . . . . 646
Tree (Tree(p. 648) approximating a single-factor diffusion ) . . . . . . . . . . . . . . . . . 648
TreeCapFloor (Cap/Floor priced in a tree ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 649
TreeSwaption (Swaption priced on a lattice ) . . . . . . . . . . . . . . . . . . . . . . . . . 650
TridiagonalOperator (Base implementation for tridiagonal operator ) . . . . . . . . . . . 651
TridiagonalOperator::TimeSetter (Encapsulation of time-setting logic ) . . . . . . . . . . 653
Trigeorgis (Trigeorgis(p. 654) (additive equal jumps) binomial tree ) . . . . . . . . . . . . 654
TrinomialBranching (Branching scheme for a trinomial node ) . . . . . . . . . . . . . . . 655
TrinomialTree (Recombining trinomial tree class ) . . . . . . . . . . . . . . . . . . . . . . 656
TwoFactorModel (Abstract base-class for two-factor models ) . . . . . . . . . . . . . . . 657
TwoFactorModel::ShortRateDynamics (Class describing the dynamics of the two state
variables ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 658

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7.1 QuantLib Class List 81

TwoFactorModel::ShortRateTree (Recombining two-dimensional tree discretizing the

state variable ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 659
UpFrontIndexedCoupon (up front indexed coupon class ) . . . . . . . . . . . . . . . . . 660
USDLibor (USD Libor index ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 661
Value (Pricing results ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 662
VanillaEngine (Vanilla engine base class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 663
VanillaOption (Vanilla option (no discrete dividends, no barriers) on a single asset ) . . 664
VanillaOption::arguments (Arguments(p. 169) for vanilla option calculation ) . . . . . . 667
VanillaOption::results (results from vanilla option calculation ) . . . . . . . . . . . . . . 668
Vasicek (Vasicek(p. 669) model class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 669
Vasicek::Dynamics (Short-rate dynamics in the Vasicek(p. 669) model ) . . . . . . . . . . 671
Visitor (Visitor(p. 672) for a specific class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 672
Warsaw (Warsaw calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 673
Wellington (Wellington calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 674
Xibor (Base class for libor indexes ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 675
XiborManager (Global repository for libor histories ) . . . . . . . . . . . . . . . . . . . . 677
ZARLibor (ZAR Libor index (also known as JIBAR) ) . . . . . . . . . . . . . . . . . . . . 678
ZeroCurve (Term structure based on linear interpolation of zero yields ) . . . . . . . . . 679
ZeroSpreadedTermStructure (Term structure with an added spread on the zero yield
rate ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 681
ZeroYieldStructure (Zero yield term structure ) . . . . . . . . . . . . . . . . . . . . . . . . 683
Zurich (Zurich calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 685

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82 QuantLib Class Index

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Chapter 8

QuantLib File Index

8.1 QuantLib File List

Here is a list of all documented files with brief descriptions:

ql/argsandresults.hpp (Base classes for generic arguments and results ) . . . . . . . . . . 687
ql/array.hpp (1-D array used in linear algebra ) . . . . . . . . . . . . . . . . . . . . . . . . 688
ql/blackmodel.hpp (Abstract class for Black-type models (market models) ) . . . . . . . 689
ql/calendar.cpp (Abstract calendar class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 690
ql/calendar.hpp (calendar class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 691
ql/capvolstructures.hpp (Cap/Floor volatility structures ) . . . . . . . . . . . . . . . . . . 727
ql/cashflow.hpp (Base class for cash flows ) . . . . . . . . . . . . . . . . . . . . . . . . . . 728
ql/currency.hpp (Known currencies ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 748
ql/dataformatters.cpp (Classes used to format data for output ) . . . . . . . . . . . . . . 749
ql/dataformatters.hpp (Classes used to format data for output ) . . . . . . . . . . . . . . 750
ql/dataparsers.cpp (Classes used to parse data for input ) . . . . . . . . . . . . . . . . . . 751
ql/dataparsers.hpp (Classes used to parse data for input ) . . . . . . . . . . . . . . . . . . 752
ql/date.cpp (Date- and time-related classes, typedefs and enumerations ) . . . . . . . . . 753
ql/date.hpp (Date- and time-related classes, typedefs and enumerations ) . . . . . . . . . 754
ql/daycounter.hpp (Day counter class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 755
ql/diffusionprocess.cpp (Diffusion process ) . . . . . . . . . . . . . . . . . . . . . . . . . . 764
ql/diffusionprocess.hpp (Diffusion process ) . . . . . . . . . . . . . . . . . . . . . . . . . 765
ql/discretizedasset.cpp (Discretized asset classes ) . . . . . . . . . . . . . . . . . . . . . . 766
ql/discretizedasset.hpp (Discretized asset classes ) . . . . . . . . . . . . . . . . . . . . . . 767
ql/disposable.hpp (Generic disposable object with move semantics ) . . . . . . . . . . . 768
ql/errors.hpp (Classes and functions for error handling ) . . . . . . . . . . . . . . . . . . 769
ql/exercise.cpp (Option exercise classes and exercise payoff function ) . . . . . . . . . . . 771
ql/exercise.hpp (Option exercise classes and payoff function ) . . . . . . . . . . . . . . . 772
ql/grid.cpp (Grid classes with useful constructors for trees and finite diffs ) . . . . . . . . 802
ql/grid.hpp (Grid classes with useful constructors for trees and finite diffs ) . . . . . . . 803
ql/handle.hpp (Reference-counted pointer ) . . . . . . . . . . . . . . . . . . . . . . . . . . 804
ql/history.hpp (History class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 805
ql/index.hpp (Purely virtual base class for indexes ) . . . . . . . . . . . . . . . . . . . . . 806
ql/instrument.hpp (Abstract instrument class ) . . . . . . . . . . . . . . . . . . . . . . . . 819
ql/marketelement.hpp (Purely virtual base class for market observables ) . . . . . . . . 853
ql/null.hpp (Null values ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 936
ql/numericalmethod.hpp (Numerical method class ) . . . . . . . . . . . . . . . . . . . . . 937
ql/option.hpp (Base option class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 953
84 QuantLib File Index

ql/payoff.hpp (Option payoff classes ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 959

ql/pricingengine.hpp (Base class for pricing engines ) . . . . . . . . . . . . . . . . . . . . 1033
ql/qldefines.hpp (Global definitions and compiler switches ) . . . . . . . . . . . . . . . . 1052
ql/relinkablehandle.hpp (Globally accessible relinkable pointer ) . . . . . . . . . . . . . 1071
ql/scheduler.cpp (Date scheduler ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1072
ql/scheduler.hpp (Date scheduler ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1073
ql/solver1d.hpp (Abstract 1-D solver class ) . . . . . . . . . . . . . . . . . . . . . . . . . . 1099
ql/swaptionvolstructure.hpp (Swaption volatility structure ) . . . . . . . . . . . . . . . . 1107
ql/termstructure.hpp (Term structure ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1108
ql/types.hpp (Custom types ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1129
ql/voltermstructure.cpp (Volatility term structures ) . . . . . . . . . . . . . . . . . . . . . 1148
ql/voltermstructure.hpp (Volatility term structures ) . . . . . . . . . . . . . . . . . . . . . 1149
ql/Calendars/budapest.cpp (Budapest calendar ) . . . . . . . . . . . . . . . . . . . . . . . 692
ql/Calendars/budapest.hpp (Budapest calendar ) . . . . . . . . . . . . . . . . . . . . . . . 693
ql/Calendars/frankfurt.cpp (Frankfurt calendar ) . . . . . . . . . . . . . . . . . . . . . . . 694
ql/Calendars/frankfurt.hpp (Frankfurt calendar ) . . . . . . . . . . . . . . . . . . . . . . . 695
ql/Calendars/helsinki.cpp (Helsinki calendar ) . . . . . . . . . . . . . . . . . . . . . . . . 696
ql/Calendars/helsinki.hpp (Helsinki calendar ) . . . . . . . . . . . . . . . . . . . . . . . . 697
ql/Calendars/johannesburg.cpp (Johannesburg calendar ) . . . . . . . . . . . . . . . . . 698
ql/Calendars/johannesburg.hpp (Johannesburg calendar ) . . . . . . . . . . . . . . . . . 699
ql/Calendars/jointcalendar.cpp (Joint calendar ) . . . . . . . . . . . . . . . . . . . . . . . 700
ql/Calendars/jointcalendar.hpp (Joint calendar ) . . . . . . . . . . . . . . . . . . . . . . . 701
ql/Calendars/london.cpp (London calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . 702
ql/Calendars/london.hpp (London calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . 703
ql/Calendars/milan.cpp (Milan calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 704
ql/Calendars/milan.hpp (Milan calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 705
ql/Calendars/newyork.cpp (New York calendar ) . . . . . . . . . . . . . . . . . . . . . . . 706
ql/Calendars/newyork.hpp (New York calendar ) . . . . . . . . . . . . . . . . . . . . . . . 707
ql/Calendars/nullcalendar.hpp (Calendar for reproducing theoretical calculations ) . . . 708
ql/Calendars/oslo.cpp (Oslo calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 709
ql/Calendars/oslo.hpp (Oslo calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 710
ql/Calendars/stockholm.cpp (Stockholm calendar ) . . . . . . . . . . . . . . . . . . . . . 711
ql/Calendars/stockholm.hpp (Stockholm calendar ) . . . . . . . . . . . . . . . . . . . . . 712
ql/Calendars/sydney.cpp (Sydney calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . 713
ql/Calendars/sydney.hpp (Sydney calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . 714
ql/Calendars/target.cpp (TARGET calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . 715
ql/Calendars/target.hpp (TARGET calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . 716
ql/Calendars/tokyo.cpp (Tokyo calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 717
ql/Calendars/tokyo.hpp (Tokyo calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 718
ql/Calendars/toronto.cpp (Toronto calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . 719
ql/Calendars/toronto.hpp (Toronto calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . 720
ql/Calendars/warsaw.cpp (Warsaw calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . 721
ql/Calendars/warsaw.hpp (Warsaw calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . 722
ql/Calendars/wellington.cpp (Wellington calendar ) . . . . . . . . . . . . . . . . . . . . . 723
ql/Calendars/wellington.hpp (Wellington calendar ) . . . . . . . . . . . . . . . . . . . . . 724
ql/Calendars/zurich.cpp (Zurich calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . 725
ql/Calendars/zurich.hpp (Zurich calendar ) . . . . . . . . . . . . . . . . . . . . . . . . . . 726
ql/CashFlows/basispointsensitivity.cpp (Basis point sensitivity calculator ) . . . . . . . 729
ql/CashFlows/basispointsensitivity.hpp (Basis point sensitivity calculator ) . . . . . . . 730
ql/CashFlows/cashflowvectors.cpp (Cash flow vector builders ) . . . . . . . . . . . . . . 731
ql/CashFlows/cashflowvectors.hpp (Cash flow vector builders ) . . . . . . . . . . . . . . 732
ql/CashFlows/coupon.hpp (Coupon accruing over a fixed period ) . . . . . . . . . . . . . 733
ql/CashFlows/fixedratecoupon.hpp (Coupon paying a fixed annual rate ) . . . . . . . . 734
ql/CashFlows/floatingratecoupon.hpp (Coupon at par on a term structure ) . . . . . . . 735

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8.1 QuantLib File List 85

ql/CashFlows/inarrearindexedcoupon.hpp (In arrear indexed coupon ) . . . . . . . . . . 736

ql/CashFlows/indexcashflowvectors.hpp (Index Cash flow vector builders ) . . . . . . . 737
ql/CashFlows/indexedcoupon.hpp (Indexed coupon ) . . . . . . . . . . . . . . . . . . . . 738
ql/CashFlows/parcoupon.cpp (Coupon at par on a term structure ) . . . . . . . . . . . . 739
ql/CashFlows/parcoupon.hpp (Coupon at par on a term structure ) . . . . . . . . . . . . 740
ql/CashFlows/shortfloatingcoupon.cpp (Short coupon at par on a term structure ) . . . 741
ql/CashFlows/shortfloatingcoupon.hpp (Short (or long) coupon at par on a term struc-
ture ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 742
ql/CashFlows/shortindexedcoupon.hpp (Short (or long) indexed coupon ) . . . . . . . . 743
ql/CashFlows/simplecashflow.hpp (Predetermined cash flow ) . . . . . . . . . . . . . . . 744
ql/CashFlows/timebasket.cpp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 745
ql/CashFlows/timebasket.hpp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 746
ql/CashFlows/upfrontindexedcoupon.hpp (Up front indexed coupon ) . . . . . . . . . . 747
ql/DayCounters/actual360.hpp (Act/360 day counter ) . . . . . . . . . . . . . . . . . . . . 756
ql/DayCounters/actual365.hpp (Act/365 day counter ) . . . . . . . . . . . . . . . . . . . . 757
ql/DayCounters/actualactual.cpp (Act/act day counters ) . . . . . . . . . . . . . . . . . . 758
ql/DayCounters/actualactual.hpp (Act/act day counters ) . . . . . . . . . . . . . . . . . . 759
ql/DayCounters/simpledaycounter.cpp (Simple day counter for reproducing theoretical
calculations ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 760
ql/DayCounters/simpledaycounter.hpp (Simple day counter for reproducing theoretical
calculations ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 761
ql/DayCounters/thirty360.cpp (30/360 day counters ) . . . . . . . . . . . . . . . . . . . . . 762
ql/DayCounters/thirty360.hpp (30/360 day counters ) . . . . . . . . . . . . . . . . . . . . 763
ql/FiniteDifferences/americancondition.hpp (American option exercise condition ) . . . 773
ql/FiniteDifferences/boundarycondition.cpp (Boundary conditions for differential oper-
ators ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 774
ql/FiniteDifferences/boundarycondition.hpp (Boundary conditions for differential op-
erators ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 775
ql/FiniteDifferences/bsmoperator.cpp (Differential operator for Black-Scholes-Merton
equation ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 776
ql/FiniteDifferences/bsmoperator.hpp (Differential operator for Black-Scholes-Merton
equation ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 777
ql/FiniteDifferences/cranknicolson.hpp (Crank-Nicolson scheme for finite difference
methods ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 778
ql/FiniteDifferences/dminus.hpp (D− matricial representation ) . . . . . . . . . . . . . . . 779
ql/FiniteDifferences/dplus.hpp (D+ matricial representation ) . . . . . . . . . . . . . . . . 780
ql/FiniteDifferences/dplusdminus.hpp (D+ D− matricial representation ) . . . . . . . . . 781
ql/FiniteDifferences/dzero.hpp (D0 matricial representation ) . . . . . . . . . . . . . . . . 782
ql/FiniteDifferences/expliciteuler.hpp (Explicit Euler scheme for finite difference meth-
ods ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 783
ql/FiniteDifferences/fdtypedefs.hpp (Default choices for template instantiations ) . . . . 784
ql/FiniteDifferences/finitedifferencemodel.hpp (Generic finite difference model ) . . . . 785
ql/FiniteDifferences/impliciteuler.hpp (Implicit Euler scheme for finite difference meth-
ods ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 786
ql/FiniteDifferences/mixedscheme.hpp (Mixed (explicit/implicit) scheme for finite dif-
ference methods ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 787
ql/FiniteDifferences/onefactoroperator.cpp (Differential operator for one-factor interest
rate models ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 788
ql/FiniteDifferences/onefactoroperator.hpp (General differential operator for one-factor
interest rate models ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 789
ql/FiniteDifferences/shoutcondition.hpp (Shout option exercise condition ) . . . . . . . 790
ql/FiniteDifferences/stepcondition.hpp (Conditions to be applied at every time step ) . . 791
ql/FiniteDifferences/tridiagonaloperator.cpp (Tridiagonal operator ) . . . . . . . . . . . . 792
ql/FiniteDifferences/tridiagonaloperator.hpp (Tridiagonal operator ) . . . . . . . . . . . 793

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ql/FiniteDifferences/valueatcenter.cpp (Compute value, first, and second derivatives at

grid center ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 794
ql/FiniteDifferences/valueatcenter.hpp (Compute value, first, and second derivatives at
grid center ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 795
ql/functions/daycounters.cpp (Day counters functions ) . . . . . . . . . . . . . . . . . . . 796
ql/functions/daycounters.hpp (Day counters functions ) . . . . . . . . . . . . . . . . . . . 797
ql/functions/mathf.cpp (Math functions ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 798
ql/functions/mathf.hpp (Math functions ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 799
ql/functions/vols.cpp (Volatility functions ) . . . . . . . . . . . . . . . . . . . . . . . . . . 800
ql/functions/vols.hpp (Volatility functions ) . . . . . . . . . . . . . . . . . . . . . . . . . . 801
ql/Indexes/audlibor.hpp (AUD Libor index (check settlement days) ) . . . . . . . . . . . 807
ql/Indexes/cadlibor.hpp (CAD Libor index (Also known as CDOR) ) . . . . . . . . . . . 808
ql/Indexes/chflibor.hpp (CHF Libor index (Also known as ZIBOR) ) . . . . . . . . . . . . 809
ql/Indexes/euribor.hpp (Euribor index ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 810
ql/Indexes/gbplibor.hpp (GBP Libor index ) . . . . . . . . . . . . . . . . . . . . . . . . . . 811
ql/Indexes/jpylibor.hpp (JPY Libor index (Also known as TIBOR, check settlement days) )812
ql/Indexes/usdlibor.hpp (USD Libor index ) . . . . . . . . . . . . . . . . . . . . . . . . . . 813
ql/Indexes/xibor.cpp (Purely virtual base class for libor indexes ) . . . . . . . . . . . . . . 814
ql/Indexes/xibor.hpp (Base class for libor indexes ) . . . . . . . . . . . . . . . . . . . . . . 815
ql/Indexes/xibormanager.cpp (Global repository for Xibor histories ) . . . . . . . . . . . 816
ql/Indexes/xibormanager.hpp (Global repository for Xibor histories ) . . . . . . . . . . . 817
ql/Indexes/zarlibor.hpp (ZAR Libor index (also known as JIBAR) ) . . . . . . . . . . . . 818
ql/Instruments/barrieroption.cpp (Barrier option on a single asset ) . . . . . . . . . . . . 820
ql/Instruments/barrieroption.hpp (Barrier option on a single asset ) . . . . . . . . . . . . 821
ql/Instruments/binaryoption.cpp (Binary option on a single asset ) . . . . . . . . . . . . 822
ql/Instruments/binaryoption.hpp (Binary option on a single asset ) . . . . . . . . . . . . 823
ql/Instruments/capfloor.cpp (European cap and floor class ) . . . . . . . . . . . . . . . . . 824
ql/Instruments/capfloor.hpp (Cap and Floor class ) . . . . . . . . . . . . . . . . . . . . . . 825
ql/Instruments/forwardvanillaoption.cpp (Forward version of a vanilla option ) . . . . 826
ql/Instruments/forwardvanillaoption.hpp (Forward version of a vanilla option ) . . . . 827
ql/Instruments/quantoforwardvanillaoption.cpp (Quanto version of a forward vanilla
option ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 828
ql/Instruments/quantoforwardvanillaoption.hpp (Quanto version of a forward vanilla
option ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 829
ql/Instruments/quantovanillaoption.cpp (Quanto version of a vanilla option ) . . . . . . 830
ql/Instruments/quantovanillaoption.hpp (Quanto version of a vanilla option ) . . . . . 831
ql/Instruments/simpleswap.cpp (Simple fixed-rate vs Libor swap ) . . . . . . . . . . . . 832
ql/Instruments/simpleswap.hpp (Simple fixed-rate vs Libor swap ) . . . . . . . . . . . . 833
ql/Instruments/stock.cpp (Concrete stock class ) . . . . . . . . . . . . . . . . . . . . . . . 834
ql/Instruments/stock.hpp (Concrete stock class ) . . . . . . . . . . . . . . . . . . . . . . . 835
ql/Instruments/swap.cpp (Interest rate swap ) . . . . . . . . . . . . . . . . . . . . . . . . . 836
ql/Instruments/swap.hpp (Interest rate swap ) . . . . . . . . . . . . . . . . . . . . . . . . 837
ql/Instruments/swaption.cpp (Swaption ) . . . . . . . . . . . . . . . . . . . . . . . . . . . 838
ql/Instruments/swaption.hpp (Swaption class ) . . . . . . . . . . . . . . . . . . . . . . . . 839
ql/Instruments/vanillaoption.cpp (Vanilla option on a single asset ) . . . . . . . . . . . . 840
ql/Instruments/vanillaoption.hpp (Vanilla option on a single asset ) . . . . . . . . . . . . 841
ql/Lattices/binomialtree.cpp (Binomial tree class ) . . . . . . . . . . . . . . . . . . . . . . 842
ql/Lattices/binomialtree.hpp (Binomial tree class ) . . . . . . . . . . . . . . . . . . . . . . 843
ql/Lattices/bsmlattice.cpp (Binomial trees under the BSM model ) . . . . . . . . . . . . . 844
ql/Lattices/bsmlattice.hpp (Binomial trees under the BSM model ) . . . . . . . . . . . . . 845
ql/Lattices/lattice.cpp (Lattice class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 846
ql/Lattices/lattice.hpp (Lattice method class ) . . . . . . . . . . . . . . . . . . . . . . . . . 847
ql/Lattices/lattice2d.cpp (Trinomial tree class ) . . . . . . . . . . . . . . . . . . . . . . . . 848
ql/Lattices/lattice2d.hpp (Two-dimensional tree class ) . . . . . . . . . . . . . . . . . . . . 849

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ql/Lattices/tree.hpp (Tree class ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 850

ql/Lattices/trinomialtree.cpp (Trinomial tree class ) . . . . . . . . . . . . . . . . . . . . . . 851
ql/Lattices/trinomialtree.hpp (Trinomial tree class ) . . . . . . . . . . . . . . . . . . . . . 852
ql/Math/bicubicsplineinterpolation.hpp (Bicubic spline interpolation between discrete
points ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 854
ql/Math/bilinearinterpolation.hpp (Bilinear interpolation between discrete points ) . . 855
ql/Math/chisquaredistribution.cpp (Normal, cumulative and inverse cumulative distri-
butions ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 856
ql/Math/chisquaredistribution.hpp (Chi-square (central and non-central) distributions ) 857
ql/Math/cubicspline.hpp (Cubic spline interpolation between discrete points ) . . . . . 858
ql/Math/discrepancystatistics.cpp (Statistic tool for sequences with discrepancy calcu-
lation ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 859
ql/Math/discrepancystatistics.hpp (Statistic tool for sequences with discrepancy calcu-
lation ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 860
ql/Math/errorfunction.cpp (Error function ) . . . . . . . . . . . . . . . . . . . . . . . . . . 861
ql/Math/errorfunction.hpp (Error function ) . . . . . . . . . . . . . . . . . . . . . . . . . . 862
ql/Math/functional.hpp (Functionals and combinators not included in the STL ) . . . . . 863
ql/Math/gammadistribution.cpp (Gamma function ) . . . . . . . . . . . . . . . . . . . . . 864
ql/Math/gammadistribution.hpp (Gamma distribution ) . . . . . . . . . . . . . . . . . . 865
ql/Math/gaussianstatistics.hpp (Statistics tool for gaussian-assumption risk measures ) 866
ql/Math/generalstatistics.cpp (Statistics tool ) . . . . . . . . . . . . . . . . . . . . . . . . . 867
ql/Math/generalstatistics.hpp (Statistics tool ) . . . . . . . . . . . . . . . . . . . . . . . . . 868
ql/Math/incrementalstatistics.cpp (Statistics tool based on incremental accumulation ) . 869
ql/Math/incrementalstatistics.hpp (Statistics tool based on incremental accumulation ) . 870
ql/Math/interpolation.hpp (Abstract base classes for interpolations ) . . . . . . . . . . . 871
ql/Math/interpolation2D.hpp (Abstract base classes for 2-D interpolations ) . . . . . . . 872
ql/Math/interpolationtraits.hpp (Traits classes for interpolation algorithms ) . . . . . . . 873
ql/Math/kronrodintegral.hpp (Integral of a 1-dimensional function using the Gauss-
Kronrod method ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 874
ql/Math/lexicographicalview.hpp (Lexicographical 2-D view of a contiguous set of data ) 875
ql/Math/linearinterpolation.hpp (Linear interpolation between discrete points ) . . . . . 876
ql/Math/loglinearinterpolation.hpp (Log-linear interpolation between discrete points ) 877
ql/Math/matrix.cpp (Matrix used in linear algebra ) . . . . . . . . . . . . . . . . . . . . . 878
ql/Math/matrix.hpp (Matrix used in linear algebra ) . . . . . . . . . . . . . . . . . . . . . 879
ql/Math/multivariateaccumulator.cpp (A simple accumulator for vector-type samples ) 880
ql/Math/multivariateaccumulator.hpp (A simple accumulator for vector-type samples ) 881
ql/Math/normaldistribution.cpp (Normal, cumulative and inverse cumulative distribu-
tions ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 882
ql/Math/normaldistribution.hpp (Normal, cumulative and inverse cumulative distri-
butions ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 883
ql/Math/primenumbers.cpp (Prime numbers calculator ) . . . . . . . . . . . . . . . . . . 884
ql/Math/primenumbers.hpp (Prime numbers calculator ) . . . . . . . . . . . . . . . . . . 885
ql/Math/riskmeasures.hpp (Risk functions ) . . . . . . . . . . . . . . . . . . . . . . . . . . 886
ql/Math/segmentintegral.hpp (Integral of a one-dimensional function ) . . . . . . . . . . 887
ql/Math/sequencestatistics.hpp (Statistics tools for sequence (vector, list, array) samples ) 888
ql/Math/statistics.hpp (Statistics tool with risk measures ) . . . . . . . . . . . . . . . . . . 890
ql/Math/svd.cpp (Calculates Singular Value Decomposition ) . . . . . . . . . . . . . . . . 891
ql/Math/svd.hpp (Calculates Singular Value Decomposition ) . . . . . . . . . . . . . . . . 892
ql/Math/symmetriceigenvalues.hpp (Eigenvalues / eigenvectors of a real symmetric
matrix ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 893
ql/Math/symmetricschurdecomposition.cpp (Eigenvalues / eigenvectors of a real sym-
metric matrix ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 894
ql/Math/symmetricschurdecomposition.hpp (Eigenvalues / eigenvectors of a real sym-
metric matrix ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 895

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88 QuantLib File Index

ql/Math/trapezoidintegral.hpp (Integral of a one-dimensional function ) . . . . . . . . . 896

ql/MonteCarlo/arithmeticapopathpricer.cpp (Arithmetic average price option path
pricer ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 897
ql/MonteCarlo/arithmeticapopathpricer.hpp (Arithmetic average price option path
pricer ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 898
ql/MonteCarlo/arithmeticasopathpricer.cpp (Arithmetic average strike option path
pricer ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 899
ql/MonteCarlo/arithmeticasopathpricer.hpp (Arithmetic average strike option path
pricer ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 900
ql/MonteCarlo/barrierpathpricer.cpp (Path pricer for Barrier options ) . . . . . . . . . . 901
ql/MonteCarlo/barrierpathpricer.hpp (Path pricer for Barrier options ) . . . . . . . . . . 902
ql/MonteCarlo/basketpathpricer.cpp (Multipath pricer for European-type basket option ) 903
ql/MonteCarlo/basketpathpricer.hpp (Multipath pricer for European-type basket option )904
ql/MonteCarlo/binarypathpricer.cpp (Path pricer for Binary options ) . . . . . . . . . . . 905
ql/MonteCarlo/binarypathpricer.hpp (Path pricer for Binary options ) . . . . . . . . . . 906
ql/MonteCarlo/brownianbridge.hpp (Browian bridge ) . . . . . . . . . . . . . . . . . . . 907
ql/MonteCarlo/cliquetoptionpathpricer.cpp (Path pricer for cliquet options ) . . . . . . 908
ql/MonteCarlo/cliquetoptionpathpricer.hpp (Path pricer for cliquet options ) . . . . . . 909
ql/MonteCarlo/europeanpathpricer.cpp (Path pricer for European options ) . . . . . . . 910
ql/MonteCarlo/europeanpathpricer.hpp (Path pricer for European options ) . . . . . . . 911
ql/MonteCarlo/everestpathpricer.cpp (Path pricer for European-type Everest option ) . 912
ql/MonteCarlo/everestpathpricer.hpp (Path pricer for European-type Everest option ) . 913
ql/MonteCarlo/geometricapopathpricer.cpp (Path pricer for geometric average price
option ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 914
ql/MonteCarlo/geometricapopathpricer.hpp (Path pricer for geometric average price
option ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 915
ql/MonteCarlo/geometricasopathpricer.cpp (Path pricer for geometric average strike
option ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 916
ql/MonteCarlo/geometricasopathpricer.hpp (Path pricer for geometric average strike
option ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 917
ql/MonteCarlo/getcovariance.hpp (Covariance matrix calculation ) . . . . . . . . . . . . 918
ql/MonteCarlo/himalayapathpricer.cpp (Multipath pricer for European-type Himalaya
option ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 919
ql/MonteCarlo/himalayapathpricer.hpp (Multipath pricer for European-type Himalaya
option ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 920
ql/MonteCarlo/maxbasketpathpricer.cpp (Multipath pricer for max basket option ) . . . 921
ql/MonteCarlo/maxbasketpathpricer.hpp (Multipath pricer for max basket option ) . . 922
ql/MonteCarlo/mctraits.hpp (Monte Carlo policy descriptors ) . . . . . . . . . . . . . . . 923
ql/MonteCarlo/mctypedefs.hpp (Default choices for template instantiations ) . . . . . . 924
ql/MonteCarlo/montecarlomodel.hpp (General purpose Monte Carlo model ) . . . . . . 925
ql/MonteCarlo/multipath.hpp (Correlated multiple asset paths ) . . . . . . . . . . . . . . 926
ql/MonteCarlo/multipathgenerator.hpp (Generates a multi path from a random-array
generator ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 927
ql/MonteCarlo/pagodapathpricer.cpp (Path pricer for pagoda options ) . . . . . . . . . . 928
ql/MonteCarlo/pagodapathpricer.hpp (Path pricer for pagoda options ) . . . . . . . . . 929
ql/MonteCarlo/path.hpp (Single factor random walk ) . . . . . . . . . . . . . . . . . . . . 930
ql/MonteCarlo/pathgenerator.hpp (Generates random paths using a sequence generator )931
ql/MonteCarlo/pathpricer.hpp (Base class for single-path pricers ) . . . . . . . . . . . . . 932
ql/MonteCarlo/performanceoptionpathpricer.cpp (Path pricer for performance options ) 933
ql/MonteCarlo/performanceoptionpathpricer.hpp (Path pricer for performance option ) 934
ql/MonteCarlo/sample.hpp (Weighted sample ) . . . . . . . . . . . . . . . . . . . . . . . . 935
ql/Optimization/armijo.cpp (Armijo line-search class ) . . . . . . . . . . . . . . . . . . . . 938
ql/Optimization/armijo.hpp (Armijo line-search class ) . . . . . . . . . . . . . . . . . . . 939
ql/Optimization/conjugategradient.cpp (Conjugate gradient optimization method ) . . 940

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ql/Optimization/conjugategradient.hpp (Conjugate gradient optimization method ) . . 941

ql/Optimization/constraint.hpp (Abstract constraint class ) . . . . . . . . . . . . . . . . . 942
ql/Optimization/costfunction.hpp (Optimization cost function class ) . . . . . . . . . . . 943
ql/Optimization/criteria.hpp (Optimization criteria class ) . . . . . . . . . . . . . . . . . . 944
ql/Optimization/leastsquare.hpp (Least square cost function ) . . . . . . . . . . . . . . . 945
ql/Optimization/linesearch.hpp (Line search abstract class ) . . . . . . . . . . . . . . . . 946
ql/Optimization/method.hpp (Abstract optimization method class ) . . . . . . . . . . . . 947
ql/Optimization/problem.hpp (Abstract optimization class ) . . . . . . . . . . . . . . . . 948
ql/Optimization/simplex.cpp (Simplex optimization method ) . . . . . . . . . . . . . . . 949
ql/Optimization/simplex.hpp (Simplex optimization method ) . . . . . . . . . . . . . . . 950
ql/Optimization/steepestdescent.cpp (Steepest descent optimization method ) . . . . . . 951
ql/Optimization/steepestdescent.hpp (Steepest descent optimization method ) . . . . . 952
ql/Patterns/bridge.hpp (Bridge pattern (a.k.a. handle-body idiom) ) . . . . . . . . . . . . 954
ql/Patterns/curiouslyrecurring.hpp (Curiously recurring template pattern ) . . . . . . . 955
ql/Patterns/lazyobject.hpp (Framework for calculation on demand and result caching ) 956
ql/Patterns/observable.hpp (Observer/observable pattern ) . . . . . . . . . . . . . . . . . 957
ql/Patterns/visitor.hpp (Degenerate base class for the Acyclic Visitor pattern ) . . . . . . 958
ql/Pricers/analyticalcapfloor.cpp (Analytical pricer for caps/floors ) . . . . . . . . . . . . 960
ql/Pricers/analyticalcapfloor.hpp (Analytical pricer for caps/floors ) . . . . . . . . . . . . 961
ql/Pricers/barrieroptionpricer.cpp (Barrier option pricer ) . . . . . . . . . . . . . . . . . . 962
ql/Pricers/barrieroptionpricer.hpp (Barrier option pricer ) . . . . . . . . . . . . . . . . . . 963
ql/Pricers/binaryoptionpricer.cpp (European style cash-or-nothing option pricer ) . . . 964
ql/Pricers/binaryoptionpricer.hpp (European style cash-or-nothing option pricer ) . . . 965
ql/Pricers/blackcapfloor.cpp (European capfloor calculated using Black formula ) . . . . 966
ql/Pricers/blackcapfloor.hpp (CapFloor calculated using the Black formula ) . . . . . . . 967
ql/Pricers/blackswaption.cpp (European swaption calculated using Black formula ) . . 968
ql/Pricers/blackswaption.hpp (Swaption calculated using the Black formula ) . . . . . . 969
ql/Pricers/capfloorpricer.cpp (Cap and floor pricer class ) . . . . . . . . . . . . . . . . . . 970
ql/Pricers/capfloorpricer.hpp (Cap and floor pricer class ) . . . . . . . . . . . . . . . . . . 971
ql/Pricers/cliquetoption.cpp (Cliquet option ) . . . . . . . . . . . . . . . . . . . . . . . . . 972
ql/Pricers/continuousgeometricapo.hpp (Continuous Geometric Average Price Option
(European exercise) ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 973
ql/Pricers/discretegeometricapo.cpp (Discrete Geometric Average Price Option ) . . . . 974
ql/Pricers/discretegeometricapo.hpp (Discrete Geometric Average Price Option ) . . . . 975
ql/Pricers/discretegeometricaso.cpp (Discrete Geometric Average Strike Option ) . . . . 976
ql/Pricers/discretegeometricaso.hpp (Discrete Geometric Average Strike Option ) . . . . 977
ql/Pricers/europeanoption.cpp (European option ) . . . . . . . . . . . . . . . . . . . . . . 978
ql/Pricers/europeanoption.hpp (European option ) . . . . . . . . . . . . . . . . . . . . . . 979
ql/Pricers/fdamericanoption.hpp (American option ) . . . . . . . . . . . . . . . . . . . . 980
ql/Pricers/fdbermudanoption.cpp (Finite-difference evaluation of Bermudan option ) . 981
ql/Pricers/fdbermudanoption.hpp (Finite-difference evaluation of Bermudan option ) . 982
ql/Pricers/fdbsmoption.cpp (Common code for numerical option evaluation ) . . . . . . 983
ql/Pricers/fdbsmoption.hpp (Common code for numerical option evaluation ) . . . . . . 984
ql/Pricers/fddividendamericanoption.cpp (American option with discrete deterministic
dividends ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 985
ql/Pricers/fddividendamericanoption.hpp (American option with discrete deterministic
dividends ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 986
ql/Pricers/fddividendeuropeanoption.cpp (European option with discrete deterministic
dividends ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 987
ql/Pricers/fddividendeuropeanoption.hpp (European option with discrete determinis-
tic dividends ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 988
ql/Pricers/fddividendoption.cpp (Base class for options with dividends ) . . . . . . . . . 989
ql/Pricers/fddividendoption.hpp (Base class for option with dividends ) . . . . . . . . . 990
ql/Pricers/fddividendshoutoption.cpp (Base class for shout options with dividends ) . . 991

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90 QuantLib File Index

ql/Pricers/fddividendshoutoption.hpp (Base class for shout option with dividends ) . . 992

ql/Pricers/fdeuropean.cpp (Example of European option calculated using finite differ-
ences ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 993
ql/Pricers/fdeuropean.hpp (Example of European option calculated using finite differ-
ences ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 994
ql/Pricers/fdmultiperiodoption.cpp (Base class for option with events happening at
different periods ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 995
ql/Pricers/fdmultiperiodoption.hpp (Base class for option with events happening at
different periods ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 996
ql/Pricers/fdshoutoption.hpp (Shout option ) . . . . . . . . . . . . . . . . . . . . . . . . . 997
ql/Pricers/fdstepconditionoption.cpp (Option requiring additional code to be executed
at each time step ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 998
ql/Pricers/fdstepconditionoption.hpp (Option requiring additional code to be executed
at each time step ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 999
ql/Pricers/jamshidianswaption.cpp (Swaption pricer using Jamshidian’s decomposition )1000
ql/Pricers/jamshidianswaption.hpp (Swaption pricer using Jamshidian’s decomposi-
tion ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1001
ql/Pricers/mcbasket.cpp (Simple example of multi-factor Monte Carlo pricer ) . . . . . . 1002
ql/Pricers/mcbasket.hpp (Simple example of multi-factor Monte Carlo pricer ) . . . . . . 1003
ql/Pricers/mccliquetoption.cpp (Cliquet option priced with Monte Carlo simulation ) . 1004
ql/Pricers/mccliquetoption.hpp (Cliquet option priced with Monte Carlo simulation ) . 1005
ql/Pricers/mcdiscretearithmeticapo.cpp (Discrete Arithmetic Average Price Option ) . . 1006
ql/Pricers/mcdiscretearithmeticapo.hpp (Discrete Arithmetic Average Price Option ) . . 1007
ql/Pricers/mcdiscretearithmeticaso.cpp (Discrete Arithmetic Average Strike Option ) . . 1008
ql/Pricers/mcdiscretearithmeticaso.hpp (Discrete Arithmetic Average Strike Option ) . 1009
ql/Pricers/mceuropean.cpp (Simple example of Monte Carlo pricer ) . . . . . . . . . . . 1010
ql/Pricers/mceuropean.hpp (Simple example of Monte Carlo pricer ) . . . . . . . . . . . 1011
ql/Pricers/mceverest.cpp (Everest-type option pricer ) . . . . . . . . . . . . . . . . . . . . 1012
ql/Pricers/mceverest.hpp (Everest-type option pricer ) . . . . . . . . . . . . . . . . . . . . 1013
ql/Pricers/mchimalaya.cpp (Himalayan-type option pricer ) . . . . . . . . . . . . . . . . 1014
ql/Pricers/mchimalaya.hpp (Himalayan-type option pricer ) . . . . . . . . . . . . . . . . 1015
ql/Pricers/mcmaxbasket.cpp (Max Basket Monte Carlo pricer ) . . . . . . . . . . . . . . . 1016
ql/Pricers/mcmaxbasket.hpp (Max Basket Monte Carlo pricer ) . . . . . . . . . . . . . . . 1017
ql/Pricers/mcpagoda.cpp (Roofed multi asset Asian option ) . . . . . . . . . . . . . . . . 1018
ql/Pricers/mcpagoda.hpp (Roofed multi asset Asian option ) . . . . . . . . . . . . . . . . 1019
ql/Pricers/mcperformanceoption.cpp (Performance option priced with Monte Carlo
simulation ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1020
ql/Pricers/mcperformanceoption.hpp (Performance option priced with Monte Carlo
simulation ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1021
ql/Pricers/mcpricer.hpp (Base class for Monte Carlo pricers ) . . . . . . . . . . . . . . . . 1022
ql/Pricers/performanceoption.cpp (Performance option.computed using Monte Carlo
simulation ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1023
ql/Pricers/performanceoption.hpp (Performance option ) . . . . . . . . . . . . . . . . . . 1024
ql/Pricers/singleassetoption.cpp (Common code for option evaluation ) . . . . . . . . . 1025
ql/Pricers/singleassetoption.hpp (Common code for option evaluation ) . . . . . . . . . 1026
ql/Pricers/swaptionpricer.cpp (Swaption pricer ) . . . . . . . . . . . . . . . . . . . . . . . 1027
ql/Pricers/swaptionpricer.hpp (Swaption pricer class ) . . . . . . . . . . . . . . . . . . . . 1028
ql/Pricers/treecapfloor.cpp (Cap/Floor calculated using a tree ) . . . . . . . . . . . . . . . 1029
ql/Pricers/treecapfloor.hpp (Cap/Floor calculated using a tree ) . . . . . . . . . . . . . . . 1030
ql/Pricers/treeswaption.cpp (European swaption computed on a lattice ) . . . . . . . . . 1031
ql/Pricers/treeswaption.hpp (Swaption computed using a lattice ) . . . . . . . . . . . . . 1032
ql/PricingEngines/americanmcengines.cpp (Least-square Monte Carlo engines ) . . . . 1034
ql/PricingEngines/americanmcengines.hpp (Least-square Monte Carlo engines ) . . . . 1035

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ql/PricingEngines/analyticamericanbinaryengine.cpp (American binary option engine

using analytic formulas ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1036
ql/PricingEngines/analyticeuropeanbinaryengine.cpp (European binary option engine ) 1037
ql/PricingEngines/analyticeuropeanengine.cpp (European option engine using analytic
formulas ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1038
ql/PricingEngines/barrierengines.hpp (Barrier option engines ) . . . . . . . . . . . . . . 1039
ql/PricingEngines/binaryengines.hpp (Binary option engines ) . . . . . . . . . . . . . . . 1040
ql/PricingEngines/binomialvanillaengine.cpp (Vanilla option engine using binomial
tree ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1041
ql/PricingEngines/cliquetengines.hpp (Cliquet option engines ) . . . . . . . . . . . . . . 1042
ql/PricingEngines/discretizedvanillaoption.cpp (Discretized vanilla option ) . . . . . . 1043
ql/PricingEngines/discretizedvanillaoption.hpp (Discretized vanilla option ) . . . . . . 1044
ql/PricingEngines/forwardengines.hpp (Forward (strike-resetting) option engines ) . . . 1045
ql/PricingEngines/genericengine.hpp (Generic option engine ) . . . . . . . . . . . . . . . 1046
ql/PricingEngines/integralengines.cpp (Option engines using the integral approach ) . . 1047
ql/PricingEngines/latticeshortratemodelengine.hpp (Engine for a short-rate model spe-
cialized on a lattice ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1048
ql/PricingEngines/mcengine.hpp (Base class for Monte Carlo engines ) . . . . . . . . . . 1049
ql/PricingEngines/quantoengines.hpp (Quanto option engines ) . . . . . . . . . . . . . . 1050
ql/PricingEngines/vanillaengines.hpp (Vanilla option engines ) . . . . . . . . . . . . . . 1051
ql/RandomNumbers/boxmullergaussianrng.hpp (Box-Muller Gaussian random-
number generator ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1054
ql/RandomNumbers/centrallimitgaussianrng.hpp (Central limit Gaussian random-
number generator ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1055
ql/RandomNumbers/haltonrsg.cpp (Halton low-discrepancy sequence generator ) . . . 1056
ql/RandomNumbers/haltonrsg.hpp (Halton low-discrepancy sequence generator ) . . . 1057
ql/RandomNumbers/inversecumgaussianrng.hpp (Inverse cumulative Gaussian
random-number generator ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1058
ql/RandomNumbers/inversecumgaussianrsg.hpp (Inverse cumulative Gaussian ran-
dom sequence generator ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1059
ql/RandomNumbers/knuthuniformrng.cpp (Knuth uniform random number generator ) 1060
ql/RandomNumbers/knuthuniformrng.hpp (Knuth uniform random number generator )1061
ql/RandomNumbers/lecuyeruniformrng.cpp (L’Ecuyer uniform random number gen-
erator ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1062
ql/RandomNumbers/lecuyeruniformrng.hpp (L’Ecuyer uniform random number gen-
erator ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1063
ql/RandomNumbers/mt19937uniformrng.cpp (Mersenne Twister uniform random
number generator ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1064
ql/RandomNumbers/mt19937uniformrng.hpp (Mersenne Twister uniform random
number generator ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1065
ql/RandomNumbers/randomarraygenerator.hpp (Generates random arrays from a ran-
dom number generator ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1066
ql/RandomNumbers/randomsequencegenerator.hpp (Random sequence generator
based on a pseudo-random number generator ) . . . . . . . . . . . . . . . . . 1067
ql/RandomNumbers/rngtypedefs.hpp (Default choices for template instantiations ) . . 1068
ql/RandomNumbers/sobolrsg.cpp (Sobol low-discrepancy sequence generator ) . . . . . 1069
ql/RandomNumbers/sobolrsg.hpp (Sobol low-discrepancy sequence generator ) . . . . 1070
ql/ShortRateModels/calibrationhelper.cpp (Calibration helper class ) . . . . . . . . . . . 1074
ql/ShortRateModels/calibrationhelper.hpp (Calibration helper class ) . . . . . . . . . . . 1075
ql/ShortRateModels/model.cpp (Abstract interest rate model class ) . . . . . . . . . . . . 1080
ql/ShortRateModels/model.hpp (Abstract interest rate model class ) . . . . . . . . . . . . 1081
ql/ShortRateModels/onefactormodel.cpp (Abstract one-factor interest rate model class ) 1082
ql/ShortRateModels/onefactormodel.hpp (Abstract one-factor interest rate model class ) 1083
ql/ShortRateModels/parameter.hpp (Model parameter classes ) . . . . . . . . . . . . . . 1094

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92 QuantLib File Index

ql/ShortRateModels/twofactormodel.cpp (Abstract two-factor interest rate model class ) 1095

ql/ShortRateModels/twofactormodel.hpp (Abstract two-factor interest rate model class ) 1096
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (Cap calibration helper ) . . . . . 1076
ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (CapHelper calibration helper ) 1077
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (Swaption calibration
helper ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1078
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (Swaption calibration
helper ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1079
ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp (Black-Karasinski model ) . 1084
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (Black-Karasinski model ) 1085
ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (Cox-Ingersoll-Ross model ) 1086
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (Cox-Ingersoll-Ross
model ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1087
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp (Extended Cox-
Ingersoll-Ross model ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1088
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp (Extended Cox-
Ingersoll-Ross model ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1089
ql/ShortRateModels/OneFactorModels/hullwhite.cpp (Hull & White model ) . . . . . . 1090
ql/ShortRateModels/OneFactorModels/hullwhite.hpp (Hull & White (HW) model ) . . 1091
ql/ShortRateModels/OneFactorModels/vasicek.cpp (Vasicek model class ) . . . . . . . . 1092
ql/ShortRateModels/OneFactorModels/vasicek.hpp (Vasicek model class ) . . . . . . . . 1093
ql/ShortRateModels/TwoFactorModels/g2.cpp (Two-factor additive Gaussian Model
G2++ ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1097
ql/ShortRateModels/TwoFactorModels/g2.hpp (Two-factor additive Gaussian Model
G2++ ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1098
ql/Solvers1D/bisection.hpp (Bisection 1-D solver ) . . . . . . . . . . . . . . . . . . . . . . 1100
ql/Solvers1D/brent.hpp (Brent 1-D solver ) . . . . . . . . . . . . . . . . . . . . . . . . . . 1101
ql/Solvers1D/falseposition.hpp (False-position 1-D solver ) . . . . . . . . . . . . . . . . . 1102
ql/Solvers1D/newton.hpp (Newton 1-D solver ) . . . . . . . . . . . . . . . . . . . . . . . 1103
ql/Solvers1D/newtonsafe.hpp (Safe (bracketed) Newton 1-D solver ) . . . . . . . . . . . 1104
ql/Solvers1D/ridder.hpp (Ridder 1-D solver ) . . . . . . . . . . . . . . . . . . . . . . . . . 1105
ql/Solvers1D/secant.hpp (Secant 1-D solver ) . . . . . . . . . . . . . . . . . . . . . . . . . 1106
ql/TermStructures/affinetermstructure.cpp (Affine term-structure ) . . . . . . . . . . . . 1109
ql/TermStructures/affinetermstructure.hpp (Affine term structure ) . . . . . . . . . . . . 1110
ql/TermStructures/compoundforward.cpp (Compounded forward term structure ) . . . 1111
ql/TermStructures/compoundforward.hpp (Compounded forward term structure ) . . . 1112
ql/TermStructures/discountcurve.cpp (Term structure based on loglinear interpolation
of discount factors ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1113
ql/TermStructures/discountcurve.hpp (Pre-bootstrapped discount factor structure ) . . . 1114
ql/TermStructures/drifttermstructure.hpp (Drift term structure ) . . . . . . . . . . . . . . 1115
ql/TermStructures/extendeddiscountcurve.cpp (Discount factor structure with detailed
compound-forward calculation ) . . . . . . . . . . . . . . . . . . . . . . . . . . 1116
ql/TermStructures/extendeddiscountcurve.hpp (Discount factor structure with detailed
compound-forward calculation ) . . . . . . . . . . . . . . . . . . . . . . . . . . 1117
ql/TermStructures/flatforward.hpp (Flat forward rate term structure ) . . . . . . . . . . . 1118
ql/TermStructures/forwardspreadedtermstructure.hpp (Forward spreaded term struc-
ture ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1119
ql/TermStructures/impliedtermstructure.hpp (Implied term structure ) . . . . . . . . . . 1120
ql/TermStructures/piecewiseflatforward.cpp (Piecewise flat forward term structure ) . . 1121
ql/TermStructures/piecewiseflatforward.hpp (Piecewise flat forward term structure ) . . 1122
ql/TermStructures/quantotermstructure.hpp (Quanto term structure ) . . . . . . . . . . . 1123
ql/TermStructures/ratehelpers.cpp (Rate helpers base class ) . . . . . . . . . . . . . . . . 1124
ql/TermStructures/ratehelpers.hpp (Rate helpers base class ) . . . . . . . . . . . . . . . . 1125

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8.1 QuantLib File List 93

ql/TermStructures/zerocurve.cpp (Term structure based on linear interpolation of zero

yields ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1126
ql/TermStructures/zerocurve.hpp (Pre-bootstrapped zero curve structure ) . . . . . . . . 1127
ql/TermStructures/zerospreadedtermstructure.hpp (Zero spreaded term structure ) . . . 1128
ql/Utilities/combiningiterator.hpp (Iterator mapping a function to a set of underlying
sequences ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1130
ql/Utilities/couplingiterator.hpp (Iterator mapping a function to a pair of underlying
sequences ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1131
ql/Utilities/filteringiterator.hpp (Iterator filtering undesired data ) . . . . . . . . . . . . . 1132
ql/Utilities/iteratorcategories.hpp (Lowest common denominator between two iterator
categories ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1133
ql/Utilities/processingiterator.hpp (Iterator mapping a unary function to an underlying
sequence ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1134
ql/Utilities/steppingiterator.hpp (Iterator advancing in constant steps ) . . . . . . . . . . 1135
ql/Volatilities/blackconstantvol.hpp (Black constant volatility, no time dependence, no
strike dependence ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1136
ql/Volatilities/blackvariancecurve.cpp (Black volatility curve modelled as variance curve )1137
ql/Volatilities/blackvariancecurve.hpp (Black volatility curve modelled as variance
curve ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1138
ql/Volatilities/blackvariancesurface.cpp (Black volatility surface modelled as variance
surface ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1139
ql/Volatilities/blackvariancesurface.hpp (Black volatility surface modelled as variance
surface ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1140
ql/Volatilities/capflatvolvector.hpp (Cap/floor at-the-money flat volatility vector ) . . . . 1141
ql/Volatilities/impliedvoltermstructure.hpp (Implied Black Vol Term Structure ) . . . . 1142
ql/Volatilities/localconstantvol.hpp (Local constant volatility, no time dependence, no
asset dependence ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1143
ql/Volatilities/localvolcurve.hpp (Local volatility curve derived from a Black curve ) . . 1144
ql/Volatilities/localvolsurface.cpp (Local volatility surface derived from a Black vol sur-
face ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1145
ql/Volatilities/localvolsurface.hpp (Local volatility surface derived from a Black vol sur-
face ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1146
ql/Volatilities/swaptionvolmatrix.hpp (Swaption at-the-money volatility matrix ) . . . . 1147

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94 QuantLib File Index

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Chapter 9

QuantLib Module Documentation

9.1 Global QuantLib macros

9.1.1 Detailed Description

Global definitions and quite a few macros which help porting the code to different compilers

Defines

• #define QL_HEX_VERSION 0x000304f0

version hexadecimal number

• #define QL_VERSION "0.3.4"

version string

• #define QL_DUMMY_RETURN(x)
specific per-compiler definitions Is a dummy return statement required?

• #define QL_IO_INIT std::cout << std::string();

I/O initialization.

9.1.2 Define Documentation

9.1.2.1 #define QL_DUMMY_RETURN(x)

specific per-compiler definitions Is a dummy return statement required?

Some compilers will issue a warning if it is missing even though it could never be reached during
execution, e.g., after a block like

if (condition)
return validResult;
else
throw HideousError();
96 QuantLib Module Documentation

On the other hand, other compilers will issue a warning if it is present because it cannot be
reached. For the code to be portable this macro should be used after the block.

9.1.2.2 #define QL_IO_INIT std::cout << std::string();

I/O initialization.
Sometimes, programs compiled with the free Borland compiler will crash miserably upon at-
tempting to write on std::cout. Strangely enough, issuing the instruction

std::cout << std::string();

at the beginning of the program will prevent other accesses to std::cout from crashing the program.
This macro, to be called at the beginning of main(), encapsulates the above enchantment for
Borland and is defined as empty for the other compilers.

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9.2 Math functions 97

9.2 Math functions

9.2.1 Detailed Description

Some compilers still define math functions them in the global namespace. For the code to be
portable these macros should be used instead of the actual functions.

Defines
• #define QL_SQRT std::sqrt
square root

• #define QL_FABS std::fabs

absolute value

• #define QL_EXP std::exp

exponential

• #define QL_LOG std::log

logarithm

• #define QL_SIN std::sin

sine

• #define QL_COS std::cos

cosine

• #define QL_POW std::pow

power

• #define QL_MODF std::modf

floating-point module

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98 QuantLib Module Documentation

9.3 Numeric limits

9.3.1 Detailed Description

Some compilers do not give an implementation of yet. For the code to be portable these macros
should be used instead of the corresponding method of std::numeric_limits or the corresponding
macro defined in <limits.h>.

Defines
• #define QL_MIN_INT ((std::numeric_limits<int>::min)())
• #define QL_MAX_INT ((std::numeric_limits<int>::max)())
• #define QL_MIN_DOUBLE -((std::numeric_limits<double>::max)())
• #define QL_MIN_POSITIVE_DOUBLE ((std::numeric_limits<double>::min)())
• #define QL_MAX_DOUBLE ((std::numeric_limits<double>::max)())
• #define QL_EPSILON ((std::numeric_limits<double>::epsilon)())

9.3.2 Define Documentation

9.3.2.1 #define QL_MIN_INT ((std::numeric_limits<int>::min)())

Defines the value of the largest representable negative integer value

9.3.2.2 #define QL_MAX_INT ((std::numeric_limits<int>::max)())

Defines the value of the largest representable integer value

9.3.2.3 #define QL_MIN_DOUBLE -((std::numeric_limits<double>::max)())

Defines the value of the largest representable negative double value

9.3.2.4 #define QL_MIN_POSITIVE_DOUBLE ((std::numeric_limits<double>::min)())

Defines the value of the smallest representable positive double value

9.3.2.5 #define QL_MAX_DOUBLE ((std::numeric_limits<double>::max)())

Defines the value of the largest representable double value

9.3.2.6 #define QL_EPSILON ((std::numeric_limits<double>::epsilon)())

Defines the machine precision for operations over doubles

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9.4 Time functions 99

9.4 Time functions

9.4.1 Detailed Description

Some compilers still define time functions in the global namespace. For the code to be portable
these macros should be used instead of the actual functions.

Defines
• #define QL_CLOCK std::clock
clock value

• #define QL_TIME std::time

time value

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100 QuantLib Module Documentation

9.5 String functions

9.5.1 Detailed Description

Some compilers still define string functions in the global namespace. For the code to be portable
these macros should be used instead of the actual functions.

Defines
• #define QL_STRLEN std::strlen
string length

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9.6 Character functions 101

9.6 Character functions

9.6.1 Detailed Description

Some compilers still define character functions in the global namespace. For the code to be
portable these macros should be used instead of the actual functions.

Defines
• #define QL_TOUPPER std::toupper
convert to uppercase

• #define QL_TOLOWER std::tolower

convert to lowercase

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102 QuantLib Module Documentation

9.7 Input/output functions

9.7.1 Detailed Description

Some compilers still define i/o functions in the global namespace. For the code to be portable
these macros should be used instead of the actual functions.

Defines
• #define QL_SPRINTF std::sprintf
print to string

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9.8 Min and max functions 103

9.8 Min and max functions

9.8.1 Detailed Description

Some compilers still do not define std::min and std::max. Moreover, Visual C++ defines them but
for unfathomable reasons garble their names. For the code to be portable these macros should be
used instead of the actual functions.

Defines
• #define QL_MIN std::min
minimum between two elements

• #define QL_MAX std::max

maximum between two elements

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104 QuantLib Module Documentation

9.9 Template capabilities

9.9.1 Detailed Description

Some compilers still do not fully implement the template syntax. These macros can be used to
select between alternate implementations of blocks of code, namely, one that takes advantage of
template programming techniques and a less efficient one which is compatible with all compilers.

Defines

• #define QL_DECLARE_TEMPLATE_SPECIALIZATIONS
Blame Microsoft for this one...

• #define QL_ALLOW_TEMPLATE_METHOD_CALLS 1
Blame Microsoft for this one...

• #define QL_TYPENAME typename

Blame Microsoft for this one...

• #define QL_TEMPLATE_METAPROGRAMMING_WORKS 1

9.9.2 Define Documentation

9.9.2.1 #define QL_DECLARE_TEMPLATE_SPECIALIZATIONS

Blame Microsoft for this one...

They decided that a declaration and a definition of a specialized template function amount to a
redefinition and should issue a linker error. For the code to be portable, template specializations
should be declared (as opposed to defined) only if this macro is defined.

9.9.2.2 #define QL_ALLOW_TEMPLATE_METHOD_CALLS 1

Blame Microsoft for this one...

Their compiler cannot cope with method calls such as

Handle<Type1> h1(whatever);
h2 = h1.downcast<Type2>();

For compatibility, a workaround should be implemented (which of course will be less solid or
more comples - as I said, blame Microsoft...)

9.9.2.3 #define QL_TYPENAME typename

Blame Microsoft for this one...

They decided that typename can only be used in template declarations and not in template
definitions.

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9.9 Template capabilities 105

9.9.2.4 #define QL_TEMPLATE_METAPROGRAMMING_WORKS 1

Template metaprogramming techniques (see T. L. Veldhuizen, Using C++ Tem-

plate Metaprograms, C++ Report, Vol 7 No. 4, May 1995, available at
http://extreme.indiana.edu/∼tveldhui/papers) are sometimes too advanced for the
template implementation of current compilers.

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106 QuantLib Module Documentation

9.10 Iterator support

9.10.1 Detailed Description

Some compilers still define the iterator struct outside the std namespace, only partially implement
it, or do not implement it at all. For the code to be portable these macros should be used instead
of the actual functions.

Defines
• #define QL_ITERATOR std::iterator
• #define QL_ITERATOR_TRAITS std::iterator_traits
• #define QL_SPECIALIZE_ITERATOR_TRAITS(T)
• #define QL_REVERSE_ITERATOR(iterator, type) std::reverse_iterator< iterator >
Blame Microsoft for this one...

• #define QL_FULL_ITERATOR_SUPPORT

9.10.2 Define Documentation

9.10.2.1 #define QL_ITERATOR std::iterator

Custom iterators should be derived from this struct for the code to be portable.

9.10.2.2 #define QL_ITERATOR_TRAITS std::iterator_traits

For the code to be portable this macro should be used instead of the actual struct.

9.10.2.3 #define QL_SPECIALIZE_ITERATOR_TRAITS(T)

When using the QuantLib implementation of iterator_traits or Visual C++ .Net, this macro might
be needed to specialize QL_ITERATOR_TRAITS for a pointer to a user-defined type.

9.10.2.4 #define QL_REVERSE_ITERATOR(iterator, type) std::reverse_iterator< iterator >

Blame Microsoft for this one...

They decided that std::reverse_iterator<iterator> needed an extra template argument. For
the code to be portable this macro should be used instead of the actual class.

9.10.2.5 #define QL_FULL_ITERATOR_SUPPORT

Some compilers (most notably, Visual C++) still do not fully support iterators in their STL
implementation. This macro can be used to select between alternate implementations of blocks
of code, namely, one that takes advantage of full iterator support and a less efficient one which is
compatible with all compilers.

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Chapter 10

QuantLib Namespace
Documentation

10.1 QuantLib Namespace Reference

10.1.1 Detailed Description

a.k.a. the QuantLib Foundation

See sect. Core classes(p. 27)

Classes
• class Arguments
base class for generic argument groups

• class Results
base class for generic result groups

• class Array
1-D array used in linear algebra.

• class BlackModel
Black-model for vanilla interest-rate derivatives.

• class CalendarImpl
abstract base class for calendar implementations

• class Calendar
calendar class

• class Calendar::WesternImpl
• class CapFlatVolatilityStructure
Cap/floor flat volatility structure.
108 QuantLib Namespace Documentation

• class CapletForwardVolatilityStructure
Caplet/floorlet forward volatility structure.

• class CashFlow
Base class for cash flows.

• class IntegerFormatter
Formats integers for output.

• class DoubleFormatter
Formats doubles for output.

• class ArrayFormatter
Formats arrays for output.

• class EuroFormatter
Formats amounts in Euro for output.

• class RateFormatter
Formats rates for output.

• class DateFormatter
Formats dates for output.

• class CurrencyFormatter
Formats currencies for output.

• class StringFormatter
Formats strings as lower- or uppercase.

• class Period
Time period described by a number of a given time unit.

• class Date
Concrete date class.

• class DayCounterImpl
abstract base class for day counter implementations

• class DayCounter
day counter class

• class DiffusionProcess
Diffusion process class.

• class BlackScholesProcess
Black-Scholes diffusion process class.

• class OrnsteinUhlenbeckProcess
Ornstein-Uhlenbeck process class.

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10.1 QuantLib Namespace Reference 109

• class SquareRootProcess
Square-root process class.

• class DiscretizedAsset
Discretized asset class used by numerical methods.

• class DiscretizedDiscountBond
Useful discretized discount bond asset.

• class DiscretizedOption
Discretized option on another asset.

• class Disposable
generic disposable object with move semantics

• class Error
Base error class.

• class AssertionFailedError
Specialized error.

• class PreconditionNotSatisfiedError
Specialized error.

• class PostconditionNotSatisfiedError
Specialized error.

• class IndexError
Specialized error.

• class IllegalArgumentError
Specialized error.

• class IllegalResultError
Specialized error.

• class OutOfMemoryError
Specialized error.

• class Exercise
Exercise(p. 334) class (American, Bermudan or European).

• class AmericanExercise
American exercise class.

• class BermudanExercise
Bermudan exercise class.

• class EuropeanExercise

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110 QuantLib Namespace Documentation

European exercise class.

• class TimeGrid
time grid class

• class Handle
Reference-counted pointer.

• class History
Container for historical data.

• class History::Entry
single datum in history

• class History::const_iterator
random access iterator on history entries

• class Index
purely virtual base class for indexes

• class Instrument
Abstract instrument class.

• class Value
pricing results

• struct Barrier
placeholder for enumerated barrier types

• struct Binary
placeholder for enumerated binary types

• class MarketElement
purely virtual base class for market observables

• class SimpleMarketElement
market element returning a stored value

• class DerivedMarketElement
market element whose value depends on another market element

• class CompositeMarketElement
market element whose value depends on two other market element

• class Null
template class providing a null value for a given type.

• class NumericalMethod
Numerical method (Tree, Finite Differences) base class.

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10.1 QuantLib Namespace Reference 111

• class Option
base option class

• class Greeks
additional option results

• class Payoff
Option(p. 533) payoff base class.

• class StrikedTypePayoff
• class PlainVanillaPayoff
• class CashOrNothingPayoff
Binary(p. 195) Cash-Or-Nothing option payoff.

• class AssetOrNothingPayoff
Binary(p. 195) Asset-Or-Nothing option payoff.

• class SupersharePayoff
Binary(p. 195) supershare option payoff.

• class PricingEngine
base class for pricing engines

• class Link
Relinkable access to a Handle(p. 390).

• class RelinkableHandle
Globally accessible relinkable pointer.

• class RiskStatistics_old
Risk analysis tool.

• class Schedule
Payment schedule.

• class MakeSchedule
helper class

• class Solver1D
Base class for 1-D solvers.

• class SwaptionVolatilityStructure
Swaption volatility structure.

• class TermStructure
Term structure.

• class ZeroYieldStructure
Zero yield term structure.

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112 QuantLib Namespace Documentation

• class DiscountStructure
Discount factor term structure.

• class ForwardRateStructure
Forward rate term structure.

• class BlackVolTermStructure
Black Volatility Term structure.

• class BlackVolatilityTermStructure
Black Volatility term structure.

• class BlackVarianceTermStructure
Black Variance term structure.

• class LocalVolTermStructure
Local Volatility Term structure.

Typedefs
• typedef int Day
Day number.

• typedef int Year

Year number.

• typedef Schedule Scheduler

• typedef MakeSchedule MakeScheduler
• typedef int Integer
integer number

• typedef double Real

real number

• typedef QL_SIZE_T Size

size of a container

• typedef double Time

continuous quantity with 1-year units

• typedef double DiscountFactor

used to describe discount factors between dates.

• typedef double Rate

used to describe interest rates.

• typedef double Spread

used to describe spreads on interest rates.

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10.1 QuantLib Namespace Reference 113

Enumerations
• enum RollingConvention {
Preceding, ModifiedPreceding, Following, ModifiedFollowing,
MonthEndReference }
Rolling conventions.

• enum Currency {
ARS, ATS, AUD, BDT,
BEF, BGL, BRL, BYB,
CAD, CHF, CLP, CNY,
COP, CYP, CZK, DEM,
DKK, EEK, EUR, GBP,
GRD, HKD, HUF, ILS,
INR, IQD, IRR, ISK,
ITL, JPY, KRW, KWD,
LTL, LVL, MTL, MXP,
NOK, NPR, NZD, PKR,
PLN, ROL, SAR, SEK,
SGD, SIT, SKK, THB,
TRL, TTD, TWD, USD,
VEB, ZAR }
Known currencies.

• enum Weekday {
Sunday = 1, Monday = 2, Tuesday = 3, Wednesday = 4,
Thursday = 5, Friday = 6, Saturday = 7 }
• enum Month {
January = 1, February = 2, March = 3, April = 4,
May = 5, June = 6, July = 7, August = 8,
September = 9, October = 10, November = 11, December = 12 }
Month names.

• enum TimeUnit { Days = 0, Weeks = 1, Months = 2, Years = 3 }

Units used to describe time periods.

Functions
• double DotProduct (const Array &v1, const Array &v2)
• Disposable< Array > operator+ (const Array &v)
• Disposable< Array > operator- (const Array &v)
• Disposable< Array > operator+ (const Array &v1, const Array &v2)
• Disposable< Array > operator+ (const Array &v1, double a)
• Disposable< Array > operator+ (double a, const Array &v2)

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114 QuantLib Namespace Documentation

• Disposable< Array > operator- (const Array &v1, const Array &v2)
• Disposable< Array > operator- (const Array &v1, double a)
• Disposable< Array > operator- (double a, const Array &v2)
• Disposable< Array > operator ∗ (const Array &v1, const Array &v2)
• Disposable< Array > operator ∗ (const Array &v1, double a)
• Disposable< Array > operator ∗ (double a, const Array &v2)
• Disposable< Array > operator/ (const Array &v1, const Array &v2)
• Disposable< Array > operator/ (const Array &v1, double a)
• Disposable< Array > operator/ (double a, const Array &v2)
• Disposable< Array > Abs (const Array &v)
• Disposable< Array > Sqrt (const Array &v)
• Disposable< Array > Log (const Array &v)
• Disposable< Array > Exp (const Array &v)
• bool operator== (const Calendar &c1, const Calendar &c2)
• bool operator!= (const Calendar &c1, const Calendar &c2)
• std::ostream & operator<< (std::ostream &stream, const Array &a)
• std::ostream & operator<< (std::ostream &stream, const Math::Matrix &matrix)
• std::ostream & operator<< (std::ostream &stream, const Date &date)
• bool operator== (const Period &p1, const Period &p2)
• bool operator< (const Period &p1, const Period &p2)
• long operator- (const Date &d1, const Date &d2)
• bool operator== (const Date &d1, const Date &d2)
• bool operator!= (const Date &d1, const Date &d2)
• bool operator< (const Date &d1, const Date &d2)
• bool operator<= (const Date &d1, const Date &d2)
• bool operator> (const Date &d1, const Date &d2)
• bool operator>= (const Date &d1, const Date &d2)
• bool operator== (const DayCounter &d1, const DayCounter &d2)
• bool operator!= (const DayCounter &d1, const DayCounter &d2)
• Disposable< Array > CenteredGrid (double center, double dx, Size steps)
• Disposable< Array > BoundedGrid (double xMin, double xMax, Size steps)

10.1.2 Typedef Documentation

10.1.2.1 typedef Schedule Scheduler

Deprecated
use Schedule(p. 588) instead

10.1.2.2 typedef MakeSchedule MakeScheduler

Deprecated
use MakeSchedule(p. 469) instead

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10.1 QuantLib Namespace Reference 115

10.1.3 Enumeration Type Documentation

10.1.3.1 enum RollingConvention

Rolling conventions.
These conventions specify the algorithm used to find the business day which is "closest" to a
given holiday.

Enumeration values:
Preceding Choose the first business day before the given holiday.
ModifiedPreceding Choose the first business day before the given holiday unless it belongs
to a different month, in which case choose the first business day after the holiday.
Following Choose the first business day after the given holiday.
ModifiedFollowing Choose the first business day after the given holiday unless it belongs
to a different month, in which case choose the first business day before the holiday.
MonthEndReference Choose the first business day after the given holiday, if the original date
falls on last business day of month result reverts to first business day before month-end

10.1.3.2 enum Currency

Known currencies.

Enumeration values:
ARS Argentinian Peso.
ATS Austrian Schillings.
AUD Australian Dollar.
BDT Bangladesh Taka.
BEF Belgian Franc.
BGL Bulgarian Lev.
BRL Brazilian Real.
BYB Belarusian Ruble.
CAD Canadian Dollar.
CHF Swiss Franc.
CLP Chilean Peso.
CNY Chinese Yuan.
COP Colombian Peso.
CYP Cyprus Pound.
CZK Czech Koruna.
DEM German Mark.
DKK Danish Krone.
EEK Estonian Kroon.
EUR Euro.
GBP British Pound.
GRD Greek Drachma.

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116 QuantLib Namespace Documentation

HKD Hong Kong Dollar.

HUF Hungarian Forint.
ILS Israeli Shekel.
INR Indian Rupee.
IQD Iraqi Dinar.
IRR Iranian Rial.
ISK Iceland Krona.
ITL Italian Lira.
JPY Japanese Yen.
KRW South-Korean Won.
KWD Kuwaiti dinar.
LTL Lithuanian Litas.
LVL Latvian Lats.
MTL Maltese Lira.
MXP Mexican Peso.
NOK Norwegian Kroner.
NPR Nepal Rupee.
NZD New Zealand Dollar.
PKR Pakistani Rupee.
PLN New Polish Zloty.
ROL Romanian Leu.
SAR Saudi Riyal.
SEK Swedish Krona.
SGD Singapore Dollar.
SIT Slovenian Tolar.
SKK Slovak Koruna.
THB Thai Baht.
TRL Turkish Lira.
TTD Trinidad & Tobago dollar.
TWD Taiwan Dollar.
USD US Dollar.
VEB Venezuelan Bolivar.
ZAR South African Rand.

10.1.3.3 enum Weekday

Day’s serial number MOD 7; WEEKDAY Excel function is the same except for Sunday = 7

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10.2 QuantLib::Calendars Namespace Reference 117

10.2 QuantLib::Calendars Namespace Reference

10.2.1 Detailed Description

Specialized Calendar(p. 235) classes.

See sect. Calendars(p. ??)

Classes
• class Budapest
Budapest calendar

• class Frankfurt
Frankfurt calendar

• class Helsinki
Helsinki calendar

• class Johannesburg
Johannesburg calendar

• class JointCalendar
Joint calendar.

• class London
London calendar

• class Milan
Milan calendar

• class NewYork
New York calendar.

• class NullCalendar
Calendar(p. 235) for reproducing theoretical calculations.

• class Oslo
Oslo calendar

• class Stockholm
Stockholm calendar

• class Sydney
Sydney, calendar (New South Wales, Australia)

• class TARGET
TARGET calendar

• class Tokyo

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118 QuantLib Namespace Documentation

Tokyo calendar

• class Toronto
Toronto calendar

• class Warsaw
Warsaw calendar

• class Wellington
Wellington calendar

• class Zurich
Zurich calendar

Enumerations
• enum JointCalendarRule { JoinHolidays, JoinBusinessDays }
rules for joining calendars

10.2.2 Enumeration Type Documentation

10.2.2.1 enum JointCalendarRule

rules for joining calendars

Enumeration values:
JoinHolidays A date is a holiday for the joint calendar if it is a holiday for any of the given
calendars
JoinBusinessDays A date is a business day for the joint calendar if it is a business day for
any of the given calendars

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10.3 QuantLib::CashFlows Namespace Reference 119

10.3 QuantLib::CashFlows Namespace Reference

10.3.1 Detailed Description

Concrete implementations of the CashFlow(p. 252) interface.

See sect. cashflows

Classes

• class BPSCalculator
basis point sensitivity (BPS) calculator

• class Coupon
coupon accruing over a fixed period

• class FixedRateCoupon
coupon paying a fixed interest rate

• class FloatingRateCoupon
coupon at par on a term structure

• class InArrearIndexedCoupon
in arrear indexed coupon class

• class IndexedCoupon
base indexed coupon class

• class ParCoupon
coupon at par on a term structure

• class ShortFloatingRateCoupon
short coupon at par on a term structure

• class Short
short indexed coupon

• class SimpleCashFlow
Predetermined cash flow.

• class TimeBasket
Distribution over a number of dates.

• class UpFrontIndexedCoupon
up front indexed coupon class

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120 QuantLib Namespace Documentation

Functions
• double BasisPointSensitivity (const std::vector< Handle< CashFlow > > &leg, const
RelinkableHandle< TermStructure > &ts)
Collective basis-point sensitivity of a cash-flow sequence.

• TimeBasket BasisPointSensitivityBasket (const std::vector< Handle< CashFlow > > &leg,

const RelinkableHandle< TermStructure > &ts, int basis)
• std::vector< Handle< CashFlow > > FixedRateCouponVector (const Schedule &schedule,
const std::vector< double > &nominals, const std::vector< Rate > &couponRates, const
DayCounter &dayCount, const DayCounter &firstPeriodDayCount)
helper function building a sequence of fixed rate coupons

• std::vector< Handle< CashFlow > > FixedRateCouponVector (const std::vector< double >
&nominals, const std::vector< Rate > &couponRates, const DayCounter &dayCount, const
DayCounter &firstPeriodDayCount, const Schedule &schedule)
helper function building a sequence of fixed rate coupons

• std::vector< Handle< CashFlow > > FixedRateCouponVector (const std::vector< dou-

ble > &nominals, const std::vector< Rate > &couponRates, const Date &startDate, const
Date &endDate, int frequency, const Calendar &calendar, RollingConvention rolling-
Convention, bool isAdjusted, const DayCounter &dayCount, const DayCounter &first-
PeriodDayCount, const Date &stubDate)
helper function building a sequence of fixed rate coupons

• std::vector< Handle< CashFlow > > FixedRateCouponVector (const std::vector< double

> &nominals, const std::vector< Rate > &couponRates, const std::vector< Date > &dates,
const Calendar &calendar, RollingConvention roll, const DayCounter &dayCounter)
helper function building a sequence of fixed rate coupons

• std::vector< Handle< CashFlow > > FloatingRateCouponVector (const Schedule &sched-

ule, const std::vector< double > &nominals, const Handle< Indexes::Xibor > &index, int
fixingDays, const std::vector< Spread > &spreads)
helper function building a sequence of par coupons

• std::vector< Handle< CashFlow > > FloatingRateCouponVector (const std::vector< double

> &nominals, const Handle< Xibor > &index, int fixingDays, const std::vector< Spread >
&spreads, const Schedule &schedule)
• std::vector< Handle< CashFlow > > FloatingRateCouponVector (const std::vector< double
> &nominals, const Date &startDate, const Date &endDate, int frequency, const Calendar
&calendar, RollingConvention rollingConvention, const Handle< Xibor > &index, int
fixingDays, const std::vector< Spread > &spreads, const Date &stubDate)
• std::vector< Handle< CashFlow > > FloatingRateCouponVector (const std::vector< double
> &nominals, const std::vector< Spread > &spreads, const std::vector< Date > &dates, const
Handle< Xibor > &index, int fixingDays, const Calendar &calendar, RollingConvention
roll)
• std::vector< Handle< CashFlow > > FloatingRateCouponVector (const std::vector< double
> &nominals, const Date &startDate, const Date &endDate, int frequency, const Calendar
&calendar, RollingConvention rollingConvention, const Handle< Indexes::Xibor > &in-
dex, int fixingDays, const std::vector< Spread > &spreads, const Date &stubDate=Date())
helper function building a sequence of par coupons

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10.3 QuantLib::CashFlows Namespace Reference 121

• std::vector< Handle< CashFlow > > FloatingRateCouponVector (const std::vector< double

> &nominals, const Handle< Indexes::Xibor > &index, int fixingDays, const std::vector<
Spread > &spreads, const Schedule &schedule)
helper function building a sequence of par coupons

• std::vector< Handle< CashFlow > > FloatingRateCouponVector (const std::vector< double

> &nominals, const std::vector< Spread > &spreads, const std::vector< Date > &dates, const
Handle< Indexes::Xibor > &index, int fixingDays, const Calendar &calendar, Rolling-
Convention roll)
helper function building a sequence of par coupons

• template<class IndexedCouponType> std::vector< Handle< CashFlow > > Indexed-

CouponVector (const Schedule &schedule, const std::vector< double > &nominals, const
Handle< Indexes::Xibor > &index, int fixingDays, const std::vector< Spread > &spreads,
const DayCounter &dayCounter=DayCounter())
• template<class IndexedCouponType> std::vector< Handle< CashFlow > > Indexed-
CouponVector (const std::vector< double > &nominals, const Date &startDate, const
Date &endDate, int frequency, const Calendar &calendar, RollingConvention rolling-
Convention, const Handle< Indexes::Xibor > &index, int fixingDays, const std::vector<
Spread > &spreads, const Date &stubDate=Date(), const DayCounter &dayCounter=Day-
Counter())
helper function building a sequence of indexed coupons

10.3.2 Function Documentation

10.3.2.1 std::vector< Handle< CashFlow > > FixedRateCouponVector (const std::vector<

double > & nominals, const std::vector< Rate > & couponRates, const DayCounter &
dayCount, const DayCounter & firstPeriodDayCount, const Schedule & schedule)

helper function building a sequence of fixed rate coupons

Deprecated
use the version taking a Schedule(p. 588) as first argument instead

10.3.2.2 std::vector< Handle< CashFlow > > FixedRateCouponVector (const std::vector<

double > & nominals, const std::vector< Rate > & couponRates, const Date &
startDate, const Date & endDate, int frequency, const Calendar & calendar,
RollingConvention rollingConvention, bool isAdjusted, const DayCounter &
dayCount, const DayCounter & firstPeriodDayCount, const Date & stubDate =
Date())

helper function building a sequence of fixed rate coupons

Deprecated
use the version taking a Schedule(p. 588) as first argument instead

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10.3.2.3 std::vector< Handle< CashFlow > > FixedRateCouponVector (const std::vector<

double > & nominals, const std::vector< Rate > & couponRates, const std::vector<
Date > & dates, const Calendar & calendar, RollingConvention roll, const
DayCounter & dayCounter)

helper function building a sequence of fixed rate coupons

Deprecated
use the version taking a Schedule(p. 588) as first argument instead

10.3.2.4 std::vector< Handle< CashFlow > > FloatingRateCouponVector (const Schedule &
schedule, const std::vector< double > & nominals, const Handle< Indexes::Xibor > &
index, int fixingDays, const std::vector< Spread > & spreads = std::vector<Spread>())

helper function building a sequence of par coupons

Warning:
The passing of a non-null stub date - i.e., the creation of a short/long first coupon - is currently
disabled.

Todo
A suitable algorithm should be implemented for the calculation of the interpolated index
fixing for a short/long first coupon.

10.3.2.5 std::vector<Handle<CashFlow> > FloatingRateCouponVector (const std::vector<

double > & nominals, const Date & startDate, const Date & endDate, int frequency,
const Calendar & calendar, RollingConvention rollingConvention, const Handle<
Indexes::Xibor > & index, int fixingDays, const std::vector< Spread > & spreads,
const Date & stubDate = Date())

helper function building a sequence of par coupons

Deprecated
use the version taking a Schedule(p. 588) as first argument instead

10.3.2.6 std::vector<Handle<CashFlow> > FloatingRateCouponVector (const std::vector<

double > & nominals, const Handle< Indexes::Xibor > & index, int fixingDays, const
std::vector< Spread > & spreads, const Schedule & schedule)

helper function building a sequence of par coupons

Deprecated
use the version taking a Schedule(p. 588) as first argument instead

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10.3 QuantLib::CashFlows Namespace Reference 123

10.3.2.7 std::vector<Handle<CashFlow> > FloatingRateCouponVector (const std::vector<

double > & nominals, const std::vector< Spread > & spreads, const std::vector< Date
> & dates, const Handle< Indexes::Xibor > & index, int fixingDays, const Calendar &
calendar, RollingConvention roll)

helper function building a sequence of par coupons

Deprecated
use the version taking a Schedule(p. 588) as first argument instead

10.3.2.8 std::vector<Handle<CashFlow> > IndexedCouponVector (const std::vector<

double > & nominals, const Date & startDate, const Date & endDate, int frequency,
const Calendar & calendar, RollingConvention rollingConvention, const Handle<
Indexes::Xibor > & index, int fixingDays, const std::vector< Spread > & spreads,
const Date & stubDate = Date(), const DayCounter & dayCounter = DayCounter())

helper function building a sequence of indexed coupons

Deprecated
use the version taking a Schedule(p. 588) instead

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10.4 QuantLib::DayCounters Namespace Reference

10.4.1 Detailed Description

Specialized DayCounter(p. 292) classes.

See sect. dayconters

Classes
• class Actual360
Actual/360 day count convention.

• class Actual365
Actual/365 day count convention.

• class ActualActual
Actual/Actual day count.

• class SimpleDayCounter
Simple day counter for reproducing theoretical calculations.

• class Thirty360
30/360 day count convention

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10.5 QuantLib::FiniteDifferences Namespace Reference 125

10.5 QuantLib::FiniteDifferences Namespace Reference

10.5.1 Detailed Description

Finite difference framework.

See sect. The finite differences framework(p. 31)

Classes
• class AmericanCondition
• class BoundaryCondition
Abstract boundary condition class for finite difference problems.

• class NeumannBC
Neumann boundary condition (i.e., constant derivative).

• class DirichletBC
Neumann boundary condition (i.e., constant value).

• class BSMOperator
Black-Scholes-Merton differential operator.

• class CrankNicolson
Crank-Nicolson scheme for finite difference methods.

• class DMinus
D− matricial representation

• class DPlus
D+ matricial representation

• class DPlusDMinus
D+ D− matricial representation

• class DZero
D0 matricial representation

• class ExplicitEuler
Forward Euler scheme for finite difference methods.

• class FiniteDifferenceModel
Generic finite difference model.

• class ImplicitEuler
Backward Euler scheme for finite difference methods.

• class MixedScheme
Mixed (explicit/implicit) scheme for finite difference methods.

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126 QuantLib Namespace Documentation

• class OneFactorOperator
Interest-rate single factor model differential operator.

• class ShoutCondition
Shout option condition.

• class StepCondition
condition to be applied at every time step

• class TridiagonalOperator
Base implementation for tridiagonal operator.

• class TridiagonalOperator::TimeSetter
encapsulation of time-setting logic

Typedefs
• typedef FiniteDifferenceModel< CrankNicolson< TridiagonalOperator > > Standard-
FiniteDifferenceModel
default choice for finite-difference model

• typedef StepCondition< Array > StandardStepCondition

default choice for step condition

Functions
• Disposable< TridiagonalOperator > operator+ (const TridiagonalOperator &D)
• Disposable< TridiagonalOperator > operator- (const TridiagonalOperator &D)
• Disposable< TridiagonalOperator > operator+ (const TridiagonalOperator &D1, const
TridiagonalOperator &D2)
• Disposable< TridiagonalOperator > operator- (const TridiagonalOperator &D1, const
TridiagonalOperator &D2)
• Disposable< TridiagonalOperator > operator ∗ (double a, const TridiagonalOperator &D)
• Disposable< TridiagonalOperator > operator ∗ (const TridiagonalOperator &D, double a)
• Disposable< TridiagonalOperator > operator/ (const TridiagonalOperator &D, double a)
• double valueAtCenter (const Array &a)
mid-point value

• double firstDerivativeAtCenter (const Array &a, const Array &g)

mid-point first derivative

• double secondDerivativeAtCenter (const Array &a, const Array &g)

mid-point second derivative

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10.6 QuantLib::Indexes Namespace Reference 127

10.6 QuantLib::Indexes Namespace Reference

10.6.1 Detailed Description

Concrete implementations of the Index(p. 417) interface.

See sect. indexes

Classes
• class AUDLibor
AUD Libor index (Also known as SIBOR, check settlement days)

• class CADLibor
CAD Libor index (Also known as CDOR)

• class CHFLibor
CHF Libor index (Also known as ZIBOR)

• class Euribor
Euribor index

• class GBPLibor
GBP Libor index

• class JPYLibor
JPY Libor index (Also known as TIBOR, check settlement days)

• class USDLibor
USD Libor index

• class Xibor
base class for libor indexes

• class XiborManager
global repository for libor histories

• class ZARLibor
ZAR Libor index (also known as JIBAR)

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128 QuantLib Namespace Documentation

10.7 QuantLib::Instruments Namespace Reference

10.7.1 Detailed Description

Concrete implementations of the Instrument(p. 422) interface.

See sect. Instruments and pricers(p. 45)

Classes
• class BarrierOption
Barrier(p. 180) option on a single asset.

• class BarrierOption::arguments
arguments for barrier option calculation

• class BarrierOption::results
results from barrier option calculation

• class BinaryOption
Binary(p. 195) option on a single asset.

• class BinaryOption::arguments
arguments for binary option calculation

• class BinaryOption::results
results from binary option calculation

• class CapFloor
Base class for cap-like instruments.

• class Cap
Concrete cap class.

• class Floor
Concrete floor class.

• class Collar
Concrete cap class.

• class CapFloor::arguments
arguments for cap/floor calculation

• class CapFloor::results
results from cap/floor calculation

• class CliquetOption
currently just a container for arguments and results

• class CliquetOption::arguments

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10.7 QuantLib::Instruments Namespace Reference 129

arguments for cliquet option calculation

• class ForwardOptionArguments
arguments for forward (strike-resetting) option calculation

• class ForwardVanillaOption
Forward version of a vanilla option.

• class QuantoForwardVanillaOption
Quanto version of a forward vanilla option.

• class QuantoOptionArguments
arguments for quanto option calculation

• class QuantoOptionResults
results from quanto option calculation

• class QuantoVanillaOption
quanto version of a vanilla option

• class SimpleSwap
Simple fixed-rate vs Libor swap.

• class SimpleSwap::arguments
arguments for simple swap calculation

• class SimpleSwap::results
results from swaption calculation

• class Stock
Simple stock class.

• class Swap
Interest rate swap.

• class Swaption
Swaption(p. 625) class.

• class Swaption::arguments
arguments for swaption calculation

• class Swaption::results
results from swaption calculation

• class VanillaOption
Vanilla option (no discrete dividends, no barriers) on a single asset.

• class VanillaOption::arguments
arguments for vanilla option calculation

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130 QuantLib Namespace Documentation

• class VanillaOption::results
results from vanilla option calculation

Typedefs
• typedef CapFloor VanillaCapFloor
• typedef Cap VanillaCap
• typedef Floor VanillaFloor
• typedef Collar VanillaCollar

10.7.2 Typedef Documentation

10.7.2.1 typedef CapFloor VanillaCapFloor

Deprecated
use CapFloor(p. 247) instead

10.7.2.2 typedef Cap VanillaCap

Deprecated
use Cap(p. 243) instead

10.7.2.3 typedef Floor VanillaFloor

Deprecated
use Floor(p. 357) instead

10.7.2.4 typedef Collar VanillaCollar

Deprecated
use Collar(p. 263) instead

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10.8 QuantLib::Math Namespace Reference 131

10.8 QuantLib::Math Namespace Reference

10.8.1 Detailed Description

Mathematical functions and classes.

See sect. Math tools(p. 47)

Classes
• class BicubicSplineInterpolation
bicubic spline interpolation between discrete points

• class BilinearInterpolation
bilinear interpolation between discrete points

• class CubicSplineInterpolation
cubic spline interpolation between discrete points

• class DiscrepancyStatistics
Statistic tool for sequences with discrepancy calculation.

• class ErrorFunction
Error(p. 325) function.

• class GammaFunction
Gamma function class.

• class GaussianStatistics
Statistics tool for gaussian-assumption risk measures.

• class GeneralStatistics
Statistics tool.

• class IncrementalStatistics
Statistics tool based on incremental accumulation.

• class Interpolation
abstract base class for 1-D interpolations

• class Interpolation2D
abstract base class for 2-D interpolations

• class Linear
linear interpolation traits

• class LogLinear
log-linear interpolation traits

• class CubicSpline

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132 QuantLib Namespace Documentation

cubic-spline interpolation traits

• class KronrodIntegral
Integral of a 1-dimensional function using the Gauss-Kronrod method.

• class LexicographicalView
Lexicographical 2-D view of a contiguous set of data.

• class LinearInterpolation
linear interpolation between discrete points

• class LogLinearInterpolation
log linear interpolation between discrete points

• class Matrix
matrix used in linear algebra.

• class MultivariateAccumulator
A sample accumulator for multivariate analysis.

• class NormalDistribution
Normal distribution function.

• class CumulativeNormalDistribution
Cumulative normal distribution function.

• class InverseCumulativeNormal
Inverse cumulative normal distribution function.

• class MoroInverseCumulativeNormal
Moro Inverse cumulative normal distribution class.

• class PrimeNumbers
Prime numbers calculator.

• class RiskMeasures
• class GenericRiskStatistics
empirical-distribution risk measures

• class SegmentIntegral
Integral of a one-dimensional function.

• class SequenceStatistics
Statistics analysis of N-dimensional (sequence) data.

• class SimpsonIntegral
Integral of a one-dimensional function.

• class SVD
Singular Value(p. 662) Decomposition.

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10.8 QuantLib::Math Namespace Reference 133

• class SymmetricSchurDecomposition
symmetric threshold Jacobi algorithm.

• class TrapezoidIntegral
Integral of a one-dimensional function.

Typedefs
• typedef NormalDistribution GaussianDistribution
• typedef InverseCumulativeNormal InvCumulativeNormalDistribution
• typedef GaussianStatistics< GenericRiskStatistics< GeneralStatistics > > RiskStatistics
default risk measures tool

• typedef GeneralStatistics Statistics

default statistics tool

Enumerations
• enum SalvagingAlgorithm { None, Spectral, Hypersphere }

Functions
• template<class F, class R> clipped_function< F, R > clip (const F &f, const R &r)
• template<class F, class G> composed_function< F, G > compose (const F &f, const G &g)
• Disposable< Matrix > pseudoSqrt (const Matrix &realSymmMatrix, SalvagingAlgorithm
sa)
• Disposable< Matrix > operator+ (const Matrix &m1, const Matrix &m2)
• Disposable< Matrix > operator- (const Matrix &m1, const Matrix &m2)
• Disposable< Matrix > operator ∗ (const Matrix &m, double x)
• Disposable< Matrix > operator ∗ (double x, const Matrix &m)
• Disposable< Matrix > operator/ (const Matrix &m, double x)
• Disposable< Array > operator ∗ (const Array &v, const Matrix &m)
• Disposable< Array > operator ∗ (const Matrix &m, const Array &v)
• Disposable< Matrix > operator ∗ (const Matrix &m1, const Matrix &m2)
• Disposable< Matrix > transpose (const Matrix &m)
• Disposable< Matrix > outerProduct (const Array &v1, const Array &v2)
• template<class Iterator1, class Iterator2> Disposable< Matrix > outerProduct (Iterator1
v1begin, Iterator1 v1end, Iterator2 v2begin, Iterator2 v2end)
• Disposable< Matrix > matrixSqrt (const Matrix &m)
• double hypot (const double &a, const double &b)
Singular Value(p. 662) Decomposition.

• Disposable< Array > SymmetricEigenvalues (Matrix &s)

• Disposable< Matrix > SymmetricEigenvectors (Matrix &s)

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134 QuantLib Namespace Documentation

10.8.2 Function Documentation

10.8.2.1 double hypot (const double & a, const double & b)

Singular Value(p. 662) Decomposition.

Returns:
hypotenuse of real (non-complex) scalars a and b by avoiding underflow/overflow using (a
∗ sqrt( 1 + (b/a) ∗ (b/a))), rather than sqrt(a∗a + b∗b).

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10.9 QuantLib::MonteCarlo Namespace Reference 135

10.9 QuantLib::MonteCarlo Namespace Reference

10.9.1 Detailed Description

Monte Carlo framework.

See sect. The Monte Carlo framework(p. 36)

Classes
• class ArithmeticAPOPathPricer_old
path pricer for arithmetic average price option

• class ArithmeticASOPathPricer_old
path pricer for arithmetic average strike Asian options

• class BarrierPathPricer
path pricer for Barrier(p. 180) options

• class BasketPathPricer_old
multipath pricer for European-type basket option

• class BiasedBarrierPathPricer
Biased, but simple, path pricer for Barrier(p. 180) options

• class BinaryPathPricer
path pricer for Binary(p. 195) options

• class BrownianBridge
Builds Wiener process paths using Gaussian variates.

• class CliquetOptionPathPricer
path pricer for cliquet options

• class CliquetOptionPathPricer_old
path pricer for cliquet options

• class EuropeanPathPricer
path pricer for European options

• class EuropeanPathPricer_old
path pricer for European options

• class EverestPathPricer_old
path pricer for European-type Everest option

• class GeometricAPOPathPricer_old
path pricer for geometric average price option

• class GeometricASOPathPricer_old

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136 QuantLib Namespace Documentation

path pricer for geometric average strike option

• class HimalayaPathPricer_old
multipath pricer for European-type Himalaya option

• class MaxBasketPathPricer_old
multipath pricer for European-type basket option

• class MonteCarloModel
General purpose Monte Carlo model for path samples.

• class MultiPath
single random walk

• class MultiPathGenerator
Generates a multipath from a random number generator.

• class MultiPathGenerator_old
Generates a multipath from a random number generator.

• class PagodaPathPricer_old
multipath pricer for pagoda options

• class Path
single factor random walk

• class PathGenerator
Generates random paths using a sequence generator.

• class PathGenerator_old
Generates random paths from a random number generator.

• class PathPricer
base class for path pricers

• class PathPricer_old
base class for path pricers

• class PerformanceOptionPathPricer_old
path pricer for performance options

• struct Sample
weighted sample

Typedefs
• typedef GenericPseudoRandom< RandomNumbers::MersenneTwisterUniformRng,
Math::InverseCumulativeNormal > PseudoRandom

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10.9 QuantLib::MonteCarlo Namespace Reference 137

• typedef PathGenerator_old< RandomNumbers::GaussianRandomGenerator >

GaussianPathGenerator_old
default choice for Gaussian path generator.

• typedef PathGenerator< RandomNumbers::GaussianRandomSequenceGenerator >

GaussianPathGenerator
• typedef MultiPathGenerator_old< RandomNumbers::RandomArrayGenerator<
RandomNumbers::GaussianRandomGenerator > > GaussianMultiPathGenerator
default choice for Gaussian multi-path generator.

• typedef MonteCarloModel< SingleAsset_old< PseudoRandom_old > > OneFactorMonte-

CarloOption_old
default choice for one-factor Monte Carlo model.

• typedef MonteCarloModel< MultiAsset_old< PseudoRandomSequence_old > > Multi-

FactorMonteCarloOption
default choice for multi-factor Monte Carlo model.

Functions
• template<class DataIterator> Disposable< Math::Matrix > getCovariance (DataIterator
volBegin, DataIterator volEnd, const Math::Matrix &corr)

10.9.2 Function Documentation

10.9.2.1 Disposable<Math::Matrix> getCovariance (DataIterator volBegin, DataIterator

volEnd, const Math::Matrix & corr)

Combines the correlation matrix and the vector of volatilities to return the covariance matrix.
Note that only the symmetric part of the correlation matrix is used. Also it is assumed that the
diagonal member of the correlation matrix equals one.

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138 QuantLib Namespace Documentation

10.10 QuantLib::Patterns Namespace Reference

10.10.1 Detailed Description

Implementations of design patterns.

See sect. Design patterns(p. 49)

Classes
• class Bridge
The Bridge(p. 230) pattern made explicit.

• class CuriouslyRecurringTemplate
Support for the curiously recurring template pattern.

• class LazyObject
Framework for calculation on demand and result caching.

• class Observable
Object that notifies its changes to a set of observables.

• class Observer
Object that gets notified when a given observable changes.

• class AcyclicVisitor
degenerate base class for the Acyclic Visitor(p. 672) pattern

• class Visitor
visitor for a specific class

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10.11 QuantLib::Pricers Namespace Reference 139

10.11 QuantLib::Pricers Namespace Reference

10.11.1 Detailed Description

Pricing models for options.

See sect. Pricers(p. ??)

Classes
• class AnalyticalCapFloor
Analytical pricer for cap/floor.

• class BarrierOption
Barrier(p. 180) option.

• class BinaryOption
Binary(p. 195) (digital) option.

• class BlackCapFloor
CapFloor priced by the Black formula.

• class BlackSwaption
Swaption priced by the Black formula.

• class CliquetOption
cliquet (Ratchet) option

• class ContinuousGeometricAPO
Continuous Geometric Average Price Option(p. 533) (European exercise).

• class DiscreteGeometricAPO
Discrete Geometric Average Price Asian Option(p. 533) (European style).

• class DiscreteGeometricASO
Discrete Geometric Average Strike Asian Option(p. 533) (European style).

• class EuropeanOption
Black-Scholes-Merton European option.

• class FdAmericanOption
• class FdBermudanOption
Bermudan option.

• class FdBsmOption
Black-Scholes-Merton option priced numerically.

• class FdDividendEuropeanOption
European option with dividends.

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140 QuantLib Namespace Documentation

• class FdDividendShoutOption
Shout option with dividends.

• class FdEuropean
Example of European option calculated using finite differences.

• class FdStepConditionOption
option executing additional code at each time step

• class JamshidianSwaption
Jamshidian swaption pricer.

• class McBasket
simple example of multi-factor Monte Carlo pricer

• class McCliquetOption
simple example of Monte Carlo pricer

• class McDiscreteArithmeticAPO
example of Monte Carlo pricer using a control variate

• class McDiscreteArithmeticASO
example of Monte Carlo pricer using a control variate.

• class McEuropean
simple example of Monte Carlo pricer

• class McEverest
Everest-type option pricer.

• class McHimalaya
Himalayan-type option pricer.

• class McMaxBasket
simple example of multi-factor Monte Carlo pricer

• class McPagoda
roofed Asian option

• class McPerformanceOption
Performance option computed using Monte Carlo simulation.

• class McPricer
base class for Monte Carlo pricers

• class PerformanceOption
Performance option.

• class SingleAssetOption
Black-Scholes-Merton option.

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• class TreeCapFloor
Cap/Floor priced in a tree.

• class TreeSwaption
Swaption priced on a lattice.

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142 QuantLib Namespace Documentation

10.12 QuantLib::RandomNumbers Namespace Reference

10.12.1 Detailed Description

Random Number Generators and Low Discrepancy Sequences.

See sect. Random number and low discrepancy sequence generators(p. ??)

Classes
• class BoxMullerGaussianRng
Gaussian random number generator.

• class CLGaussianRng
Gaussian random number generator.

• class HaltonRsg
Halton low-discrepancy sequence generator.

• class ICGaussianRng
Inverse cumulative Gaussian random number generator.

• class ICGaussianRsg
Inverse cumulative Gaussian random sequence generator.

• class KnuthUniformRng
Uniform random number generator.

• class LecuyerUniformRng
Uniform random number generator.

• class MersenneTwisterUniformRng
Uniform random number generator.

• class RandomArrayGenerator
Generates random arrays using a random number generator.

• class RandomSequenceGenerator
Random sequence generator based on a pseudo-random number generator.

• class SobolRsg
Sobol low-discrepancy sequence generator.

Typedefs
• typedef MonteCarlo::PseudoRandom::urng_type UniformRandomGenerator
default choice for uniform random number generator.

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10.12 QuantLib::RandomNumbers Namespace Reference 143

• typedef MonteCarlo::PseudoRandom::rng_type GaussianRandomGenerator

default choice for Gaussian random number generator.

• typedef RandomArrayGenerator< GaussianRandomGenerator > GaussianArray-

Generator
default choice for Gaussian array generator.

• typedef MonteCarlo::PseudoRandom::ursg_type UniformRandomSequenceGenerator

default choice for uniform random sequence generator.

• typedef MonteCarlo::PseudoRandom::rsg_type GaussianRandomSequenceGenerator

default choice for Gaussian random sequence generator.

• typedef MonteCarlo::LowDiscrepancy::ursg_type UniformLowDiscrepancySequence-

Generator
• typedef MonteCarlo::LowDiscrepancy::rsg_type GaussianLowDiscrepancySequence-
Generator

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144 QuantLib Namespace Documentation

10.13 QuantLib::ShortRateModels Namespace Reference

10.13.1 Detailed Description

Implementations of short-rate models.

See sect. The short-rate modelling framework(p. 42)

Classes
• class CalibrationHelper
liquid market instrument used during calibration

• class CalibrationSet
Set of calibration instruments.

• class AffineModel
Affine model class.

• class TermStructureConsistentModel
Term-structure consistent model class.

• class Model
Abstract short-rate model class.

• class OneFactorModel
Single-factor short-rate model abstract class.

• class OneFactorModel::ShortRateDynamics
Base class describing the short-rate dynamics.

• class OneFactorModel::ShortRateTree
Recombining trinomial tree discretizing the state variable.

• class OneFactorAffineModel
Single-factor affine base class.

• class BlackKarasinski
Standard Black-Karasinski model class.

• class BlackKarasinski::Dynamics
Short-rate dynamics in the Black-Karasinski model.

• class CoxIngersollRoss
Cox-Ingersoll-Ross model class.

• class CoxIngersollRoss::Dynamics
Dynamics(p. 280) of the short-rate under the Cox-Ingersoll-Ross model.

• class ExtendedCoxIngersollRoss

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10.13 QuantLib::ShortRateModels Namespace Reference 145

Extended Cox-Ingersoll-Ross model class.

• class ExtendedCoxIngersollRoss::Dynamics
Short-rate dynamics in the extended Cox-Ingersoll-Ross model.

• class ExtendedCoxIngersollRoss::FittingParameter
Analytical term-structure fitting parameter ϕ(t).

• class HullWhite
Single-factor Hull-White (extended Vasicek(p. 669)) model class.

• class HullWhite::Dynamics
Short-rate dynamics in the Hull-White model.

• class HullWhite::FittingParameter
Analytical term-structure fitting parameter ϕ(t).

• class Vasicek
Vasicek(p. 669) model class.

• class Vasicek::Dynamics
Short-rate dynamics in the Vasicek(p. 669) model.

• class ParameterImpl
Base class for model parameter implementation.

• class Parameter
Base class for model arguments.

• class ConstantParameter
Standard constant parameter a(t) = a.

• class NullParameter
Parameter(p. 539) which is always zero a(t) = 0.

• class PiecewiseConstantParameter
Piecewise constant parameter.

• class TermStructureFittingParameter
Deterministic time-dependent parameter used for yield-curve fitting.

• class TwoFactorModel
Abstract base-class for two-factor models.

• class TwoFactorModel::ShortRateDynamics
Class describing the dynamics of the two state variables.

• class TwoFactorModel::ShortRateTree
Recombining two-dimensional tree discretizing the state variable.

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146 QuantLib Namespace Documentation

• class G2
Two-additive-factor gaussian model class.

• class G2::FittingParameter
Analytical term-structure fitting parameter ϕ(t).

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10.14 QuantLib::Solvers1D Namespace Reference 147

10.14 QuantLib::Solvers1D Namespace Reference

10.14.1 Detailed Description

Implementations of the Solver1D(p. 608) interface.

See sect. One-dimensional solvers(p. ??)

Classes
• class Bisection
bisection 1-D solver

• class Brent
Brent 1-D solver

• class FalsePosition
False position 1-D solver.

• class Newton
Newton 1-D solver

• class NewtonSafe
safe Newton 1-D solver

• class Ridder
Ridder 1-D solver

• class Secant
secant 1-D solver

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148 QuantLib Namespace Documentation

10.15 QuantLib::TermStructures Namespace Reference

10.15.1 Detailed Description

Concrete implementations of the TermStructure(p. 634) interface.

See sect. Term structures(p. 50)

Classes
• class AffineTermStructure
Term-structure implied by an affine model.

• class DiscountCurve
Term structure based on loglinear interpolation of discount factors.

• class DriftTermStructure
Drift term structure.

• class ExtendedDiscountCurve
Term structure based on loglinear interpolation of discount factors.

• class ForwardSpreadedTermStructure
Term structure with added spread on the instantaneous forward rate.

• class ImpliedTermStructure
Implied term structure at a given date in the future.

• class PiecewiseFlatForward
Piecewise flat forward term structure.

• class QuantoTermStructure
Quanto term structure.

• class RateHelper
base class for rate helpers

• class DepositRateHelper
Deposit rate.

• class FraRateHelper
Forward rate agreement.

• class FuturesRateHelper
Interest Rate Futures.

• class SwapRateHelper
Swap rate.

• class ZeroCurve

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10.15 QuantLib::TermStructures Namespace Reference 149

Term structure based on linear interpolation of zero yields.

• class ZeroSpreadedTermStructure
Term structure with an added spread on the zero yield rate.

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150 QuantLib Namespace Documentation

10.16 QuantLib::Utilities Namespace Reference

10.16.1 Detailed Description

Classes and functions of general utility.

See sect. Utilities(p. 51)

Classes
• class combining_iterator
Iterator mapping a function to a set of underlying sequences.

• class coupling_iterator
Iterator mapping a function to a pair of underlying sequences.

• class filtering_iterator
Iterator filtering undesired data.

• struct lowest_category_iterator
most generic of two given iterator categories

• class processing_iterator
Iterator mapping a unary function to an underlying sequence.

• class stepping_iterator
Iterator advancing in constant steps.

Functions
• template<class I, class F> combining_iterator< typename 1< I >::value_type, F > make_-
combining_iterator (I it1, I it2, F f)
• template<class It1, class It2, class Function> coupling_iterator< It1, It2, Function > make_-
coupling_iterator (It1 it1, It2 it2, Function f)
• template<class Iterator, class UnaryPredicate> filtering_iterator< Iterator, UnaryPredicate
> make_filtering_iterator (Iterator it, UnaryPredicate p, Iterator beforeBegin, Iterator end)
• template<class I, class F> processing_iterator< I, F > make_processing_iterator (I it, F p)

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10.17 QuantLib::VolTermStructures Namespace Reference 151

10.17 QuantLib::VolTermStructures Namespace Reference

10.17.1 Detailed Description

Concrete implementations of Volatility Term Structures.

Classes
• class BlackConstantVol
Constant Black volatility, no time-strike dependence.

• class BlackVarianceCurve
Black volatility curve modelled as variance curve.

• class BlackVarianceSurface
Black volatility surface modelled as variance surface.

• class ImpliedVolTermStructure
Implied vol term structure at a given date in the future.

• class LocalConstantVol
Constant local volatility, no time-strike dependence.

• class LocalVolCurve
Local volatility curve derived from a Black curve.

• class LocalVolSurface
Local volatility surface derived from a Black vol surface.

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152 QuantLib Namespace Documentation

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Chapter 11

QuantLib Class Documentation

11.1 Actual360 Class Reference

#include <actual360.hpp>
Inheritance diagram for Actual360:

Bridge< DayCounter, DayCounterImpl >

DayCounter

Actual360

11.1.1 Detailed Description

Actual/360 day count convention.

The documentation for this class was generated from the following file:

• ql/DayCounters/actual360.hpp
154 QuantLib Class Documentation

11.2 Actual365 Class Reference

#include <actual365.hpp>
Inheritance diagram for Actual365:

Bridge< DayCounter, DayCounterImpl >

DayCounter

Actual365

11.2.1 Detailed Description

Actual/365 day count convention.

The documentation for this class was generated from the following file:

• ql/DayCounters/actual365.hpp

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11.3 ActualActual Class Reference 155

11.3 ActualActual Class Reference

#include <actualactual.hpp>
Inheritance diagram for ActualActual:

Bridge< DayCounter, DayCounterImpl >

DayCounter

ActualActual

11.3.1 Detailed Description

Actual/Actual day count.

The day count can be calculated according to ISMA and US Treasury convention, also known
as "Actual/Actual (Bond)"; to ISDA, also known as "Actual/Actual (Historical)"; or to AFB, also
known as "Actual/Actual (Euro)".
For more details, refer to http://www.isda.org/c_and_a/pdf/mktc1198.pdf

Public Types
• enum Convention {
ISMA, Bond, ISDA, Historical,
AFB, Euro }

Public Member Functions

• ActualActual (Convention c=ActualActual::ISMA)

The documentation for this class was generated from the following files:

• ql/DayCounters/actualactual.hpp
• ql/DayCounters/actualactual.cpp

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156 QuantLib Class Documentation

11.4 AcyclicVisitor Class Reference

#include <visitor.hpp>
Inheritance diagram for AcyclicVisitor:

AcyclicVisitor

BPSCalculator

11.4.1 Detailed Description

degenerate base class for the Acyclic Visitor(p. 672) pattern

The documentation for this class was generated from the following file:

• ql/Patterns/visitor.hpp

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11.5 AdditiveEQPBinomialTree Class Reference 157

11.5 AdditiveEQPBinomialTree Class Reference

#include <binomialtree.hpp>
Inheritance diagram for AdditiveEQPBinomialTree:

Tree

BinomialTree

EqualProbabilitiesBinomialTree

AdditiveEQPBinomialTree

11.5.1 Detailed Description

Additive equal probabilities binomial tree.

Public Member Functions

• AdditiveEQPBinomialTree (const Handle< DiffusionProcess > &process, Time end, Size
steps)

The documentation for this class was generated from the following files:

• ql/Lattices/binomialtree.hpp
• ql/Lattices/binomialtree.cpp

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158 QuantLib Class Documentation

11.6 AffineModel Class Reference

#include <model.hpp>
Inheritance diagram for AffineModel:

AffineModel

G2 OneFactorAffineModel

CoxIngersollRoss Vasicek

ExtendedCoxIngersollRoss HullWhite

11.6.1 Detailed Description

Affine model class.

This is the base class for analytically tractable models

Public Member Functions

• virtual DiscountFactor discount (Time t) const =0
Implied discount curve.

• virtual double discountBondOption (Option::Type type, double strike, Time maturity, Time
bondMaturity) const =0

The documentation for this class was generated from the following file:

• ql/ShortRateModels/model.hpp

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11.7 AffineTermStructure Class Reference 159

11.7 AffineTermStructure Class Reference

#include <affinetermstructure.hpp>
Inheritance diagram for AffineTermStructure:

Observable

TermStructure

DiscountStructure Observer

AffineTermStructure

11.7.1 Detailed Description

Term-structure implied by an affine model.

This class defines a term-structure that is based on an affine model, e.g. Vasicek or Cox-Ingersoll-
Ross. It either be instanced using a model with defined arguments, or the model can be calibrated
to a set of rate helpers. Of course, there is no point in using a term-structure consistent affine
model, since the implied term-structure will just be the initial term-structure on which the model
is based.

Public Member Functions

• AffineTermStructure (const Date &todaysDate, const Date &referenceDate, const Handle<
ShortRateModels::AffineModel > &model, const DayCounter &dayCounter)
constructor using a fixed model

• AffineTermStructure (const Date &todaysDate, const Date &referenceDate, const Handle<

ShortRateModels::AffineModel > &model, const std::vector< Handle< RateHelper >
> &instruments, const Handle< Optimization::Method > &method, const DayCounter
&dayCounter)
constructor using a model that has to be calibrated

• DayCounter dayCounter () const

the day counter used for date/time conversion

• Date todaysDate () const

today’s date

• Date referenceDate () const

the reference date, i.e., the date at which discount = 1

• Date maxDate () const

the latest date for which the curve can return rates

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160 QuantLib Class Documentation

• void update ()

Protected Member Functions

• DiscountFactor discountImpl (Time, bool extrapolate=false) const
discount calculation

11.7.2 Member Function Documentation

11.7.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).
The documentation for this class was generated from the following files:

• ql/TermStructures/affinetermstructure.hpp
• ql/TermStructures/affinetermstructure.cpp

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11.8 AmericanCondition Class Reference 161

11.8 AmericanCondition Class Reference

#include <americancondition.hpp>
Inheritance diagram for AmericanCondition:

StandardStepCondition

AmericanCondition

11.8.1 Detailed Description

Todo
Unify the intrinsicValues/Payoff thing

Public Member Functions

• AmericanCondition (Option::Type type, double strike)
• AmericanCondition (const Array &intrinsicValues)
• void applyTo (Array &a, Time t) const
• void applyTo (Handle< DiscretizedAsset > asset) const

The documentation for this class was generated from the following file:

• ql/FiniteDifferences/americancondition.hpp

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162 QuantLib Class Documentation

11.9 AmericanExercise Class Reference

#include <exercise.hpp>
Inheritance diagram for AmericanExercise:

Exercise

AmericanExercise

11.9.1 Detailed Description

American exercise class.

An American option can be exercised at any time between two predefined dates

Public Member Functions

• AmericanExercise (Date earliestDate, Date latestDate)

The documentation for this class was generated from the following files:

• ql/exercise.hpp
• ql/exercise.cpp

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11.10 AmericanMCVanillaEngine Class Reference 163

11.10 AmericanMCVanillaEngine Class Reference

#include <americanmcengines.hpp>
Inheritance diagram for AmericanMCVanillaEngine:

PricingEngine

GenericEngine< Instruments::VanillaOption::arguments, Instruments::VanillaOption::results >

VanillaEngine

AmericanMCVanillaEngine

11.10.1 Detailed Description

least-square Monte Carlo engine

Unstable
This engine is known not to work for deeply out-of-the-money options. More problems
might surface.

Public Member Functions

• AmericanMCVanillaEngine (Size requiredSamples, Size timeSteps, long seed=0)
• void calculate () const

The documentation for this class was generated from the following files:

• ql/PricingEngines/americanmcengines.hpp
• ql/PricingEngines/americanmcengines.cpp

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164 QuantLib Class Documentation

11.11 AnalyticalCapFloor Class Reference

#include <analyticalcapfloor.hpp>
Inheritance diagram for AnalyticalCapFloor:

GenericModelEngine< ShortRateModels::AffineModel, Instruments::CapFloor::arguments, Instruments::CapFloor::results > AnalyticalCapFloor

11.11.1 Detailed Description

Analytical pricer for cap/floor.

Public Member Functions

• AnalyticalCapFloor (const Handle< ShortRateModels::AffineModel > &model)
• void calculate () const

The documentation for this class was generated from the following files:

• ql/Pricers/analyticalcapfloor.hpp
• ql/Pricers/analyticalcapfloor.cpp

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11.12 AnalyticAmericanBinaryEngine Class Reference 165

11.12 AnalyticAmericanBinaryEngine Class Reference

#include <binaryengines.hpp>
Inheritance diagram for AnalyticAmericanBinaryEngine:

PricingEngine

GenericEngine< Instruments::BinaryOption::arguments, Instruments::BinaryOption::results >

BinaryEngine

AnalyticAmericanBinaryEngine

11.12.1 Detailed Description

Pricing engine for American binary options using analytic formulae.

Public Member Functions

• void calculate () const

The documentation for this class was generated from the following files:

• ql/PricingEngines/binaryengines.hpp
• ql/PricingEngines/analyticamericanbinaryengine.cpp

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166 QuantLib Class Documentation

11.13 AnalyticBarrierEngine Class Reference

#include <barrierengines.hpp>
Inheritance diagram for AnalyticBarrierEngine:

PricingEngine

GenericEngine< Instruments::BarrierOption::arguments, Instruments::BarrierOption::results >

BarrierEngine

AnalyticBarrierEngine

11.13.1 Detailed Description

Pricing engine for Barrier(p. 180) options using analytical formulae.

The formulas are taken from "Option pricing formulas", E.G. Haug, McGraw-Hill, p.69 and
following.

Public Member Functions

• void calculate () const

The documentation for this class was generated from the following files:

• ql/PricingEngines/barrierengines.hpp
• ql/PricingEngines/analyticbarrierengine.cpp

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11.14 AnalyticEuropeanBinaryEngine Class Reference 167

11.14 AnalyticEuropeanBinaryEngine Class Reference

#include <binaryengines.hpp>
Inheritance diagram for AnalyticEuropeanBinaryEngine:

PricingEngine

GenericEngine< Instruments::BinaryOption::arguments, Instruments::BinaryOption::results >

BinaryEngine

AnalyticEuropeanBinaryEngine

11.14.1 Detailed Description

Pricing engine for European binary options using analytic formulae.

Public Member Functions

• void calculate () const

The documentation for this class was generated from the following files:

• ql/PricingEngines/binaryengines.hpp
• ql/PricingEngines/analyticeuropeanbinaryengine.cpp

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168 QuantLib Class Documentation

11.15 AnalyticEuropeanEngine Class Reference

#include <vanillaengines.hpp>
Inheritance diagram for AnalyticEuropeanEngine:

PricingEngine

GenericEngine< Instruments::VanillaOption::arguments, Instruments::VanillaOption::results >

VanillaEngine

AnalyticEuropeanEngine

11.15.1 Detailed Description

Pricing engine for European options using analytical formulae.

Public Member Functions

• void calculate () const

The documentation for this class was generated from the following files:

• ql/PricingEngines/vanillaengines.hpp
• ql/PricingEngines/analyticeuropeanengine.cpp

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11.16 Arguments Class Reference 169

11.16 Arguments Class Reference

#include <argsandresults.hpp>
Inheritance diagram for Arguments:

Arguments

arguments arguments arguments

arguments arguments arguments arguments

11.16.1 Detailed Description

base class for generic argument groups

Public Member Functions

• virtual void validate () const =0

The documentation for this class was generated from the following file:

• ql/argsandresults.hpp

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170 QuantLib Class Documentation

11.17 ArithmeticAPOPathPricer_old Class Reference

#include <arithmeticapopathpricer.hpp>
Inheritance diagram for ArithmeticAPOPathPricer_old:

PathPricer_old< Path >

ArithmeticAPOPathPricer_old

11.17.1 Detailed Description

path pricer for arithmetic average price option

Public Member Functions

• ArithmeticAPOPathPricer_old (Option::Type type, double underlying, double strike,
DiscountFactor discount, bool useAntitheticVariance)
• double operator() (const Path &path) const

The documentation for this class was generated from the following files:

• ql/MonteCarlo/arithmeticapopathpricer.hpp
• ql/MonteCarlo/arithmeticapopathpricer.cpp

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11.18 ArithmeticASOPathPricer_old Class Reference 171

11.18 ArithmeticASOPathPricer_old Class Reference

#include <arithmeticasopathpricer.hpp>
Inheritance diagram for ArithmeticASOPathPricer_old:

PathPricer_old< Path >

ArithmeticASOPathPricer_old

11.18.1 Detailed Description

path pricer for arithmetic average strike Asian options

Public Member Functions

• ArithmeticASOPathPricer_old (Option::Type type, double underlying, DiscountFactor
discount, bool useAntitheticVariance)
• double operator() (const Path &path) const

The documentation for this class was generated from the following files:

• ql/MonteCarlo/arithmeticasopathpricer.hpp
• ql/MonteCarlo/arithmeticasopathpricer.cpp

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172 QuantLib Class Documentation

11.19 ArmijoLineSearch Class Reference

#include <armijo.hpp>
Inheritance diagram for ArmijoLineSearch:

LineSearch

ArmijoLineSearch

11.19.1 Detailed Description

Armijo linesearch.
Let alpha and beta be 2 scalars in [0,1]. Let x be the current value of the unknow, d the search
direction and t the step. Let f be the function to minimize. The line search stop when t verifies
f(x+t∗d) - f(x) <= -alpha∗t∗f’(x+t∗d) and f(x+t/beta∗d) - f(x) > -alpha∗t∗f’(x+t∗d)/beta
(see Polak. Algorithms and consitent approximations, Optimization, volume 124 of Applied
Mathematical Sciences. Springer-Arrayerlag, N-Y, 1997)

Public Member Functions

• ArmijoLineSearch (double eps=1e-8, double alpha=0.5, double beta=0.65)
Default constructor.

• virtual ∼ArmijoLineSearch ()
Destructor.

• virtual double operator() (const Problem &P, double t_ini)

Perform line search.

The documentation for this class was generated from the following files:

• ql/Optimization/armijo.hpp
• ql/Optimization/armijo.cpp

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11.20 Array Class Reference 173

11.20 Array Class Reference

#include <array.hpp>

11.20.1 Detailed Description

1-D array used in linear algebra.

This class implements the concept of vector as used in linear algebra. As such, it is not meant to
be used as a container - std::vector should be used instead.

Public Types
• typedef double ∗ iterator
• typedef const double ∗ const_iterator

Public Member Functions

• typedef QL_REVERSE_ITERATOR (iterator, double) reverse_iterator
• typedef QL_REVERSE_ITERATOR (const_iterator, double) const _reverse_iterator

Constructors, destructor, and assignment

• Array (Size size=0)

creates the array with the given dimension

• Array (Size size, double value)

creates the array and fills it with value

• Array (Size size, double value, double increment)

creates the array and fills it according to a0 = value, ai = ai−1 + increment

• Array (const Array &)

• Array (const Disposable< Array > &)
• Array & operator= (const Array &)
• Array & operator= (const Disposable< Array > &)

Vector algebra
v += x and similar operation involving a scalar value are shortcuts for ∀i : vi = vi + x
v ∗= w and similar operation involving two vectors are shortcuts for ∀i : vi = vi × wi

Precondition:
all arrays involved in an algebraic expression must have the same size.

• Array & operator+= (const Array &)

• Array & operator+= (double)
• Array & operator-= (const Array &)
• Array & operator-= (double)
• Array & operator ∗= (const Array &)
• Array & operator ∗= (double)
• Array & operator/= (const Array &)

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174 QuantLib Class Documentation

• Array & operator/= (double)

Element access

• double operator[ ] (Size) const

read-only

• double & operator[ ] (Size)

read-write

Inspectors

• Size size () const

dimension of the array

Iterator access

• const_iterator begin () const

• iterator begin ()
• const_iterator end () const
• iterator end ()
• const_reverse_iterator rbegin () const
• reverse_iterator rbegin ()
• const_reverse_iterator rend () const
• reverse_iterator rend ()

Utilities

• void swap (Array &)

Related Functions

(Note that these are not member functions.)

• double DotProduct (const Array &, const Array &)

• Disposable< Array > operator+ (const Array &v)
• Disposable< Array > operator- (const Array &v)
• Disposable< Array > operator+ (const Array &, const Array &)
• Disposable< Array > operator+ (const Array &, double)
• Disposable< Array > operator+ (double, const Array &)
• Disposable< Array > operator- (const Array &, const Array &)
• Disposable< Array > operator- (const Array &, double)
• Disposable< Array > operator- (double, const Array &)
• Disposable< Array > operator ∗ (const Array &, const Array &)
• Disposable< Array > operator ∗ (const Array &, double)
• Disposable< Array > operator ∗ (double, const Array &)
• Disposable< Array > operator/ (const Array &, const Array &)
• Disposable< Array > operator/ (const Array &, double)
• Disposable< Array > operator/ (double, const Array &)
• Disposable< Array > Abs (const Array &)

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11.20 Array Class Reference 175

• Disposable< Array > Sqrt (const Array &)

• Disposable< Array > Log (const Array &)
• Disposable< Array > Exp (const Array &)
• std::ostream & operator<< (std::ostream &, const Array &)

The documentation for this class was generated from the following files:

• ql/array.hpp
• ql/dataformatters.hpp

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176 QuantLib Class Documentation

11.21 ArrayFormatter Class Reference

#include <dataformatters.hpp>

11.21.1 Detailed Description

Formats arrays for output.

Static Public Member Functions

• template<class DataIterator> std::string toString (DataIterator begin, DataIterator end, int
precision=6, int digits=0, Size elementsPerRow=QL_MAX_INT)

The documentation for this class was generated from the following file:

• ql/dataformatters.hpp

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11.22 AssertionFailedError Class Reference 177

11.22 AssertionFailedError Class Reference

#include <errors.hpp>
Inheritance diagram for AssertionFailedError:

Error

AssertionFailedError

11.22.1 Detailed Description

Specialized error.
Thrown upon a failed assertion.

Public Member Functions

• AssertionFailedError (const std::string &what="")

The documentation for this class was generated from the following file:

• ql/errors.hpp

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178 QuantLib Class Documentation

11.23 AssetOrNothingPayoff Class Reference

#include <payoff.hpp>
Inheritance diagram for AssetOrNothingPayoff:

Payoff

StrikedTypePayoff

AssetOrNothingPayoff

11.23.1 Detailed Description

Binary(p. 195) Asset-Or-Nothing option payoff.

Public Member Functions

• AssetOrNothingPayoff (Option::Type type, double strike)
• double operator() (double price) const

The documentation for this class was generated from the following file:

• ql/payoff.hpp

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11.24 AUDLibor Class Reference 179

11.24 AUDLibor Class Reference

#include <audlibor.hpp>
Inheritance diagram for AUDLibor:

Observable

Index Observer

Xibor

AUDLibor

11.24.1 Detailed Description

AUD Libor index (Also known as SIBOR, check settlement days)

Public Member Functions

• AUDLibor (int n, TimeUnit units, const RelinkableHandle< TermStructure > &h, const
DayCounter &dc=DayCounters::Actual365())

The documentation for this class was generated from the following file:

• ql/Indexes/audlibor.hpp

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180 QuantLib Class Documentation

11.25 Barrier Struct Reference

#include <barrieroption.hpp>

11.25.1 Detailed Description

placeholder for enumerated barrier types

Public Types
• enum Type { DownIn, UpIn, DownOut, UpOut }

The documentation for this struct was generated from the following file:

• ql/Instruments/barrieroption.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.26 BarrierEngine Class Reference 181

11.26 BarrierEngine Class Reference

#include <barrierengines.hpp>
Inheritance diagram for BarrierEngine:

PricingEngine

GenericEngine< Instruments::BarrierOption::arguments, Instruments::BarrierOption::results >

BarrierEngine

AnalyticBarrierEngine MCBarrierEngine

11.26.1 Detailed Description

Barrier(p. 180) engine base class.

The documentation for this class was generated from the following file:

• ql/PricingEngines/barrierengines.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

182 QuantLib Class Documentation

11.27 BarrierOption Class Reference

#include <barrieroption.hpp>
Inheritance diagram for BarrierOption:

Observable Observer

LazyObject

Instrument

Option

BarrierOption

11.27.1 Detailed Description

Barrier(p. 180) option on a single asset.

Public Member Functions

• BarrierOption (Barrier::Type barrierType, double barrier, double rebate, Option::Type type,
const RelinkableHandle< MarketElement > &underlying, double strike, const Relinkable-
Handle< TermStructure > &dividendTS, const RelinkableHandle< TermStructure >
&riskFreeTS, const Exercise &exercise, const RelinkableHandle< BlackVolTermStructure
> &volTS, const Handle< PricingEngine > &engine=Handle< PricingEngine >(), const
std::string &isinCode="", const std::string &description="")
• bool isExpired () const
returns whether the instrument is still tradable.

• void setupArguments (Arguments ∗) const

greeks

• double delta () const

• double gamma () const
• double theta () const
• double vega () const
• double rho () const
• double dividendRho () const
• double strikeSensitivity () const

Protected Member Functions

• void setupExpired () const
• void performCalculations () const

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11.27 BarrierOption Class Reference 183

Protected Attributes
• double delta_
• double gamma_
• double theta_
• double vega_
• double rho_
• double dividendRho_
• double strikeSensitivity_
• Barrier::Type barrierType_
• double barrier_
• double rebate_
• Option::Type type_
• RelinkableHandle< MarketElement > underlying_
• double strike_
• Exercise exercise_
• RelinkableHandle< TermStructure > riskFreeTS_
• RelinkableHandle< TermStructure > dividendTS_
• RelinkableHandle< BlackVolTermStructure > volTS_

11.27.2 Member Function Documentation

11.27.2.1 void setupArguments (Arguments ∗) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overrid-
den to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument (p. 423).

11.27.2.2 void setupExpired () const [protected, virtual]

This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument (p. 424).

11.27.2.3 void performCalculations () const [protected, virtual]

In case a pricing engine is not used, this method must be overridden to perform the actual calcu-
lations and set any needed results. In case a pricing engine is used, the default implementation
can be used.
Reimplemented from Instrument (p. 424).
The documentation for this class was generated from the following files:

• ql/Instruments/barrieroption.hpp
• ql/Instruments/barrieroption.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

184 QuantLib Class Documentation

11.28 BarrierOption Class Reference

Inheritance diagram for BarrierOption:

SingleAssetOption

BarrierOption

11.28.1 Detailed Description

Barrier(p. 180) option.

The analytical calculation are taken from "Option pricing formulas", E.G. Haug, McGraw-Hill,
p.69 and following.

Deprecated
use Instruments::BarrierOption(p. 182) instead.

Public Member Functions

• BarrierOption (Barrier::Type barrType, Option::Type type, double underlying, double
strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, double volatility, dou-
ble barrier, double rebate=0.0)
• double value () const
• double delta () const
• double gamma () const
• double theta () const
• Handle< SingleAssetOption > clone () const

Protected Member Functions

• void calculate_ () const

Protected Attributes
• double greeksCalculated_
• double delta_
• double gamma_
• double theta_

The documentation for this class was generated from the following files:

• ql/Pricers/barrieroptionpricer.hpp
• ql/Pricers/barrieroptionpricer.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.29 BarrierOption::arguments Class Reference 185

11.29 BarrierOption::arguments Class Reference

#include <barrieroption.hpp>
Inheritance diagram for BarrierOption::arguments:

Arguments

arguments

BarrierOption::arguments

11.29.1 Detailed Description

arguments for barrier option calculation

Public Member Functions

• void validate () const

Public Attributes
• Barrier::Type barrierType
• double barrier
• double rebate

The documentation for this class was generated from the following file:

• ql/Instruments/barrieroption.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

186 QuantLib Class Documentation

11.30 BarrierOption::results Class Reference

#include <barrieroption.hpp>
Inheritance diagram for BarrierOption::results:

Results

Value Greeks

results

BarrierOption::results

11.30.1 Detailed Description

results from barrier option calculation

The documentation for this class was generated from the following file:

• ql/Instruments/barrieroption.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.31 BarrierPathPricer Class Reference 187

11.31 BarrierPathPricer Class Reference

#include <barrierpathpricer.hpp>
Inheritance diagram for BarrierPathPricer:

PathPricer< Path >

BarrierPathPricer

11.31.1 Detailed Description

path pricer for Barrier(p. 180) options

Public Member Functions

• BarrierPathPricer (Barrier::Type barrierType, double barrier, double rebate, Option::Type
type, double underlying, double strike, const RelinkableHandle< TermStructure > &risk-
FreeTS, const Handle< DiffusionProcess > &diffProcess, RandomNumbers::Uniform-
RandomSequenceGenerator sequenceGen)
• double operator() (const Path &path) const

The documentation for this class was generated from the following files:

• ql/MonteCarlo/barrierpathpricer.hpp
• ql/MonteCarlo/barrierpathpricer.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

188 QuantLib Class Documentation

11.32 BasketPathPricer_old Class Reference

#include <basketpathpricer.hpp>
Inheritance diagram for BasketPathPricer_old:

PathPricer_old< MultiPath >

BasketPathPricer_old

11.32.1 Detailed Description

multipath pricer for European-type basket option

The value of the option at expiration is given by the value of the underlying which has best
performed.

Public Member Functions

• BasketPathPricer_old (Option::Type type, const std::vector< double > &underlying, double
strike, DiscountFactor discount, bool useAntitheticVariance)
• double operator() (const MultiPath &multiPath) const

The documentation for this class was generated from the following files:

• ql/MonteCarlo/basketpathpricer.hpp
• ql/MonteCarlo/basketpathpricer.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.33 BermudanExercise Class Reference 189

11.33 BermudanExercise Class Reference

#include <exercise.hpp>
Inheritance diagram for BermudanExercise:

Exercise

BermudanExercise

11.33.1 Detailed Description

Bermudan exercise class.

A Bermudan option can only be exercised at a set of fixed dates.

Public Member Functions

• BermudanExercise (const std::vector< Date > &dates)

The documentation for this class was generated from the following files:

• ql/exercise.hpp
• ql/exercise.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

190 QuantLib Class Documentation

11.34 BiasedBarrierPathPricer Class Reference

#include <biasedbarrierpathpricer.hpp>
Inheritance diagram for BiasedBarrierPathPricer:

PathPricer< Path >

BiasedBarrierPathPricer

11.34.1 Detailed Description

Biased, but simple, path pricer for Barrier(p. 180) options

Public Member Functions

• BiasedBarrierPathPricer (Barrier::Type barrierType, double barrier, double rebate, Op-
tion::Type type, double underlying, double strike, const RelinkableHandle< TermStructure
> &riskFreeTS)
• double operator() (const Path &path) const

The documentation for this class was generated from the following files:

• ql/MonteCarlo/biasedbarrierpathpricer.hpp
• ql/MonteCarlo/biasedbarrierpathpricer.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.35 BicubicSplineInterpolation Class Template Reference 191

11.35 BicubicSplineInterpolation Class Template Reference

#include <bicubicsplineinterpolation.hpp>
Inheritance diagram for BicubicSplineInterpolation:

Interpolation2D<RandomAccessIteratorX, RandomAccessIteratorY, MatricialData>

BicubicSplineInterpolation

11.35.1 Detailed Description

template<class RandomAccessIteratorX, class RandomAccessIteratorY, class MatricialData>

class QuantLib::Math::BicubicSplineInterpolation< RandomAccessIteratorX, RandomAccess-
IteratorY, MatricialData >

bicubic spline interpolation between discrete points

Public Types
• typedef double result_type

Public Member Functions

• BicubicSplineInterpolation (const RandomAccessIteratorX &xBegin, const Random-
AccessIteratorX &xEnd, const RandomAccessIteratorY &yBegin, const RandomAccess-
IteratorY &yEnd, const MatricialData &data)
• result_type operator() (const first_argument_type &x, const second_argument_type &y,
bool allowExtrapolation=false) const

Public Attributes
• typedef< RandomAccessIteratorX >::value_type first_argument_type
• typedef< RandomAccessIteratorY >::value_type second_argument_type

11.35.2 Member Function Documentation

11.35.2.1 result_type operator() (const first_argument_type & x, const second_argument_type

& y, bool allowExtrapolation = false) const [virtual]

This operator must be overridden to provide an implementation of the actual interpolation.

Precondition:
The sequence of values for x must have been sorted for the result to make sense.

Implements Interpolation2D (p. 430).

The documentation for this class was generated from the following file:

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

192 QuantLib Class Documentation

• ql/Math/bicubicsplineinterpolation.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.36 BilinearInterpolation Class Template Reference 193

11.36 BilinearInterpolation Class Template Reference

#include <bilinearinterpolation.hpp>
Inheritance diagram for BilinearInterpolation:

Interpolation2D<RandomAccessIteratorX, RandomAccessIteratorY, MatricialData>

BilinearInterpolation

11.36.1 Detailed Description

template<class RandomAccessIteratorX, class RandomAccessIteratorY, class Matricial-

Data> class QuantLib::Math::BilinearInterpolation< RandomAccessIteratorX, RandomAccess-
IteratorY, MatricialData >

bilinear interpolation between discrete points

Public Types
• typedef double result_type

Public Member Functions

• BilinearInterpolation (const RandomAccessIteratorX &xBegin, const RandomAccess-
IteratorX &xEnd, const RandomAccessIteratorY &yBegin, const RandomAccessIteratorY
&yEnd, const MatricialData &data)
• result_type operator() (const first_argument_type &x, const second_argument_type &y,
bool allowExtrapolation=false) const

Public Attributes
• typedef< RandomAccessIteratorX >::value_type first_argument_type
• typedef< RandomAccessIteratorY >::value_type second_argument_type

11.36.2 Member Function Documentation

11.36.2.1 result_type operator() (const first_argument_type & x, const second_argument_type

& y, bool allowExtrapolation = false) const [virtual]

This operator must be overridden to provide an implementation of the actual interpolation.

Precondition:
The sequence of values for x must have been sorted for the result to make sense.

Implements Interpolation2D (p. 430).

The documentation for this class was generated from the following file:

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

194 QuantLib Class Documentation

• ql/Math/bilinearinterpolation.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.37 Binary Struct Reference 195

11.37 Binary Struct Reference

#include <binaryoption.hpp>

11.37.1 Detailed Description

placeholder for enumerated binary types

Public Types
• enum Type { CashAtHit, CashAtExpiry }

The documentation for this struct was generated from the following file:

• ql/Instruments/binaryoption.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

196 QuantLib Class Documentation

11.38 BinaryEngine Class Reference

#include <binaryengines.hpp>
Inheritance diagram for BinaryEngine:

PricingEngine

GenericEngine< Instruments::BinaryOption::arguments, Instruments::BinaryOption::results >

BinaryEngine

AnalyticAmericanBinaryEngine AnalyticEuropeanBinaryEngine MCBinaryEngine

11.38.1 Detailed Description

Binary(p. 195) engine base class.

The documentation for this class was generated from the following file:

• ql/PricingEngines/binaryengines.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.39 BinaryOption Class Reference 197

11.39 BinaryOption Class Reference

#include <binaryoption.hpp>
Inheritance diagram for BinaryOption:

Observable Observer

LazyObject

Instrument

Option

BinaryOption

11.39.1 Detailed Description

Binary(p. 195) option on a single asset.

Public Member Functions

• BinaryOption (Binary::Type binaryType, double barrier, double cashPayoff, Option::Type
type, const RelinkableHandle< MarketElement > &underlying, const RelinkableHandle<
TermStructure > &dividendTS, const RelinkableHandle< TermStructure > &riskFreeTS,
const Exercise &exercise, const RelinkableHandle< BlackVolTermStructure > &volTS,
const Handle< PricingEngine > &engine=Handle< PricingEngine >(), const std::string
&isinCode="", const std::string &description="")
• bool isExpired () const
returns whether the instrument is still tradable.

• void setupArguments (Arguments ∗) const

greeks

• double delta () const

• double gamma () const
• double theta () const
• double vega () const
• double rho () const
• double dividendRho () const
• double strikeSensitivity () const

Protected Member Functions

• void setupExpired () const
• void performCalculations () const

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198 QuantLib Class Documentation

Protected Attributes
• double delta_
• double gamma_
• double theta_
• double vega_
• double rho_
• double dividendRho_
• double strikeSensitivity_
• Binary::Type binaryType_
• double barrier_
• double cashPayoff_
• Option::Type type_
• RelinkableHandle< MarketElement > underlying_
• Exercise exercise_
• RelinkableHandle< TermStructure > riskFreeTS_
• RelinkableHandle< TermStructure > dividendTS_
• RelinkableHandle< BlackVolTermStructure > volTS_

11.39.2 Member Function Documentation

11.39.2.1 void setupArguments (Arguments ∗) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overrid-
den to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument (p. 423).

11.39.2.2 void setupExpired () const [protected, virtual]

This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument (p. 424).

11.39.2.3 void performCalculations () const [protected, virtual]

In case a pricing engine is not used, this method must be overridden to perform the actual calcu-
lations and set any needed results. In case a pricing engine is used, the default implementation
can be used.
Reimplemented from Instrument (p. 424).
The documentation for this class was generated from the following files:

• ql/Instruments/binaryoption.hpp
• ql/Instruments/binaryoption.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.40 BinaryOption Class Reference 199

11.40 BinaryOption Class Reference

#include <binaryoptionpricer.hpp>
Inheritance diagram for BinaryOption:

SingleAssetOption

BinaryOption

11.40.1 Detailed Description

Binary(p. 195) (digital) option.

Deprecated
use Instruments::BarrierOption(p. 182) instead.

Public Member Functions

• BinaryOption (Option::Type type, double underlying, double strike, Spread dividendYield,
Rate riskFreeRate, Time residualTime, double volatility, double cashPayoff)
• double value () const
• double delta () const
• double gamma () const
• double theta () const
• double vega () const
• double rho () const
• double dividendRho () const
• Handle< SingleAssetOption > clone () const

The documentation for this class was generated from the following files:

• ql/Pricers/binaryoptionpricer.hpp
• ql/Pricers/binaryoptionpricer.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

200 QuantLib Class Documentation

11.41 BinaryOption::arguments Class Reference

#include <binaryoption.hpp>
Inheritance diagram for BinaryOption::arguments:

Arguments

arguments

BinaryOption::arguments

11.41.1 Detailed Description

arguments for binary option calculation

Public Member Functions

• void validate () const

Public Attributes
• Binary::Type binaryType
• double barrier
• double cashPayoff

The documentation for this class was generated from the following files:

• ql/Instruments/binaryoption.hpp
• ql/Instruments/binaryoption.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.42 BinaryOption::results Class Reference 201

11.42 BinaryOption::results Class Reference

#include <binaryoption.hpp>
Inheritance diagram for BinaryOption::results:

Results

Value Greeks

results

BinaryOption::results

11.42.1 Detailed Description

results from binary option calculation

The documentation for this class was generated from the following file:

• ql/Instruments/binaryoption.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

202 QuantLib Class Documentation

11.43 BinaryPathPricer Class Reference

#include <binarypathpricer.hpp>
Inheritance diagram for BinaryPathPricer:

PathPricer< Path >

BinaryPathPricer

11.43.1 Detailed Description

path pricer for Binary(p. 195) options

Public Member Functions

• BinaryPathPricer (Binary::Type binaryType, double barrier, double cashPayoff, Op-
tion::Type type, double underlying, const RelinkableHandle< TermStructure > &riskFree-
TS, const Handle< DiffusionProcess > &diffProcess, RandomNumbers::UniformRandom-
SequenceGenerator sequenceGen)
• double operator() (const Path &path) const

The documentation for this class was generated from the following files:

• ql/MonteCarlo/binarypathpricer.hpp
• ql/MonteCarlo/binarypathpricer.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.44 BinomialTree Class Reference 203

11.44 BinomialTree Class Reference

#include <binomialtree.hpp>
Inheritance diagram for BinomialTree:

Tree

BinomialTree

EqualJumpsBinomialTree EqualProbabilitiesBinomialTree Tian

CoxRossRubinstein Trigeorgis AdditiveEQPBinomialTree JarrowRudd

11.44.1 Detailed Description

Binomial tree base class.

Public Member Functions

• BinomialTree (const Handle< DiffusionProcess > &process, Time end, Size steps)
• Size size (Size i) const
• Size descendant (Size i, Size index, Size branch) const
• virtual double underlying (Size i, Size index) const =0
• virtual double probability (Size i, Size index, Size branch) const =0

Protected Attributes
• double x0_
• double driftPerStep_
• Time dt_

The documentation for this class was generated from the following files:

• ql/Lattices/binomialtree.hpp
• ql/Lattices/binomialtree.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

204 QuantLib Class Documentation

11.45 BinomialVanillaEngine Class Reference

#include <vanillaengines.hpp>
Inheritance diagram for BinomialVanillaEngine:

PricingEngine

GenericEngine< Instruments::VanillaOption::arguments, Instruments::VanillaOption::results >

VanillaEngine

BinomialVanillaEngine

11.45.1 Detailed Description

Pricing engine for Vanilla options using binomial trees.

Public Types
• enum Type {
CoxRossRubinstein, JarrowRudd, EQP, Trigeorgis,
Tian }

Public Member Functions

• BinomialVanillaEngine (Type type, Size timeSteps)
• void calculate () const

The documentation for this class was generated from the following files:

• ql/PricingEngines/vanillaengines.hpp
• ql/PricingEngines/binomialvanillaengine.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.46 Bisection Class Reference 205

11.46 Bisection Class Reference

#include <bisection.hpp>
Inheritance diagram for Bisection:

CuriouslyRecurringTemplate< Bisection >

Solver1D< Bisection >

Bisection

11.46.1 Detailed Description

bisection 1-D solver

Public Member Functions

• template<class F> double solveImpl (const F &f, double xAccuracy) const

The documentation for this class was generated from the following file:

• ql/Solvers1D/bisection.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

206 QuantLib Class Documentation

11.47 BlackCapFloor Class Reference

#include <blackcapfloor.hpp>
Inheritance diagram for BlackCapFloor:

PricingEngine

GenericEngine<ArgumentsType, ResultsType> Observer Observable

GenericModelEngine< BlackModel, Instruments::CapFloor::arguments, Instruments::CapFloor::results >

BlackCapFloor

11.47.1 Detailed Description

CapFloor priced by the Black formula.

Public Member Functions

• BlackCapFloor (const Handle< BlackModel > &mod)
• void calculate () const

The documentation for this class was generated from the following files:

• ql/Pricers/blackcapfloor.hpp
• ql/Pricers/blackcapfloor.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.48 BlackConstantVol Class Reference 207

11.48 BlackConstantVol Class Reference

#include <blackconstantvol.hpp>
Inheritance diagram for BlackConstantVol:

Observable

BlackVolTermStructure

BlackVolatilityTermStructure Observer

BlackConstantVol

11.48.1 Detailed Description

Constant Black volatility, no time-strike dependence.

This class implements the BlackVolatilityTermStructure(p. 221) interface for a constant Black
volatility (no time/strike dependence).

Public Member Functions

• BlackConstantVol (const Date &referenceDate, double volatility, const DayCounter &day-
Counter=DayCounters::Actual365())
• BlackConstantVol (const Date &referenceDate, const RelinkableHandle< MarketElement
> &volatility, const DayCounter &dayCounter=DayCounters::Actual365())

BlackVolTermStructure interface

• Date referenceDate () const

returns the reference date for which t=0

• DayCounter dayCounter () const

returns the day counter

• Date maxDate () const

the latest date for which the term structure can return vols

• double blackForwardVol (Time t1, Time t2, double strike, bool extrapolate=false) const
future (a.k.a. forward) volatility

Observer interface

• void update ()

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

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208 QuantLib Class Documentation

Protected Member Functions

• virtual double blackVolImpl (Time t, double, bool extrapolate=false) const
implements the actual Black vol calculation in derived classes

11.48.2 Member Function Documentation

11.48.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).
The documentation for this class was generated from the following file:

• ql/Volatilities/blackconstantvol.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.49 BlackKarasinski Class Reference 209

11.49 BlackKarasinski Class Reference

#include <blackkarasinski.hpp>
Inheritance diagram for BlackKarasinski:

Observer Observable

Model

OneFactorModel TermStructureConsistentModel

BlackKarasinski

11.49.1 Detailed Description

Standard Black-Karasinski model class.

This class implements the standard Black-Karasinski model defined by

d ln rt = (θ(t) − α ln rt )dt + σdWt ,

where alpha and si1ma are constants.

Public Member Functions

• BlackKarasinski (const RelinkableHandle< TermStructure > &termStructure, double
a=0.1, double sigma=0.1)
• Handle< ShortRateDynamics > dynamics () const
returns the short-rate dynamics

• Handle< Lattices::Lattice > tree (const TimeGrid &grid) const

Return by default a trinomial recombining tree.

The documentation for this class was generated from the following files:

• ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp
• ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp

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210 QuantLib Class Documentation

11.50 BlackKarasinski::Dynamics Class Reference

#include <blackkarasinski.hpp>

11.50.1 Detailed Description

Short-rate dynamics in the Black-Karasinski model.

The short-rate is here
rt = eϕ(t)+xt
where ϕ(t) is the deterministic time-dependent parameter (which can not be determined analyti-
cally) used for term-structure fitting and xt is the state variable following an Ornstein-Uhlenbeck
process.

Public Member Functions

• Dynamics (const Parameter &fitting, double alpha, double sigma)
• double variable (Time t, Rate r) const
• double shortRate (Time t, double x) const

The documentation for this class was generated from the following file:

• ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.51 BlackModel Class Reference 211

11.51 BlackModel Class Reference

#include <blackmodel.hpp>
Inheritance diagram for BlackModel:

Observable Observer

BlackModel

11.51.1 Detailed Description

Black-model for vanilla interest-rate derivatives.

Public Member Functions

• BlackModel (const RelinkableHandle< MarketElement > &volatility, const Relinkable-
Handle< TermStructure > &termStructure)
• void update ()
• double volatility () const
• const RelinkableHandle< TermStructure > & termStructure () const

Static Public Member Functions

• double formula (double f, double k, double v, double w)
Black formula.

11.51.2 Member Function Documentation

11.51.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).

11.51.2.2 double formula (double f, double k, double v, double w) [static]

Black formula.
Returns
Black( f, k, v, w) = f wΦ(wd1 ( f, k, v)) − kwΦ(wd2 ( f, k, v)),
where
ln( f /k) + v2 /2
d1 ( f, k, v) =
v

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212 QuantLib Class Documentation

and
d2 ( f, k, v) = d1 ( f, k, v) − v.

The documentation for this class was generated from the following file:

• ql/blackmodel.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.52 BlackScholesLattice Class Reference 213

11.52 BlackScholesLattice Class Reference

#include <bsmlattice.hpp>
Inheritance diagram for BlackScholesLattice:

NumericalMethod

Lattice

BlackScholesLattice

11.52.1 Detailed Description

Simple binomial lattice approximating the Black-Scholes model.

Public Member Functions

• BlackScholesLattice (const Handle< Tree > &tree, Rate riskFreeRate, Time end, Size steps)
• Size size (Size i) const
• DiscountFactor discount (Size i, Size j) const
Discount factor at time t_i and node indexed by index.

• const Handle< Tree > & tree () const

Protected Member Functions

• void stepback (Size i, const Array &values, Array &newValues) const
• Size descendant (Size i, Size index, Size branch) const
Tree(p. 648) properties.

• double probability (Size i, Size index, Size branch) const

The documentation for this class was generated from the following files:

• ql/Lattices/bsmlattice.hpp
• ql/Lattices/bsmlattice.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

214 QuantLib Class Documentation

11.53 BlackScholesProcess Class Reference

#include <diffusionprocess.hpp>
Inheritance diagram for BlackScholesProcess:

DiffusionProcess

BlackScholesProcess

11.53.1 Detailed Description

Black-Scholes diffusion process class.

This class describes the stochastic process governed by

σ(t, S)2
dS(t, S) = (r(t) − q(t) − )dt + σdWt .
2

Public Member Functions

• BlackScholesProcess (const RelinkableHandle< TermStructure > &riskFreeTS, const
RelinkableHandle< TermStructure > &dividendTS, const RelinkableHandle< BlackVol-
TermStructure > &blackVolTS, double s0)
• double drift (Time t, double x) const
returns the drift part of the equation, i.e. µ(t, xt )

• double diffusion (Time t, double x) const

returns the diffusion part of the equation, i.e. σ(t, xt )

The documentation for this class was generated from the following files:

• ql/diffusionprocess.hpp
• ql/diffusionprocess.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.54 BlackSwaption Class Reference 215

11.54 BlackSwaption Class Reference

#include <blackswaption.hpp>
Inheritance diagram for BlackSwaption:

PricingEngine

GenericEngine<ArgumentsType, ResultsType> Observer Observable

GenericModelEngine< BlackModel, Instruments::Swaption::arguments, Instruments::Swaption::results >

BlackSwaption

11.54.1 Detailed Description

Swaption priced by the Black formula.

Public Member Functions

• BlackSwaption (const Handle< BlackModel > &mod)
• void calculate () const

The documentation for this class was generated from the following files:

• ql/Pricers/blackswaption.hpp
• ql/Pricers/blackswaption.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

216 QuantLib Class Documentation

11.55 BlackVarianceCurve Class Reference

#include <blackvariancecurve.hpp>
Inheritance diagram for BlackVarianceCurve:

Observable

BlackVolTermStructure

BlackVarianceTermStructure Observer

BlackVarianceCurve

11.55.1 Detailed Description

Black volatility curve modelled as variance curve.

This class calculates time-dependent Black volatilities using as input a vector of (ATM) Black
volatilities observed in the market.
The calculation is performed interpolating on the variance curve. Linear interpolation is used as
default; this can be changed by the setInterpolation() method.
For strike dependence, see BlackVarianceSurface(p. 218).

Public Member Functions

• BlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates,
const std::vector< double > &blackVolCurve, const DayCounter &dayCounter=Day-
Counters::Actual365())

BlackVolTermStructure interface

• Date referenceDate () const

returns the reference date for which t=0

• DayCounter dayCounter () const

returns the day counter

• Date maxDate () const

the latest date for which the term structure can return vols

Modifiers

• template<class Traits> void setInterpolation ()

Observer interface

• void update ()

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11.55 BlackVarianceCurve Class Reference 217

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

Protected Member Functions

• virtual double blackVarianceImpl (Time t, double, bool extrapolate=false) const
implements the actual Black variance calculation in derived classes

11.55.2 Member Function Documentation

11.55.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).
The documentation for this class was generated from the following files:

• ql/Volatilities/blackvariancecurve.hpp
• ql/Volatilities/blackvariancecurve.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

218 QuantLib Class Documentation

11.56 BlackVarianceSurface Class Reference

#include <blackvariancesurface.hpp>
Inheritance diagram for BlackVarianceSurface:

Observable

BlackVolTermStructure

BlackVarianceTermStructure Observer

BlackVarianceSurface

11.56.1 Detailed Description

Black volatility surface modelled as variance surface.

This class calculates time/strike dependent Black volatilities using as input a matrix of Black
volatilities observed in the market.
The calculation is performed interpolating on the variance surface. Bilinear interpolation is used
as default; this can be changed by the setInterpolation() method.

Public Types
• enum Extrapolation { ConstantExtrapolation, InterpolatorDefaultExtrapolation }

Public Member Functions

• BlackVarianceSurface (const Date &referenceDate, const std::vector< Date > &dates,
const std::vector< double > &strikes, const Math::Matrix &blackVolMatrix, Ex-
trapolation lowerExtrapolation=InterpolatorDefaultExtrapolation, Extrapolation upper-
Extrapolation=InterpolatorDefaultExtrapolation, const DayCounter &dayCounter=Day-
Counters::Actual365())

BlackVolTermStructure interface

• Date referenceDate () const

returns the reference date for which t=0

• DayCounter dayCounter () const

returns the day counter

• Date maxDate () const

the latest date for which the term structure can return vols

Modifiers

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11.56 BlackVarianceSurface Class Reference 219

• template<class Traits> void setInterpolation ()

Observer interface

• void update ()

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

Protected Member Functions

• virtual double blackVarianceImpl (Time t, double strike, bool extrapolate=false) const
implements the actual Black variance calculation in derived classes

11.56.2 Member Function Documentation

11.56.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).
The documentation for this class was generated from the following files:

• ql/Volatilities/blackvariancesurface.hpp
• ql/Volatilities/blackvariancesurface.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

220 QuantLib Class Documentation

11.57 BlackVarianceTermStructure Class Reference

#include <voltermstructure.hpp>
Inheritance diagram for BlackVarianceTermStructure:

Observable

BlackVolTermStructure

BlackVarianceTermStructure

BlackVarianceCurve BlackVarianceSurface ImpliedVolTermStructure

11.57.1 Detailed Description

Black Variance term structure.

This abstract class acts as an adapter to VolTermStructure allowing the programmer to implement
only the blackVarianceImpl(Time, double, bool) method in derived classes.
Volatility are assumed to be expressed on an annual basis.

Public Member Functions

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

Protected Member Functions

• double blackVolImpl (Time maturity, double strike, bool extrapolate=false) const

11.57.2 Member Function Documentation

11.57.2.1 double blackVolImpl (Time maturity, double strike, bool extrapolate = false) const
[protected, virtual]

Returns the volatility for the given strike and date calculating it from the variance.
Implements BlackVolTermStructure (p. 223).
The documentation for this class was generated from the following files:

• ql/voltermstructure.hpp
• ql/voltermstructure.cpp

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11.58 BlackVolatilityTermStructure Class Reference 221

11.58 BlackVolatilityTermStructure Class Reference

#include <voltermstructure.hpp>
Inheritance diagram for BlackVolatilityTermStructure:

Observable

BlackVolTermStructure

BlackVolatilityTermStructure

BlackConstantVol

11.58.1 Detailed Description

Black Volatility term structure.

This abstract class acts as an adapter to BlackVolTermStructure(p. 222) allowing the programmer
to implement only the blackVolImpl(Time, double, bool) method in derived classes.
Volatility are assumed to be expressed on an annual basis.

Public Member Functions

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

Protected Member Functions

• double blackVarianceImpl (Time maturity, double strike, bool extrapolate=false) const

11.58.2 Member Function Documentation

11.58.2.1 double blackVarianceImpl (Time maturity, double strike, bool extrapolate = false)
const [protected, virtual]

Returns the variance for the given strike and date calculating it from the volatility.
Implements BlackVolTermStructure (p. 223).
The documentation for this class was generated from the following files:

• ql/voltermstructure.hpp
• ql/voltermstructure.cpp

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222 QuantLib Class Documentation

11.59 BlackVolTermStructure Class Reference

#include <voltermstructure.hpp>
Inheritance diagram for BlackVolTermStructure:

Observable

BlackVolTermStructure

BlackVarianceTermStructure BlackVolatilityTermStructure

BlackVarianceCurve BlackVarianceSurface ImpliedVolTermStructure BlackConstantVol

11.59.1 Detailed Description

Black Volatility Term structure.

This abstract class defines the interface of concrete Black volatility term structures which will be
derived from this one.
Volatilities are assumed to be expressed on an annual basis

Public Member Functions

Black Volatility

• double blackVol (const Date &maturity, double strike, bool extrapolate=false) const
present (a.k.a spot) volatility

• double blackVol (Time maturity, double strike, bool extrapolate=false) const

present (a.k.a spot) volatility

• double blackVariance (const Date &maturity, double strike, bool extrapolate=false) const

present (a.k.a spot) variance

• double blackVariance (Time maturity, double strike, bool extrapolate=false) const

present (a.k.a spot) variance

• double blackForwardVol (const Date &date1, const Date &date2, double strike, bool
extrapolate=false) const
future (a.k.a. forward) volatility

• double blackForwardVol (Time time1, Time time2, double strike, bool extrapolate=false)
const
future (a.k.a. forward) volatility

• double blackForwardVariance (const Date &date1, const Date &date2, double strike,
bool extrapolate=false) const

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11.59 BlackVolTermStructure Class Reference 223

future (a.k.a. forward) variance

• double blackForwardVariance (Time time1, Time time2, double strike, bool extrapo-
late=false) const
future (a.k.a. forward) variance

Dates

• virtual Date referenceDate () const =0

returns the reference date for which t=0

• virtual DayCounter dayCounter () const =0

returns the day counter

• virtual Date maxDate () const =0

the latest date for which the term structure can return vols

• Time maxTime () const

the latest time for which the term structure can return vols

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

Protected Member Functions

• virtual double blackVarianceImpl (Time t, double strike, bool extrapolate=false) const =0
implements the actual Black variance calculation in derived classes

• virtual double blackVolImpl (Time t, double strike, bool extrapolate=false) const =0

implements the actual Black vol calculation in derived classes

The documentation for this class was generated from the following files:

• ql/voltermstructure.hpp
• ql/voltermstructure.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

224 QuantLib Class Documentation

11.60 BoundaryCondition Class Template Reference

#include <boundarycondition.hpp>

11.60.1 Detailed Description

template<class Operator> class QuantLib::FiniteDifferences::BoundaryCondition< Operator

>

Abstract boundary condition class for finite difference problems.

Public Types
• typedef Operator operatorType
• typedef Operator::arrayType arrayType
• enum Side { None, Upper, Lower }

Public Member Functions

• virtual void applyBeforeApplying (operatorType &) const =0
• virtual void applyAfterApplying (arrayType &) const =0
• virtual void applyBeforeSolving (operatorType &, arrayType &rhs) const =0
• virtual void applyAfterSolving (arrayType &) const =0
• virtual void setTime (Time t)=0

11.60.2 Member Enumeration Documentation

11.60.2.1 enum Side

Todo
Generalize for n-dimensional conditions

11.60.3 Member Function Documentation

11.60.3.1 virtual void applyBeforeApplying (operatorType &) const [pure virtual]

This method modifies an operator L before it is applied to an array u so that v = Lu will satisfy
the given condition.

11.60.3.2 virtual void applyAfterApplying (arrayType &) const [pure virtual]

This method modifies an array u so that it satisfies the given condition.

11.60.3.3 virtual void applyBeforeSolving (operatorType &, arrayType & rhs) const [pure
virtual]

This method modifies an operator L before the linear system Lu0 = u is solved so that u0 will
satisfy the given condition.

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11.60 BoundaryCondition Class Template Reference 225

11.60.3.4 virtual void applyAfterSolving (arrayType &) const [pure virtual]

This method modifies an array u so that it satisfies the given condition.

11.60.3.5 virtual void setTime (Time t) [pure virtual]

This method sets the current time for time-dependent boundary conditions.
Implemented in NeumannBC (p. 511), and DirichletBC (p. 300).
The documentation for this class was generated from the following file:

• ql/FiniteDifferences/boundarycondition.hpp

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226 QuantLib Class Documentation

11.61 BoundaryConstraint Class Reference

#include <constraint.hpp>
Inheritance diagram for BoundaryConstraint:

Bridge< Constraint, ConstraintImpl >

Constraint

BoundaryConstraint

11.61.1 Detailed Description

Constraint(p. 270) imposing all arguments to be in [low,high].

Public Member Functions

• BoundaryConstraint (double low, double high)

The documentation for this class was generated from the following file:

• ql/Optimization/constraint.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.62 BoxMullerGaussianRng Class Template Reference 227

11.62 BoxMullerGaussianRng Class Template Reference

#include <boxmullergaussianrng.hpp>

11.62.1 Detailed Description

template<class RNG> class QuantLib::RandomNumbers::BoxMullerGaussianRng< RNG >

Gaussian random number generator.

It uses the well-known Box-Muller transformation to return a normal distributed Gaussian deviate
with average 0.0 and standard deviation of 1.0, from a uniform deviate in (0,1) supplied by RNG.
Class RNG must implement the following interface:

RNG::sample_type RNG::next() const;

Public Types
• typedef MonteCarlo::Sample< double > sample_type

Public Member Functions

• BoxMullerGaussianRng (const RNG &uniformGenerator)
• BoxMullerGaussianRng (long seed=0)
• sample_type next () const
returns next sample from the Gaussian distribution

11.62.2 Constructor & Destructor Documentation

11.62.2.1 BoxMullerGaussianRng (long seed = 0) [explicit]

Deprecated
initialize with a random number generator instead.

The documentation for this class was generated from the following file:

• ql/RandomNumbers/boxmullergaussianrng.hpp

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228 QuantLib Class Documentation

11.63 BPSCalculator Class Reference

#include <basispointsensitivity.hpp>
Inheritance diagram for BPSCalculator:

AcyclicVisitor Visitor< CashFlow > Visitor< Coupon >

BPSCalculator

11.63.1 Detailed Description

basis point sensitivity (BPS) calculator

Instances of this class accumulate the BPS of each cash flow they visit, returning the sum through
their result() method.

Public Member Functions

• BPSCalculator (const RelinkableHandle< TermStructure > &ts)
• double result () const

Visitor interface

• virtual void visit (Coupon &)

• virtual void visit (CashFlow &)

The documentation for this class was generated from the following files:

• ql/CashFlows/basispointsensitivity.hpp
• ql/CashFlows/basispointsensitivity.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.64 Brent Class Reference 229

11.64 Brent Class Reference

#include <brent.hpp>
Inheritance diagram for Brent:

CuriouslyRecurringTemplate< Brent >

Solver1D< Brent >

Brent

11.64.1 Detailed Description

Brent 1-D solver

Public Member Functions

• template<class F> double solveImpl (const F &f, double xAccuracy) const

The documentation for this class was generated from the following file:

• ql/Solvers1D/brent.hpp

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230 QuantLib Class Documentation

11.65 Bridge Class Template Reference

#include <bridge.hpp>

11.65.1 Detailed Description

template<class T, class T_impl> class QuantLib::Patterns::Bridge< T, T_impl >

The Bridge(p. 230) pattern made explicit.

The typical use of this class is:

class FooImpl;
class Foo : public Bridge<Foo,FooImpl> {
...
};

which makes it possible to pass instances of class Foo by value while retaining polymorphic
behavior.

Public Types
• typedef T_impl Impl

Public Member Functions

• bool isNull () const

Protected Member Functions

• Bridge (const Handle< Impl > &impl=Handle< Impl >())

Protected Attributes
• Handle< Impl > impl_

The documentation for this class was generated from the following file:

• ql/Patterns/bridge.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.66 BrownianBridge Class Template Reference 231

11.66 BrownianBridge Class Template Reference

#include <brownianbridge.hpp>

11.66.1 Detailed Description

template<class GSG> class QuantLib::MonteCarlo::BrownianBridge< GSG >

Builds Wiener process paths using Gaussian variates.

Builds Wiener process paths using Gaussian variates
For more details: "Monte Carlo Methods in Finance" by P. Jäckel, section 10.8.3

Public Types
• typedef Sample< std::vector< double > > sample_type

Public Member Functions

• BrownianBridge (GSG generator)
normalised (unit time, unit variance) Wiener process paths

• BrownianBridge (Time length, Size timeSteps, GSG generator)

unit variance Wiener process paths

• BrownianBridge (const TimeGrid &timeGrid, GSG generator)

unit variance Wiener process paths

• BrownianBridge (const std::vector< double > &sigma, const TimeGrid &timeGrid, GSG
generator)
general Wiener process paths

• BrownianBridge (const Handle< BlackVolTermStructure > &blackVol, const TimeGrid

&timeGrid, GSG generator)

inspectors

• const sample_type & next () const

• const sample_type & antithetic () const
• Size size () const
• const TimeGrid & timeGrid () const

The documentation for this class was generated from the following file:

• ql/MonteCarlo/brownianbridge.hpp

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232 QuantLib Class Documentation

11.67 BSMOperator Class Reference

#include <bsmoperator.hpp>
Inheritance diagram for BSMOperator:

TridiagonalOperator

BSMOperator

11.67.1 Detailed Description

Black-Scholes-Merton differential operator.

Public Member Functions

• BSMOperator (Size size, double dx, double r, double q, double sigma)

The documentation for this class was generated from the following files:

• ql/FiniteDifferences/bsmoperator.hpp
• ql/FiniteDifferences/bsmoperator.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.68 Budapest Class Reference 233

11.68 Budapest Class Reference

#include <budapest.hpp>
Inheritance diagram for Budapest:

Bridge< Calendar, CalendarImpl >

Calendar

Budapest

11.68.1 Detailed Description

Budapest calendar
Holidays:

• Saturdays
• Sundays
• Easter Monday
• Whit(Pentecost) Monday
• New Year’s Day, January 1st
• National Day, March 15th
• Labour Day, May 1st
• Constitution Day, August 20th
• Republic Day, October 23rd
• All Saints Day, November 1st
• Christmas, December 25th
• 2nd Day of Christmas, December 26th

The documentation for this class was generated from the following file:

• ql/Calendars/budapest.hpp

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234 QuantLib Class Documentation

11.69 CADLibor Class Reference

#include <cadlibor.hpp>
Inheritance diagram for CADLibor:

Observable

Index Observer

Xibor

CADLibor

11.69.1 Detailed Description

CAD Libor index (Also known as CDOR)

Todo
check settlement days

Public Member Functions

• CADLibor (int n, TimeUnit units, const RelinkableHandle< TermStructure > &h, const
DayCounter &dc=DayCounters::Actual365())

The documentation for this class was generated from the following file:

• ql/Indexes/cadlibor.hpp

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11.70 Calendar Class Reference 235

11.70 Calendar Class Reference

#include <calendar.hpp>
Inheritance diagram for Calendar:

Budapest

Frankfurt

Helsinki

Johannesburg

JointCalendar

London

Milan

NewYork

NullCalendar
Bridge< Calendar, CalendarImpl > Calendar
Oslo

Stockholm

Sydney

TARGET

Tokyo

Toronto

Warsaw

Wellington

Zurich

11.70.1 Detailed Description

calendar class
This class provides methods for determining whether a date is a business day or a holiday for a
given market, and for incrementing/decrementing a date of a given number of business days.
The Bridge pattern is used to provide the base behavior of the calendar, namely, to determine
whether a date is a business day.

Public Member Functions

• Calendar ()

Calendar interface

• std::string name () const

Returns the name of the calendar.

• bool isBusinessDay (const Date &d) const

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236 QuantLib Class Documentation

• bool isEndOfMonth (const Date &d) const

• bool isHoliday (const Date &d) const
• Date roll (const Date &, RollingConvention convention=Following, const Date &ori-
gin=Date()) const
• Date advance (const Date &, int n, TimeUnit unit, RollingConvention conven-
tion=Following) const
• Date advance (const Date &date, const Period &period, RollingConvention convention)
const

Protected Member Functions

• Calendar (const Handle< CalendarImpl > &impl)

Related Functions

(Note that these are not member functions.)

• bool operator== (const Calendar &, const Calendar &)

• bool operator!= (const Calendar &, const Calendar &)

11.70.2 Constructor & Destructor Documentation

11.70.2.1 Calendar ()

This default constructor returns a calendar with a null implementation, which is therefore unus-
able except as a placeholder.

11.70.2.2 Calendar (const Handle< CalendarImpl > & impl) [protected]

This protected constructor will only be invoked by derived classes which define a given Calen-
dar(p. 235) implementation

11.70.3 Member Function Documentation

11.70.3.1 std::string name () const

Returns the name of the calendar.

Warning:
This method is used for output and comparison between calendars. It is not meant to be
used for writing switch-on-type code.

11.70.3.2 bool isBusinessDay (const Date & d) const

Returns true iff the date is a business day for the given market.

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11.70 Calendar Class Reference 237

11.70.3.3 bool isEndOfMonth (const Date & d) const

Returns true iff the date is last business day for the month in given market.

11.70.3.4 bool isHoliday (const Date & d) const

Returns true iff the date is a holiday for the given market.

11.70.3.5 Date roll (const Date &, RollingConvention convention = Following, const Date &
origin = Date()) const

Returns the next business day on the given market with respect to the given date and convention.

11.70.3.6 Date advance (const Date &, int n, TimeUnit unit, RollingConvention convention =
Following) const

Advances the given date of the given number of business days and returns the result.

Note:
The input date is not modified.

11.70.3.7 Date advance (const Date & date, const Period & period, RollingConvention
convention) const

Advances the given date as specified by the given period and returns the result.

Note:
The input date is not modified.

11.70.4 Friends And Related Function Documentation

11.70.4.1 bool operator== (const Calendar &, const Calendar &) [related]

Returns true iff the two calendars belong to the same derived class.
The documentation for this class was generated from the following files:

• ql/calendar.hpp
• ql/calendar.cpp

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238 QuantLib Class Documentation

11.71 Calendar::WesternImpl Class Reference

#include <calendar.hpp>
Inheritance diagram for Calendar::WesternImpl:

CalendarImpl

Calendar::WesternImpl

11.71.1 Detailed Description

partial implementation providing the means of determining the Easter Monday for a given year.

Static Protected Member Functions

• Day easterMonday (Year y)
expressed relative to first day of year

The documentation for this class was generated from the following files:

• ql/calendar.hpp
• ql/calendar.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.72 CalendarImpl Class Reference 239

11.72 CalendarImpl Class Reference

#include <calendar.hpp>
Inheritance diagram for CalendarImpl:

CalendarImpl

WesternImpl

11.72.1 Detailed Description

abstract base class for calendar implementations

Public Member Functions

• virtual std::string name () const =0
• virtual bool isBusinessDay (const Date &) const =0

The documentation for this class was generated from the following file:

• ql/calendar.hpp

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240 QuantLib Class Documentation

11.73 CalibrationHelper Class Reference

#include <calibrationhelper.hpp>
Inheritance diagram for CalibrationHelper:

Observer Observable

CalibrationHelper

11.73.1 Detailed Description

liquid market instrument used during calibration

Public Member Functions

• CalibrationHelper (const RelinkableHandle< MarketElement > &volatility, const

RelinkableHandle< TermStructure > &termStructure)
• void update ()
• double marketValue ()
returns the actual price of the instrument (from volatility)

• virtual double modelValue ()=0

returns the price of the instrument according to the model

• virtual double calibrationError ()

returns the error resulting from the model valuation

• virtual void addTimesTo (std::list< Time > &times) const =0

• double impliedVolatility (double targetValue, double accuracy, Size maxEvaluations, dou-
ble minVol, double maxVol) const
Black volatility implied by the model.

• virtual double blackPrice (double volatility) const =0

Black price given a volatility.

• void setPricingEngine (const Handle< PricingEngine > &engine)

Protected Attributes

• double marketValue_
• RelinkableHandle< MarketElement > volatility_
• RelinkableHandle< TermStructure > termStructure_
• Handle< BlackModel > blackModel_
• Handle< PricingEngine > engine_

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11.73 CalibrationHelper Class Reference 241

11.73.2 Member Function Documentation

11.73.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).
The documentation for this class was generated from the following files:

• ql/ShortRateModels/calibrationhelper.hpp
• ql/ShortRateModels/calibrationhelper.cpp

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242 QuantLib Class Documentation

11.74 CalibrationSet Class Reference

#include <calibrationhelper.hpp>

11.74.1 Detailed Description

Set of calibration instruments.

For the moment, this is just here to facilitate the assignment of a pricing engine to a set of
calibration helpers

Public Member Functions

• void setPricingEngine (const Handle< PricingEngine > &engine)

The documentation for this class was generated from the following file:

• ql/ShortRateModels/calibrationhelper.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.75 Cap Class Reference 243

11.75 Cap Class Reference

#include <capfloor.hpp>
Inheritance diagram for Cap:

Observable Observer

LazyObject

Instrument

CapFloor

Cap

11.75.1 Detailed Description

Concrete cap class.

Public Member Functions

• Cap (const std::vector< Handle< CashFlow > > &floatingLeg, const std::vector< Rate
> &exerciseRates, const RelinkableHandle< TermStructure > &termStructure, const
Handle< PricingEngine > &engine)

The documentation for this class was generated from the following file:

• ql/Instruments/capfloor.hpp

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244 QuantLib Class Documentation

11.76 CapFlatVolatilityStructure Class Reference

#include <capvolstructures.hpp>
Inheritance diagram for CapFlatVolatilityStructure:

Observable

CapFlatVolatilityStructure

CapFlatVolatilityVector

11.76.1 Detailed Description

Cap/floor flat volatility structure.

This class is purely abstract and defines the interface of concrete structures which will be derived
from this one.

Public Member Functions

• virtual Date todaysDate () const =0
returns today’s date

• virtual Date settlementDate () const =0

returns the settlement date

• virtual DayCounter dayCounter () const =0

returns the day counter used for internal date/time conversions

• double volatility (const Date &end, Rate strike) const

returns the volatility for a given end date and strike rate

• double volatility (const Period &length, Rate strike) const

returns the volatility for a given cap/floor length and strike rate

• double volatility (Time t, Rate strike) const

returns the volatility for a given end time and strike rate

Protected Member Functions

• virtual double volatilityImpl (Time length, Rate strike) const =0
implements the actual volatility calculation in derived classes

The documentation for this class was generated from the following file:

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.76 CapFlatVolatilityStructure Class Reference 245

• ql/capvolstructures.hpp

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246 QuantLib Class Documentation

11.77 CapFlatVolatilityVector Class Reference

#include <capflatvolvector.hpp>
Inheritance diagram for CapFlatVolatilityVector:

Observable

CapFlatVolatilityStructure

CapFlatVolatilityVector

11.77.1 Detailed Description

Cap/floor at-the-money flat volatility vector.

This class provides the at-the-money volatility for a given cap by interpolating a volatility vector
whose elements are the market volatilities of a set of caps/floors with given length.

Todo
Either add correct copy behavior or inhibit copy. Right now, a copied instance would end up
with its own copy of the length vector but an interpolation pointing to the original ones.

Public Member Functions

• CapFlatVolatilityVector (const Date &todaysDate, const Calendar &calendar, int
settlementDays, const std::vector< Period > &lengths, const std::vector< double > &volatil-
ities, const DayCounter &dayCounter=DayCounters::Thirty360())
• Date todaysDate () const
returns today’s date

• Date settlementDate () const

returns the settlement date

• DayCounter dayCounter () const

returns the day counter used for internal date/time conversions

The documentation for this class was generated from the following file:

• ql/Volatilities/capflatvolvector.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.78 CapFloor Class Reference 247

11.78 CapFloor Class Reference

#include <capfloor.hpp>
Inheritance diagram for CapFloor:

Observable Observer

LazyObject

Instrument

CapFloor

Cap Collar Floor

11.78.1 Detailed Description

Base class for cap-like instruments.

Public Types
• enum Type { Cap, Floor, Collar }

Public Member Functions

• CapFloor (Type type, const std::vector< Handle< CashFlow > > &floatingLeg, const
std::vector< Rate > &capRates, const std::vector< Rate > &floorRates, const Relinkable-
Handle< TermStructure > &termStructure, const Handle< PricingEngine > &engine)
• void setupArguments (Arguments ∗) const
• double impliedVolatility (double price, double accuracy=1.0e-4, Size maxEvaluations=100,
double minVol=QL_MIN_VOLATILITY, double maxVol=QL_MAX_VOLATILITY) const
implied term volatility

Instrument interface

• bool isExpired () const

returns whether the instrument is still tradable.

Inspectors

• Type type () const

• const std::vector< Handle< CashFlow > > & leg () const
• const std::vector< Rate > & capRates () const
• const std::vector< Rate > & floorRates () const

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248 QuantLib Class Documentation

11.78.2 Member Function Documentation

11.78.2.1 void setupArguments (Arguments ∗) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overrid-
den to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument (p. 423).
The documentation for this class was generated from the following files:

• ql/Instruments/capfloor.hpp
• ql/Instruments/capfloor.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.79 CapFloor::arguments Class Reference 249

11.79 CapFloor::arguments Class Reference

#include <capfloor.hpp>
Inheritance diagram for CapFloor::arguments:

Arguments

CapFloor::arguments

11.79.1 Detailed Description

arguments for cap/floor calculation

Public Member Functions

• void validate () const

Public Attributes
• CapFloor::Type type
• std::vector< Time > startTimes
• std::vector< Time > fixingTimes
• std::vector< Time > endTimes
• std::vector< Time > accrualTimes
• std::vector< Rate > capRates
• std::vector< Rate > floorRates
• std::vector< Rate > forwards
• std::vector< double > nominals

The documentation for this class was generated from the following files:

• ql/Instruments/capfloor.hpp
• ql/Instruments/capfloor.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

250 QuantLib Class Documentation

11.80 CapFloor::results Class Reference

#include <capfloor.hpp>
Inheritance diagram for CapFloor::results:

Results

Value

CapFloor::results

11.80.1 Detailed Description

results from cap/floor calculation

The documentation for this class was generated from the following file:

• ql/Instruments/capfloor.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.81 CapletForwardVolatilityStructure Class Reference 251

11.81 CapletForwardVolatilityStructure Class Reference

#include <capvolstructures.hpp>
Inheritance diagram for CapletForwardVolatilityStructure:

Observable

CapletForwardVolatilityStructure

11.81.1 Detailed Description

Caplet/floorlet forward volatility structure.

This class is purely abstract and defines the interface of concrete structures which will be derived
from this one.

Public Member Functions

• virtual Date todaysDate () const =0
returns today’s date

• virtual Date settlementDate () const =0

returns the settlement date

• virtual DayCounter dayCounter () const =0

returns the day counter used for internal date/time conversions

• double volatility (const Date &start, Rate strike) const

returns the volatility for a given start date and strike rate

• double volatility (Time t, Rate strike) const

returns the volatility for a given start time and strike rate

Protected Member Functions

• virtual double volatilityImpl (Time length, Rate strike) const =0
implements the actual volatility calculation in derived classes

The documentation for this class was generated from the following file:

• ql/capvolstructures.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

252 QuantLib Class Documentation

11.82 CashFlow Class Reference

#include <cashflow.hpp>
Inheritance diagram for CashFlow:

Observable

CashFlow

Coupon SimpleCashFlow

FixedRateCoupon FloatingRateCoupon

IndexedCoupon ParCoupon

InArrearIndexedCoupon UpFrontIndexedCoupon ShortFloatingRateCoupon

11.82.1 Detailed Description

Base class for cash flows.

This class is purely virtual and acts as a base class for the actual cash flow implementations.

Public Member Functions

CashFlow interface

• virtual double amount () const =0

returns the amount of the cash flow

• virtual Date date () const =0

returns the date at which the cash flow is settled

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

11.82.2 Member Function Documentation

11.82.2.1 virtual double amount () const [pure virtual]

returns the amount of the cash flow

Note:
The amount is not discounted, i.e., it is the actual amount paid at the cash flow date.

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11.82 CashFlow Class Reference 253

Implemented in FixedRateCoupon (p. 354), IndexedCoupon (p. 420), ParCoupon (p. 542), Short-
FloatingRateCoupon (p. 594), and SimpleCashFlow (p. 596).
The documentation for this class was generated from the following file:

• ql/cashflow.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

254 QuantLib Class Documentation

11.83 CashOrNothingPayoff Class Reference

#include <payoff.hpp>
Inheritance diagram for CashOrNothingPayoff:

Payoff

StrikedTypePayoff

CashOrNothingPayoff

11.83.1 Detailed Description

Binary(p. 195) Cash-Or-Nothing option payoff.

Public Member Functions

• CashOrNothingPayoff (Option::Type type, double strike, double cashPayoff)
• double operator() (double price) const

The documentation for this class was generated from the following file:

• ql/payoff.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.84 CHFLibor Class Reference 255

11.84 CHFLibor Class Reference

#include <chflibor.hpp>
Inheritance diagram for CHFLibor:

Observable

Index Observer

Xibor

CHFLibor

11.84.1 Detailed Description

CHF Libor index (Also known as ZIBOR)

Todo
check settlement days and day-count

Public Member Functions

• CHFLibor (int n, TimeUnit units, const RelinkableHandle< TermStructure > &h, const
DayCounter &dc=DayCounters::Actual360())

The documentation for this class was generated from the following file:

• ql/Indexes/chflibor.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

256 QuantLib Class Documentation

11.85 CLGaussianRng Class Template Reference

#include <centrallimitgaussianrng.hpp>

11.85.1 Detailed Description

template<class RNG> class QuantLib::RandomNumbers::CLGaussianRng< RNG >

Gaussian random number generator.

It uses the well-known fact that the sum of 12 uniform deviate in (-.5,.5) is approximately a
Gaussian deviate with average 0 and standard deviation 1. The uniform deviate is supplied by
RNG.
Class RNG must implement the following interface:

RNG::sample_type RNG::next() const;

Public Types
• typedef MonteCarlo::Sample< double > sample_type

Public Member Functions

• CLGaussianRng (const RNG &uniformGenerator)
• CLGaussianRng (long seed=0)
• sample_type next () const
returns next sample from the Gaussian distribution

11.85.2 Constructor & Destructor Documentation

11.85.2.1 CLGaussianRng (long seed = 0) [explicit]

Deprecated
initialize with a random number generator instead.

The documentation for this class was generated from the following file:

• ql/RandomNumbers/centrallimitgaussianrng.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.86 CliquetEngine Class Reference 257

11.86 CliquetEngine Class Reference

#include <cliquetengines.hpp>
Inheritance diagram for CliquetEngine:

PricingEngine

GenericEngine< Instruments::CliquetOption::arguments, Instruments::VanillaOption::results >

CliquetEngine

11.86.1 Detailed Description

Cliquet engine base class.

The documentation for this class was generated from the following file:

• ql/PricingEngines/cliquetengines.hpp

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258 QuantLib Class Documentation

11.87 CliquetOption Class Reference

#include <cliquetoption.hpp>

11.87.1 Detailed Description

currently just a container for arguments and results

The documentation for this class was generated from the following file:

• ql/Instruments/cliquetoption.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.88 CliquetOption Class Reference 259

11.88 CliquetOption Class Reference

#include <cliquetoption.hpp>

11.88.1 Detailed Description

cliquet (Ratchet) option

A cliquet option, also known as Ratchet option, is a series of forward-starting (a.k.a. deferred
strike) options where the strike for each forward start option is set equal to a fixed percentage of
the spot price at the beginning of each period.
In the particular case in which only two dates are given the cliquet option is the same as a
forward-starting option starting at the first date and expiring at the second date.

Public Member Functions

• CliquetOption (Option::Type type, double underlying, double moneyness, const
std::vector< Spread > &dividendYield, const std::vector< Rate > &riskFreeRate, const
std::vector< Time > &times, const std::vector< double > &volatility)
• double value () const
• double delta () const
• double gamma () const
• double theta () const
• double vega () const
• double rho () const
• double dividendRho () const

The documentation for this class was generated from the following files:

• ql/Pricers/cliquetoption.hpp
• ql/Pricers/cliquetoption.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

260 QuantLib Class Documentation

11.89 CliquetOption::arguments Class Reference

#include <cliquetoption.hpp>
Inheritance diagram for CliquetOption::arguments:

Arguments

arguments

CliquetOption::arguments

11.89.1 Detailed Description

arguments for cliquet option calculation

Public Member Functions

• void validate () const

Public Attributes
• double moneyness
• double accruedCoupon
• double lastFixing
• double localCap
• double localFloor
• double globalCap
• double globalFloor
• std::vector< Date > resetDates

The documentation for this class was generated from the following file:

• ql/Instruments/cliquetoption.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.90 CliquetOptionPathPricer Class Reference 261

11.90 CliquetOptionPathPricer Class Reference

#include <cliquetoptionpathpricer.hpp>
Inheritance diagram for CliquetOptionPathPricer:

PathPricer< Path >

CliquetOptionPathPricer

11.90.1 Detailed Description

path pricer for cliquet options

Public Member Functions

• CliquetOptionPathPricer (Option::Type type, double underlying, double moneyness, dou-
ble accruedCoupon, double lastFixing, double localCap, double localFloor, double global-
Cap, double globalFloor, const RelinkableHandle< TermStructure > &riskFreeTS)
• double operator() (const Path &path) const

The documentation for this class was generated from the following files:

• ql/MonteCarlo/cliquetoptionpathpricer.hpp
• ql/MonteCarlo/cliquetoptionpathpricer.cpp

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262 QuantLib Class Documentation

11.91 CliquetOptionPathPricer_old Class Reference

#include <cliquetoptionpathpricer.hpp>
Inheritance diagram for CliquetOptionPathPricer_old:

PathPricer_old< Path >

CliquetOptionPathPricer_old

11.91.1 Detailed Description

path pricer for cliquet options

path pricer for cliquet options

Deprecated
use CliquetOptionPathPricer(p. 261) instead

Public Member Functions

• CliquetOptionPathPricer_old (Option::Type type, double underlying, double moneyness,
double accruedCoupon, double lastFixing, double localCap, double localFloor, double
globalCap, double globalFloor, const std::vector< DiscountFactor > &discounts, bool
redemptionOnly, bool useAntitheticVariance)
• double operator() (const Path &path) const

The documentation for this class was generated from the following files:

• ql/MonteCarlo/cliquetoptionpathpricer.hpp
• ql/MonteCarlo/cliquetoptionpathpricer.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.92 Collar Class Reference 263

11.92 Collar Class Reference

#include <capfloor.hpp>
Inheritance diagram for Collar:

Observable Observer

LazyObject

Instrument

CapFloor

Collar

11.92.1 Detailed Description

Concrete cap class.

Public Member Functions

• Collar (const std::vector< Handle< CashFlow > > &floatingLeg, const std::vector< Rate
> &capRates, const std::vector< Rate > &floorRates, const RelinkableHandle< Term-
Structure > &termStructure, const Handle< PricingEngine > &engine)

The documentation for this class was generated from the following file:

• ql/Instruments/capfloor.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

264 QuantLib Class Documentation

11.93 combining_iterator Class Template Reference

#include <combiningiterator.hpp>

11.93.1 Detailed Description

template<class Iterator, class Function> class QuantLib::Utilities::combining_iterator< Itera-

tor, Function >

Iterator mapping a function to a set of underlying sequences.

This iterator advances a set of underlying iterators and returns the values obtained by applying
a function to the sets of values such iterators point to.
This class was implemented based on Christopher Baus and Thomas Becker, Custom Iterators
for the STL, included in the proceedings of the First Workshop on C++ Template Programming,
Erfurt, Germany, 2000 (http://www.oonumerics.org/tmpw00/)

Public Types
• typedef Function::result_type value_type
• typedef const Function::result_type ∗ pointer
• typedef const Function::result_type & reference

Public Member Functions

• template<class IteratorCollectionIterator> combining_iterator (IteratorCollectionIterator
it1, IteratorCollectionIterator it2, Function f)

Dereferencing

• reference operator ∗ () const

• pointer operator → () const

Random access

• value_type operator[ ] (difference_type n) const

Increment and decrement

• combining_iterator & operator++ ()

• combining_iterator operator++ (int)
• combining_iterator & operator– ()
• combining_iterator operator– (int)
• combining_iterator & operator+= (difference_type n)
• combining_iterator & operator-= (difference_type n)
• combining_iterator operator+ (difference_type n) const
• combining_iterator operator- (difference_type n) const

Difference

• difference_type operator- (const combining_iterator< Iterator, Function > &rhs) const

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11.93 combining_iterator Class Template Reference 265

Comparisons

• bool operator== (const combining_iterator< Iterator, Function > &rhs) const

• bool operator!= (const combining_iterator< Iterator, Function > &rhs) const

Public Attributes
• typedef< Iterator >::difference_type difference_type

Related Functions

(Note that these are not member functions.)

• combining_iterator< typename 1< It >::value_type, Function > make_combining_iterator

(It it1, It it2, Function f)
helper function to create combining iterators

The documentation for this class was generated from the following file:

• ql/Utilities/combiningiterator.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

266 QuantLib Class Documentation

11.94 CompositeConstraint Class Reference

#include <constraint.hpp>
Inheritance diagram for CompositeConstraint:

Bridge< Constraint, ConstraintImpl >

Constraint

CompositeConstraint

11.94.1 Detailed Description

Constraint(p. 270) enforcing both given sub-constraints.

Public Member Functions

• CompositeConstraint (const Constraint &c1, const Constraint &c2)

The documentation for this class was generated from the following file:

• ql/Optimization/constraint.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.95 CompositeMarketElement Class Template Reference 267

11.95 CompositeMarketElement Class Template Reference

#include <marketelement.hpp>
Inheritance diagram for CompositeMarketElement:

Observable

MarketElement Observer

CompositeMarketElement

11.95.1 Detailed Description

template<class BinaryFunction> class QuantLib::CompositeMarketElement< BinaryFunction

>

market element whose value depends on two other market element

Public Member Functions

• CompositeMarketElement (const RelinkableHandle< MarketElement > &element1, const
RelinkableHandle< MarketElement > &element2, const BinaryFunction &f)

Market element interface

• double value () const

returns the current value

Observer interface

• void update ()

11.95.2 Member Function Documentation

11.95.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).
The documentation for this class was generated from the following file:

• ql/marketelement.hpp

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268 QuantLib Class Documentation

11.96 ConjugateGradient Class Reference

#include <conjugategradient.hpp>
Inheritance diagram for ConjugateGradient:

Method

ConjugateGradient

11.96.1 Detailed Description

Multi-dimensional Conjugate Gradient class.

User has to provide line-search method and optimization end criteria
search direction di = − f 0 (xi ) + ci ∗ di−1 where ci = || f 0 (xi )||2 /|| f 0 (xi−1 )||2 and d1 = − f 0 (x1 )

Public Member Functions

• ConjugateGradient ()
default constructor

• ConjugateGradient (const Handle< LineSearch > &lineSearch)

• virtual ∼ConjugateGradient ()
destructor

• virtual void minimize (const Problem &P) const

minimize the optimization problem P

The documentation for this class was generated from the following files:

• ql/Optimization/conjugategradient.hpp
• ql/Optimization/conjugategradient.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.97 ConstantParameter Class Reference 269

11.97 ConstantParameter Class Reference

#include <parameter.hpp>
Inheritance diagram for ConstantParameter:

Bridge< Parameter, ParameterImpl >

Parameter

ConstantParameter

11.97.1 Detailed Description

Standard constant parameter a(t) = a.

Public Member Functions

• ConstantParameter (const Optimization::Constraint &constraint)
• ConstantParameter (double value, const Optimization::Constraint &constraint)

The documentation for this class was generated from the following file:

• ql/ShortRateModels/parameter.hpp

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270 QuantLib Class Documentation

11.98 Constraint Class Reference

#include <constraint.hpp>
Inheritance diagram for Constraint:

Bridge< Constraint, ConstraintImpl >

Constraint

BoundaryConstraint CompositeConstraint NoConstraint PositiveConstraint

11.98.1 Detailed Description

Base constraint class.

Public Member Functions

• bool test (const Array &p) const
• double update (Array &p, const Array &direction, double beta)
• Constraint (const Handle< ConstraintImpl > &impl=Handle< ConstraintImpl >())

The documentation for this class was generated from the following file:

• ql/Optimization/constraint.hpp

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11.99 ConstraintImpl Class Reference 271

11.99 ConstraintImpl Class Reference

#include <constraint.hpp>

11.99.1 Detailed Description

Base class for Constraint(p. 270) implementations.

Public Member Functions

• virtual bool test (const Array &params) const =0
Tests if params satisfy the constraint.

The documentation for this class was generated from the following file:

• ql/Optimization/constraint.hpp

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272 QuantLib Class Documentation

11.100 ContinuousGeometricAPO Class Reference

#include <continuousgeometricapo.hpp>
Inheritance diagram for ContinuousGeometricAPO:

SingleAssetOption

EuropeanOption

ContinuousGeometricAPO

11.100.1 Detailed Description

Continuous Geometric Average Price Option(p. 533) (European exercise).

This class implements a continuous geometric average price asian option with european exercise.
The formula is from "Option Pricing Formulas", E. G. Haug (1997) pag 96-97

Todo
add Average Strike version and make it backward starting

Public Member Functions

• ContinuousGeometricAPO (Option::Type type, double underlying, double strike, Spread
dividendYield, Rate riskFreeRate, Time residualTime, double volatility)
• double vega () const
• double rho () const
• Handle< SingleAssetOption > clone () const

The documentation for this class was generated from the following file:

• ql/Pricers/continuousgeometricapo.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.101 CostFunction Class Reference 273

11.101 CostFunction Class Reference

#include <costfunction.hpp>
Inheritance diagram for CostFunction:

CostFunction

LeastSquareFunction

11.101.1 Detailed Description

Cost function abstract class for optimization problem.

Public Member Functions

• virtual double value (const Array &x) const =0
method to overload to compute the cost functon value in x

• virtual void gradient (Array &grad, const Array &x) const

method to overload to compute grad_f, the first derivative of

• virtual double valueAndGradient (Array &grad, const Array &x) const

method to overload to compute grad_f, the first derivative of

• virtual double finiteDifferenceEpsilon () const

Default epsilon for finite difference method :.

The documentation for this class was generated from the following file:

• ql/Optimization/costfunction.hpp

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274 QuantLib Class Documentation

11.102 coupling_iterator Class Template Reference

#include <couplingiterator.hpp>

11.102.1 Detailed Description

template<class Iterator1, class Iterator2, class Function> class QuantLib::Utilities::coupling_-

iterator< Iterator1, Iterator2, Function >

Iterator mapping a function to a pair of underlying sequences.

This iterator advances two underlying iterators and returns the values obtained by applying a
function to the two values such iterators point to.

Public Types
• typedef Function::result_type value_type
• typedef const Function::result_type ∗ pointer
• typedef const Function::result_type & reference

Public Member Functions

• coupling_iterator (Iterator1 it1, Iterator2 it2, Function f)

Dereferencing

• reference operator ∗ () const

• pointer operator → () const

Random access

• value_type operator[ ] (difference_type n) const

Increment and decrement

• coupling_iterator & operator++ ()

• coupling_iterator operator++ (int)
• coupling_iterator & operator– ()
• coupling_iterator operator– (int)
• coupling_iterator & operator+= (difference_type n)
• coupling_iterator & operator-= (difference_type n)
• coupling_iterator operator+ (difference_type n) const
• coupling_iterator operator- (difference_type n) const

Difference

• difference_type operator- (const coupling_iterator &rhs) const

Comparisons

• bool operator== (const coupling_iterator &rhs) const

• bool operator!= (const coupling_iterator &rhs) const

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11.102 coupling_iterator Class Template Reference 275

Public Attributes
• typedef< Iterator1 >::difference_type difference_type

Related Functions

(Note that these are not member functions.)

• coupling_iterator< It1, It2, Function > make_coupling_iterator (It1 it1, It2 it2, Function f)
helper function to create combining iterators

The documentation for this class was generated from the following file:

• ql/Utilities/couplingiterator.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

276 QuantLib Class Documentation

11.103 Coupon Class Reference

#include <coupon.hpp>
Inheritance diagram for Coupon:

Observable

CashFlow

Coupon

FixedRateCoupon FloatingRateCoupon

IndexedCoupon ParCoupon

InArrearIndexedCoupon UpFrontIndexedCoupon ShortFloatingRateCoupon

11.103.1 Detailed Description

coupon accruing over a fixed period

This class implements part of the CashFlow(p. 252) interface but it is still abstract and provides
derived classes with methods for accrual period calculations.

Public Member Functions

• Coupon (double nominal, const Date &paymentDate, const Date &accrualStartDate,
const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriod-
End=Date())

Partial CashFlow interface

• Date date () const

returns the date at which the cash flow is settled

Inspectors

• double nominal () const

• const Date & accrualStartDate () const
start of the accrual period

• const Date & accrualEndDate () const

end of the accrual period

• Time accrualPeriod () const

accrual period as fraction of year

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11.103 Coupon Class Reference 277

• int accrualDays () const

accrual period in days

• virtual DayCounter dayCounter () const =0

day counter for accrual calculation

• virtual double accruedAmount (const Date &) const =0

accrued amount at the given date

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

Protected Attributes
• double nominal_
• Date paymentDate_
• Date accrualStartDate_
• Date accrualEndDate_
• Date refPeriodStart_
• Date refPeriodEnd_

11.103.2 Constructor & Destructor Documentation

11.103.2.1 Coupon (double nominal, const Date & paymentDate, const Date &
accrualStartDate, const Date & accrualEndDate, const Date & refPeriodStart =
Date(), const Date & refPeriodEnd = Date())

Warning:
the coupon does not roll the payment date which must already be a business day.

The documentation for this class was generated from the following file:

• ql/CashFlows/coupon.hpp

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278 QuantLib Class Documentation

11.104 CoxIngersollRoss Class Reference

#include <coxingersollross.hpp>
Inheritance diagram for CoxIngersollRoss:

Observer Observable

Model

OneFactorModel AffineModel

OneFactorAffineModel

CoxIngersollRoss

ExtendedCoxIngersollRoss

11.104.1 Detailed Description

Cox-Ingersoll-Ross model class.

This class implements the Cox-Ingersoll-Ross model defined by
√
drt = k(θ − rt )dt + rt σdWt .

Unstable
This class was not tested enough to guarantee its functionality.

Public Member Functions

• CoxIngersollRoss (Rate r0=0.05, double theta=0.1, double k=0.1, double sigma=0.1)
• virtual double discountBondOption (Option::Type type, double strike, Time maturity, Time
bondMaturity) const
• virtual Handle< ShortRateDynamics > dynamics () const
returns the short-rate dynamics

• virtual Handle< Lattices::Lattice > tree (const TimeGrid &grid) const

Return by default a trinomial recombining tree.

Protected Member Functions

• double A (Time t, Time T) const
• double B (Time t, Time T) const
• double theta () const
• double k () const

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11.104 CoxIngersollRoss Class Reference 279

• double sigma () const

• double x0 () const

The documentation for this class was generated from the following files:

• ql/ShortRateModels/OneFactorModels/coxingersollross.hpp
• ql/ShortRateModels/OneFactorModels/coxingersollross.cpp

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280 QuantLib Class Documentation

11.105 CoxIngersollRoss::Dynamics Class Reference

#include <coxingersollross.hpp>
Inheritance diagram for CoxIngersollRoss::Dynamics:

CoxIngersollRoss::Dynamics

Dynamics

11.105.1 Detailed Description

Dynamics(p. 280) of the short-rate under the Cox-Ingersoll-Ross model.

The state variable yt will here be the square-root of the short-rate. It satisfies the following
stochastic equation
kθ σ2 1 σ
" #
k
dyt = ( + ) − yt dt + dWt
2 8 yt 2 2
.

Public Member Functions

• Dynamics (double theta, double k, double sigma, double x0)
• virtual double variable (Time t, Rate r) const
• virtual double shortRate (Time t, double y) const

The documentation for this class was generated from the following file:

• ql/ShortRateModels/OneFactorModels/coxingersollross.hpp

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11.106 CoxRossRubinstein Class Reference 281

11.106 CoxRossRubinstein Class Reference

#include <binomialtree.hpp>
Inheritance diagram for CoxRossRubinstein:

Tree

BinomialTree

EqualJumpsBinomialTree

CoxRossRubinstein

11.106.1 Detailed Description

Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.

Public Member Functions

• CoxRossRubinstein (const Handle< DiffusionProcess > &process, Time end, Size steps)

The documentation for this class was generated from the following files:

• ql/Lattices/binomialtree.hpp
• ql/Lattices/binomialtree.cpp

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282 QuantLib Class Documentation

11.107 CrankNicolson Class Template Reference

#include <cranknicolson.hpp>
Inheritance diagram for CrankNicolson:

MixedScheme<Operator>

CrankNicolson

11.107.1 Detailed Description

template<class Operator> class QuantLib::FiniteDifferences::CrankNicolson< Operator >

Crank-Nicolson scheme for finite difference methods.

See sect. The finite differences framework(p. 31) for details on the method.
In this implementation, the passed operator must be derived from either TimeConstantOperator
or TimeDependentOperator. Also, it must implement at least the following interface:

typedef ... arrayType;

// copy constructor/assignment
// (these will be provided by the compiler if none is defined)
Operator(const Operator&);
Operator& operator=(const Operator&);

// inspectors
Size size();

// modifiers
void setTime(Time t);

// operator interface
arrayType applyTo(const arrayType&);
arrayType solveFor(const arrayType&);
static Operator identity(Size size);

// operator algebra
Operator operator*(double, const Operator&);
Operator operator+(const Operator&, const Operator&);
Operator operator+(const Operator&, const Operator&);

Warning:
The differential operator must be linear for this evolver to work.

Friends
• class FiniteDifferenceModel< CrankNicolson< Operator > >

The documentation for this class was generated from the following file:

• ql/FiniteDifferences/cranknicolson.hpp

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11.108 CubicSpline Class Reference 283

11.108 CubicSpline Class Reference

#include <interpolationtraits.hpp>

11.108.1 Detailed Description

cubic-spline interpolation traits

Static Public Member Functions

• template<class I1, class I2> Handle< Interpolation< I1, I2 > > make_interpolation (const
I1 &xBegin, const I1 &xEnd, const I2 &yBegin)
• template<class I1, class I2, class M> Handle< Interpolation2D< I1, I2, M > > make_-
interpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const I2 &yEnd, const
M &z)

The documentation for this class was generated from the following file:

• ql/Math/interpolationtraits.hpp

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284 QuantLib Class Documentation

11.109 CubicSplineInterpolation Class Template Reference

#include <cubicspline.hpp>
Inheritance diagram for CubicSplineInterpolation:

Interpolation<RandomAccessIterator1,RandomAccessIterator2>

CubicSplineInterpolation

11.109.1 Detailed Description

template<class RandomAccessIterator1, class RandomAccessIterator2> class Quant-

Lib::Math::CubicSplineInterpolation< RandomAccessIterator1, RandomAccessIterator2 >

cubic spline interpolation between discrete points

Public Member Functions

• CubicSplineInterpolation (const RandomAccessIterator1 &xBegin, const RandomAccess-
Iterator1 &xEnd, const RandomAccessIterator2 &yBegin)
• result_type operator() (const argument_type &x, bool allowExtrapolation=false) const
• result_type derivative (const argument_type &x, bool allowExtrapolation=false) const
• result_type secondDerivative (const argument_type &x, bool allowExtrapolation=false)
const

Public Attributes
• typedef< RandomAccessIterator1 >::value_type argument_type
• typedef< RandomAccessIterator2 >::value_type result_type

11.109.2 Member Function Documentation

11.109.2.1 result_type operator() (const argument_type & x, bool allowExtrapolation = false)

const [virtual]

This operator must be overridden to provide an implementation of the actual interpolation.

Precondition:
The sequence of values for x must have been sorted for the result to make sense.

Implements Interpolation (p. 428).

The documentation for this class was generated from the following file:

• ql/Math/cubicspline.hpp

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11.110 CumulativeNormalDistribution Class Reference 285

11.110 CumulativeNormalDistribution Class Reference

#include <normaldistribution.hpp>

11.110.1 Detailed Description

Cumulative normal distribution function.

Given x it provides an approximation to the integral of the gaussian normal distribution: formula
here ...
For this implementation see M. Abramowitz and I. Stegun, Handbook of Mathematical Functions,
Dover Publications, New York (1972)

Public Member Functions

• CumulativeNormalDistribution (double average=0.0, double sigma=1.0)
• double operator() (double x) const
• double derivative (double x) const

The documentation for this class was generated from the following files:

• ql/Math/normaldistribution.hpp
• ql/Math/normaldistribution.cpp

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286 QuantLib Class Documentation

11.111 CuriouslyRecurringTemplate Class Template Reference

#include <curiouslyrecurring.hpp>
Inheritance diagram for CuriouslyRecurringTemplate:

CuriouslyRecurringTemplate

Solver1D< Impl >

11.111.1 Detailed Description

template<class Impl> class QuantLib::Patterns::CuriouslyRecurringTemplate< Impl >

Support for the curiously recurring template pattern.

See James O. Coplien. A Curiously Recurring Template Pattern. In Stanley B. Lippman, editor,
C++ Gems, 135-144. Cambridge University Press, New York, New York, 1996.

Protected Member Functions

• Impl & impl ()
• const Impl & impl () const

The documentation for this class was generated from the following file:

• ql/Patterns/curiouslyrecurring.hpp

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11.112 CurrencyFormatter Class Reference 287

11.112 CurrencyFormatter Class Reference

#include <dataformatters.hpp>

11.112.1 Detailed Description

Formats currencies for output.

Static Public Member Functions

• std::string toString (Currency c)

The documentation for this class was generated from the following files:

• ql/dataformatters.hpp
• ql/dataformatters.cpp

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288 QuantLib Class Documentation

11.113 Date Class Reference

#include <date.hpp>

11.113.1 Detailed Description

Concrete date class.

This class provides methods to inspect dates as well as methods and operators which implement
a limited date algebra (increasing and decreasing dates, and calculating their difference).

Public Member Functions

constructors

• Date ()
Default constructor returning a null date.

• Date (long serialNumber)

Constructor taking a serial number as given by Applix or Excel.

• Date (Day d, Month m, Year y)

More traditional constructor.

inspectors

• Weekday weekday () const

• Day dayOfMonth () const
• bool isEndOfMonth () const
• Day lastDayOfMonth () const
• Day dayOfYear () const
One-based (Jan 1st = 1).

• Month month () const

• Year year () const
• long serialNumber () const

date algebra

• Date & operator+= (int days)

increments date in place

• Date & operator-= (int days)

decrement date in place

• Date & operator++ ()

1-day pre-increment

• Date operator++ (int)

1-day post-increment

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11.113 Date Class Reference 289

• Date & operator– ()

1-day pre-decrement

• Date operator– (int)

1-day post-decrement

• Date operator+ (int days) const

returns a new incremented date

• Date operator- (int days) const

returns a new decremented date

other methods to increment/decrement dates

• Date plusDays (int days) const

• Date plusWeeks (int weeks) const
• Date plusMonths (int months) const
• Date plusYears (int years) const
• Date plus (int units, TimeUnit) const
• Date plus (const Period &) const

Static Public Member Functions

static methods

• bool isLeap (Year y)

• Date minDate ()
earliest allowed date

• Date maxDate ()
latest allowed date

• Date todaysDate ()
today’s date.

Related Functions

(Note that these are not member functions.)

• std::ostream & operator<< (std::ostream &, const Date &)

• long operator- (const Date &, const Date &)
Difference in days between dates.

• bool operator== (const Date &, const Date &)

• bool operator!= (const Date &, const Date &)
• bool operator< (const Date &, const Date &)
• bool operator<= (const Date &, const Date &)
• bool operator> (const Date &, const Date &)
• bool operator>= (const Date &, const Date &)

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290 QuantLib Class Documentation

The documentation for this class was generated from the following files:

• ql/date.hpp
• ql/dataformatters.hpp
• ql/date.cpp

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11.114 DateFormatter Class Reference 291

11.114 DateFormatter Class Reference

#include <dataformatters.hpp>

11.114.1 Detailed Description

Formats dates for output.

Formatting can be in short (mm/dd/yyyy) or long (Month ddth, yyyy) form.

Public Types
• enum Format { Long, Short, ISO }

Static Public Member Functions

• std::string toString (const Date &d, Format f=Long)

The documentation for this class was generated from the following files:

• ql/dataformatters.hpp
• ql/dataformatters.cpp

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292 QuantLib Class Documentation

11.115 DayCounter Class Reference

#include <daycounter.hpp>
Inheritance diagram for DayCounter:

Bridge< DayCounter, DayCounterImpl >

DayCounter

Actual360 Actual365 ActualActual SimpleDayCounter Thirty360

11.115.1 Detailed Description

day counter class

This class provides methods for determining the length of a time period according to given market
convention, both as a number of days and as a year fraction.
The Bridge pattern is used to provide the base behavior of the day counter.

Public Member Functions

• DayCounter ()

DayCounter interface

• std::string name () const

Returns the name of the day counter.

• int dayCount (const Date &, const Date &) const

Returns the number of days between two dates.

• Time yearFraction (const Date &, const Date &, const Date &refPeriodStart=Date(), const
Date &refPeriodEnd=Date()) const
Returns the period between two dates as a fraction of year.

Protected Member Functions

• DayCounter (const Handle< DayCounterImpl > &impl)

Related Functions

(Note that these are not member functions.)

• bool operator== (const DayCounter &, const DayCounter &)

• bool operator!= (const DayCounter &, const DayCounter &)

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11.115 DayCounter Class Reference 293

11.115.2 Constructor & Destructor Documentation

11.115.2.1 DayCounter ()

This default constructor returns a day counter with a null implementation, which is therefore
unusable except as a placeholder.

11.115.2.2 DayCounter (const Handle< DayCounterImpl > & impl) [protected]

This protected constructor will only be invoked by derived classes which define a given Day-
Counter(p. 292) implementation

11.115.3 Member Function Documentation

11.115.3.1 std::string name () const

Returns the name of the day counter.

Warning:
This method is used for output and comparison between day counters. It is not meant to be
used for writing switch-on-type code.

11.115.4 Friends And Related Function Documentation

11.115.4.1 bool operator== (const DayCounter &, const DayCounter &) [related]

Returns true iff the two day counters belong to the same derived class.
The documentation for this class was generated from the following file:

• ql/daycounter.hpp

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294 QuantLib Class Documentation

11.116 DayCounterImpl Class Reference

#include <daycounter.hpp>

11.116.1 Detailed Description

abstract base class for day counter implementations

Public Member Functions

• virtual std::string name () const =0
• virtual int dayCount (const Date &, const Date &) const =0
• virtual Time yearFraction (const Date &, const Date &, const Date &refPeriodStart, const
Date &refPeriodEnd) const =0

The documentation for this class was generated from the following file:

• ql/daycounter.hpp

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11.117 DepositRateHelper Class Reference 295

11.117 DepositRateHelper Class Reference

#include <ratehelpers.hpp>
Inheritance diagram for DepositRateHelper:

Observer Observable

RateHelper

DepositRateHelper

11.117.1 Detailed Description

Deposit rate.

Warning:
This class assumes that the reference date does not change between calls of setTerm-
Structure()(p. 295).

Public Member Functions

• DepositRateHelper (const RelinkableHandle< MarketElement > &rate, int n, TimeUnit
units, int settlementDays, const Calendar &calendar, RollingConvention convention, const
DayCounter &dayCounter)
• DepositRateHelper (double rate, int n, TimeUnit units, int settlementDays, const Calendar
&calendar, RollingConvention convention, const DayCounter &dayCounter)
• double impliedQuote () const
• DiscountFactor discountGuess () const
• void setTermStructure (TermStructure ∗)
sets the term structure to be used for pricing

• Date maturity () const

maturity date

11.117.2 Member Function Documentation

11.117.2.1 void setTermStructure (TermStructure ∗) [virtual]

sets the term structure to be used for pricing

Warning:
Being a pointer and not a Handle(p. 390), the term structure is not guaranteed to remain
allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure
that the pointer remains valid. It is advised that rate helpers be used only in term structure
constructors, setting the term structure to this, i.e., the one being constructed.

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296 QuantLib Class Documentation

Reimplemented from RateHelper (p. 578).

The documentation for this class was generated from the following files:

• ql/TermStructures/ratehelpers.hpp
• ql/TermStructures/ratehelpers.cpp

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11.118 DerivedMarketElement Class Template Reference 297

11.118 DerivedMarketElement Class Template Reference

#include <marketelement.hpp>
Inheritance diagram for DerivedMarketElement:

Observable

MarketElement Observer

DerivedMarketElement

11.118.1 Detailed Description

template<class UnaryFunction> class QuantLib::DerivedMarketElement< UnaryFunction >

market element whose value depends on another market element

Public Member Functions

• DerivedMarketElement (const RelinkableHandle< MarketElement > &element, const
UnaryFunction &f)

Market element interface

• double value () const

returns the current value

Observer interface

• void update ()

11.118.2 Member Function Documentation

11.118.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).
The documentation for this class was generated from the following file:

• ql/marketelement.hpp

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298 QuantLib Class Documentation

11.119 DiffusionProcess Class Reference

#include <diffusionprocess.hpp>
Inheritance diagram for DiffusionProcess:

DiffusionProcess

BlackScholesProcess OrnsteinUhlenbeckProcess SquareRootProcess

11.119.1 Detailed Description

Diffusion process class.

This class describes a stochastic process governed by

dxt = µ(t, xt )dt + σ(t, xt )dWt .

Public Member Functions

• DiffusionProcess (double x0)
• double x0 () const
• virtual double drift (Time t, double x) const =0
returns the drift part of the equation, i.e. µ(t, xt )

• virtual double diffusion (Time t, double x) const =0

returns the diffusion part of the equation, i.e. σ(t, xt )

• virtual double expectation (Time t0, double x0, Time dt) const
returns the expectation of the process after a time interval

• virtual double variance (Time t0, double x0, Time dt) const
returns the variance of the process after a time interval

11.119.2 Member Function Documentation

11.119.2.1 virtual double expectation (Time t0, double x0, Time dt) const [virtual]

returns the expectation of the process after a time interval

returns E(xt0 +∆t |xt0 = x0 ). By default, it returns the Euler approximation defined by x0 + µ(t0 , x0 )∆t.
Reimplemented in OrnsteinUhlenbeckProcess (p. 534).

11.119.2.2 virtual double variance (Time t0, double x0, Time dt) const [virtual]

returns the variance of the process after a time interval

returns Var(xt0 +∆t |xt0 = x0 ). By default, it returns the Euler approximation defined by σ(t0 , x0 )2 ∆t.

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11.119 DiffusionProcess Class Reference 299

Reimplemented in OrnsteinUhlenbeckProcess (p. 534).

The documentation for this class was generated from the following file:

• ql/diffusionprocess.hpp

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300 QuantLib Class Documentation

11.120 DirichletBC Class Reference

#include <boundarycondition.hpp>
Inheritance diagram for DirichletBC:

BoundaryCondition< TridiagonalOperator >

DirichletBC

11.120.1 Detailed Description

Neumann boundary condition (i.e., constant value).

Todo
generalize to time-dependent conditions.

Public Member Functions

• DirichletBC (double value, Side side)
• void applyBeforeApplying (TridiagonalOperator &) const
• void applyAfterApplying (Array &) const
• void applyBeforeSolving (TridiagonalOperator &, Array &rhs) const
• void applyAfterSolving (Array &) const
• void setTime (Time t)

11.120.2 Member Function Documentation

11.120.2.1 void setTime (Time t) [virtual]

This method sets the current time for time-dependent boundary conditions.
Implements BoundaryCondition< TridiagonalOperator > (p. 225).
The documentation for this class was generated from the following files:

• ql/FiniteDifferences/boundarycondition.hpp
• ql/FiniteDifferences/boundarycondition.cpp

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11.121 DiscountCurve Class Reference 301

11.121 DiscountCurve Class Reference

#include <discountcurve.hpp>
Inheritance diagram for DiscountCurve:

Observable

TermStructure

DiscountStructure

DiscountCurve

ExtendedDiscountCurve

11.121.1 Detailed Description

Term structure based on loglinear interpolation of discount factors.

Loglinear interpolation guarantees piecewise constant forward rates.
Rates are assumed to be annual continuos compounding.

Public Member Functions

• DiscountCurve (const Date &todaysDate, const std::vector< Date > &dates,
const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter=Day-
Counters::Actual365())
• Date todaysDate () const
today’s date

• Date referenceDate () const

the reference date, i.e., the date at which discount = 1

• DayCounter dayCounter () const

the day counter used for date/time conversion

• Date maxDate () const

the latest date for which the curve can return rates

• Time maxTime () const

the latest time for which the curve can return rates

• const std::vector< Time > & times () const

• const std::vector< Date > & dates () const
• const std::vector< DiscountFactor > & discounts () const

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302 QuantLib Class Documentation

Protected Types
• typedef Math::LogLinearInterpolation< std::vector< Time >::const_iterator, std::vector<
DiscountFactor >::const_iterator > DfInterpolation

Protected Member Functions

• DiscountFactor discountImpl (Time, bool extrapolate=false) const
discount calculation

• int referenceNode (Time, bool extrapolate=false) const

Protected Attributes
• Date todaysDate_
• Date referenceDate_
• DayCounter dayCounter_
• std::vector< Date > dates_
• std::vector< DiscountFactor > discounts_
• std::vector< Time > times_
• Handle< DfInterpolation > interpolation_

The documentation for this class was generated from the following files:

• ql/TermStructures/discountcurve.hpp
• ql/TermStructures/discountcurve.cpp

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11.122 DiscountStructure Class Reference 303

11.122 DiscountStructure Class Reference

#include <termstructure.hpp>
Inheritance diagram for DiscountStructure:

Observable

TermStructure

DiscountStructure

AffineTermStructure DiscountCurve ImpliedTermStructure

ExtendedDiscountCurve

11.122.1 Detailed Description

Discount factor term structure.

This abstract class acts as an adapter to TermStructure(p. 634) allowing the programmer to im-
plement only the discountImpl(const Date&, bool) method in derived classes.
Rates are assumed to be annual continuos compounding.

Protected Member Functions

• Rate zeroYieldImpl (Time, bool extrapolate=false) const

• Rate forwardImpl (Time, bool extrapolate=false) const
• Rate compoundForwardImpl (Time, int, bool extrapolate=false) const

11.122.2 Member Function Documentation

11.122.2.1 Rate zeroYieldImpl (Time, bool extrapolate = false) const [protected, virtual]

Returns the zero yield rate for the given date calculating it from the discount.
Implements TermStructure (p. 635).

11.122.2.2 Rate forwardImpl (Time, bool extrapolate = false) const [protected, virtual]

Returns the instantaneous forward rate for the given date calculating it from the discount.
Implements TermStructure (p. 635).

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304 QuantLib Class Documentation

11.122.2.3 Rate compoundForwardImpl (Time, int, bool extrapolate = false) const

[protected, virtual]

Returns the forward rate at a specified compound frequency for the given date calculating it from
the zero yield.
Implements TermStructure (p. 636).
Reimplemented in ExtendedDiscountCurve (p. 341).
The documentation for this class was generated from the following file:

• ql/termstructure.hpp

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11.123 DiscrepancyStatistics Class Reference 305

11.123 DiscrepancyStatistics Class Reference

#include <discrepancystatistics.hpp>
Inheritance diagram for DiscrepancyStatistics:

SequenceStatistics< Statistics >

DiscrepancyStatistics

11.123.1 Detailed Description

Statistic tool for sequences with discrepancy calculation.

It inherit from SequenceStatistics<Statistics>(p. 591) and adds L2 discrepancy calculation

Public Member Functions

• DiscrepancyStatistics (Size dimension)
• template<class Sequence> void add (const Sequence &sample, double weight=1.0)
• template<class Iterator> void add (Iterator begin, Iterator end, double weight=1.0)
• void reset (Size dimension=0)

1-dimensional inspectors

• double discrepancy () const

The documentation for this class was generated from the following files:

• ql/Math/discrepancystatistics.hpp
• ql/Math/discrepancystatistics.cpp

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306 QuantLib Class Documentation

11.124 DiscreteGeometricAPO Class Reference

#include <discretegeometricapo.hpp>
Inheritance diagram for DiscreteGeometricAPO:

SingleAssetOption

DiscreteGeometricAPO

11.124.1 Detailed Description

Discrete Geometric Average Price Asian Option(p. 533) (European style).

This class implements a discrete geometric average price asian option, with european exercise.
The formula is from "Asian Option", E. Levy (1997) in "Exotic Options: The State of the Art",
edited by L. Clewlow, C. Strickland, pag65-97

Todo
add analytical greeks

Public Member Functions

• DiscreteGeometricAPO (Option::Type type, double underlying, double strike, Spread
dividendYield, Rate riskFreeRate, const std::vector< Time > &times, double volatility)
• double value () const
• double delta () const
• double gamma () const
• double theta () const
• Handle< SingleAssetOption > clone () const

The documentation for this class was generated from the following files:

• ql/Pricers/discretegeometricapo.hpp
• ql/Pricers/discretegeometricapo.cpp

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11.125 DiscreteGeometricASO Class Reference 307

11.125 DiscreteGeometricASO Class Reference

#include <discretegeometricaso.hpp>
Inheritance diagram for DiscreteGeometricASO:

SingleAssetOption

DiscreteGeometricASO

11.125.1 Detailed Description

Discrete Geometric Average Strike Asian Option(p. 533) (European style).

This class implements a discrete geometric average strike asian option, with european exercise.
The formula is from "Asian Option", E. Levy (1997) in "Exotic Options: The State of the Art",
edited by L. Clewlow, C. Strickland, pag65-97

Todo
add analytical greeks

Public Member Functions

• DiscreteGeometricASO (Option::Type type, double underlying, Spread dividendYield,
Rate riskFreeRate, const std::vector< Time > &times, double volatility)
• double value () const
• double delta () const
• double gamma () const
• double theta () const
• Handle< SingleAssetOption > clone () const

The documentation for this class was generated from the following files:

• ql/Pricers/discretegeometricaso.hpp
• ql/Pricers/discretegeometricaso.cpp

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308 QuantLib Class Documentation

11.126 DiscretizedAsset Class Reference

#include <discretizedasset.hpp>
Inheritance diagram for DiscretizedAsset:

DiscretizedAsset

DiscretizedDiscountBond DiscretizedOption

11.126.1 Detailed Description

Discretized asset class used by numerical methods.

Public Member Functions

• DiscretizedAsset (const Handle< NumericalMethod > &method)

• virtual void reset (Size size)=0
• Time time () const
• Time & time ()
• const Array & values () const
• Array & values ()
• const Handle< NumericalMethod > & method () const
• virtual void preAdjustValues ()
• virtual void postAdjustValues ()
• void adjustValues ()
• virtual void addTimesTo (std::list< Time > &times) const

Protected Member Functions

• bool isOnTime (Time t) const

Protected Attributes

• Time time_
• Array values_

11.126.2 Member Function Documentation

11.126.2.1 virtual void preAdjustValues () [virtual]

This method will be invoked after rollback and before any other asset (i.e., an option on this one)
has any chance to look at the values. For instance, payments happening at times already spanned
by the rollback will be added here.

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11.126 DiscretizedAsset Class Reference 309

11.126.2.2 virtual void postAdjustValues () [virtual]

This method will be invoked after rollback and after any other asset had their chance to look at
the values. For instance, payments happening at the present time (and therefore not included in
an option to be exercised at this time) will be added here.
Reimplemented in DiscretizedOption (p. 311).
The documentation for this class was generated from the following file:

• ql/discretizedasset.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

310 QuantLib Class Documentation

11.127 DiscretizedDiscountBond Class Reference

#include <discretizedasset.hpp>
Inheritance diagram for DiscretizedDiscountBond:

DiscretizedAsset

DiscretizedDiscountBond

11.127.1 Detailed Description

Useful discretized discount bond asset.

Public Member Functions

• DiscretizedDiscountBond (const Handle< NumericalMethod > &method)
• void reset (Size size)

The documentation for this class was generated from the following file:

• ql/discretizedasset.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.128 DiscretizedOption Class Reference 311

11.128 DiscretizedOption Class Reference

#include <discretizedasset.hpp>
Inheritance diagram for DiscretizedOption:

DiscretizedAsset

DiscretizedOption

11.128.1 Detailed Description

Discretized option on another asset.

Precondition:
The underlying asset must be initialized

Public Member Functions

• DiscretizedOption (const Handle< DiscretizedAsset > &underlying, Exercise::Type
exerciseType, const std::vector< Time > &exerciseTimes)
• void reset (Size size)
• void postAdjustValues ()
• void addTimesTo (std::list< Time > &times) const

Protected Member Functions

• void applyExerciseCondition ()

Protected Attributes
• Handle< DiscretizedAsset > underlying_
• Exercise::Type exerciseType_
• std::vector< Time > exerciseTimes_

11.128.2 Member Function Documentation

11.128.2.1 void postAdjustValues () [virtual]

This method will be invoked after rollback and after any other asset had their chance to look at
the values. For instance, payments happening at the present time (and therefore not included in
an option to be exercised at this time) will be added here.
Reimplemented from DiscretizedAsset (p. 309).
The documentation for this class was generated from the following files:

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

312 QuantLib Class Documentation

• ql/discretizedasset.hpp
• ql/discretizedasset.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.129 Disposable Class Template Reference 313

11.129 Disposable Class Template Reference

#include <disposable.hpp>

11.129.1 Detailed Description

template<class T> class QuantLib::Disposable< T >

generic disposable object with move semantics

This class can be used for returning a value by copy. It relies on the returned object exposing a
swap(T&) method through which the copy constructor and assignment operator are implemented,
thus resulting in actual move semantics. Typical use of this class is along the following lines:

Disposable<Foo> bar(int i) {
Foo f(i*2);
return f;
}

Warning:
In order to avoid copies in code such as shown above, the conversion from T to Dispos-
able(p. 313)<T> is destructive, i.e., it does not preserve the state of the original object. There-
fore, it is necessary for the developer to avoid code such as
Disposable<Foo> bar(Foo& f) {
return f;
}

which would likely render the passed object unusable. The correct way to obtain the desired
behavior would be:
Disposable<Foo> bar(Foo& f) {
Foo temp = f;
return temp;
}

Public Member Functions

• Disposable (T &t)
• Disposable (const Disposable< T > &t)
• Disposable< T > & operator= (const Disposable< T > &t)

The documentation for this class was generated from the following file:

• ql/disposable.hpp

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314 QuantLib Class Documentation

11.130 DMinus Class Reference

#include <dminus.hpp>
Inheritance diagram for DMinus:

TridiagonalOperator

DMinus

11.130.1 Detailed Description

D− matricial representation
The differential operator D− discretizes the first derivative with the first-order formula

∂ui ui − ui−1
≈ = D− ui
∂x h

Public Member Functions

• DMinus (Size gridPoints, double h)

The documentation for this class was generated from the following file:

• ql/FiniteDifferences/dminus.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.131 DoubleFormatter Class Reference 315

11.131 DoubleFormatter Class Reference

#include <dataformatters.hpp>

11.131.1 Detailed Description

Formats doubles for output.

Examples:
DiscreteHedging.cpp.

Static Public Member Functions

• std::string toString (double x, int precision=6, int digits=0)
• std::string toExponential (double x, int precision=6, int digits=0)

The documentation for this class was generated from the following files:

• ql/dataformatters.hpp
• ql/dataformatters.cpp

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316 QuantLib Class Documentation

11.132 DPlus Class Reference

#include <dplus.hpp>
Inheritance diagram for DPlus:

TridiagonalOperator

DPlus

11.132.1 Detailed Description

D+ matricial representation
The differential operator D+ discretizes the first derivative with the first-order formula

∂ui ui+1 − ui
≈ = D+ ui
∂x h

Public Member Functions

• DPlus (Size gridPoints, double h)

The documentation for this class was generated from the following file:

• ql/FiniteDifferences/dplus.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.133 DPlusDMinus Class Reference 317

11.133 DPlusDMinus Class Reference

#include <dplusdminus.hpp>
Inheritance diagram for DPlusDMinus:

TridiagonalOperator

DPlusDMinus

11.133.1 Detailed Description

D+ D− matricial representation
The differential operator D+ D− discretizes the second derivative with the second-order formula

∂2 ui ui+1 − 2ui + ui−1

≈ = D+ D− ui
∂x 2 h2

Public Member Functions

• DPlusDMinus (Size gridPoints, double h)

The documentation for this class was generated from the following file:

• ql/FiniteDifferences/dplusdminus.hpp

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318 QuantLib Class Documentation

11.134 DriftTermStructure Class Reference

#include <drifttermstructure.hpp>
Inheritance diagram for DriftTermStructure:

Observable

TermStructure

ZeroYieldStructure Observer

DriftTermStructure

11.134.1 Detailed Description

Drift term structure.

Drift term structure for modelling the common drift term: riskFreeRate - dividendYield -
0.5∗vol∗vol

Note:
This term structure will remain linked to the original structures, i.e., any changes in the latters
will be reflected in this structure as well.

Public Member Functions

• DriftTermStructure (const RelinkableHandle< TermStructure > &riskFreeTS, const
RelinkableHandle< TermStructure > &dividendTS, const RelinkableHandle< BlackVol-
TermStructure > &blackVolTS)

TermStructure interface

• DayCounter dayCounter () const

the day counter used for date/time conversion

• Date todaysDate () const

today’s date

• Date referenceDate () const

the reference date, i.e., the date at which discount = 1

• Date maxDate () const

the latest date for which the curve can return rates

Observer interface

• void update ()

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11.134 DriftTermStructure Class Reference 319

Protected Member Functions

• Rate zeroYieldImpl (Time, bool extrapolate=false) const
returns the discount factor as seen from the evaluation date

11.134.2 Member Function Documentation

11.134.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).
The documentation for this class was generated from the following file:

• ql/TermStructures/drifttermstructure.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

320 QuantLib Class Documentation

11.135 DZero Class Reference

#include <dzero.hpp>
Inheritance diagram for DZero:

TridiagonalOperator

DZero

11.135.1 Detailed Description

D0 matricial representation
The differential operator D0 discretizes the first derivative with the second-order formula

∂ui ui+1 − ui−1

≈ = D0 ui
∂x 2h

Public Member Functions

• DZero (Size gridPoints, double h)

The documentation for this class was generated from the following file:

• ql/FiniteDifferences/dzero.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.136 EndCriteria Class Reference 321

11.136 EndCriteria Class Reference

#include <criteria.hpp>

11.136.1 Detailed Description

class to gather criteria to end optimization process :

• stationary point
• stationary gradient
• maximum number of iterations ....

Public Types
• enum Type { maxIter, statPt, statGd }

Public Member Functions

• EndCriteria ()
default constructor

• EndCriteria (int maxIteration, double epsilon)

initialization constructor

• void setPositiveOptimization ()
• bool checkIterationNumber (int iteration)
• bool checkStationaryValue (double fold, double fnew)
• bool checkAccuracyValue (double f)
• bool checkStationaryGradientNorm (double normDiff)
• bool checkAccuracyGradientNorm (double norm)
• bool operator() (int iteration, double fold, double normgold, double fnew, double nor-
mgnew, double normdiff)
test if the number of iteration is not too big and if we don’t

• int criteria () const

return the end criteria type

Protected Attributes
• int maxIteration_
Maximum number of iterations.

• double functionEpsilon_
function and gradient epsilons

• double gradientEpsilon_

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322 QuantLib Class Documentation

function and gradient epsilons

• int maxIterStatPt_
Maximun number of iterations in stationary state.

• int statState_
Maximun number of iterations in stationary state.

• int endCriteria_
• bool positiveOptimization_

The documentation for this class was generated from the following file:

• ql/Optimization/criteria.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.137 EqualJumpsBinomialTree Class Reference 323

11.137 EqualJumpsBinomialTree Class Reference

#include <binomialtree.hpp>
Inheritance diagram for EqualJumpsBinomialTree:

Tree

BinomialTree

EqualJumpsBinomialTree

CoxRossRubinstein Trigeorgis

11.137.1 Detailed Description

base class for equal jumps binomial tree

Public Member Functions

• EqualJumpsBinomialTree (const Handle< DiffusionProcess > &process, Time end, Size
steps)
• double underlying (Size i, Size index) const
• double probability (Size, Size, Size branch) const

Protected Attributes
• double dx_
• double pu_
• double pd_

The documentation for this class was generated from the following files:

• ql/Lattices/binomialtree.hpp
• ql/Lattices/binomialtree.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

324 QuantLib Class Documentation

11.138 EqualProbabilitiesBinomialTree Class Reference

#include <binomialtree.hpp>
Inheritance diagram for EqualProbabilitiesBinomialTree:

Tree

BinomialTree

EqualProbabilitiesBinomialTree

AdditiveEQPBinomialTree JarrowRudd

11.138.1 Detailed Description

base class for equal probabilities binomial tree

Public Member Functions

• EqualProbabilitiesBinomialTree (const Handle< DiffusionProcess > &process, Time end,
Size steps)
• double underlying (Size i, Size index) const
• double probability (Size, Size, Size) const

Protected Attributes
• double up_

The documentation for this class was generated from the following files:

• ql/Lattices/binomialtree.hpp
• ql/Lattices/binomialtree.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.139 Error Class Reference 325

11.139 Error Class Reference

#include <errors.hpp>
Inheritance diagram for Error:

AssertionFailedError

IllegalArgumentError

IllegalResultError

Error IndexError

OutOfMemoryError

PostconditionNotSatisfiedError

PreconditionNotSatisfiedError

11.139.1 Detailed Description

Base error class.

Public Member Functions

• Error (const std::string &what="")
• const char ∗ what () const throw ()
returns the error message.

Static Public Member Functions

• std::string where (const char ∗file, int line)

The documentation for this class was generated from the following file:

• ql/errors.hpp

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326 QuantLib Class Documentation

11.140 ErrorFunction Class Reference

#include <errorfunction.hpp>

11.140.1 Detailed Description

Error(p. 325) function.

formula here ... Used to calculate the cumulative normal distribution function

Public Member Functions

• double operator() (double x) const

The documentation for this class was generated from the following files:

• ql/Math/errorfunction.hpp
• ql/Math/errorfunction.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.141 Euribor Class Reference 327

11.141 Euribor Class Reference

#include <euribor.hpp>
Inheritance diagram for Euribor:

Observable

Index Observer

Xibor

Euribor

11.141.1 Detailed Description

Euribor index

Public Member Functions

• Euribor (int n, TimeUnit units, const RelinkableHandle< TermStructure > &h, const Day-
Counter &dc=DayCounters::Actual360())

The documentation for this class was generated from the following file:

• ql/Indexes/euribor.hpp

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328 QuantLib Class Documentation

11.142 EuroFormatter Class Reference

#include <dataformatters.hpp>

11.142.1 Detailed Description

Formats amounts in Euro for output.

Formatting follows Euro convention (x,xxx,xxx.xx)

Static Public Member Functions

• std::string toString (double amount)

The documentation for this class was generated from the following files:

• ql/dataformatters.hpp
• ql/dataformatters.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.143 EuropeanExercise Class Reference 329

11.143 EuropeanExercise Class Reference

#include <exercise.hpp>
Inheritance diagram for EuropeanExercise:

Exercise

EuropeanExercise

11.143.1 Detailed Description

European exercise class.

A European option can only be exercised at one date.

Public Member Functions

• EuropeanExercise (Date date)

The documentation for this class was generated from the following files:

• ql/exercise.hpp
• ql/exercise.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

330 QuantLib Class Documentation

11.144 EuropeanOption Class Reference

#include <europeanoption.hpp>
Inheritance diagram for EuropeanOption:

SingleAssetOption

EuropeanOption

ContinuousGeometricAPO FdDividendEuropeanOption

11.144.1 Detailed Description

Black-Scholes-Merton European option.

Deprecated
use VanillaOption with EuropeanAnalyticEngine

Examples:
DiscreteHedging.cpp.

Public Member Functions

• EuropeanOption (Option::Type type, double underlying, double strike, Spread dividend-
Yield, Rate riskFreeRate, Time residualTime, double volatility)
• double value () const
• double delta () const
• double gamma () const
• double theta () const
• double vega () const
• double rho () const
• double dividendRho () const
• Handle< SingleAssetOption > clone () const
• void setVolatility (double newVolatility)
• void setRiskFreeRate (Rate newRate)
• void setDividendYield (Rate newDividendYield)
• double beta () const

The documentation for this class was generated from the following files:

• ql/Pricers/europeanoption.hpp
• ql/Pricers/europeanoption.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.145 EuropeanPathPricer Class Reference 331

11.145 EuropeanPathPricer Class Reference

#include <europeanpathpricer.hpp>
Inheritance diagram for EuropeanPathPricer:

PathPricer< Path >

EuropeanPathPricer

11.145.1 Detailed Description

path pricer for European options

Public Member Functions

• EuropeanPathPricer (Option::Type type, double underlying, double strike, const
RelinkableHandle< TermStructure > &riskFreeTS)
• double operator() (const Path &path) const

The documentation for this class was generated from the following files:

• ql/MonteCarlo/europeanpathpricer.hpp
• ql/MonteCarlo/europeanpathpricer.cpp

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332 QuantLib Class Documentation

11.146 EuropeanPathPricer_old Class Reference

#include <europeanpathpricer.hpp>
Inheritance diagram for EuropeanPathPricer_old:

PathPricer_old< Path >

EuropeanPathPricer_old

11.146.1 Detailed Description

path pricer for European options

Public Member Functions

• EuropeanPathPricer_old (Option::Type type, double underlying, double strike, Discount-
Factor discount, bool useAntitheticVariance)
• double operator() (const Path &path) const

The documentation for this class was generated from the following files:

• ql/MonteCarlo/europeanpathpricer.hpp
• ql/MonteCarlo/europeanpathpricer.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.147 EverestPathPricer_old Class Reference 333

11.147 EverestPathPricer_old Class Reference

#include <everestpathpricer.hpp>
Inheritance diagram for EverestPathPricer_old:

PathPricer_old< MultiPath >

EverestPathPricer_old

11.147.1 Detailed Description

path pricer for European-type Everest option

The payoff of an Everest option is given by the final-price initial-price ratio of the worst performer.

Public Member Functions

• EverestPathPricer_old (DiscountFactor discount, bool useAntitheticVariance)
• double operator() (const MultiPath &multiPath) const

The documentation for this class was generated from the following files:

• ql/MonteCarlo/everestpathpricer.hpp
• ql/MonteCarlo/everestpathpricer.cpp

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334 QuantLib Class Documentation

11.148 Exercise Class Reference

#include <exercise.hpp>
Inheritance diagram for Exercise:

Exercise

AmericanExercise BermudanExercise EuropeanExercise

11.148.1 Detailed Description

Exercise(p. 334) class (American, Bermudan or European).

Warning:
the input dates must be effective (adjusted) exercise dates.

Public Types
• enum Type { American, Bermudan, European }

Public Member Functions

• bool isNull () const
• Type type () const
• Date date (Size index) const
• const std::vector< Date > & dates () const
• Date lastDate () const

Protected Attributes
• std::vector< Date > dates_
• Type type_

The documentation for this class was generated from the following file:

• ql/exercise.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.149 ExplicitEuler Class Template Reference 335

11.149 ExplicitEuler Class Template Reference

#include <expliciteuler.hpp>
Inheritance diagram for ExplicitEuler:

MixedScheme<Operator>

ExplicitEuler

11.149.1 Detailed Description

template<class Operator> class QuantLib::FiniteDifferences::ExplicitEuler< Operator >

Forward Euler scheme for finite difference methods.

See sect. The finite differences framework(p. 31) for details on the method.
In this implementation, the passed operator must be derived from either TimeConstantOperator
or TimeDependentOperator. Also, it must implement at least the following interface:

typedef ... arrayType;

// copy constructor/assignment
// (these will be provided by the compiler if none is defined)
Operator(const Operator&);
Operator& operator=(const Operator&);

// inspectors
Size size();

// modifiers
void setTime(Time t);

// operator interface
arrayType applyTo(const arrayType&);
static Operator identity(Size size);

// operator algebra
Operator operator*(double, const Operator&);
Operator operator-(const Operator&, const Operator&);

Todo
add Richardson extrapolation

Friends
• class FiniteDifferenceModel< ExplicitEuler< Operator > >

The documentation for this class was generated from the following file:

• ql/FiniteDifferences/expliciteuler.hpp

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336 QuantLib Class Documentation

11.150 ExtendedCoxIngersollRoss Class Reference

#include <extendedcoxingersollross.hpp>
Inheritance diagram for ExtendedCoxIngersollRoss:

Observer Observable

Model

OneFactorModel AffineModel

OneFactorAffineModel

CoxIngersollRoss TermStructureConsistentModel

ExtendedCoxIngersollRoss

11.150.1 Detailed Description

Extended Cox-Ingersoll-Ross model class.

This class implements the extended Cox-Ingersoll-Ross model defined by
√
drt = (θ(t) − αrt )dt + rt σdWt .

Unstable
This class was not tested enough to guarantee its functionality.

Public Member Functions

• ExtendedCoxIngersollRoss (const RelinkableHandle< TermStructure > &termStructure,
double theta=0.1, double k=0.1, double sigma=0.1, double x0=0.05)
• Handle< Lattices::Lattice > tree (const TimeGrid &grid) const
Return by default a trinomial recombining tree.

• Handle< ShortRateDynamics > dynamics () const

returns the short-rate dynamics

• double discountBondOption (Option::Type type, double strike, Time maturity, Time bond-
Maturity) const

Protected Member Functions

• void generateArguments ()
• double A (Time t, Time T) const

The documentation for this class was generated from the following files:

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11.150 ExtendedCoxIngersollRoss Class Reference 337

• ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
• ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp

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338 QuantLib Class Documentation

11.151 ExtendedCoxIngersollRoss::Dynamics Class Reference

#include <extendedcoxingersollross.hpp>
Inheritance diagram for ExtendedCoxIngersollRoss::Dynamics:

Dynamics

ExtendedCoxIngersollRoss::Dynamics

11.151.1 Detailed Description

Short-rate dynamics in the extended Cox-Ingersoll-Ross model.

The short-rate is here
rt = ϕ(t) + y2t
where ϕ(t) is the deterministic time-dependent parameter used for term-structure fitting and yt
is the state variable, the square-root of a standard CIR process.

Public Member Functions

• Dynamics (const Parameter &phi, double theta, double k, double sigma, double x0)
• virtual double variable (Time t, Rate r) const
• virtual double shortRate (Time t, double y) const

The documentation for this class was generated from the following file:

• ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.152 ExtendedCoxIngersollRoss::FittingParameter Class Reference 339

11.152 ExtendedCoxIngersollRoss::FittingParameter Class Ref-

erence
#include <extendedcoxingersollross.hpp>
Inheritance diagram for ExtendedCoxIngersollRoss::FittingParameter:

Bridge< Parameter, ParameterImpl >

Parameter

TermStructureFittingParameter

ExtendedCoxIngersollRoss::FittingParameter

11.152.1 Detailed Description

Analytical term-structure fitting parameter ϕ(t).

ϕ(t) is analytically defined by

2kθ(eth − 1) 4x0 h2 eth

ϕ(t) = f (t) − − ,
2h + (k + h)(eth − 1) (2h + (k + h)(eth − 1))1
√
where f (t) is the instantaneous forward rate at t and h = k2 + 2σ2 .

Public Member Functions

• FittingParameter (const RelinkableHandle< TermStructure > &termStructure, double
theta, double k, double sigma, double x0)

The documentation for this class was generated from the following file:

• ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp

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340 QuantLib Class Documentation

11.153 ExtendedDiscountCurve Class Reference

#include <extendeddiscountcurve.hpp>
Inheritance diagram for ExtendedDiscountCurve:

Observable

TermStructure

DiscountStructure

DiscountCurve Observer

ExtendedDiscountCurve

11.153.1 Detailed Description

Term structure based on loglinear interpolation of discount factors.

Loglinear interpolation guarantees piecewise constant forward rates.
Rates are assumed to be annual continuos compounding.

Public Member Functions

• ExtendedDiscountCurve (const Date &todaysDate, const std::vector< Date > &dates, const
std::vector< DiscountFactor > &dfs, const Calendar &calendar, const RollingConvention
roll, const DayCounter &dayCounter=DayCounters::Actual365())
• Calendar calendar () const
• RollingConvention roll () const

Observer interface

• void update ()

Protected Member Functions

• void calibrateNodes () const

• Handle< TermStructure > reversebootstrap (int) const
• Rate compoundForwardImpl (Time, int, bool extrapolate=false) const
• Handle< TermStructure > forwardCurve (int) const

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11.153 ExtendedDiscountCurve Class Reference 341

11.153.2 Member Function Documentation

11.153.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).

11.153.2.2 Rate compoundForwardImpl (Time, int, bool extrapolate = false) const

[protected, virtual]

Returns the forward rate at a specified compound frequency for the given date calculating it from
the zero yield.
Reimplemented from DiscountStructure (p. 304).
The documentation for this class was generated from the following files:

• ql/TermStructures/extendeddiscountcurve.hpp
• ql/TermStructures/extendeddiscountcurve.cpp

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342 QuantLib Class Documentation

11.154 FalsePosition Class Reference

#include <falseposition.hpp>
Inheritance diagram for FalsePosition:

CuriouslyRecurringTemplate< FalsePosition >

Solver1D< FalsePosition >

FalsePosition

11.154.1 Detailed Description

False position 1-D solver.

Public Member Functions

• template<class F> double solveImpl (const F &f, double xAccuracy) const

The documentation for this class was generated from the following file:

• ql/Solvers1D/falseposition.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.155 FdAmericanOption Class Reference 343

11.155 FdAmericanOption Class Reference

#include <fdamericanoption.hpp>
Inheritance diagram for FdAmericanOption:

SingleAssetOption

FdBsmOption

FdStepConditionOption

FdAmericanOption

11.155.1 Detailed Description

American option

Todo
make american call with no dividends = european

Public Member Functions

• FdAmericanOption (Option::Type type, double underlying, double strike, Spread
dividendYield, Rate riskFreeRate, Time residualTime, double volatility, int timeSteps, int
gridPoints)
• void initializeStepCondition () const
• Handle< SingleAssetOption > clone () const

The documentation for this class was generated from the following file:

• ql/Pricers/fdamericanoption.hpp

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344 QuantLib Class Documentation

11.156 FdBermudanOption Class Reference

#include <fdbermudanoption.hpp>

11.156.1 Detailed Description

Bermudan option.

Public Member Functions

• FdBermudanOption (Option::Type type, double underlying, double strike, Spread
dividendYield, Rate riskFreeRate, Time residualTime, double volatility, const std::vector<
Time > &dates=std::vector< Time >(), int timeSteps=100, int gridPoints=100)
• Handle< SingleAssetOption > clone () const

Protected Member Functions

• void initializeStepCondition () const
• void executeIntermediateStep (int) const

Protected Attributes
• double extraTermInBermudan

The documentation for this class was generated from the following files:

• ql/Pricers/fdbermudanoption.hpp
• ql/Pricers/fdbermudanoption.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.157 FdBsmOption Class Reference 345

11.157 FdBsmOption Class Reference

#include <fdbsmoption.hpp>
Inheritance diagram for FdBsmOption:

SingleAssetOption

FdBsmOption

FdEuropean FdStepConditionOption

FdAmericanOption

11.157.1 Detailed Description

Black-Scholes-Merton option priced numerically.

Public Member Functions

• FdBsmOption (Option::Type type, double underlying, double strike, Spread dividendYield,
Rate riskFreeRate, Time residualTime, double volatility, Size gridPoints)
• virtual void calculate () const =0
• double value () const
• double delta () const
• double gamma () const
• const Array & getGrid () const

Protected Types
• typedef FiniteDifferences::BoundaryCondition< FiniteDifferences::TridiagonalOperator
> BoundaryCondition

Protected Member Functions

• virtual void setGridLimits (double center, double timeDelay) const
• virtual void initializeGrid () const
• virtual void initializeInitialCondition () const
• virtual void initializeOperator () const

Protected Attributes
• Size gridPoints_
• double value_
• double delta_

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346 QuantLib Class Documentation

• double gamma_
• Array grid_
• FiniteDifferences::BSMOperator finiteDifferenceOperator_
• Array intrinsicValues_
• std::vector< Handle< BoundaryCondition > > BCs_
• double sMin_
• double center_
• double sMax_

The documentation for this class was generated from the following files:

• ql/Pricers/fdbsmoption.hpp
• ql/Pricers/fdbsmoption.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.158 FdDividendEuropeanOption Class Reference 347

11.158 FdDividendEuropeanOption Class Reference

#include <fddividendeuropeanoption.hpp>
Inheritance diagram for FdDividendEuropeanOption:

SingleAssetOption

EuropeanOption

FdDividendEuropeanOption

11.158.1 Detailed Description

European option with dividends.

Public Member Functions

• FdDividendEuropeanOption (Option::Type type, double underlying, double strike,
Spread dividendYield, Rate riskFreeRate, Time residualTime, double volatility, const
std::vector< double > &dividends, const std::vector< Time > &exdivdates)
• double theta () const
• double rho () const
• double dividendRho () const
• Handle< SingleAssetOption > clone () const
• double riskless (Rate r, std::vector< double > divs, std::vector< Time > divDates) const

The documentation for this class was generated from the following files:

• ql/Pricers/fddividendeuropeanoption.hpp
• ql/Pricers/fddividendeuropeanoption.cpp

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348 QuantLib Class Documentation

11.159 FdDividendShoutOption Class Reference

#include <fddividendshoutoption.hpp>

11.159.1 Detailed Description

Shout option with dividends.

Public Member Functions

• FdDividendShoutOption (Option::Type type, double underlying, double strike,
Spread dividendYield, Rate riskFreeRate, Time residualTime, double volatility, const
std::vector< double > &dividends=std::vector< double >(), const std::vector< Time >
&exdivdates=std::vector< Time >(), int timeSteps=100, int gridPoints=100)
• Handle< SingleAssetOption > clone () const
• double dividendRho () const

Protected Member Functions

• void initializeStepCondition () const

The documentation for this class was generated from the following files:

• ql/Pricers/fddividendshoutoption.hpp
• ql/Pricers/fddividendshoutoption.cpp

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11.160 FdEuropean Class Reference 349

11.160 FdEuropean Class Reference

#include <fdeuropean.hpp>
Inheritance diagram for FdEuropean:

SingleAssetOption

FdBsmOption

FdEuropean

11.160.1 Detailed Description

Example of European option calculated using finite differences.

Public Member Functions

• FdEuropean (Option::Type type, double underlying, double strike, Spread dividendYield,
Rate riskFreeRate, Time residualTime, double volatility, Size timeSteps=200, Size grid-
Points=800)
• const Array & getPrices () const
• Handle< SingleAssetOption > clone () const

Protected Member Functions

• void calculate () const

The documentation for this class was generated from the following files:

• ql/Pricers/fdeuropean.hpp
• ql/Pricers/fdeuropean.cpp

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350 QuantLib Class Documentation

11.161 FdStepConditionOption Class Reference

#include <fdstepconditionoption.hpp>
Inheritance diagram for FdStepConditionOption:

SingleAssetOption

FdBsmOption

FdStepConditionOption

FdAmericanOption

11.161.1 Detailed Description

option executing additional code at each time step

Protected Member Functions

• FdStepConditionOption (Option::Type type, double underlying, double strike, Spread
dividendYield, Rate riskFreeRate, Time residualTime, double volatility, int timeSteps, int
gridPoints)
• void calculate () const
• virtual void initializeStepCondition () const =0

Protected Attributes
• Handle< FiniteDifferences::StandardStepCondition > stepCondition_
• int timeSteps_

The documentation for this class was generated from the following files:

• ql/Pricers/fdstepconditionoption.hpp
• ql/Pricers/fdstepconditionoption.cpp

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11.162 filtering_iterator Class Template Reference 351

11.162 filtering_iterator Class Template Reference

#include <filteringiterator.hpp>

11.162.1 Detailed Description

template<class Iterator, class UnaryPredicate> class QuantLib::Utilities::filtering_iterator< It-

erator, UnaryPredicate >

Iterator filtering undesired data.

This iterator advances an underlying iterator returning only those data satisfying a given condi-
tion.

Public Member Functions

• filtering_iterator (const Iterator &, const UnaryPredicate &, const Iterator &beforeBegin,
const Iterator &end)

Dereferencing
• reference operator ∗ () const
• pointer operator → () const

Increment and decrement

• filtering_iterator & operator++ ()
• filtering_iterator operator++ (int)
• filtering_iterator & operator– ()
• filtering_iterator operator– (int)

Comparisons
• bool operator== (const filtering_iterator< Iterator, UnaryPredicate > &)
• bool operator!= (const filtering_iterator< Iterator, UnaryPredicate > &)

Public Attributes
• typedef< Iterator >::pointer pointer
• typedef< Iterator >::reference reference

Related Functions

(Note that these are not member functions.)

• filtering_iterator< Iterator, UnaryPredicate > make_filtering_iterator (Iterator it, Unary-

Predicate p, Iterator beforeBegin, Iterator end)
helper function to create filtering iterators

The documentation for this class was generated from the following file:

• ql/Utilities/filteringiterator.hpp

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352 QuantLib Class Documentation

11.163 FiniteDifferenceModel Class Template Reference

#include <finitedifferencemodel.hpp>

11.163.1 Detailed Description

template<class Evolver> class QuantLib::FiniteDifferences::FiniteDifferenceModel< Evolver

>

Generic finite difference model.

See sect. The finite differences framework(p. 31)

Public Types
• typedef Evolver::arrayType arrayType
• typedef Evolver::operatorType operatorType
• typedef BoundaryCondition< operatorType > bcType

Public Member Functions

• FiniteDifferenceModel (const operatorType &L, const std::vector< Handle< bcType > >
&bcs, const std::vector< Time > &stoppingTimes=std::vector< Time >())
• FiniteDifferenceModel (const Evolver &evolver, const std::vector< Time > &stopping-
Times=std::vector< Time >())
• void rollback (arrayType &a, Time from, Time to, Size steps, const Handle< Step-
Condition< arrayType > > &condition=Handle< StepCondition< arrayType > >())
• const Evolver & evolver () const

11.163.2 Member Function Documentation

11.163.2.1 void rollback (arrayType & a, Time from, Time to, Size steps, const Handle<
StepCondition< arrayType > > & condition = Handle< StepCondition< arrayType
> >())

solves the problem between the given times, possibly applying a condition at every step.

Warning:
being this a rollback, from must be a later time than to.

The documentation for this class was generated from the following file:

• ql/FiniteDifferences/finitedifferencemodel.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.164 FixedRateCoupon Class Reference 353

11.164 FixedRateCoupon Class Reference

#include <fixedratecoupon.hpp>
Inheritance diagram for FixedRateCoupon:

Observable

CashFlow

Coupon

FixedRateCoupon

11.164.1 Detailed Description

coupon paying a fixed interest rate

Public Member Functions

• FixedRateCoupon (double nominal, const Date &paymentDate, Rate rate, const Day-
Counter &dayCounter, const Date &startDate, const Date &endDate, const Date &ref-
PeriodStart=Date(), const Date &refPeriodEnd=Date())

CashFlow interface

• double amount () const

returns the amount of the cash flow

Coupon interface

• DayCounter dayCounter () const

day counter for accrual calculation

• double accruedAmount (const Date &) const

accrued amount at the given date

Inspectors

• Rate rate () const

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

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354 QuantLib Class Documentation

11.164.2 Member Function Documentation

11.164.2.1 double amount () const [virtual]

returns the amount of the cash flow

Note:
The amount is not discounted, i.e., it is the actual amount paid at the cash flow date.

Implements CashFlow (p. 252).

The documentation for this class was generated from the following file:

• ql/CashFlows/fixedratecoupon.hpp

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11.165 FloatingRateCoupon Class Reference 355

11.165 FloatingRateCoupon Class Reference

#include <floatingratecoupon.hpp>
Inheritance diagram for FloatingRateCoupon:

Observable

CashFlow

Coupon

FloatingRateCoupon

IndexedCoupon ParCoupon

InArrearIndexedCoupon UpFrontIndexedCoupon ShortFloatingRateCoupon

11.165.1 Detailed Description

coupon at par on a term structure

Warning:
This class does not perform any date adjustment, i.e., the start and end date passed upon
construction should be already rolled to a business day.

Public Member Functions

• FloatingRateCoupon (double nominal, const Date &paymentDate, const Date &start-
Date, const Date &endDate, int fixingDays, Spread spread=0.0, const Date &refPeriod-
Start=Date(), const Date &refPeriodEnd=Date())

Coupon interface

• double accruedAmount (const Date &) const

accrued amount at the given date

Inspectors

• int fixingDays () const

• virtual Spread spread () const
• virtual Rate fixing () const =0
• virtual Date fixingDate () const =0

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

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356 QuantLib Class Documentation

Protected Attributes
• int fixingDays_
• Spread spread_

The documentation for this class was generated from the following file:

• ql/CashFlows/floatingratecoupon.hpp

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11.166 Floor Class Reference 357

11.166 Floor Class Reference

#include <capfloor.hpp>
Inheritance diagram for Floor:

Observable Observer

LazyObject

Instrument

CapFloor

Floor

11.166.1 Detailed Description

Concrete floor class.

Public Member Functions

• Floor (const std::vector< Handle< CashFlow > > &floatingLeg, const std::vector< Rate
> &exerciseRates, const RelinkableHandle< TermStructure > &termStructure, const
Handle< PricingEngine > &engine)

The documentation for this class was generated from the following file:

• ql/Instruments/capfloor.hpp

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358 QuantLib Class Documentation

11.167 ForwardEngine Class Template Reference

#include <forwardengines.hpp>
Inheritance diagram for ForwardEngine:

PricingEngine

GenericEngine< Instruments::ForwardOptionArguments< ArgumentsType >, ResultsType >

ForwardEngine

ForwardPerformanceEngine< ArgumentsType, ResultsType >

11.167.1 Detailed Description

template<class ArgumentsType, class ResultsType> class QuantLib::PricingEngines::Forward-

Engine< ArgumentsType, ResultsType >

Forward engine base class.

Public Member Functions

• ForwardEngine (const Handle< GenericEngine< ArgumentsType, ResultsType > > &)
• void setOriginalArguments () const
• void calculate () const
• void getOriginalResults () const

Protected Attributes
• Handle< GenericEngine< ArgumentsType, ResultsType > > originalEngine_
• ArgumentsType ∗ originalArguments_
• const ResultsType ∗ originalResults_

The documentation for this class was generated from the following file:

• ql/PricingEngines/forwardengines.hpp

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11.168 ForwardOptionArguments Class Template Reference 359

11.168 ForwardOptionArguments Class Template Reference

#include <forwardvanillaoption.hpp>

11.168.1 Detailed Description

template<class ArgumentsType> class QuantLib::Instruments::ForwardOptionArguments<

ArgumentsType >

arguments for forward (strike-resetting) option calculation

Public Member Functions

• void validate () const

Public Attributes
• double moneyness
• Date resetDate

The documentation for this class was generated from the following file:

• ql/Instruments/forwardvanillaoption.hpp

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360 QuantLib Class Documentation

11.169 ForwardPerformanceEngine Class Template Reference

#include <forwardengines.hpp>
Inheritance diagram for ForwardPerformanceEngine:

PricingEngine

GenericEngine< Instruments::ForwardOptionArguments< ArgumentsType >, ResultsType >

ForwardEngine<ArgumentsType, ResultsType>

ForwardPerformanceEngine

11.169.1 Detailed Description

template<class ArgumentsType, class ResultsType> class QuantLib::PricingEngines::Forward-

PerformanceEngine< ArgumentsType, ResultsType >

Forward Performance engine base class.

Public Member Functions

• ForwardPerformanceEngine (const Handle< GenericEngine< ArgumentsType, Results-
Type > > &)
• void calculate () const
• void getOriginalResults () const

The documentation for this class was generated from the following file:

• ql/PricingEngines/forwardengines.hpp

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11.170 ForwardRateStructure Class Reference 361

11.170 ForwardRateStructure Class Reference

#include <termstructure.hpp>
Inheritance diagram for ForwardRateStructure:

Observable

TermStructure

ForwardRateStructure

ForwardSpreadedTermStructure

11.170.1 Detailed Description

Forward rate term structure.

This abstract class acts as an adapter to TermStructure(p. 634) allowing the programmer to im-
plement only the forwardImpl(const Date&, bool) method in derived classes.
Rates are assumed to be annual continuos compounding.

Protected Member Functions

• Rate zeroYieldImpl (Time, bool extrapolate=false) const
• DiscountFactor discountImpl (Time, bool extrapolate=false) const
• Rate compoundForwardImpl (Time, int, bool extrapolate=false) const

11.170.2 Member Function Documentation

11.170.2.1 Rate zeroYieldImpl (Time, bool extrapolate = false) const [protected, virtual]

Returns the zero yield rate for the given date calculating it from the instantaneous forward rate.

Warning:
This is just a default, highly inefficient implementation. Derived classes should implement
their own zeroYield method.

Implements TermStructure (p. 635).

Reimplemented in ForwardSpreadedTermStructure (p. 364).

11.170.2.2 DiscountFactor discountImpl (Time, bool extrapolate = false) const [protected,

virtual]

Returns the discount factor for the given date calculating it from the instantaneous forward rate.
Implements TermStructure (p. 635).

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362 QuantLib Class Documentation

11.170.2.3 Rate compoundForwardImpl (Time, int, bool extrapolate = false) const

[protected, virtual]

Returns the forward rate at a specified compound frequency for the given date calculating it from
the zero yield.
Implements TermStructure (p. 636).
The documentation for this class was generated from the following file:

• ql/termstructure.hpp

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11.171 ForwardSpreadedTermStructure Class Reference 363

11.171 ForwardSpreadedTermStructure Class Reference

#include <forwardspreadedtermstructure.hpp>
Inheritance diagram for ForwardSpreadedTermStructure:

Observable

TermStructure

ForwardRateStructure Observer

ForwardSpreadedTermStructure

11.171.1 Detailed Description

Term structure with added spread on the instantaneous forward rate.

Note:
This term structure will remain linked to the original structure, i.e., any changes in the latter
will be reflected in this structure as well.

Public Member Functions

• ForwardSpreadedTermStructure (const RelinkableHandle< TermStructure > &, const
RelinkableHandle< MarketElement > &spread)

TermStructure interface

• DayCounter dayCounter () const

the day counter used for date/time conversion

• Date todaysDate () const

today’s date

• Date referenceDate () const

the reference date, i.e., the date at which discount = 1

• Date maxDate () const

the latest date for which the curve can return rates

• Time maxTime () const

the latest time for which the curve can return rates

Observer interface

• void update ()

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364 QuantLib Class Documentation

Protected Member Functions

• Rate forwardImpl (Time, bool extrapolate=false) const
returns the spreaded forward rate

• Rate zeroYieldImpl (Time, bool extrapolate=false) const

returns the spreaded zero yield rate

11.171.2 Member Function Documentation

11.171.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).

11.171.2.2 Rate zeroYieldImpl (Time, bool extrapolate = false) const [protected, virtual]

returns the spreaded zero yield rate

Warning:
This method must disappear should the spread become a curve

Reimplemented from ForwardRateStructure (p. 361).

The documentation for this class was generated from the following file:

• ql/TermStructures/forwardspreadedtermstructure.hpp

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11.172 ForwardVanillaOption Class Reference 365

11.172 ForwardVanillaOption Class Reference

#include <forwardvanillaoption.hpp>
Inheritance diagram for ForwardVanillaOption:

Observable Observer

LazyObject

Instrument

Option

VanillaOption

ForwardVanillaOption

11.172.1 Detailed Description

Forward version of a vanilla option.

Public Types

• typedef ForwardOptionArguments< VanillaOption::arguments > arguments

• typedef VanillaOption::results results

Public Member Functions

• ForwardVanillaOption (Option::Type type, const RelinkableHandle< MarketElement >

&underlying, const RelinkableHandle< TermStructure > &dividendTS, const Relinkable-
Handle< TermStructure > &riskFreeTS, const Exercise &exercise, const Relinkable-
Handle< BlackVolTermStructure > &volTS, const Handle< PricingEngine > &engine,
double moneyness, Date resetDate, const std::string &isinCode="", const std::string &de-
scription="")
• void setupArguments (Arguments ∗) const

Protected Member Functions

• void performCalculations () const

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366 QuantLib Class Documentation

11.172.2 Member Function Documentation

11.172.2.1 void setupArguments (Arguments ∗) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overrid-
den to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from VanillaOption (p. 665).

11.172.2.2 void performCalculations () const [protected, virtual]

In case a pricing engine is not used, this method must be overridden to perform the actual calcu-
lations and set any needed results. In case a pricing engine is used, the default implementation
can be used.
Reimplemented from VanillaOption (p. 666).
The documentation for this class was generated from the following files:

• ql/Instruments/forwardvanillaoption.hpp
• ql/Instruments/forwardvanillaoption.cpp

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11.173 Frankfurt Class Reference 367

11.173 Frankfurt Class Reference

#include <frankfurt.hpp>
Inheritance diagram for Frankfurt:

Bridge< Calendar, CalendarImpl >

Calendar

Frankfurt

11.173.1 Detailed Description

Frankfurt calendar
Holidays:

• Saturdays
• Sundays
• New Year’s Day, January 1st
• Good Friday
• Easter Monday
• Ascension Thursday
• Whit Monday
• Corpus Christi
• Labour Day, May 1st
• National Day, October 3rd
• Christmas Eve, December 24th
• Christmas, December 25th
• Boxing Day, December 26th

• New Year’s Eve, December 31st

The documentation for this class was generated from the following file:

• ql/Calendars/frankfurt.hpp

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368 QuantLib Class Documentation

11.174 FraRateHelper Class Reference

#include <ratehelpers.hpp>
Inheritance diagram for FraRateHelper:

Observer Observable

RateHelper

FraRateHelper

11.174.1 Detailed Description

Forward rate agreement.

Warning:
This class assumes that the reference date does not change between calls of setTerm-
Structure()(p. 368).

Todo
convexity adjustment should be implemented.

Public Member Functions

• FraRateHelper (const RelinkableHandle< MarketElement > &rate, int monthsToStart, int

monthsToEnd, int settlementDays, const Calendar &calendar, RollingConvention conven-
tion, const DayCounter &dayCounter)
• FraRateHelper (double rate, int monthsToStart, int monthsToEnd, int settlementDays, const
Calendar &calendar, RollingConvention convention, const DayCounter &dayCounter)
• double impliedQuote () const
• DiscountFactor discountGuess () const
• void setTermStructure (TermStructure ∗)
sets the term structure to be used for pricing

• Date maturity () const

maturity date

11.174.2 Member Function Documentation

11.174.2.1 void setTermStructure (TermStructure ∗) [virtual]

sets the term structure to be used for pricing

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11.174 FraRateHelper Class Reference 369

Warning:
Being a pointer and not a Handle(p. 390), the term structure is not guaranteed to remain
allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure
that the pointer remains valid. It is advised that rate helpers be used only in term structure
constructors, setting the term structure to this, i.e., the one being constructed.

Reimplemented from RateHelper (p. 578).

The documentation for this class was generated from the following files:

• ql/TermStructures/ratehelpers.hpp
• ql/TermStructures/ratehelpers.cpp

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370 QuantLib Class Documentation

11.175 FuturesRateHelper Class Reference

#include <ratehelpers.hpp>
Inheritance diagram for FuturesRateHelper:

Observer Observable

RateHelper

FuturesRateHelper

11.175.1 Detailed Description

Interest Rate Futures.

Warning:
This class assumes that the reference date does not change between calls of setTerm-
Structure()(p. 578).

Public Member Functions

• FuturesRateHelper (const RelinkableHandle< MarketElement > &price, const Date
&ImmDate, int nMonths, const Calendar &calendar, RollingConvention convention, const
DayCounter &dayCounter)
• FuturesRateHelper (const RelinkableHandle< MarketElement > &price, const Date
&ImmDate, const Date &MatDate, const Calendar &calendar, RollingConvention con-
vention, const DayCounter &dayCounter)
• FuturesRateHelper (double price, const Date &ImmDate, int nMonths, const Calendar
&calendar, RollingConvention convention, const DayCounter &dayCounter)
• double impliedQuote () const
• DiscountFactor discountGuess () const
• Date maturity () const
maturity date

The documentation for this class was generated from the following files:

• ql/TermStructures/ratehelpers.hpp
• ql/TermStructures/ratehelpers.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.176 G2 Class Reference 371

11.176 G2 Class Reference

#include <g2.hpp>
Inheritance diagram for G2:

Observer Observable

Model

TwoFactorModel AffineModel TermStructureConsistentModel

G2

11.176.1 Detailed Description

Two-additive-factor gaussian model class.

This class implements a two-additive-factor model defined by
drt = ϕ(t) + xt + yt
where xt and yt are defined by
dxt = −axt dt + σdWt1 , x0 = 0
dyt = −byt dt + σdWt2 , y0 = 0
and dWt1 dWt2 = ρdt.

Unstable
This class was not tested enough to guarantee its functionality.

Public Member Functions

• G2 (const RelinkableHandle< TermStructure > &termStructure, double a=0.1, double
sigma=0.01, double b=0.1, double eta=0.01, double rho=0.9)
• Handle< ShortRateDynamics > dynamics () const
Returns the short-rate dynamics.

• double discountBondOption (Option::Type type, double strike, Time maturity, Time bond-
Maturity) const
• double swaption (const Instruments::Swaption::arguments &arguments) const
• DiscountFactor discount (Time t) const
Implied discount curve.

Protected Member Functions

• void generateArguments ()
• double A (Time t, Time T) const
• double B (double x, Time t) const

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372 QuantLib Class Documentation

Friends
• class SwaptionPricingFunction

The documentation for this class was generated from the following files:

• ql/ShortRateModels/TwoFactorModels/g2.hpp
• ql/ShortRateModels/TwoFactorModels/g2.cpp

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11.177 G2::FittingParameter Class Reference 373

11.177 G2::FittingParameter Class Reference

#include <g2.hpp>
Inheritance diagram for G2::FittingParameter:

Bridge< Parameter, ParameterImpl >

Parameter

TermStructureFittingParameter

G2::FittingParameter

11.177.1 Detailed Description

Analytical term-structure fitting parameter ϕ(t).

ϕ(t) is analytically defined by

1 σ(1 − e−at ) 2 1 η(1 − e−bt ) 2 σ(1 − e−at ) η(1 − e−bt )

ϕ(t) = f (t) + ( ) + ( ) +ρ ,
2 a 2 b a b
where f (t) is the instantaneous forward rate at t.

Public Member Functions

• FittingParameter (const RelinkableHandle< TermStructure > &termStructure, double a,
double sigma, double b, double eta, double rho)

The documentation for this class was generated from the following file:

• ql/ShortRateModels/TwoFactorModels/g2.hpp

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374 QuantLib Class Documentation

11.178 GammaFunction Class Reference

#include <gammadistribution.hpp>

11.178.1 Detailed Description

Gamma function class.

This is a function defined by Z ∞
Γ(z) = tz−1 e−t dt
0

Public Member Functions

• double logValue (double x) const

The documentation for this class was generated from the following files:

• ql/Math/gammadistribution.hpp
• ql/Math/gammadistribution.cpp

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11.179 GaussianStatistics Class Template Reference 375

11.179 GaussianStatistics Class Template Reference

#include <gaussianstatistics.hpp>

11.179.1 Detailed Description

template<class Stat> class QuantLib::Math::GaussianStatistics< Stat >

Statistics tool for gaussian-assumption risk measures.

It can calculate gaussian assumption risk measures (e.g.: value-at-risk, expected shortfall, etc.)
based on the mean and variance provided by the template class

Public Member Functions

Gaussian risk measures

• double gaussianDownsideVariance () const

• double gaussianDownsideDeviation () const
• double gaussianRegret (double target) const
• double gaussianPercentile (double percentile) const
• double gaussianPotentialUpside (double percentile) const
gaussian-assumption Potential-Upside at a given percentile

• double gaussianValueAtRisk (double percentile) const

gaussian-assumption Value-At-Risk at a given percentile

• double gaussianExpectedShortfall (double percentile) const

gaussian-assumption Expected Shortfall at a given percentile

• double gaussianShortfall (double target) const

gaussian-assumption Shortfall (observations below target)

• double gaussianAverageShortfall (double target) const

gaussian-assumption Average Shortfall (averaged shortfallness)

11.179.2 Member Function Documentation

11.179.2.1 double gaussianDownsideVariance () const

returns the downside variance, defined as

PN
i=1 θ × xi
2
N
× PN
N−1 i=1 wi

, where θ = 0 if x > 0 and θ =1 if x <0

11.179.2.2 double gaussianDownsideDeviation () const

returns the downside deviation, defined as the square root of the downside variance.

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376 QuantLib Class Documentation

11.179.2.3 double gaussianRegret (double target) const

returns the variance of observations below target

wi (min(0, xi − tar1et))2
P
P .
wi

See Dembo, Freeman "The Rules Of Risk", Wiley (2001)

11.179.2.4 double gaussianPercentile (double percentile) const

gaussian-assumption y-th percentile, defined as the value x such that

Z x
1
y= √ exp(−u2 /2)du
2π −∞

11.179.2.5 double gaussianPotentialUpside (double percentile) const

gaussian-assumption Potential-Upside at a given percentile

Precondition:
percentile must be in range [90%-100%)

11.179.2.6 double gaussianValueAtRisk (double percentile) const

gaussian-assumption Value-At-Risk at a given percentile

Precondition:
percentile must be in range [90%-100%)

11.179.2.7 double gaussianExpectedShortfall (double percentile) const

gaussian-assumption Expected Shortfall at a given percentile

Precondition:
percentile must be in range 90%-100%

The documentation for this class was generated from the following file:

• ql/Math/gaussianstatistics.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.180 GBPLibor Class Reference 377

11.180 GBPLibor Class Reference

#include <gbplibor.hpp>
Inheritance diagram for GBPLibor:

Observable

Index Observer

Xibor

GBPLibor

11.180.1 Detailed Description

GBP Libor index

Public Member Functions

• GBPLibor (int n, TimeUnit units, const RelinkableHandle< TermStructure > &h, const
DayCounter &dc=DayCounters::Actual365())

The documentation for this class was generated from the following file:

• ql/Indexes/gbplibor.hpp

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378 QuantLib Class Documentation

11.181 GeneralStatistics Class Reference

#include <generalstatistics.hpp>

11.181.1 Detailed Description

Statistics tool.
This class accumulates a set of data and returns their statistics (e.g: mean, variance, skewness,
kurtosis, error estimation, percentile, etc.) based on the empirical distribution (no gaussian
assumption)
It doesn’t suffer the numerical instability problem of IncrementalStatistics(p. 414). The downside
is that it stores all samples, thus increasing the memory requirements.

Examples:
DiscreteHedging.cpp.

Public Member Functions

Inspectors

• Size samples () const

number of samples collected

• const std::vector< std::pair< double, double > > & data () const
collected data

• double weightSum () const

sum of data weights

• double mean () const

• double variance () const
• double standardDeviation () const
• double errorEstimate () const
• double skewness () const
• double kurtosis () const
• double min () const
• double max () const
• template<class Func, class Predicate> std::pair< double, Size > expectationValue (const
Func &f, const Predicate &inRange) const
• double percentile (double y) const
• double topPercentile (double y) const

Modifiers

• void add (double value, double weight=1.0)

adds a datum to the set, possibly with a weight

• template<class DataIterator> void addSequence (DataIterator begin, DataIterator end)

adds a sequence of data to the set, with default weight

• template<class DataIterator, class WeightIterator> void addSequence (DataIterator be-

gin, DataIterator end, WeightIterator wbegin)

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11.181 GeneralStatistics Class Reference 379

adds a sequence of data to the set, each with its weight

• void reset ()
resets the data to a null set

11.181.2 Member Function Documentation

11.181.2.1 double mean () const

returns the mean, defined as P

wi xi
hxi = P .
wi

11.181.2.2 double variance () const

returns the variance, defined as

N D E
σ2 = (x − hxi)2 .
N−1

11.181.2.3 double standardDeviation () const

returns the standard deviation σ, defined as the square root of the variance.

11.181.2.4 double errorEstimate () const

√
returns the error estimate on the mean value, defined as  = σ/ N.

11.181.2.5 double skewness () const

returns the skewness, defined as

D E
N2 (x − hxi)3
.
(N − 1)(N − 2) σ3

The above evaluates to 0 for a Gaussian distribution.

11.181.2.6 double kurtosis () const

returns the excess kurtosis, defined as

D E
N2 (N + 1) (x − hxi)4 3(N − 1)2
− .
(N − 1)(N − 2)(N − 3) σ4 (N − 2)(N − 3)

The above evaluates to 0 for a Gaussian distribution.

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380 QuantLib Class Documentation

11.181.2.7 double min () const

returns the minimum sample value

11.181.2.8 double max () const

returns the maximum sample value

11.181.2.9 std::pair<double,Size> expectationValue (const Func & f, const Predicate &

inRange) const

Expectation value of a function f on a given range R, i.e.,

P
xi ∈R f (xi )wi
E f |R = P .
 
xi ∈R wi

The range is passed as a boolean function returning true if the argument belongs to the range or
false otherwise.
The function returns a pair made of the result and the number of observations in the given range.

11.181.2.10 double percentile (double y) const

y-th percentile, defined as the value x̄ such that

P
x <x̄ wi
y = Pi
i wi

11.181.2.11 double topPercentile (double y) const

y-th top percentile, defined as the value x̄ such that

P
x >x̄ wi
y = Pi
i wi

11.181.2.12 void add (double value, double weight = 1.0)

adds a datum to the set, possibly with a weight

Precondition:
weights must be positive or null

The documentation for this class was generated from the following files:

• ql/Math/generalstatistics.hpp
• ql/Math/generalstatistics.cpp

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11.182 GenericEngine Class Template Reference 381

11.182 GenericEngine Class Template Reference

#include <genericengine.hpp>
Inheritance diagram for GenericEngine:

BarrierEngine< Instruments::BarrierOption::arguments, Instruments::BarrierOption::results >

BinaryEngine< Instruments::BinaryOption::arguments, Instruments::BinaryOption::results >

CliquetEngine< Instruments::CliquetOption::arguments, Instruments::VanillaOption::results >

ForwardEngine< Instruments::ForwardOptionArguments< ArgumentsType >, ResultsType >

GenericModelEngine< ArgumentsType, ResultsType >

GenericModelEngine< BlackModel, Instruments::CapFloor::arguments, Instruments::CapFloor::results >

PricingEngine GenericEngine GenericModelEngine< BlackModel, Instruments::Swaption::arguments, Instruments::Swaption::results >

GenericModelEngine< ShortRateModels::AffineModel, Instruments::CapFloor::arguments, Instruments::CapFloor::results >

GenericModelEngine< ShortRateModels::Model, Instruments::CapFloor::arguments, Instruments::CapFloor::results >

GenericModelEngine< ShortRateModels::Model, Instruments::Swaption::arguments, Instruments::Swaption::results >

GenericModelEngine< ShortRateModels::OneFactorAffineModel, Instruments::Swaption::arguments, Instruments::Swaption::results >

QuantoEngine< Instruments::QuantoOptionArguments< ArgumentsType >, Instruments::QuantoOptionResults< ResultsType > >

VanillaEngine< Instruments::VanillaOption::arguments, Instruments::VanillaOption::results >

11.182.1 Detailed Description

template<class ArgumentsType, class ResultsType> class QuantLib::PricingEngines::Generic-

Engine< ArgumentsType, ResultsType >

template base class for option pricing engines

Derived engines only need to implement the calculate() method the inherit from Pricing-
Engine(p. 559)

Public Member Functions

• Arguments ∗ arguments () const
• const Results ∗ results () const
• void reset () const

Protected Attributes
• ArgumentsType arguments_
• ResultsType results_

The documentation for this class was generated from the following file:

• ql/PricingEngines/genericengine.hpp

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382 QuantLib Class Documentation

11.183 GenericModelEngine Class Template Reference

#include <genericengine.hpp>
Inheritance diagram for GenericModelEngine:
AnalyticalCapFloor< ShortRateModels::AffineModel, Instruments::CapFloor::arguments, Instruments::CapFloor::results >

BlackCapFloor< BlackModel, Instruments::CapFloor::arguments, Instruments::CapFloor::results >

GenericEngine<ArgumentsType, ResultsType> BlackSwaption< BlackModel, Instruments::Swaption::arguments, Instruments::Swaption::results >

Observer GenericModelEngine JamshidianSwaption< ShortRateModels::OneFactorAffineModel, Instruments::Swaption::arguments, Instruments::Swaption::results >

Observable LatticeShortRateModelEngine< ShortRateModels::Model, Arguments, Results >

LatticeShortRateModelEngine< Instruments::CapFloor::arguments, Instruments::CapFloor::results >

LatticeShortRateModelEngine< Instruments::Swaption::arguments, Instruments::Swaption::results >

11.183.1 Detailed Description

template<class ModelType, class ArgumentsType, class ResultsType> class QuantLib::Pricing-

Engines::GenericModelEngine< ModelType, ArgumentsType, ResultsType >

Base class for some pricing engine on a particular model.

Derived engines only need to implement the calculate() method

Public Member Functions

• GenericModelEngine (const Handle< ModelType > &model)
• void validateArguments () const
• void setModel (const Handle< ModelType > &model)
• virtual void update ()

Protected Attributes
• Handle< ModelType > model_

11.183.2 Member Function Documentation

11.183.2.1 virtual void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).
Reimplemented in LatticeShortRateModelEngine (p. 442), LatticeShortRateModelEngine<
Instruments::Swaption::arguments, Instruments::Swaption::results > (p. 442), and Lattice-
ShortRateModelEngine< Instruments::CapFloor::arguments, Instruments::CapFloor::results >
(p. 442).
The documentation for this class was generated from the following file:

• ql/PricingEngines/genericengine.hpp

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11.184 GenericRiskStatistics Class Template Reference 383

11.184 GenericRiskStatistics Class Template Reference

#include <riskstatistics.hpp>

11.184.1 Detailed Description

template<class S> class QuantLib::Math::GenericRiskStatistics< S >

empirical-distribution risk measures

This class wraps a somewhat generic statistic tool and adds a number of risk measures (e.g.: value-
at-risk, expected shortfall, etc.) based on the data distribution as reported by the underlying tool.

Public Member Functions

• double semiVariance () const

• double semiDeviation () const
• double downsideVariance () const
• double downsideDeviation () const
• double regret (double target) const
• double potentialUpside (double percentile) const
potential upside (the reciprocal of VAR) at a given percentile

• double valueAtRisk (double percentile) const

value-at-risk at a given percentile

• double expectedShortfall (double percentile) const

expected shortfall at a given percentile

• double shortfall (double target) const

• double averageShortfall (double target) const

11.184.2 Member Function Documentation

11.184.2.1 double semiVariance () const

returns the variance of observations below the mean,

N h i
E (x − hxi)2 | x < hxi .
N−1

See Markowitz (1959).

11.184.2.2 double semiDeviation () const

returns the semi deviation, defined as the square root of the semi variance.

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384 QuantLib Class Documentation

11.184.2.3 double downsideVariance () const

returns the variance of observations below 0.0,

N h i
E x2 | x < 0 .
N−1

11.184.2.4 double downsideDeviation () const

returns the downside deviation, defined as the square root of the downside variance.

11.184.2.5 double regret (double target) const

returns the variance of observations below target,

N h i
E (x − t)2 | x < t .
N−1

See Dembo and Freeman, "The Rules Of Risk", Wiley (2001).

11.184.2.6 double potentialUpside (double centile) const

potential upside (the reciprocal of VAR) at a given percentile

Precondition:
percentile must be in range [90%-100%)

11.184.2.7 double valueAtRisk (double centile) const

value-at-risk at a given percentile

Precondition:
percentile must be in range [90%-100%)

11.184.2.8 double expectedShortfall (double percentile) const

expected shortfall at a given percentile

returns the expected loss in case that the loss exceeded a VaR threshold,

E x | x < VaR(p) ,
 

that is the average of observations below the given percentile p. Also know as conditional
value-at-risk.
See Artzner, Delbaen, Eber and Heath, "Coherent measures of risk", Mathematical Finance 9
(1999)

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11.184 GenericRiskStatistics Class Template Reference 385

11.184.2.9 double shortfall (double target) const

probability of missing the given target, defined as

E [Θ | (−∞, ∞)]

where
1 x<t
(
Θ(x) =
0 x≥t

11.184.2.10 double averageShortfall (double target) const

averaged shortfallness, defined as

E [t − x | x < t]

The documentation for this class was generated from the following file:

• ql/Math/riskstatistics.hpp

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386 QuantLib Class Documentation

11.185 GeometricAPOPathPricer_old Class Reference

#include <geometricapopathpricer.hpp>
Inheritance diagram for GeometricAPOPathPricer_old:

PathPricer_old< Path >

GeometricAPOPathPricer_old

11.185.1 Detailed Description

path pricer for geometric average price option

Public Member Functions

• GeometricAPOPathPricer_old (Option::Type type, double underlying, double strike,
DiscountFactor discount, bool useAntitheticVariance)
• double operator() (const Path &path) const

The documentation for this class was generated from the following files:

• ql/MonteCarlo/geometricapopathpricer.hpp
• ql/MonteCarlo/geometricapopathpricer.cpp

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11.186 GeometricASOPathPricer_old Class Reference 387

11.186 GeometricASOPathPricer_old Class Reference

#include <geometricasopathpricer.hpp>
Inheritance diagram for GeometricASOPathPricer_old:

PathPricer_old< Path >

GeometricASOPathPricer_old

11.186.1 Detailed Description

path pricer for geometric average strike option

Public Member Functions

• GeometricASOPathPricer_old (Option::Type type, double underlying, DiscountFactor dis-
count, bool useAntitheticVariance)
• double operator() (const Path &path) const

The documentation for this class was generated from the following files:

• ql/MonteCarlo/geometricasopathpricer.hpp
• ql/MonteCarlo/geometricasopathpricer.cpp

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388 QuantLib Class Documentation

11.187 Greeks Class Reference

#include <option.hpp>
Inheritance diagram for Greeks:

Results

Greeks

results

results results

11.187.1 Detailed Description

additional option results

Public Member Functions

• void reset ()

Public Attributes
• double delta
• double gamma
• double theta
• double vega
• double rho
• double dividendRho
• double strikeSensitivity

The documentation for this class was generated from the following file:

• ql/option.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.188 HaltonRsg Class Reference 389

11.188 HaltonRsg Class Reference

#include <haltonrsg.hpp>

11.188.1 Detailed Description

Halton low-discrepancy sequence generator.

Halton algorithm for low-discrepancy sequence. For more details see chapter 8, paragraph 2 of
"Monte Carlo Methods in Finance", by Peter Jäckel

Public Types
• typedef MonteCarlo::Sample< Array > sample_type

Public Member Functions

• HaltonRsg (Size dimensionality, unsigned long seed=0, bool randomStart=true, bool
randomShift=false)
• const sample_type & nextSequence () const
• const sample_type & lastSequence () const
• Size dimension () const

The documentation for this class was generated from the following files:

• ql/RandomNumbers/haltonrsg.hpp
• ql/RandomNumbers/haltonrsg.cpp

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390 QuantLib Class Documentation

11.189 Handle Class Template Reference

#include <handle.hpp>

11.189.1 Detailed Description

template<class T> class QuantLib::Handle< T >

Reference-counted pointer.
This class acts as a proxy to a pointer contained in it. Such pointer is owned by the handle, i.e.,
the handle will be responsible for its deletion, unless explicitly stated by the programmer.
A count of the references to the contained pointer is incremented every time a handle is copied,
and decremented every time a handle is deleted or goes out of scope. When the handle owns the
pointer, this mechanism ensures on one hand, that the pointer will not be deallocated as long as
a handle refers to it, and on the other hand, that it will be deallocated when no more handles do.

Note:
The implementation of this class was originally taken from "The C++ Programming Lan-
guage", 3rd ed., B.Stroustrup, Addison-Wesley, 1997.

Warning:
This mechanism will break and result in untimely deallocation of the pointer (and very
possible death of your executable) if two handles are explicitly initialized with the same
pointer, as in
SomeObj* so = new SomeObj;
Handle<SomeObj> h1(so);
Handle<SomeObj> h2 = h1; // this is safe.
Handle<SomeObj> h3(so); // this is definitely not.

It is good practice to create the pointer and immediately pass it to the handle, as in
Handle<SomeObj> h1(new SomeObj); // this is as safe as can be.

When the programmer keeps the ownership of the pointer, as explicitly declared in
SomeObj so;
Handle<SomeObj> h(&so,false);

it is responsibility of the programmer to make sure that the object remain in scope as long
as there are handles pointing to it. Also, the programmer must explicitly delete the object if
required.

Examples:
DiscreteHedging.cpp.

Public Member Functions

constructors, destructor, and assignment

• Handle (T ∗ptr=0, bool owns=true)

Constructor taking a pointer.

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11.189 Handle Class Template Reference 391

• template<class U> Handle (const Handle< U > &from)

• Handle (const Handle &from)
• template<class U> Handle & operator= (const Handle< U > &from)
• Handle & operator= (const Handle &from)

Dereferencing

• T & operator ∗ () const

• T ∗ operator → () const

Inspectors

• bool isNull () const

Checks if the contained pointer is actually allocated.

• bool operator== (const Handle< T > &) const

Checks if the two handles point to the same object.

• bool operator!= (const Handle< T > &) const

Friends
• class HandleCopier

11.189.2 Constructor & Destructor Documentation

11.189.2.1 Handle (T ∗ ptr = 0, bool owns = true) [explicit]

Constructor taking a pointer.

If owns is set to true (the default), the handle will be responsible for the deletion of the pointer.
If it is set to false, the programmer must make sure that the pointed object remains in scope for
the lifetime of the handle and its copies. Destruction of the object is also responsibility of the
programmer.
It is advised that handles be used with owns = false only in a controlled an self-contained
environment. Such a case happens when an object needs to pass a handle to itself to inner classes
or bootstrappers - i.e., contained or temporary objects whose lifetime is guaranteed not to last
more than the lifetime of the object.
The documentation for this class was generated from the following file:

• ql/handle.hpp

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392 QuantLib Class Documentation

11.190 Helsinki Class Reference

#include <helsinki.hpp>
Inheritance diagram for Helsinki:

Bridge< Calendar, CalendarImpl >

Calendar

Helsinki

11.190.1 Detailed Description

Helsinki calendar
Holidays:

• Saturdays
• Sundays
• New Year’s Day, January 1st
• Epiphany, January 6th
• Good Friday
• Easter Monday
• Ascension Thursday
• Labour Day, May 1st
• Midsummer Eve (Friday between June 18-24)
• Independence Day, December 6th
• Christmas Eve, December 24th
• Christmas, December 25th
• Boxing Day, December 26th

The documentation for this class was generated from the following file:

• ql/Calendars/helsinki.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.191 HimalayaPathPricer_old Class Reference 393

11.191 HimalayaPathPricer_old Class Reference

#include <himalayapathpricer.hpp>
Inheritance diagram for HimalayaPathPricer_old:

PathPricer_old< MultiPath >

HimalayaPathPricer_old

11.191.1 Detailed Description

multipath pricer for European-type Himalaya option

The payoff of an himalaya option is computed in the following way: given a basket of N assets,
and M time periods, at end of each period the option which performed the best is added to the
average and then discarded from the basket. At the end of the M periods the option pays the max
between the strike and the average of the best performers.

Public Member Functions

• HimalayaPathPricer_old (const std::vector< double > &underlying, double strike,
DiscountFactor discount, bool useAntitheticVariance)
• double operator() (const MultiPath &multiPath) const

The documentation for this class was generated from the following files:

• ql/MonteCarlo/himalayapathpricer.hpp
• ql/MonteCarlo/himalayapathpricer.cpp

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394 QuantLib Class Documentation

11.192 History Class Reference

#include <history.hpp>

11.192.1 Detailed Description

Container for historical data.

This class acts as a generic repository for a set of historical data. Single data can be accessed
through their date, while sets of consecutive data can be accessed through iterators.
A history can contain null data, which can either be returned or skipped according to the chosen
iterator type.
Example: uses of history iterators (p. ??)

Public Types
• typedef Utilities::filtering_iterator< const_iterator, DataValidator > const_valid_iterator
bidirectional iterator on non-null history entries

• typedef std::vector< double >::const_iterator const_data_iterator

random access iterator on historical data

• typedef Utilities::filtering_iterator< const_data_iterator, DataValidator > const_valid_-

data_iterator
bidirectional iterator on non-null historical data

Public Member Functions

• History ()
• template<class Iterator> History (const Date &firstDate, const Date &lastDate, Iterator
begin, Iterator end)
• History (const Date &firstDate, const std::vector< double > &values)
• History (const Date &firstDate, const Date &lastDate, const std::vector< double > &values)
• History (const std::vector< Date > &dates, const std::vector< double > &values)

Inspectors

• const Date & firstDate () const

returns the first date for which a historical datum exists

• const Date & lastDate () const

returns the last date for which a historical datum exists

• int size () const

returns the number of historical data including null ones

Historical data access

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11.192 History Class Reference 395

• double operator[ ] (const Date &) const

returns the (possibly null) datum corresponding to the given date

Iterator access
Four different types of iterators are provided, namely, const_iterator, const_valid_iterator, const_data_-
iterator, and const_valid_data_iterator.
const_iterator and const_valid_iterator point to an Entry structure, the difference being that the latter
only iterates over valid entries - i.e., entries whose data are not null. The same difference exists between
const_data_iterator and const_valid_data_iterator which point directly to historical values without
reference to the date they are associated to.

• const_iterator begin () const

• const_iterator end () const
• const_iterator iterator (const Date &d) const
• const_valid_iterator vbegin () const
• const_valid_iterator vend () const
• const_valid_iterator valid_iterator (const Date &d) const
• const_data_iterator dbegin () const
• const_data_iterator dend () const
• const_data_iterator data_iterator (const Date &d) const
• const_valid_data_iterator vdbegin () const
• const_valid_data_iterator vdend () const
• const_valid_data_iterator valid_data_iterator (const Date &d) const

11.192.2 Constructor & Destructor Documentation

11.192.2.1 History ()

Default constructor

11.192.2.2 History (const Date & firstDate, const Date & lastDate, Iterator begin, Iterator end)

This constructor initializes the history with the given set of values, corresponding to the date
range between firstDate and lastDate included.

Precondition:
begin-end must equal the number of days from firstDate to lastDate included.

11.192.2.3 History (const Date & firstDate, const Date & lastDate, const std::vector< double
> & values)

This constructor initializes the history with the given set of values, corresponding to the date
range between firstDate and lastDate included.

Precondition:
The size of values must equal the number of days from firstDate to lastDate included.

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396 QuantLib Class Documentation

11.192.2.4 History (const std::vector< Date > & dates, const std::vector< double > & values)

This constructor initializes the history with the given set of values, corresponding each to the
element with the same index in the given set of dates. The whole date range between dates[0]
and dates[N-1] will be automatically filled by inserting null values where a date is missing from
the given set.

Precondition:
dates must be sorted.
There can be no pairs (dates[i],values[i]) and (dates[j],values[j]) such that dates[i] ==
dates[j] && values[i] != values[j]. Pairs with dates[i] == dates[j] && values[i]
== values[j] are allowed; the duplicated entries will be discarded.
The size of values must equal the number of days from firstDate to lastDate included.

The documentation for this class was generated from the following file:

• ql/history.hpp

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11.193 History::const_iterator Class Reference 397

11.193 History::const_iterator Class Reference

#include <history.hpp>

11.193.1 Detailed Description

random access iterator on history entries

Public Types

• typedef Entry value_type

• typedef int difference_type
• typedef const Entry ∗ pointer
• typedef const Entry & reference

Public Member Functions

Dereferencing

• reference operator ∗ () const

• pointer operator → () const

Random access

• value_type operator[ ] (difference_type i) const

Increment and decrement

• const_iterator & operator++ ()

• const_iterator operator++ (int)
• const_iterator & operator– ()
• const_iterator operator– (int)
• const_iterator & operator+= (difference_type i)
• const_iterator & operator-= (difference_type i)
• const_iterator operator+ (difference_type i)
• const_iterator operator- (difference_type i)

Difference

• difference_type operator- (const const_iterator &i)

Comparisons

• bool operator== (const const_iterator &i)

• bool operator!= (const const_iterator &i)
• bool operator< (const const_iterator &i)
• bool operator> (const const_iterator &i)
• bool operator<= (const const_iterator &i)
• bool operator>= (const const_iterator &i)

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398 QuantLib Class Documentation

Friends
• class History

The documentation for this class was generated from the following file:

• ql/history.hpp

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11.194 History::Entry Class Reference 399

11.194 History::Entry Class Reference

#include <history.hpp>

11.194.1 Detailed Description

single datum in history

Public Member Functions

• const Date & date () const
• double value () const

Friends
• class const_iterator

The documentation for this class was generated from the following file:

• ql/history.hpp

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400 QuantLib Class Documentation

11.195 HullWhite Class Reference

#include <hullwhite.hpp>
Inheritance diagram for HullWhite:

Observer Observable

Model

OneFactorModel AffineModel

OneFactorAffineModel

Vasicek TermStructureConsistentModel

HullWhite

11.195.1 Detailed Description

Single-factor Hull-White (extended Vasicek(p. 669)) model class.

This class implements the standard single-factor Hull-White model defined by

drt = (θ(t) − αrt )dt + σdWt

where α and σ are constants.

Public Member Functions

• HullWhite (const RelinkableHandle< TermStructure > &termStructure, double a=0.1,
double sigma=0.01)
• Handle< Lattices::Lattice > tree (const TimeGrid &grid) const
Return by default a trinomial recombining tree.

• Handle< ShortRateDynamics > dynamics () const

returns the short-rate dynamics

• double discountBondOption (Option::Type type, double strike, Time maturity, Time bond-
Maturity) const

Protected Member Functions

• void generateArguments ()
• double A (Time t, Time T) const

The documentation for this class was generated from the following files:

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.195 HullWhite Class Reference 401

• ql/ShortRateModels/OneFactorModels/hullwhite.hpp
• ql/ShortRateModels/OneFactorModels/hullwhite.cpp

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402 QuantLib Class Documentation

11.196 HullWhite::Dynamics Class Reference

#include <hullwhite.hpp>

11.196.1 Detailed Description

Short-rate dynamics in the Hull-White model.

The short-rate is here
rt = ϕ(t) + xt
where ϕ(t) is the deterministic time-dependent parameter used for term-structure fitting and xt
is the state variable following an Ornstein-Uhlenbeck process.

Public Member Functions

• Dynamics (const Parameter &fitting, double a, double sigma)
• double variable (Time t, Rate r) const
• double shortRate (Time t, double x) const

The documentation for this class was generated from the following file:

• ql/ShortRateModels/OneFactorModels/hullwhite.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.197 HullWhite::FittingParameter Class Reference 403

11.197 HullWhite::FittingParameter Class Reference

#include <hullwhite.hpp>
Inheritance diagram for HullWhite::FittingParameter:

Bridge< Parameter, ParameterImpl >

Parameter

TermStructureFittingParameter

HullWhite::FittingParameter

11.197.1 Detailed Description

Analytical term-structure fitting parameter ϕ(t).

ϕ(t) is analytically defined by
1 σ(1 − e−at ) 2
ϕ(t) = f (t) + [ ] ,
2 a
where f (t) is the instantaneous forward rate at t.

Public Member Functions

• FittingParameter (const RelinkableHandle< TermStructure > &termStructure, double a,
double sigma)

The documentation for this class was generated from the following file:

• ql/ShortRateModels/OneFactorModels/hullwhite.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

404 QuantLib Class Documentation

11.198 ICGaussianRng Class Template Reference

#include <inversecumgaussianrng.hpp>

11.198.1 Detailed Description

template<class RNG, class I> class QuantLib::RandomNumbers::ICGaussianRng< RNG, I >

Inverse cumulative Gaussian random number generator.

It uses a uniform deviate in (0, 1) as the source of cumulative normal distribution values. Then
an inverse cumulative normal distribution is used as it is approximately a Gaussian deviate with
average 0.0 and standard deviation 1.0.
The uniform deviate is supplied by RNG.
Class RNG must implement the following interface:

RNG::sample_type RNG::next() const;

The inverse cumulative normal distribution is supplied by I.

Class I must implement the following interface:

I::I();
double I::operator() const;

Public Types
• typedef MonteCarlo::Sample< double > sample_type

Public Member Functions

• ICGaussianRng (const RNG &uniformGenerator)
• ICGaussianRng (long seed=0)
• sample_type next () const
returns next sample from the Gaussian distribution

11.198.2 Constructor & Destructor Documentation

11.198.2.1 ICGaussianRng (long seed = 0) [explicit]

Deprecated
initialize with a random number generator instead.

The documentation for this class was generated from the following file:

• ql/RandomNumbers/inversecumgaussianrng.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.199 ICGaussianRsg Class Template Reference 405

11.199 ICGaussianRsg Class Template Reference

#include <inversecumgaussianrsg.hpp>

11.199.1 Detailed Description

template<class USG, class I> class QuantLib::RandomNumbers::ICGaussianRsg< USG, I >

Inverse cumulative Gaussian random sequence generator.

It uses a sequence of uniform deviate in (0, 1) as the source of cumulative normal distribution
values. Then an inverse cumulative normal distribution is used as it is approximately a Gaussian
deviate with average 0.0 and standard deviation 1.0.
The uniform deviate sequence is supplied by USG.
Class USG must implement the following interface:

USG::sample_type USG::next() const;

Size USG::dimension() const;

The inverse cumulative normal distribution is supplied by I.

Class I must implement the following interface:

I::I();
double I::operator() const;

Public Types
• typedef MonteCarlo::Sample< Array > sample_type

Public Member Functions

• ICGaussianRsg (const USG &uniformSequenceGenerator)
• const sample_type & nextSequence () const
returns next sample from the Gaussian distribution

• const sample_type & lastSequence () const

• Size dimension () const

The documentation for this class was generated from the following file:

• ql/RandomNumbers/inversecumgaussianrsg.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

406 QuantLib Class Documentation

11.200 IllegalArgumentError Class Reference

#include <errors.hpp>
Inheritance diagram for IllegalArgumentError:

Error

IllegalArgumentError

11.200.1 Detailed Description

Specialized error.
Thrown upon passing an argument with an illegal value.

Public Member Functions

• IllegalArgumentError (const std::string &what="")

The documentation for this class was generated from the following file:

• ql/errors.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.201 IllegalResultError Class Reference 407

11.201 IllegalResultError Class Reference

#include <errors.hpp>
Inheritance diagram for IllegalResultError:

Error

IllegalResultError

11.201.1 Detailed Description

Specialized error.
Thrown upon obtaining a result outside the allowed range.

Public Member Functions

• IllegalResultError (const std::string &what="")

The documentation for this class was generated from the following file:

• ql/errors.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

408 QuantLib Class Documentation

11.202 ImplicitEuler Class Template Reference

#include <impliciteuler.hpp>
Inheritance diagram for ImplicitEuler:

MixedScheme<Operator>

ImplicitEuler

11.202.1 Detailed Description

template<class Operator> class QuantLib::FiniteDifferences::ImplicitEuler< Operator >

Backward Euler scheme for finite difference methods.

See sect. The finite differences framework(p. 31) for details on the method.
In this implementation, the passed operator must be derived from either TimeConstantOperator
or TimeDependentOperator. Also, it must implement at least the following interface:

typedef ... arrayType;

// copy constructor/assignment
// (these will be provided by the compiler if none is defined)
Operator(const Operator&);
Operator& operator=(const Operator&);

// inspectors
Size size();

// modifiers
void setTime(Time t);

// operator interface
arrayType solveFor(const arrayType&);
static Operator identity(Size size);

// operator algebra
Operator operator*(double, const Operator&);
Operator operator+(const Operator&, const Operator&);

Friends
• class FiniteDifferenceModel< ImplicitEuler< Operator > >

The documentation for this class was generated from the following file:

• ql/FiniteDifferences/impliciteuler.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.203 ImpliedTermStructure Class Reference 409

11.203 ImpliedTermStructure Class Reference

#include <impliedtermstructure.hpp>
Inheritance diagram for ImpliedTermStructure:

Observable

TermStructure

DiscountStructure Observer

ImpliedTermStructure

11.203.1 Detailed Description

Implied term structure at a given date in the future.

The given date will be the implied reference date.

Note:
This term structure will remain linked to the original structure, i.e., any changes in the latter
will be reflected in this structure as well.

Public Member Functions

• ImpliedTermStructure (const RelinkableHandle< TermStructure > &, const Date &new-
TodaysDate, const Date &newReferenceDate)

TermStructure interface

• DayCounter dayCounter () const

the day counter used for date/time conversion

• Date todaysDate () const

today’s date

• Date referenceDate () const

the reference date, i.e., the date at which discount = 1

• Date maxDate () const

the latest date for which the curve can return rates

• Time maxTime () const

the latest time for which the curve can return rates

Observer interface

• void update ()

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410 QuantLib Class Documentation

Protected Member Functions

• DiscountFactor discountImpl (Time, bool extrapolate=false) const
returns the discount factor as seen from the evaluation date

11.203.2 Member Function Documentation

11.203.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).
The documentation for this class was generated from the following file:

• ql/TermStructures/impliedtermstructure.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.204 ImpliedVolTermStructure Class Reference 411

11.204 ImpliedVolTermStructure Class Reference

#include <impliedvoltermstructure.hpp>
Inheritance diagram for ImpliedVolTermStructure:

Observable

BlackVolTermStructure

BlackVarianceTermStructure Observer

ImpliedVolTermStructure

11.204.1 Detailed Description

Implied vol term structure at a given date in the future.

The given date will be the implied reference date.

Note:
This term structure will remain linked to the original structure, i.e., any changes in the latter
will be reflected in this structure as well.
Warning:
It doesn’t make financial sense to have an asset-dependant implied Vol Term Structure. This
class should be used with term structures that are time dependant only

Public Member Functions

• ImpliedVolTermStructure (const RelinkableHandle< BlackVolTermStructure >
&originalTS, const Date &newReferenceDate)

BlackVolTermStructure interface
• Date referenceDate () const
returns the reference date for which t=0

• DayCounter dayCounter () const

returns the day counter

• Date maxDate () const

the latest date for which the term structure can return vols

Observer interface
• void update ()

Visitability
• virtual void accept (Patterns::AcyclicVisitor &)

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412 QuantLib Class Documentation

Protected Member Functions

• virtual double blackVarianceImpl (Time t, double strike, bool extrapolate=false) const
implements the actual Black variance calculation in derived classes

11.204.2 Member Function Documentation

11.204.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).
The documentation for this class was generated from the following file:

• ql/Volatilities/impliedvoltermstructure.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.205 InArrearIndexedCoupon Class Reference 413

11.205 InArrearIndexedCoupon Class Reference

#include <inarrearindexedcoupon.hpp>
Inheritance diagram for InArrearIndexedCoupon:

Observable

CashFlow

Coupon

FloatingRateCoupon Observer

IndexedCoupon

InArrearIndexedCoupon

11.205.1 Detailed Description

in arrear indexed coupon class

Warning:
This class does not perform any date adjustment, i.e., the start and end date passed upon
construction should be already rolled to a business day.

Public Member Functions

• InArrearIndexedCoupon (double nominal, const Date &paymentDate, const Handle< In-
dexes::Xibor > &index, const Date &startDate, const Date &endDate, int fixingDays, Spread
spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const
DayCounter &dayCounter=DayCounter())

FloatingRateCoupon interface

• Date fixingDate () const

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

The documentation for this class was generated from the following file:

• ql/CashFlows/inarrearindexedcoupon.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

414 QuantLib Class Documentation

11.206 IncrementalStatistics Class Reference

#include <incrementalstatistics.hpp>

11.206.1 Detailed Description

Statistics tool based on incremental accumulation.

It can accumulate a set of data and return statistics (e.g: mean, variance, skewness, kurtosis, error
estimation, etc.)

Warning:
high moments are numerically unstable for high average/standardDeviation ratios

Public Member Functions

Inspectors

• Size samples () const

number of samples collected

• double weightSum () const

sum of data weights

• double mean () const

• double variance () const
• double standardDeviation () const
• double downsideVariance () const
• double downsideDeviation () const
• double errorEstimate () const
• double skewness () const
• double kurtosis () const
• double min () const
• double max () const

Modifiers

• void add (double value, double weight=1.0)

adds a datum to the set, possibly with a weight

• template<class DataIterator> void addSequence (DataIterator begin, DataIterator end)

adds a sequence of data to the set, with default weight

• template<class DataIterator, class WeightIterator> void addSequence (DataIterator be-

gin, DataIterator end, WeightIterator wbegin)
adds a sequence of data to the set, each with its weight

• void reset ()
resets the data to a null set

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11.206 IncrementalStatistics Class Reference 415

Protected Attributes

• Size sampleNumber_
• Size downsideSampleNumber_
• double sampleWeight_
• double downsideSampleWeight_
• double sum_
• double quadraticSum_
• double downsideQuadraticSum_
• double cubicSum_
• double fourthPowerSum_
• double min_
• double max_

11.206.2 Member Function Documentation

11.206.2.1 double mean () const

returns the mean, defined as P

wi xi
hxi = P .
wi

11.206.2.2 double variance () const

returns the variance, defined as

N D E
(x − hxi)2 .
N−1

11.206.2.3 double standardDeviation () const

returns the standard deviation σ, defined as the square root of the variance.

11.206.2.4 double downsideVariance () const

returns the downside variance, defined as

PN
i=1 θ × xi
2
N
× PN
N−1 i=1 wi

, where θ = 0 if x > 0 and θ =1 if x <0

11.206.2.5 double downsideDeviation () const

returns the downside deviation, defined as the square root of the downside variance.

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416 QuantLib Class Documentation

11.206.2.6 double errorEstimate () const

returns the error estimate , defined as the square root of the ratio of the variance to the number
of samples.

11.206.2.7 double skewness () const

returns the skewness, defined as

D E
N2 (x − hxi)3
.
(N − 1)(N − 2) σ3

The above evaluates to 0 for a Gaussian distribution.

11.206.2.8 double kurtosis () const

returns the excess kurtosis, defined as

D E
N2 (N + 1) (x − hxi)4 3(N − 1)2
− .
(N − 1)(N − 2)(N − 3) σ4 (N − 2)(N − 3)

The above evaluates to 0 for a Gaussian distribution.

11.206.2.9 double min () const

returns the minimum sample value

11.206.2.10 double max () const

returns the maximum sample value

11.206.2.11 void add (double value, double weight = 1.0)

adds a datum to the set, possibly with a weight

Precondition:
weights must be positive or null

The documentation for this class was generated from the following files:

• ql/Math/incrementalstatistics.hpp
• ql/Math/incrementalstatistics.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.207 Index Class Reference 417

11.207 Index Class Reference

#include <index.hpp>
Inheritance diagram for Index:

Observable

Index

Xibor

11.207.1 Detailed Description

purely virtual base class for indexes

Public Member Functions

• virtual std::string name () const =0
Returns the name of the index.

• virtual Rate fixing (const Date &fixingDate) const =0

returns the fixing at the given date

11.207.2 Member Function Documentation

11.207.2.1 virtual std::string name () const [pure virtual]

Returns the name of the index.

Warning:
This method is used for output and comparison between indexes. It is not meant to be used
for writing switch-on-type code.

Implemented in Xibor (p. 676).

11.207.2.2 virtual Rate fixing (const Date & fixingDate) const [pure virtual]

returns the fixing at the given date

Note:
any date passed as arguments must be a value date, i.e., the real calendar date advanced by
a number of settlement days.

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418 QuantLib Class Documentation

Implemented in Xibor (p. 676).

The documentation for this class was generated from the following file:

• ql/index.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.208 IndexedCoupon Class Reference 419

11.208 IndexedCoupon Class Reference

#include <indexedcoupon.hpp>
Inheritance diagram for IndexedCoupon:

Observable

CashFlow

Coupon

FloatingRateCoupon Observer

IndexedCoupon

InArrearIndexedCoupon UpFrontIndexedCoupon

11.208.1 Detailed Description

base indexed coupon class

Warning:
This class does not perform any date adjustment, i.e., the start and end date passed upon
construction should be already rolled to a business day.

Public Member Functions

• IndexedCoupon (double nominal, const Date &paymentDate, const Handle< In-
dexes::Xibor > &index, const Date &startDate, const Date &endDate, int fixingDays, Spread
spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const
DayCounter &dayCounter=DayCounter())

CashFlow interface

• double amount () const

returns the amount of the cash flow

Coupon interface

• DayCounter dayCounter () const

day counter for accrual calculation

FloatingRateCoupon interface

• Rate fixing () const

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420 QuantLib Class Documentation

Inspectors

• const Handle< Indexes::Xibor > & index () const

Observer interface

• void update ()

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

11.208.2 Member Function Documentation

11.208.2.1 double amount () const [virtual]

returns the amount of the cash flow

Note:
The amount is not discounted, i.e., it is the actual amount paid at the cash flow date.

Implements CashFlow (p. 252).

11.208.2.2 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).
The documentation for this class was generated from the following file:

• ql/CashFlows/indexedcoupon.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.209 IndexError Class Reference 421

11.209 IndexError Class Reference

#include <errors.hpp>
Inheritance diagram for IndexError:

Error

IndexError

11.209.1 Detailed Description

Specialized error.
Thrown upon accessing an array or container outside its range.

Public Member Functions

• IndexError (const std::string &what="")

The documentation for this class was generated from the following file:

• ql/errors.hpp

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422 QuantLib Class Documentation

11.210 Instrument Class Reference

#include <instrument.hpp>
Inheritance diagram for Instrument:

Observable Observer

LazyObject

Instrument

CapFloor Stock Swap Option

Cap Collar Floor SimpleSwap BarrierOption BinaryOption Swaption VanillaOption

11.210.1 Detailed Description

Abstract instrument class.

This class is purely abstract and defines the interface of concrete instruments which will be derived
from this one.

Public Member Functions

• Instrument (const std::string &isinCode="", const std::string &description="")
• virtual void setupArguments (Arguments ∗) const

Inspectors

• std::string isinCode () const

returns the ISIN code of the instrument, when given.

• std::string description () const

returns a brief textual description of the instrument.

• double NPV () const

returns the net present value of the instrument.

• double errorEstimate () const

returns the error estimate on the NPV when available.

• virtual bool isExpired () const =0

returns whether the instrument is still tradable.

Modifiers

• void setPricingEngine (const Handle< PricingEngine > &)

set the pricing engine to be used.

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11.210 Instrument Class Reference 423

Protected Member Functions

Calculations

• void calculate () const

• virtual void setupExpired () const
• virtual void performCalculations () const

Protected Attributes
• Handle< PricingEngine > engine_

Results
The value of this attribute and any other that derived classes might declare must be set during calculation.
• double NPV_
• double errorEstimate_

11.210.2 Member Function Documentation

11.210.2.1 void setPricingEngine (const Handle< PricingEngine > &)

set the pricing engine to be used.

Warning:
calling this method will have no effects in case the performCalculation method was overrid-
den in a derived class.

11.210.2.2 void setupArguments (Arguments ∗) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overrid-
den to fill it. This is mandatory in case a pricing engine is used.
Reimplemented in BarrierOption (p. 183), BinaryOption (p. 198), CapFloor (p. 248), Forward-
VanillaOption (p. 366), QuantoForwardVanillaOption (p. 567), QuantoVanillaOption (p. 573),
SimpleSwap (p. 600), Swaption (p. 625), and VanillaOption (p. 665).

11.210.2.3 void calculate () const [protected, virtual]

This method performs all needed calculations by calling the performCalculations method.

Warning:
Objects cache the results of the previous calculation. Such results will be returned upon
later invocations of calculate. When the results depend on arguments which could change
between invocations, the lazy object must register itself as observer of such objects for the
calculations to be performed again when they change.
Should this method be redefined in derived classes, LazyObject::calculate() should be called
in the overriding method.

Reimplemented from LazyObject (p. 444).

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424 QuantLib Class Documentation

11.210.2.4 void setupExpired () const [protected, virtual]

This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented in BarrierOption (p. 183), BinaryOption (p. 198), QuantoVanillaOption (p. 573),
Swap (p. 622), and VanillaOption (p. 666).

11.210.2.5 void performCalculations () const [protected, virtual]

In case a pricing engine is not used, this method must be overridden to perform the actual calcu-
lations and set any needed results. In case a pricing engine is used, the default implementation
can be used.
Implements LazyObject (p. 444).
Reimplemented in BarrierOption (p. 183), BinaryOption (p. 198), ForwardVanillaOption
(p. 366), QuantoVanillaOption (p. 573), Stock (p. 615), Swap (p. 622), Swaption (p. 626), and
VanillaOption (p. 666).
The documentation for this class was generated from the following file:

• ql/instrument.hpp

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11.211 IntegerFormatter Class Reference 425

11.211 IntegerFormatter Class Reference

#include <dataformatters.hpp>

11.211.1 Detailed Description

Formats integers for output.

Static Public Member Functions

• std::string toString (long l, int digits=0)
• std::string toOrdinal (long l)
• std::string toPowerOfTwo (unsigned long l, int digits=0)

The documentation for this class was generated from the following files:

• ql/dataformatters.hpp
• ql/dataformatters.cpp

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426 QuantLib Class Documentation

11.212 IntegralEngine Class Reference

#include <vanillaengines.hpp>
Inheritance diagram for IntegralEngine:

PricingEngine

GenericEngine< Instruments::VanillaOption::arguments, Instruments::VanillaOption::results >

VanillaEngine

IntegralEngine

11.212.1 Detailed Description

Pricing engine for Vanilla options using integral approach.

Public Member Functions

• void calculate () const

The documentation for this class was generated from the following files:

• ql/PricingEngines/vanillaengines.hpp
• ql/PricingEngines/integralengines.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.213 Interpolation Class Template Reference 427

11.213 Interpolation Class Template Reference

#include <interpolation.hpp>
Inheritance diagram for Interpolation:

CubicSplineInterpolation< RandomAccessIterator1, RandomAccessIterator2 >

LinearInterpolation< RandomAccessIterator1, RandomAccessIterator2 >

Interpolation
LinearInterpolation< RandomAccessIterator1, typename std::vector< result_type >::const_iterator >

LogLinearInterpolation< RandomAccessIterator1, RandomAccessIterator2 >

11.213.1 Detailed Description

template<class RandomAccessIterator1, class RandomAccessIterator2> class Quant-

Lib::Math::Interpolation< RandomAccessIterator1, RandomAccessIterator2 >

abstract base class for 1-D interpolations

Classes derived from this class will override operator() to provide interpolated values from two
sequences of equal length, representing discretized values of a variable and a function of the
former, respectively.

Public Member Functions

• Interpolation (const RandomAccessIterator1 &xBegin, const RandomAccessIterator1 &x-

End, const RandomAccessIterator2 &yBegin)
• virtual result_type operator() (const argument_type &x, bool allowExtrapolation=false)
const =0

Public Attributes

• typedef< RandomAccessIterator1 >::value_type argument_type

• typedef< RandomAccessIterator2 >::value_type result_type

Protected Member Functions

• void locate (const argument_type &x) const

Protected Attributes

• bool isOutOfRange_
• RandomAccessIterator1 position_
• RandomAccessIterator1 xBegin_
• RandomAccessIterator1 xEnd_
• RandomAccessIterator2 yBegin_
• Size n_

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428 QuantLib Class Documentation

11.213.2 Member Function Documentation

11.213.2.1 virtual result_type operator() (const argument_type & x, bool allowExtrapolation

= false) const [pure virtual]

This operator must be overridden to provide an implementation of the actual interpolation.

Precondition:
The sequence of values for x must have been sorted for the result to make sense.

Implemented in CubicSplineInterpolation (p. 284), LinearInterpolation (p. 452), Log-

LinearInterpolation (p. 466), and LinearInterpolation< RandomAccessIterator1, typename
std::vector< result_type >::const_iterator > (p. 452).
The documentation for this class was generated from the following file:

• ql/Math/interpolation.hpp

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11.214 Interpolation2D Class Template Reference 429

11.214 Interpolation2D Class Template Reference

#include <interpolation2D.hpp>
Inheritance diagram for Interpolation2D:

BicubicSplineInterpolation< RandomAccessIteratorX, RandomAccessIteratorY, MatricialData >

Interpolation2D
BilinearInterpolation< RandomAccessIteratorX, RandomAccessIteratorY, MatricialData >

11.214.1 Detailed Description

template<class RandomAccessIteratorX, class RandomAccessIteratorY, class MatricialData>

class QuantLib::Math::Interpolation2D< RandomAccessIteratorX, RandomAccessIteratorY,
MatricialData >

abstract base class for 2-D interpolations

Classes derived from this class will override operator() to provide interpolated values from two
sequences of length N and M, representing the discretized values of the x,y variables, and a NxM
matrix representing the function tabulated z values.

Todo
Bicubic interpolation and bicubic spline

Public Types

• typedef double result_type

Public Member Functions

• Interpolation2D (const RandomAccessIteratorX &xBegin, const RandomAccessIteratorX

&xEnd, const RandomAccessIteratorY &yBegin, const RandomAccessIteratorY &yEnd,
const MatricialData &data)
• virtual double operator() (const first_argument_type &x, const second_argument_type &y,
bool allowExtrapolation=false) const =0

Public Attributes

• typedef< RandomAccessIteratorX >::value_type first_argument_type

• typedef< RandomAccessIteratorY >::value_type second_argument_type

Protected Member Functions

• void locate (const first_argument_type &x, const second_argument_type &y) const

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430 QuantLib Class Documentation

Protected Attributes
• bool isOutOfRange_
• RandomAccessIteratorX xPos_
• RandomAccessIteratorY yPos_
• RandomAccessIteratorX xBegin_
• RandomAccessIteratorX xEnd_
• RandomAccessIteratorY yBegin_
• RandomAccessIteratorY yEnd_
• const MatricialData & data_

11.214.2 Member Function Documentation

11.214.2.1 virtual double operator() (const first_argument_type & x, const

second_argument_type & y, bool allowExtrapolation = false) const [pure
virtual]

This operator must be overridden to provide an implementation of the actual interpolation.

Precondition:
The sequence of values for x must have been sorted for the result to make sense.

Implemented in BicubicSplineInterpolation (p. 191), and BilinearInterpolation (p. 193).

The documentation for this class was generated from the following file:

• ql/Math/interpolation2D.hpp

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11.215 InverseCumulativeNormal Class Reference 431

11.215 InverseCumulativeNormal Class Reference

#include <normaldistribution.hpp>

11.215.1 Detailed Description

Inverse cumulative normal distribution function.

Given x between zero and one as the integral value of a gaussian normal distribution this class
provides the value y such that formula here ...
It use Acklam’s approximation: by Peter J. Acklam, University of Oslo, Statistics Division. URL:
http://home.online.no/∼pjacklam/notes/invnorm/index.html
This class can also be used to generate a gaussian normal distribution from a uniform distribution.
This is especially useful when a gaussian normal distribution is generated from a low discrepancy
uniform distribution: in this case the traditional Box-Muller approach and its variants would not
preserve the sequence’s low-discrepancy.

Public Member Functions

• InverseCumulativeNormal (double average=0.0, double sigma=1.0)
• double operator() (double x) const

The documentation for this class was generated from the following files:

• ql/Math/normaldistribution.hpp
• ql/Math/normaldistribution.cpp

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432 QuantLib Class Documentation

11.216 JamshidianSwaption Class Reference

#include <jamshidianswaption.hpp>
Inheritance diagram for JamshidianSwaption:

GenericModelEngine< ShortRateModels::OneFactorAffineModel, Instruments::Swaption::arguments, Instruments::Swaption::results > JamshidianSwaption

11.216.1 Detailed Description

Jamshidian swaption pricer.

Public Member Functions

• JamshidianSwaption (const Handle< ShortRateModels::OneFactorAffineModel >
&modl)
• void calculate () const

Friends
• class rStarFinder

The documentation for this class was generated from the following files:

• ql/Pricers/jamshidianswaption.hpp
• ql/Pricers/jamshidianswaption.cpp

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11.217 JarrowRudd Class Reference 433

11.217 JarrowRudd Class Reference

#include <binomialtree.hpp>
Inheritance diagram for JarrowRudd:

Tree

BinomialTree

EqualProbabilitiesBinomialTree

JarrowRudd

11.217.1 Detailed Description

Jarrow-Rudd (multiplicative) equal probabilities binomial tree.

Public Member Functions

• JarrowRudd (const Handle< DiffusionProcess > &process, Time end, Size steps)

The documentation for this class was generated from the following files:

• ql/Lattices/binomialtree.hpp
• ql/Lattices/binomialtree.cpp

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434 QuantLib Class Documentation

11.218 Johannesburg Class Reference

#include <johannesburg.hpp>
Inheritance diagram for Johannesburg:

Bridge< Calendar, CalendarImpl >

Calendar

Johannesburg

11.218.1 Detailed Description

Johannesburg calendar
Holidays:

• Saturdays
• Sundays
• New Year’s Day, January 1st (possibly moved to Monday)
• Good Friday
• Family Day, Easter Monday
• Human Rights Day, March 21st (possibly moved to Monday)
• Freedom Day, April 27th (possibly moved to Monday)
• Workers Day, May 1st (possibly moved to Monday)
• Youth Day, June 16th (possibly moved to Monday)
• National Women’s Day, August 9th (possibly moved to Monday)
• Heritage Day, September 24th (possibly moved to Monday)
• Day of Reconciliation, December 16th (possibly moved to Monday)
• Christmas December 25th

• Day of Goodwill December 26th (possibly moved to Monday)

The documentation for this class was generated from the following file:

• ql/Calendars/johannesburg.hpp

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11.219 JointCalendar Class Reference 435

11.219 JointCalendar Class Reference

#include <jointcalendar.hpp>
Inheritance diagram for JointCalendar:

Bridge< Calendar, CalendarImpl >

Calendar

JointCalendar

11.219.1 Detailed Description

Joint calendar.
Depending on the chosen rule, this calendar has a set of business days given by either the union
or the intersection of the sets of business days of the given calendars.

Public Member Functions

• JointCalendar (const Calendar &, const Calendar &, JointCalendarRule=JoinHolidays)
• JointCalendar (const Calendar &, const Calendar &, const Calendar &, JointCalendar-
Rule=JoinHolidays)
• JointCalendar (const Calendar &, const Calendar &, const Calendar &, const Calendar &,
JointCalendarRule=JoinHolidays)

The documentation for this class was generated from the following files:

• ql/Calendars/jointcalendar.hpp
• ql/Calendars/jointcalendar.cpp

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436 QuantLib Class Documentation

11.220 JPYLibor Class Reference

#include <jpylibor.hpp>
Inheritance diagram for JPYLibor:

Observable

Index Observer

Xibor

JPYLibor

11.220.1 Detailed Description

JPY Libor index (Also known as TIBOR, check settlement days)

Public Member Functions

• JPYLibor (int n, TimeUnit units, const RelinkableHandle< TermStructure > &h, const
DayCounter &dc=DayCounters::Actual360())

The documentation for this class was generated from the following file:

• ql/Indexes/jpylibor.hpp

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11.221 KnuthUniformRng Class Reference 437

11.221 KnuthUniformRng Class Reference

#include <knuthuniformrng.hpp>

11.221.1 Detailed Description

Uniform random number generator.

Random number generator by Knuth. For more details see Knuth, Seminumerical Algorithms,
3rd edition, Section 3.6.

Note:
This is not Knuth’s original implementation which is available at
http://www-cs-faculty.stanford.edu/∼knuth/programs.html, but rather a slightly
modified version wrapped in a C++ class. Such modifications did not affect the code but
only the data structures used, which were converted to their standard C++ equivalents.

Public Types
• typedef MonteCarlo::Sample< double > sample_type

Public Member Functions

• KnuthUniformRng (long seed=0)
• sample_type next () const

11.221.2 Constructor & Destructor Documentation

11.221.2.1 KnuthUniformRng (long seed = 0) [explicit]

if the given seed is 0, a random seed will be chosen based on clock()

11.221.3 Member Function Documentation

11.221.3.1 KnuthUniformRng::sample_type next () const

returns a sample with weight 1.0 containing a random number uniformly chosen from (0.0,1.0)
The documentation for this class was generated from the following files:

• ql/RandomNumbers/knuthuniformrng.hpp
• ql/RandomNumbers/knuthuniformrng.cpp

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438 QuantLib Class Documentation

11.222 KronrodIntegral Class Reference

#include <kronrodintegral.hpp>

11.222.1 Detailed Description

Integral of a 1-dimensional function using the Gauss-Kronrod method.

References: Gauss-Kronrod Integration http://mathcssun1.emporia.edu/∼oneilcat/Experiment-
Applet3/ExperimentApplet3.html NMS - Numerical Analysis Library
http://www.math.iastate.edu/burkardt/f_src/nms/nms.html

Public Member Functions

• KronrodIntegral (double tolerance, Size maxFunctionEvaluations=Null< int >())
• template<class F> double operator() (const F &f, double a, double b) const
• Size functionEvaluations ()

The documentation for this class was generated from the following file:

• ql/Math/kronrodintegral.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.223 Lattice Class Reference 439

11.223 Lattice Class Reference

#include <lattice.hpp>
Inheritance diagram for Lattice:

NumericalMethod

Lattice

BlackScholesLattice Lattice2D ShortRateTree

ShortRateTree

11.223.1 Detailed Description

Lattice-method base class.

This class defines a lattice method that is able to rollback (with discount) a discretized asset object.
It will usually be based on one or more trees.

Public Member Functions

• Lattice (const TimeGrid &timeGrid, Size n)
• double presentValue (const Handle< DiscretizedAsset > &asset)
Computes the present value of an asset using Arrow-Debrew prices.

• void initialize (const Handle< DiscretizedAsset > &asset, Time t) const

Initialize a DiscretizedAsset(p. 308) object.

• void rollback (const Handle< DiscretizedAsset > &asset, Time to) const
• void rollAlmostBack (const Handle< DiscretizedAsset > &asset, Time to) const
• virtual Size size (Size i) const =0
• virtual DiscountFactor discount (Size i, Size index) const =0
Discount factor at time t_i and node indexed by index.

• const Array & statePrices (Size i)

• virtual Size descendant (Size i, Size index, Size branch) const =0
Tree(p. 648) properties.

• virtual double probability (Size i, Size index, Size branch) const =0

Protected Member Functions

• void computeStatePrices (Size until)
• virtual void stepback (Size i, const Array &values, Array &newValues) const

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440 QuantLib Class Documentation

Protected Attributes
• std::vector< Array > statePrices_

11.223.2 Member Function Documentation

11.223.2.1 void rollback (const Handle< DiscretizedAsset > & asset, Time to) const
[virtual]

Roll back a DiscretizedAsset(p. 308) object until a certain time, performing any needed adjustment
Implements NumericalMethod (p. 522).

11.223.2.2 void rollAlmostBack (const Handle< DiscretizedAsset > & asset, Time to) const
[virtual]

Roll-back a DiscretizedAsset(p. 308) object until a certain time, but do not perform the final
adjustment.
Implements NumericalMethod (p. 522).
The documentation for this class was generated from the following files:

• ql/Lattices/lattice.hpp
• ql/Lattices/lattice.cpp

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11.224 Lattice2D Class Reference 441

11.224 Lattice2D Class Reference

#include <lattice2d.hpp>
Inheritance diagram for Lattice2D:

NumericalMethod

Lattice

Lattice2D

ShortRateTree

11.224.1 Detailed Description

Two-dimensional lattice.
This lattice is based on two trinomial trees and primarly used for the G2 short-rate model.

Public Member Functions

• Lattice2D (const Handle< TrinomialTree > &tree1, const Handle< TrinomialTree > &tree2,
double correlation)
• Size size (Size i) const

Protected Member Functions

• Size descendant (Size i, Size index, Size branch) const
Tree(p. 648) properties.

• double probability (Size i, Size index, Size branch) const

Protected Attributes
• Handle< Tree > tree1_
• Handle< Tree > tree2_

The documentation for this class was generated from the following files:

• ql/Lattices/lattice2d.hpp
• ql/Lattices/lattice2d.cpp

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442 QuantLib Class Documentation

11.225 LatticeShortRateModelEngine Class Template Reference

#include <latticeshortratemodelengine.hpp>
Inheritance diagram for LatticeShortRateModelEngine:

TreeCapFloor< Instruments::CapFloor::arguments, Instruments::CapFloor::results >

GenericModelEngine< ShortRateModels::Model, Arguments, Results > LatticeShortRateModelEngine
TreeSwaption< Instruments::Swaption::arguments, Instruments::Swaption::results >

11.225.1 Detailed Description

template<class Arguments, class Results> class QuantLib::PricingEngines::LatticeShortRate-

ModelEngine< Arguments, Results >

Engine for a short-rate model specialized on a lattice.

Derived engines only need to implement the calculate() method

Public Member Functions

• LatticeShortRateModelEngine (const Handle< ShortRateModels::Model > &model, Size
timeSteps)
• LatticeShortRateModelEngine (const Handle< ShortRateModels::Model > &model, const
TimeGrid &timeGrid)
• void update ()

Protected Attributes
• TimeGrid timeGrid_
• Size timeSteps_
• Handle< Lattices::Lattice > lattice_

11.225.2 Member Function Documentation

11.225.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Reimplemented from GenericModelEngine (p. 382).
The documentation for this class was generated from the following file:

• ql/PricingEngines/latticeshortratemodelengine.hpp

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11.226 LazyObject Class Reference 443

11.226 LazyObject Class Reference

#include <lazyobject.hpp>
Inheritance diagram for LazyObject:

Observable Observer

LazyObject

Instrument PiecewiseFlatForward

CapFloor Stock Swap Option

Cap Collar Floor SimpleSwap BarrierOption BinaryOption Swaption VanillaOption

11.226.1 Detailed Description

Framework for calculation on demand and result caching.

Calculations

These methods do not modify the structure of the object and are therefore declared as const. Data
members which will be calculated on demand need to be declared as mutable.

• void recalculate ()
• void freeze ()
• void unfreeze ()
• virtual void calculate () const
• virtual void performCalculations () const =0

Public Member Functions

Observer interface

• void update ()

Protected Attributes

• bool calculated_
• bool frozen_

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444 QuantLib Class Documentation

11.226.2 Member Function Documentation

11.226.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).

11.226.2.2 void recalculate ()

This method force the recalculation of any results which would otherwise be cached. It is not
declared as const since it needs to call the non-const notifyObservers method.

Note:
Explicit invocation of this method is not necessary if the object registered itself as observer
with the structures on which such results depend. It is strongly advised to follow this policy
when possible.

11.226.2.3 void freeze ()

This method constrains the object to return the presently cached results on successive invocations,
even if arguments upon which they depend should change.

11.226.2.4 void unfreeze ()

This method reverts the effect of the freeze method, thus re-enabling recalculations.

11.226.2.5 void calculate () const [protected, virtual]

This method performs all needed calculations by calling the performCalculations method.

Warning:
Objects cache the results of the previous calculation. Such results will be returned upon
later invocations of calculate. When the results depend on arguments which could change
between invocations, the lazy object must register itself as observer of such objects for the
calculations to be performed again when they change.
Should this method be redefined in derived classes, LazyObject::calculate()(p. 444) should
be called in the overriding method.

Reimplemented in Instrument (p. 423).

11.226.2.6 virtual void performCalculations () const [protected, pure virtual]

This method must implement any calculations which must be (re)done in order to calculate the
desired results.

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11.226 LazyObject Class Reference 445

Implemented in Instrument (p. 424), BarrierOption (p. 183), BinaryOption (p. 198), Forward-
VanillaOption (p. 366), QuantoVanillaOption (p. 573), Stock (p. 615), Swap (p. 622), Swaption
(p. 626), and VanillaOption (p. 666).
The documentation for this class was generated from the following file:

• ql/Patterns/lazyobject.hpp

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446 QuantLib Class Documentation

11.227 LeastSquareFunction Class Reference

#include <leastsquare.hpp>
Inheritance diagram for LeastSquareFunction:

CostFunction

LeastSquareFunction

11.227.1 Detailed Description

Design a least square function as a cost function using the interface provided by LeastSquare-
Problem(p. 447) class. Array(p. 173) vector class requires function DotProduct() that computes
dot product and - operator. M matrix class requires function transpose() that computes transpose
and ∗ operator with vector class.

Public Member Functions

• LeastSquareFunction (LeastSquareProblem &lsp)
Default constructor.

• virtual ∼LeastSquareFunction ()
Destructor.

• virtual double value (const Array &x) const

compute value of the least square function

• virtual void gradient (Array &grad_f, const Array &x) const

compute vector of derivatives of the least square function

• virtual double valueAndGradient (Array &grad_f, const Array &x) const

compute value and gradient of the least square function

Protected Attributes
• LeastSquareProblem & lsp_
least square problem

The documentation for this class was generated from the following file:

• ql/Optimization/leastsquare.hpp

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11.228 LeastSquareProblem Class Reference 447

11.228 LeastSquareProblem Class Reference

#include <leastsquare.hpp>

11.228.1 Detailed Description

Base class for least square problem.

Public Member Functions

• virtual int size ()=0
size of the problem ie size of target vector

• virtual void targetAndValue (const Array &x, Array &target, Array &fct2fit)=0
compute the target vector and the values of the fonction to fit

• virtual void targetValueAndGradient (const Array &x, Math::Matrix &grad_fct2fit, Array

&target, Array &fct2fit)=0

11.228.2 Member Function Documentation

11.228.2.1 virtual void targetValueAndGradient (const Array & x, Math::Matrix &

grad_fct2fit, Array & target, Array & fct2fit) [pure virtual]

compute the target vector, the values of the fonction to fit and the matrix of derivatives
The documentation for this class was generated from the following file:

• ql/Optimization/leastsquare.hpp

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448 QuantLib Class Documentation

11.229 LecuyerUniformRng Class Reference

#include <lecuyeruniformrng.hpp>

11.229.1 Detailed Description

Uniform random number generator.

Random number generator of L’Ecuyer with added Bays-Durham shuffle (know as ran2 in Nu-
merical recipes)
For more details see Section 7.1 of Numerical Recipes in C, 2nd Edition, Cambridge University
Press (available at http://www.nr.com/)

Public Types
• typedef MonteCarlo::Sample< double > sample_type

Public Member Functions

• LecuyerUniformRng (long seed=0)
• sample_type next () const

11.229.2 Constructor & Destructor Documentation

11.229.2.1 LecuyerUniformRng (long seed = 0) [explicit]

if the given seed is 0, a random seed will be chosen based on clock()

11.229.3 Member Function Documentation

11.229.3.1 LecuyerUniformRng::sample_type next () const

returns a sample with weight 1.0 containing a random number uniformly chosen from (0.0,1.0)
The documentation for this class was generated from the following files:

• ql/RandomNumbers/lecuyeruniformrng.hpp
• ql/RandomNumbers/lecuyeruniformrng.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.230 LexicographicalView Class Template Reference 449

11.230 LexicographicalView Class Template Reference

#include <lexicographicalview.hpp>

11.230.1 Detailed Description

template<class RandomAccessIterator> class QuantLib::Math::LexicographicalView<

RandomAccessIterator >

Lexicographical 2-D view of a contiguous set of data.

This view can be used to easily store a discretized 2-D function in an array to be used in a finite
differences calculation.

Public Types
• typedef RandomAccessIterator x_iterator
iterates over vi j with j fixed.

• typedef Utilities::stepping_iterator< RandomAccessIterator > y_iterator

iterates over vi j with i fixed.

Public Member Functions

• LexicographicalView (const RandomAccessIterator &begin, const RandomAccessIterator
&end, int xSize)
attaches the view with the given dimension to a sequence

• typedef QL_REVERSE_ITERATOR (RandomAccessIterator, typename 1< RandomAccess-

Iterator >::value_type) reverse_x_iterator
iterates backwards over vi j with j fixed.

• typedef QL_REVERSE_ITERATOR (y_iterator, typename 1< RandomAccessIterator

>::value_type) reverse_y_iterator
iterates backwards over vi j with i fixed.

Element access

• y_iterator operator[ ] (int i)

Iterator access

• x_iterator xbegin (int j)

• x_iterator xend (int j)
• reverse_x_iterator rxbegin (int j)
• reverse_x_iterator rxend (int j)
• y_iterator ybegin (int i)
• y_iterator yend (int i)
• reverse_y_iterator rybegin (int i)

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450 QuantLib Class Documentation

• reverse_y_iterator ryend (int i)

Inspectors

• int xSize () const

dimension of the array along x

• int ySize () const

dimension of the array along y

The documentation for this class was generated from the following file:

• ql/Math/lexicographicalview.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.231 Linear Class Reference 451

11.231 Linear Class Reference

#include <interpolationtraits.hpp>

11.231.1 Detailed Description

linear interpolation traits

Static Public Member Functions

• template<class I1, class I2> Handle< Interpolation< I1, I2 > > make_interpolation (const
I1 &xBegin, const I1 &xEnd, const I2 &yBegin)
• template<class I1, class I2, class M> Handle< Interpolation2D< I1, I2, M > > make_-
interpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const I2 &yEnd, const
M &z)

The documentation for this class was generated from the following file:

• ql/Math/interpolationtraits.hpp

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452 QuantLib Class Documentation

11.232 LinearInterpolation Class Template Reference

#include <linearinterpolation.hpp>
Inheritance diagram for LinearInterpolation:

Interpolation<RandomAccessIterator1,RandomAccessIterator2>

LinearInterpolation

11.232.1 Detailed Description

template<class RandomAccessIterator1, class RandomAccessIterator2> class Quant-

Lib::Math::LinearInterpolation< RandomAccessIterator1, RandomAccessIterator2 >

linear interpolation between discrete points

Public Member Functions

• LinearInterpolation (const RandomAccessIterator1 &xBegin, const RandomAccess-
Iterator1 &xEnd, const RandomAccessIterator2 &yBegin)
• result_type operator() (const argument_type &x, bool allowExtrapolation=false) const

Public Attributes
• typedef< RandomAccessIterator1 >::value_type argument_type
• typedef< RandomAccessIterator2 >::value_type result_type

11.232.2 Member Function Documentation

11.232.2.1 result_type operator() (const argument_type & x, bool allowExtrapolation = false)

const [virtual]

This operator must be overridden to provide an implementation of the actual interpolation.

Precondition:
The sequence of values for x must have been sorted for the result to make sense.

Implements Interpolation (p. 428).

The documentation for this class was generated from the following file:

• ql/Math/linearinterpolation.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.233 LineSearch Class Reference 453

11.233 LineSearch Class Reference

#include <linesearch.hpp>
Inheritance diagram for LineSearch:

LineSearch

ArmijoLineSearch

11.233.1 Detailed Description

Base class for line search.

Public Member Functions

• LineSearch (double eps=1e-8)
Default constructor.

• virtual ∼LineSearch ()
Destructor.

• const Array & lastX ()

return last x value

• double lastFunctionValue ()
return last cost function value

• const Array & lastGradient ()

return last gradient

• double lastGradientNorm2 ()
return square norm of last gradient

• bool succeed ()
• virtual double operator() (const Problem &P, double t_ini)=0
Perform line search.

• double update (Array &params, const Array &direction, double beta, const Constraint
&constraint)

Protected Attributes
• Array xtd_
new x and its gradient

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454 QuantLib Class Documentation

• Array gradient_
new x and its gradient

• double qt_
cost function value and gradient norm corresponding to xtd_

• double qpt_
cost function value and gradient norm corresponding to xtd_

• bool succeed_
flag to know if linesearch succeed

The documentation for this class was generated from the following file:

• ql/Optimization/linesearch.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.234 Link Class Template Reference 455

11.234 Link Class Template Reference

#include <relinkablehandle.hpp>
Inheritance diagram for Link:

Observable Observer

Link

11.234.1 Detailed Description

template<class Type> class QuantLib::Link< Type >

Relinkable access to a Handle(p. 390).

Precondition:
Class "Type" must inherit from Observable

Public Member Functions

• Link (const Handle< Type > &h=Handle< Type >(), bool registerAsObserver=true)
• void linkTo (const Handle< Type > &h, bool registerAsObserver=true)
• bool isNull () const
Checks if the contained handle points to anything.

• const Handle< Type > & currentLink () const

Returns the contained handle.

• void update ()
Observer interface.

11.234.2 Constructor & Destructor Documentation

11.234.2.1 Link (const Handle< Type > & h = Handle< Type >(), bool registerAsObserver =
true) [explicit]

Warning:
see the documentation of the linkTo method for issues relatives to registerAsObserver.

11.234.3 Member Function Documentation

11.234.3.1 void linkTo (const Handle< Type > & h, bool registerAsObserver = true)

Warning:
registerAsObserver is left as a backdoor in case the programmer cannot guarantee that the
object pointed to will remain alive for the whole lifetime of the handle—namely, it should be

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456 QuantLib Class Documentation

set to false when the passed handle was created with owns = false (the latter should only
happen in a controlled environment, so that the programmer is aware of it). Failure to do so
can very likely result in a program crash. If the programmer does want the relinkable handle
to register as observer of such a handle, it is his responsibility to ensure that the relinkable
handle gets destroyed before the pointed object does.

The documentation for this class was generated from the following file:

• ql/relinkablehandle.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.235 LocalConstantVol Class Reference 457

11.235 LocalConstantVol Class Reference

#include <localconstantvol.hpp>
Inheritance diagram for LocalConstantVol:

Observable

LocalVolTermStructure Observer

LocalConstantVol

11.235.1 Detailed Description

Constant local volatility, no time-strike dependence.

This class implements the LocalVolatilityTermStructure interface for a constant local volatility (no
time/asset dependence). Local volatility and Black volatility are the same when volatility is at
most time dependent, so this class is basically a proxy for BlackVolatilityTermStructure(p. 221).

Public Member Functions

• LocalConstantVol (const Date &referenceDate, double volatility, const DayCounter &day-

Counter=DayCounters::Actual365())
• LocalConstantVol (const Date &referenceDate, const RelinkableHandle< MarketElement
> &volatility, const DayCounter &dayCounter=DayCounters::Actual365())

LocalVolTermStructure interface

• Date referenceDate () const

returns the reference date for which t=0

• DayCounter dayCounter () const

returns the day counter

• Date maxDate () const

the latest date for which the term structure can return vols

Observer interface

• void update ()

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

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458 QuantLib Class Documentation

11.235.2 Member Function Documentation

11.235.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).
The documentation for this class was generated from the following file:

• ql/Volatilities/localconstantvol.hpp

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11.236 LocalVolCurve Class Reference 459

11.236 LocalVolCurve Class Reference

#include <localvolcurve.hpp>
Inheritance diagram for LocalVolCurve:

Observable

LocalVolTermStructure Observer

LocalVolCurve

11.236.1 Detailed Description

Local volatility curve derived from a Black curve.

Public Member Functions

• LocalVolCurve (const RelinkableHandle< BlackVarianceCurve > &curve)

LocalVolTermStructure interface

• Date referenceDate () const

returns the reference date for which t=0

• DayCounter dayCounter () const

returns the day counter

• Date maxDate () const

the latest date for which the term structure can return vols

Observer interface

• void update ()

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

Protected Member Functions

• double localVolImpl (Time, double, bool extrapolate) const

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460 QuantLib Class Documentation

11.236.2 Member Function Documentation

11.236.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).

11.236.2.2 double localVolImpl (Time t, double dummy, bool extrapolate) const

[protected, virtual]

The relation Z T
σ2L (t)dt = σ2B T
0

holds, where σL (t) is the local volatility at time t and σB (T) is the Black volatility for maturity T.
From the above, the formula r
d 2
σL (t) = σ (t)t
dt B
can be deduced which is here implemented.
Implements LocalVolTermStructure (p. 464).
The documentation for this class was generated from the following file:

• ql/Volatilities/localvolcurve.hpp

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11.237 LocalVolSurface Class Reference 461

11.237 LocalVolSurface Class Reference

#include <localvolsurface.hpp>
Inheritance diagram for LocalVolSurface:

Observable

LocalVolTermStructure Observer

LocalVolSurface

11.237.1 Detailed Description

Local volatility surface derived from a Black vol surface.

For details about this implementation refers to "Stochastic Volatility and Local Volatility", by Jim
Gatheral www.math.nyu.edu/fellows_fin_math/gatheral/Lecture1_Fall02.pdf

Public Member Functions

• LocalVolSurface (const RelinkableHandle< BlackVolTermStructure > &blackTS, const

RelinkableHandle< TermStructure > &riskFreeTS, const RelinkableHandle< Term-
Structure > &dividendTS, const RelinkableHandle< MarketElement > &underlying)
• LocalVolSurface (const RelinkableHandle< BlackVolTermStructure > &blackTS, const
RelinkableHandle< TermStructure > &riskFreeTS, const RelinkableHandle< Term-
Structure > &dividendTS, double underlying)

LocalVolTermStructure interface

• Date referenceDate () const

returns the reference date for which t=0

• DayCounter dayCounter () const

returns the day counter

• Date maxDate () const

the latest date for which the term structure can return vols

Observer interface

• void update ()

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

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462 QuantLib Class Documentation

Protected Member Functions

• double localVolImpl (Time, double, bool extrapolate) const
implements the actual local vol calculation in derived classes

11.237.2 Member Function Documentation

11.237.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).
The documentation for this class was generated from the following files:

• ql/Volatilities/localvolsurface.hpp
• ql/Volatilities/localvolsurface.cpp

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11.238 LocalVolTermStructure Class Reference 463

11.238 LocalVolTermStructure Class Reference

#include <voltermstructure.hpp>
Inheritance diagram for LocalVolTermStructure:

Observable

LocalVolTermStructure

LocalConstantVol LocalVolCurve LocalVolSurface

11.238.1 Detailed Description

Local Volatility Term structure.

This abstract class defines the interface of concrete local volatility term structures which will be
derived from this one.
Volatilities are assumed to be expressed on an annual basis.

Public Member Functions

Local Volatility

• double localVol (const Date &d, double underlyingLevel, bool extrapolate=false) const
• double localVol (Time t, double underlyingLevel, bool extrapolate=false) const

Dates

• virtual Date referenceDate () const =0

returns the reference date for which t=0

• virtual DayCounter dayCounter () const =0

returns the day counter

• virtual Date maxDate () const =0

the latest date for which the term structure can return vols

• Time maxTime () const

the latest time for which the term structure can return vols

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

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464 QuantLib Class Documentation

Protected Member Functions

• virtual double localVolImpl (Time t, double strike, bool extrapolate=false) const =0
implements the actual local vol calculation in derived classes

The documentation for this class was generated from the following files:

• ql/voltermstructure.hpp
• ql/voltermstructure.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.239 LogLinear Class Reference 465

11.239 LogLinear Class Reference

#include <interpolationtraits.hpp>

11.239.1 Detailed Description

log-linear interpolation traits

Static Public Member Functions

• template<class I1, class I2> Handle< Interpolation< I1, I2 > > make_interpolation (const
I1 &xBegin, const I1 &xEnd, const I2 &yBegin)

The documentation for this class was generated from the following file:

• ql/Math/interpolationtraits.hpp

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466 QuantLib Class Documentation

11.240 LogLinearInterpolation Class Template Reference

#include <loglinearinterpolation.hpp>
Inheritance diagram for LogLinearInterpolation:

Interpolation<RandomAccessIterator1,RandomAccessIterator2>

LogLinearInterpolation

11.240.1 Detailed Description

template<class RandomAccessIterator1, class RandomAccessIterator2> class Quant-

Lib::Math::LogLinearInterpolation< RandomAccessIterator1, RandomAccessIterator2 >

log linear interpolation between discrete points

Public Member Functions

• LogLinearInterpolation (const RandomAccessIterator1 &xBegin, const RandomAccess-
Iterator1 &xEnd, const RandomAccessIterator2 &yBegin)
• result_type operator() (const argument_type &x, bool allowExtrapolation=false) const

Public Attributes
• typedef< RandomAccessIterator1 >::value_type argument_type
• typedef< RandomAccessIterator2 >::value_type result_type

11.240.2 Member Function Documentation

11.240.2.1 result_type operator() (const argument_type & x, bool allowExtrapolation = false)

const [virtual]

This operator must be overridden to provide an implementation of the actual interpolation.

Precondition:
The sequence of values for x must have been sorted for the result to make sense.

Implements Interpolation (p. 428).

The documentation for this class was generated from the following file:

• ql/Math/loglinearinterpolation.hpp

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11.241 London Class Reference 467

11.241 London Class Reference

#include <london.hpp>
Inheritance diagram for London:

Bridge< Calendar, CalendarImpl >

Calendar

London

11.241.1 Detailed Description

London calendar
Holidays:

• Saturdays
• Sundays
• New Year’s Day, January 1st (possibly moved to Monday)
• Good Friday
• Easter Monday
• Early May Bank Holiday, first Monday of May
• Spring Bank Holiday, last Monday of May
• Summer Bank Holiday, last Monday of August
• Christmas, December 25th (possibly moved to Monday or Tuesday)
• Boxing Day, December 26th (possibly moved to Monday or Tuesday)

The documentation for this class was generated from the following file:

• ql/Calendars/london.hpp

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468 QuantLib Class Documentation

11.242 lowest_category_iterator Struct Template Reference

#include <iteratorcategories.hpp>

11.242.1 Detailed Description

template<class Category1, class Category2> struct QuantLib::Utilities::lowest_category_-

iterator< Category1, Category2 >

most generic of two given iterator categories

Specializations of this struct define a typedef iterator_category which corresponds to the most
generic of the two input categories, e.g., lowest_category_iterator(p. 468)<std::random_access_-
iterator_tag, std::forward_iterator_tag>::iterator_category corresponds to std::forward_iterator_-
tag.
The documentation for this struct was generated from the following file:

• ql/Utilities/iteratorcategories.hpp

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11.243 MakeSchedule Class Reference 469

11.243 MakeSchedule Class Reference

#include <scheduler.hpp>

11.243.1 Detailed Description

helper class
This class provides a more comfortable interface to the argument list of Schedule’s constructor.

Public Member Functions

• MakeSchedule (const Calendar &calendar, const Date &startDate, const Date &endDate,
int frequency, RollingConvention rollingConvention, bool isAdjusted)
• MakeSchedule & withStubDate (const Date &d)
• MakeSchedule & backwards (bool flag=true)
• MakeSchedule & forwards (bool flag=true)
• MakeSchedule & longFinalPeriod (bool flag=true)
• MakeSchedule & shortFinalPeriod (bool flag=true)
• operator Schedule ()

The documentation for this class was generated from the following file:

• ql/scheduler.hpp

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470 QuantLib Class Documentation

11.244 MarketElement Class Reference

#include <marketelement.hpp>
Inheritance diagram for MarketElement:

Observable

MarketElement

CompositeMarketElement DerivedMarketElement SimpleMarketElement

11.244.1 Detailed Description

purely virtual base class for market observables

Public Member Functions

• virtual double value () const =0
returns the current value

The documentation for this class was generated from the following file:

• ql/marketelement.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.245 Matrix Class Reference 471

11.245 Matrix Class Reference

#include <matrix.hpp>

11.245.1 Detailed Description

matrix used in linear algebra.

This class implements the concept of Matrix(p. 471) as used in linear algebra. As such, it is not
meant to be used as a container.

Public Types
• typedef double ∗ iterator
• typedef const double ∗ const_iterator
• typedef double ∗ row_iterator
• typedef const double ∗ const_row_iterator
• typedef Utilities::stepping_iterator< double ∗ > column_iterator
• typedef Utilities::stepping_iterator< const double ∗ > const_column_iterator

Public Member Functions

• typedef QL_REVERSE_ITERATOR (iterator, double) reverse_iterator
• typedef QL_REVERSE_ITERATOR (const_iterator, double) const _reverse_iterator
• typedef QL_REVERSE_ITERATOR (row_iterator, double) reverse_row_iterator
• typedef QL_REVERSE_ITERATOR (const_row_iterator, double) const _reverse_row_-
iterator
• typedef QL_REVERSE_ITERATOR (column_iterator, double) reverse_column_iterator
• typedef QL_REVERSE_ITERATOR (const_column_iterator, double) const _reverse_-
column_iterator

Constructors, destructor, and assignment

• Matrix ()
creates a null matrix

• Matrix (Size rows, Size columns)

creates a matrix with the given dimensions

• Matrix (Size rows, Size columns, double value)

creates the matrix and fills it with value

• Matrix (const Matrix &)

• Matrix (const Disposable< Matrix > &)
• Matrix & operator= (const Matrix &)
• Matrix & operator= (const Disposable< Matrix > &)

Algebraic operators

• Matrix & operator+= (const Matrix &)

• Matrix & operator-= (const Matrix &)

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472 QuantLib Class Documentation

• Matrix & operator ∗= (double)

• Matrix & operator/= (double)

Iterator access

• const_iterator begin () const

• iterator begin ()
• const_iterator end () const
• iterator end ()
• const_reverse_iterator rbegin () const
• reverse_iterator rbegin ()
• const_reverse_iterator rend () const
• reverse_iterator rend ()
• const_row_iterator row_begin (Size i) const
• row_iterator row_begin (Size i)
• const_row_iterator row_end (Size i) const
• row_iterator row_end (Size i)
• const_reverse_row_iterator row_rbegin (Size i) const
• reverse_row_iterator row_rbegin (Size i)
• const_reverse_row_iterator row_rend (Size i) const
• reverse_row_iterator row_rend (Size i)
• const_column_iterator column_begin (Size i) const
• column_iterator column_begin (Size i)
• const_column_iterator column_end (Size i) const
• column_iterator column_end (Size i)
• const_reverse_column_iterator column_rbegin (Size i) const
• reverse_column_iterator column_rbegin (Size i)
• const_reverse_column_iterator column_rend (Size i) const
• reverse_column_iterator column_rend (Size i)

Element access

• const_row_iterator operator[ ] (Size) const

• row_iterator operator[ ] (Size)
• Disposable< Array > diagonal (void) const

Inspectors

• Size rows () const

• Size columns () const

Utilities

• void swap (Matrix &)

Related Functions

(Note that these are not member functions.)

• Disposable< Matrix > operator+ (const Matrix &, const Matrix &)
• Disposable< Matrix > operator- (const Matrix &, const Matrix &)
• Disposable< Matrix > operator ∗ (const Matrix &, double)
• Disposable< Matrix > operator ∗ (double, const Matrix &)
• Disposable< Matrix > operator/ (const Matrix &, double)
• Disposable< Array > operator ∗ (const Array &, const Matrix &)

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11.245 Matrix Class Reference 473

• Disposable< Array > operator ∗ (const Matrix &, const Array &)
• Disposable< Matrix > operator ∗ (const Matrix &, const Matrix &)
• Disposable< Matrix > transpose (const Matrix &)
• Disposable< Matrix > outerProduct (const Array &v1, const Array &v2)
• template<class Iterator1, class Iterator2> Disposable< Matrix > outerProduct (Iterator1
v1begin, Iterator1 v1end, Iterator2 v2begin, Iterator2 v2end)
• Disposable< Matrix > pseudoSqrt (const Matrix &realSymmetricMatrix, Salvaging-
Algorithm sa=None)
returns the pseudo square root of a real symmetric matrix

• Disposable< Matrix > matrixSqrt (const Matrix &realSymmetricMatrix)

returns the pseudo square root of a real symmetric matrix

11.245.2 Member Function Documentation

11.245.2.1 Matrix & operator+= (const Matrix &)

Precondition:
all matrices involved in an algebraic expression must have the same size.

11.245.3 Friends And Related Function Documentation

11.245.3.1 Disposable< Matrix > pseudoSqrt (const Matrix & realSymmetricMatrix,

SalvagingAlgorithm sa = None) [related]

returns the pseudo square root of a real symmetric matrix

returns the pseudo square root of a real symmetric matrix. If the matrix is not positive semi
definite, it can returns an approximation of the pseudo square root using a (user selected) salvaging
algorithm
For more information see: "The most general methodology to create a valid correlation matrix
for risk management and option pricing purposes", by R. Rebonato and P. Jäckel. The Journal of
Risk, 2(2), Winter 1999/2000 http://www.rebonato.com/correlationmatrix.pdf
Revised and extended in "Monte Carlo Methods in Finance", by Peter Jäckel, Chapter 6

11.245.3.2 Disposable< Matrix > matrixSqrt (const Matrix & realSymmetricMatrix)

[related]

returns the pseudo square root of a real symmetric matrix

returns the pseudo square root of a real symmetric matrix.
use pseudoSqrt instead
The documentation for this class was generated from the following file:

• ql/Math/matrix.hpp

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474 QuantLib Class Documentation

11.246 MaxBasketPathPricer_old Class Reference

#include <maxbasketpathpricer.hpp>
Inheritance diagram for MaxBasketPathPricer_old:

PathPricer_old< MultiPath >

MaxBasketPathPricer_old

11.246.1 Detailed Description

multipath pricer for European-type basket option

The value of the option at expiration is given by the value of the underlying which has best
performed.

Public Member Functions

• MaxBasketPathPricer_old (const std::vector< double > &underlying, DiscountFactor dis-
count, bool useAntitheticVariance)
• double operator() (const MultiPath &multiPath) const

The documentation for this class was generated from the following files:

• ql/MonteCarlo/maxbasketpathpricer.hpp
• ql/MonteCarlo/maxbasketpathpricer.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.247 MCBarrierEngine Class Template Reference 475

11.247 MCBarrierEngine Class Template Reference

#include <barrierengines.hpp>
Inheritance diagram for MCBarrierEngine:

PricingEngine

GenericEngine< Instruments::BarrierOption::arguments, Instruments::BarrierOption::results >

BarrierEngine McSimulation< MonteCarlo::SingleAsset< RNG >, S >

MCBarrierEngine

11.247.1 Detailed Description

template<class RNG = MonteCarlo::PseudoRandom, class S = Math::Statistics> class Quant-

Lib::PricingEngines::MCBarrierEngine< RNG, S >

Pricing engine for Barrier(p. 180) options using Monte Carlo.

Public Member Functions

• MCBarrierEngine (Size maxTimeStepsPerYear, bool antitheticVariate=false, bool control-
Variate=false, Size requiredSamples=Null< int >(), double requiredTolerance=Null< dou-
ble >(), Size maxSamples=Null< int >(), bool isBiased=false, long seed=0)
• void calculate () const

Protected Types
• typedef McSimulation< MonteCarlo::SingleAsset< RNG >, S >::path_generator_type
path_generator_type
• typedef McSimulation< MonteCarlo::SingleAsset< RNG >, S >::path_pricer_type path_-
pricer_type
• typedef McSimulation< MonteCarlo::SingleAsset< RNG >, S >::stats_type stats_type

Protected Member Functions

• Handle< path_generator_type > pathGenerator () const
• TimeGrid timeGrid () const
• Handle< path_pricer_type > pathPricer () const

Protected Attributes
• Size maxTimeStepsPerYear_
• Size requiredSamples_

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476 QuantLib Class Documentation

• Size maxSamples_
• double requiredTolerance_
• bool isBiased_
• long seed_

The documentation for this class was generated from the following file:

• ql/PricingEngines/barrierengines.hpp

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11.248 McBasket Class Reference 477

11.248 McBasket Class Reference

#include <mcbasket.hpp>
Inheritance diagram for McBasket:

McPricer< MonteCarlo::MultiAsset_old< MonteCarlo::PseudoRandomSequence_old > >

McBasket

11.248.1 Detailed Description

simple example of multi-factor Monte Carlo pricer

Public Member Functions

• McBasket (Option::Type type, const std::vector< double > &underlying, double strike,
const Array &dividendYield, const Math::Matrix &covariance, Rate riskFreeRate, double
residualTime, bool antitheticVariance, long seed=0)

The documentation for this class was generated from the following files:

• ql/Pricers/mcbasket.hpp
• ql/Pricers/mcbasket.cpp

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478 QuantLib Class Documentation

11.249 MCBinaryEngine Class Template Reference

#include <binaryengines.hpp>
Inheritance diagram for MCBinaryEngine:

PricingEngine

GenericEngine< Instruments::BinaryOption::arguments, Instruments::BinaryOption::results >

BinaryEngine McSimulation< MonteCarlo::SingleAsset< RNG >, S >

MCBinaryEngine

11.249.1 Detailed Description

template<class RNG = MonteCarlo::PseudoRandom, class S = Math::Statistics> class Quant-

Lib::PricingEngines::MCBinaryEngine< RNG, S >

Pricing engine for Binary(p. 195) options using Monte Carlo.

Public Member Functions

• MCBinaryEngine (Size maxTimeStepsPerYear, bool antitheticVariate=false, bool control-
Variate=false, Size requiredSamples=Null< int >(), double requiredTolerance=Null< dou-
ble >(), Size maxSamples=Null< int >(), bool isBiased=false, long seed=0)
• void calculate () const

Protected Types
• typedef McSimulation< MonteCarlo::SingleAsset< RNG >, S >::path_generator_type
path_generator_type
• typedef McSimulation< MonteCarlo::SingleAsset< RNG >, S >::path_pricer_type path_-
pricer_type
• typedef McSimulation< MonteCarlo::SingleAsset< RNG >, S >::stats_type stats_type
• typedef RNG::ursg_type my_sequence_type

Protected Member Functions

• Handle< path_generator_type > pathGenerator () const
• TimeGrid timeGrid () const
• Handle< path_pricer_type > pathPricer () const

Protected Attributes
• Size maxTimeStepsPerYear_

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11.249 MCBinaryEngine Class Template Reference 479

• Size requiredSamples_
• Size maxSamples_
• double requiredTolerance_
• bool isBiased_
• long seed_

The documentation for this class was generated from the following file:

• ql/PricingEngines/binaryengines.hpp

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480 QuantLib Class Documentation

11.250 McCliquetOption Class Reference

#include <mccliquetoption.hpp>
Inheritance diagram for McCliquetOption:

McPricer< MonteCarlo::SingleAsset_old< MonteCarlo::PseudoRandom_old > >

McCliquetOption

11.250.1 Detailed Description

simple example of Monte Carlo pricer

Public Member Functions

• McCliquetOption (Option::Type type, double underlying, double moneyness, const
std::vector< Spread > &dividendYield, const std::vector< Rate > &riskFreeRate, const
std::vector< Time > &times, const std::vector< double > &volatility, double accruedCoupon,
double lastFixing, double localCap, double localFloor, double globalCap, double global-
Floor, bool redemptionOnly, bool antitheticVariance, long seed=0)

The documentation for this class was generated from the following files:

• ql/Pricers/mccliquetoption.hpp
• ql/Pricers/mccliquetoption.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.251 McDiscreteArithmeticAPO Class Reference 481

11.251 McDiscreteArithmeticAPO Class Reference

#include <mcdiscretearithmeticapo.hpp>
Inheritance diagram for McDiscreteArithmeticAPO:

McPricer< MonteCarlo::SingleAsset_old< MonteCarlo::PseudoRandom_old > >

McDiscreteArithmeticAPO

11.251.1 Detailed Description

example of Monte Carlo pricer using a control variate

Todo
Continous Averaging version

Public Member Functions

• McDiscreteArithmeticAPO (Option::Type type, double underlying, double strike, Spread
dividendYield, Rate riskFreeRate, const std::vector< Time > &times, double volatility, bool
antitheticVariance, bool controlVariate, long seed=0)

The documentation for this class was generated from the following files:

• ql/Pricers/mcdiscretearithmeticapo.hpp
• ql/Pricers/mcdiscretearithmeticapo.cpp

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482 QuantLib Class Documentation

11.252 McDiscreteArithmeticASO Class Reference

#include <mcdiscretearithmeticaso.hpp>
Inheritance diagram for McDiscreteArithmeticASO:

McPricer< MonteCarlo::SingleAsset_old< MonteCarlo::PseudoRandom_old > >

McDiscreteArithmeticASO

11.252.1 Detailed Description

example of Monte Carlo pricer using a control variate.

Todo
Continous Averaging version

Public Member Functions

• McDiscreteArithmeticASO (Option::Type type, double underlying, Spread dividendYield,
Rate riskFreeRate, const std::vector< Time > &times, double volatility, bool antithetic-
Variance, bool controlVariate, long seed=0)

The documentation for this class was generated from the following files:

• ql/Pricers/mcdiscretearithmeticaso.hpp
• ql/Pricers/mcdiscretearithmeticaso.cpp

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11.253 McEuropean Class Reference 483

11.253 McEuropean Class Reference

#include <mceuropean.hpp>
Inheritance diagram for McEuropean:

McPricer< MonteCarlo::SingleAsset_old< MonteCarlo::PseudoRandom_old > >

McEuropean

11.253.1 Detailed Description

simple example of Monte Carlo pricer

Deprecated
use VanillaOption with McEuropeanEngine

Public Member Functions

• McEuropean (Option::Type type, double underlying, double strike, Spread dividendYield,
Rate riskFreeRate, double residualTime, double volatility, bool antitheticVariance, long
seed=0)

The documentation for this class was generated from the following files:

• ql/Pricers/mceuropean.hpp
• ql/Pricers/mceuropean.cpp

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484 QuantLib Class Documentation

11.254 MCEuropeanEngine Class Template Reference

#include <mceuropeanengine.hpp>
Inheritance diagram for MCEuropeanEngine:

PricingEngine

GenericEngine< Instruments::VanillaOption::arguments, Instruments::VanillaOption::results >

VanillaEngine McSimulation< MonteCarlo::SingleAsset< RNG >, S >

MCVanillaEngine<RNG,S>

MCEuropeanEngine

11.254.1 Detailed Description

template<class RNG = MonteCarlo::PseudoRandom, class S = Math::Statistics> class Quant-

Lib::PricingEngines::MCEuropeanEngine< RNG, S >

European option pricing engine using Monte Carlo simulation.

Public Types
• typedef MCVanillaEngine< RNG, S >::path_generator_type path_generator_type
• typedef MCVanillaEngine< RNG, S >::path_pricer_type path_pricer_type
• typedef MCVanillaEngine< RNG, S >::stats_type stats_type

Public Member Functions

• MCEuropeanEngine (Size maxTimeStepPerYear, bool antitheticVariate=false, bool control-
Variate=false, Size requiredSamples=Null< int >(), double requiredTolerance=Null< dou-
ble >(), Size maxSamples=Null< int >(), long seed=0)

Protected Member Functions

• TimeGrid timeGrid () const
• Handle< path_pricer_type > pathPricer () const

The documentation for this class was generated from the following file:

• ql/PricingEngines/mceuropeanengine.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.255 McEverest Class Reference 485

11.255 McEverest Class Reference

#include <mceverest.hpp>
Inheritance diagram for McEverest:

McPricer< MonteCarlo::MultiAsset_old< MonteCarlo::PseudoRandomSequence_old > >

McEverest

11.255.1 Detailed Description

Everest-type option pricer.

The payoff of an Everest option is simply given by the final price / initial price ratio of the worst
performer

Public Member Functions

• McEverest (const Array &dividendYield, const Math::Matrix &covariance, Rate riskFree-
Rate, Time residualTime, bool antitheticVariance, long seed=0)

The documentation for this class was generated from the following file:

• ql/Pricers/mceverest.hpp

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486 QuantLib Class Documentation

11.256 McHimalaya Class Reference

#include <mchimalaya.hpp>
Inheritance diagram for McHimalaya:

McPricer< MonteCarlo::MultiAsset_old< MonteCarlo::PseudoRandomSequence_old > >

McHimalaya

11.256.1 Detailed Description

Himalayan-type option pricer.

The payoff of a Himalaya option is computed in the following way: Given a basket of N assets,
and N time periods, at end of each period the option who performed the best is added to the
average and then discarded from the basket. At the end of the N periods the option pays the max
between the strike and the average of the best performers.

Public Member Functions

• McHimalaya (const std::vector< double > &underlying, const Array &dividendYield, const
Math::Matrix &covariance, Rate riskFreeRate, double strike, const std::vector< Time >
&times, bool antitheticVariance, long seed=0)

The documentation for this class was generated from the following files:

• ql/Pricers/mchimalaya.hpp
• ql/Pricers/mchimalaya.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.257 McMaxBasket Class Reference 487

11.257 McMaxBasket Class Reference

#include <mcmaxbasket.hpp>
Inheritance diagram for McMaxBasket:

McPricer< MonteCarlo::MultiAsset_old< MonteCarlo::PseudoRandomSequence_old > >

McMaxBasket

11.257.1 Detailed Description

simple example of multi-factor Monte Carlo pricer

Public Member Functions

• McMaxBasket (const std::vector< double > &underlying, const Array &dividendYield,
const Math::Matrix &covariance, Rate riskFreeRate, double residualTime, bool antithetic-
Variance, long seed=0)

The documentation for this class was generated from the following files:

• ql/Pricers/mcmaxbasket.hpp
• ql/Pricers/mcmaxbasket.cpp

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488 QuantLib Class Documentation

11.258 McPagoda Class Reference

#include <mcpagoda.hpp>
Inheritance diagram for McPagoda:

McPricer< MonteCarlo::MultiAsset_old< MonteCarlo::PseudoRandomSequence_old > >

McPagoda

11.258.1 Detailed Description

roofed Asian option

Given a certain portfolio of assets at the end of the period it is returned the minimum of a
given roof and a certain fraction of the positive portfolio performance. If the performance of the
portfolio is below then the payoff is null.

Public Member Functions

• McPagoda (const std::vector< double > &portfolio, double fraction, double roof, const Array
&dividendYield, const Math::Matrix &covariance, Rate riskFreeRate, const std::vector<
Time > &times, bool antithetic, long seed=0)

The documentation for this class was generated from the following file:

• ql/Pricers/mcpagoda.hpp

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11.259 McPerformanceOption Class Reference 489

11.259 McPerformanceOption Class Reference

#include <mcperformanceoption.hpp>
Inheritance diagram for McPerformanceOption:

McPricer< MonteCarlo::SingleAsset_old< MonteCarlo::PseudoRandom_old > >

McPerformanceOption

11.259.1 Detailed Description

Performance option computed using Monte Carlo simulation.

A performance option is a variant of a cliquet option: the payoff of each forward-starting (a.k.a.
deferred strike) options is $ max(S/X- 1) $.

Public Member Functions

• McPerformanceOption (Option::Type type, double underlying, double moneyness, const
std::vector< Spread > &dividendYield, const std::vector< Rate > &riskFreeRate, const
std::vector< Time > &times, const std::vector< double > &volatility, bool antitheticVariance,
long seed=0)

The documentation for this class was generated from the following files:

• ql/Pricers/mcperformanceoption.hpp
• ql/Pricers/mcperformanceoption.cpp

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490 QuantLib Class Documentation

11.260 McPricer Class Template Reference

#include <mcpricer.hpp>
Inheritance diagram for McPricer:

McBasket< MonteCarlo::MultiAsset_old< MonteCarlo::PseudoRandomSequence_old > >

McCliquetOption< MonteCarlo::SingleAsset_old< MonteCarlo::PseudoRandom_old > >

McDiscreteArithmeticAPO< MonteCarlo::SingleAsset_old< MonteCarlo::PseudoRandom_old > >

McDiscreteArithmeticASO< MonteCarlo::SingleAsset_old< MonteCarlo::PseudoRandom_old > >

McEuropean< MonteCarlo::SingleAsset_old< MonteCarlo::PseudoRandom_old > >

McPricer
McEverest< MonteCarlo::MultiAsset_old< MonteCarlo::PseudoRandomSequence_old > >

McHimalaya< MonteCarlo::MultiAsset_old< MonteCarlo::PseudoRandomSequence_old > >

McMaxBasket< MonteCarlo::MultiAsset_old< MonteCarlo::PseudoRandomSequence_old > >

McPagoda< MonteCarlo::MultiAsset_old< MonteCarlo::PseudoRandomSequence_old > >

McPerformanceOption< MonteCarlo::SingleAsset_old< MonteCarlo::PseudoRandom_old > >

11.260.1 Detailed Description

template<class MC, class S = Math::Statistics> class QuantLib::Pricers::McPricer< MC, S >

base class for Monte Carlo pricers

Eventually this class might be linked to the general tree of pricers, in order to have tools like
impliedVolatility available. Also, it could, eventually, offer greeks methods. Deriving a class
from McPricer(p. 490) gives an easy way to write a Monte Carlo Pricer. See McEuropean(p. 483)
as example of one factor pricer, Basket as example of multi factor pricer.

Public Member Functions

• double value (double tolerance, Size maxSample=QL_MAX_INT) const
add samples until the required tolerance is reached

• double valueWithSamples (Size samples) const

simulate a fixed number of samples

• double errorEstimate () const

error Estimated of the samples simulated so far

• const S & sampleAccumulator (void) const

access to the sample accumulator for more statistics

Protected Attributes
• Handle< MonteCarlo::MonteCarloModel< MC, S > > mcModel_

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11.260 McPricer Class Template Reference 491

Static Protected Attributes

• const Size minSample_ = 1023

The documentation for this class was generated from the following file:

• ql/Pricers/mcpricer.hpp

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492 QuantLib Class Documentation

11.261 McSimulation Class Template Reference

#include <mcengine.hpp>
Inheritance diagram for McSimulation:

MCBarrierEngine< MonteCarlo::SingleAsset< RNG >, S >

McSimulation MCBinaryEngine< MonteCarlo::SingleAsset< RNG >, S >

MCVanillaEngine< MonteCarlo::SingleAsset< RNG >, S >

11.261.1 Detailed Description

template<class MC, class S = Math::Statistics> class QuantLib::PricingEngines::Mc-

Simulation< MC, S >

base class for Monte Carlo engines

Eventually this class might offer greeks methods. Deriving a class from McEngine gives an easy
way to write a Monte Carlo engine.
See McVanillaEngine as example of one factor engine, McBasketEngine as example of multi factor
engine.

Public Types
• typedef MonteCarlo::MonteCarloModel< MC, S >::path_generator_type path_-
generator_type
• typedef MonteCarlo::MonteCarloModel< MC, S >::path_pricer_type path_pricer_type
• typedef MonteCarlo::MonteCarloModel< MC, S >::stats_type stats_type

Public Member Functions

• double value (double tolerance, Size maxSample=QL_MAX_INT) const
add samples until the required tolerance is reached

• double valueWithSamples (Size samples) const

simulate a fixed number of samples

• double errorEstimate () const

error estimated using the samples simulated so far

• const stats_type & sampleAccumulator (void) const

access to the sample accumulator for richer statistics

Protected Member Functions

• McSimulation (bool antitheticVariate, bool controlVariate)
• virtual Handle< path_pricer_type > pathPricer () const =0

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11.261 McSimulation Class Template Reference 493

• virtual Handle< path_pricer_type > controlPathPricer () const

• virtual Handle< PricingEngine > controlPricingEngine () const
• virtual Handle< path_generator_type > pathGenerator () const =0
• virtual TimeGrid timeGrid () const =0

Protected Attributes
• Handle< MonteCarlo::MonteCarloModel< MC, S > > mcModel_
• bool antitheticVariate_
• bool controlVariate_

Static Protected Attributes

• const Size minSample_ = 1023

The documentation for this class was generated from the following file:

• ql/PricingEngines/mcengine.hpp

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494 QuantLib Class Documentation

11.262 MCVanillaEngine Class Template Reference

#include <mcengine.hpp>
Inheritance diagram for MCVanillaEngine:

PricingEngine

GenericEngine< Instruments::VanillaOption::arguments, Instruments::VanillaOption::results >

VanillaEngine McSimulation< MonteCarlo::SingleAsset< RNG >, S >

MCVanillaEngine

MCEuropeanEngine< RNG, S >

11.262.1 Detailed Description

template<class RNG = MonteCarlo::PseudoRandom, class S = Math::Statistics> class Quant-

Lib::PricingEngines::MCVanillaEngine< RNG, S >

Base class for Monte Carlo vanilla option engines.

Public Member Functions

• void calculate () const

Protected Types
• typedef McSimulation< MonteCarlo::SingleAsset< RNG >, S >::path_generator_type
path_generator_type
• typedef McSimulation< MonteCarlo::SingleAsset< RNG >, S >::path_pricer_type path_-
pricer_type
• typedef McSimulation< MonteCarlo::SingleAsset< RNG >, S >::stats_type stats_type

Protected Member Functions

• MCVanillaEngine (Size maxTimeStepsPerYear, bool antitheticVariate=false, bool control-
Variate=false, Size requiredSamples=Null< int >(), double requiredTolerance=Null< dou-
ble >(), Size maxSamples=Null< int >(), long seed=0)
• Handle< path_generator_type > pathGenerator () const

Protected Attributes
• Size maxTimeStepsPerYear_
• Size requiredSamples_

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11.262 MCVanillaEngine Class Template Reference 495

• Size maxSamples_
• double requiredTolerance_
• long seed_

The documentation for this class was generated from the following file:

• ql/PricingEngines/mcengine.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

496 QuantLib Class Documentation

11.263 MersenneTwisterUniformRng Class Reference

#include <mt19937uniformrng.hpp>

11.263.1 Detailed Description

Uniform random number generator.

Mersenne Twister random number generator of period 2∗∗19937-1
For more details see http://www.math.keio.ac.jp/matumoto/emt.html

Public Types
• typedef MonteCarlo::Sample< double > sample_type

Public Member Functions

• MersenneTwisterUniformRng (unsigned long seed=0)
• MersenneTwisterUniformRng (const std::vector< unsigned long > &seeds)
• sample_type next () const
• unsigned long nextInt32 () const
return a random number on [0,0xffffffff]-interval

11.263.2 Constructor & Destructor Documentation

11.263.2.1 MersenneTwisterUniformRng (unsigned long seed = 0) [explicit]

if the given seed is 0, a random seed will be chosen based on clock()

11.263.3 Member Function Documentation

11.263.3.1 sample_type next () const

returns a sample with weight 1.0 containing a random number on (0.0, 1.0)-real-interval
The documentation for this class was generated from the following files:

• ql/RandomNumbers/mt19937uniformrng.hpp
• ql/RandomNumbers/mt19937uniformrng.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.264 Method Class Reference 497

11.264 Method Class Reference

#include <method.hpp>
Inheritance diagram for Method:

Method

ConjugateGradient Simplex SteepestDescent

11.264.1 Detailed Description

Optimization Method(p. 497) abstract class for constrained optimization pb.

Public Member Functions

• void setInitialValue (const Array &initialValue)
Set initial value.

• void setEndCriteria (const EndCriteria &endCriteria)

Set optimization end criteria.

• int & iterationNumber () const

current iteration number

• EndCriteria & endCriteria () const

optimization end criteria

• int & functionEvaluation () const

number of evaluation of cost function

• int & gradientEvaluation () const

number of evaluation of cost function gradient

• double & functionValue () const

value of cost function

• double & gradientNormValue () const

value of cost function gradient norm

• Array & x () const

current value of the local minimum

• Array & searchDirection () const

current value of the search direction

• virtual void minimize (const Problem &P) const =0

minimize the optimization problem P

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498 QuantLib Class Documentation

Protected Attributes
• Array initialValue_
initial value of unknowns

• int iterationNumber_
current iteration step in the Optimization process

• EndCriteria endCriteria_
optimization end criteria

• int functionEvaluation_
number of evaluation of cost function and its gradient

• int gradientEvaluation_
number of evaluation of cost function and its gradient

• double functionValue_
function and gradient norm values of the last step

• double squaredNorm_
function and gradient norm values of the last step

• Array x_
current values of the local minimum and the search direction

• Array searchDirection_
current values of the local minimum and the search direction

The documentation for this class was generated from the following file:

• ql/Optimization/method.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.265 Milan Class Reference 499

11.265 Milan Class Reference

#include <milan.hpp>
Inheritance diagram for Milan:

Bridge< Calendar, CalendarImpl >

Calendar

Milan

11.265.1 Detailed Description

Milan calendar
Holidays:

• Saturdays
• Sundays
• New Year’s Day, January 1st
• Epiphany, January 6th
• Easter Monday
• Liberation Day, April 25th
• Labour Day, May 1st
• Republic Day, June 2nd (since 2000)
• Assumption, August 15th
• All Saint’s Day, November 1st
• Immaculate Conception, December 8th
• Christmas, December 25th
• St. Stephen, December 26th

The documentation for this class was generated from the following file:

• ql/Calendars/milan.hpp

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500 QuantLib Class Documentation

11.266 MixedScheme Class Template Reference

#include <mixedscheme.hpp>
Inheritance diagram for MixedScheme:

MixedScheme

CrankNicolson< Operator > ExplicitEuler< Operator > ImplicitEuler< Operator >

11.266.1 Detailed Description

template<class Operator> class QuantLib::FiniteDifferences::MixedScheme< Operator >

Mixed (explicit/implicit) scheme for finite difference methods.

See sect. The finite differences framework(p. 31) for details on the method.
In this implementation, the passed operator must be derived from either TimeConstantOperator
or TimeDependentOperator. Also, it must implement at least the following interface:

typedef ... arrayType;

// copy constructor/assignment
// (these will be provided by the compiler if none is defined)
Operator(const Operator&);
Operator& operator=(const Operator&);

// inspectors
Size size();

// modifiers
void setTime(Time t);

// operator interface
arrayType applyTo(const arrayType&);
arrayType solveFor(const arrayType&);
static Operator identity(Size size);

// operator algebra
Operator operator*(double, const Operator&);
Operator operator+(const Operator&, const Operator&);
Operator operator+(const Operator&, const Operator&);

Warning:
The differential operator must be linear for this evolver to work.

Todo
add Douglas Scheme

Protected Types
• typedef Operator::arrayType arrayType
• typedef Operator operatorType
• typedef BoundaryCondition< Operator > bcType

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11.266 MixedScheme Class Template Reference 501

Protected Member Functions

• MixedScheme (const Operator &L, double theta, const std::vector< Handle< bcType > >
&bcs)
• void step (arrayType &a, Time t)
• void setStep (Time dt)

Protected Attributes
• Operator L_
• Operator I_
• Operator explicitPart_
• Operator implicitPart_
• Time dt_
• double theta_
• std::vector< Handle< bcType > > bcs_

Friends
• class FiniteDifferenceModel< MixedScheme< Operator > >

The documentation for this class was generated from the following file:

• ql/FiniteDifferences/mixedscheme.hpp

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502 QuantLib Class Documentation

11.267 Model Class Reference

#include <model.hpp>
Inheritance diagram for Model:

Observer Observable

Model

OneFactorModel TwoFactorModel

BlackKarasinski OneFactorAffineModel G2

CoxIngersollRoss Vasicek

ExtendedCoxIngersollRoss HullWhite

11.267.1 Detailed Description

Abstract short-rate model class.

Public Member Functions

• Model (Size nArguments)
• void update ()
• virtual Handle< Lattices::Lattice > tree (const TimeGrid &grid) const =0
• void calibrate (const std::vector< Handle< CalibrationHelper > > &instru-
ments, Optimization::Method &method, const Optimization::Constraint &con-
straint=Optimization::Constraint())
Calibrate to a set of market instruments (caps/swaptions).

• const Handle< Optimization::Constraint > & constraint () const

• Disposable< Array > params () const
Returns array of arguments on which calibration is done.

• void setParams (const Array &params)

Protected Member Functions

• virtual void generateArguments ()

Protected Attributes
• std::vector< Parameter > arguments_
• Handle< Optimization::Constraint > constraint_

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11.267 Model Class Reference 503

Friends
• class CalibrationFunction

11.267.2 Member Function Documentation

11.267.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).

11.267.2.2 void calibrate (const std::vector< Handle< CalibrationHelper > > & instruments,
Optimization::Method & method, const Optimization::Constraint & constraint =
Optimization::Constraint())

Calibrate to a set of market instruments (caps/swaptions).

An additional constraint can be passed which must be satisfied in addition to the constraints of
the model.
The documentation for this class was generated from the following files:

• ql/ShortRateModels/model.hpp
• ql/ShortRateModels/model.cpp

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504 QuantLib Class Documentation

11.268 MonteCarloModel Class Template Reference

#include <montecarlomodel.hpp>

11.268.1 Detailed Description

template<class mc_traits, class stats_traits = Math::Statistics> class QuantLib::Monte-

Carlo::MonteCarloModel< mc_traits, stats_traits >

General purpose Monte Carlo model for path samples.

The template arguments of this class correspond to available policies for the particular model to
be instantiated—i.e., whether it is single- or multi-asset, or whether it should use pseudo-random
or low-discrepancy numbers for path generation. Such decisions are grouped in trait classes so
as to be orthogonal—see mctraits.hpp(p. 923) for examples.
The constructor accepts two safe references, i.e. two smart pointers, one to a path generator
and the other to a path pricer. In case of control variate technique the user should provide the
additional control option, namely the option path pricer and the option value.

Examples:
DiscreteHedging.cpp.

Public Types
• typedef mc_traits::rsg_type rsg_type
• typedef mc_traits::path_generator_type path_generator_type
• typedef mc_traits::path_pricer_type path_pricer_type
• typedef path_generator_type::sample_type sample_type
• typedef path_pricer_type::result_type result_type
• typedef stats_traits stats_type

Public Member Functions

• MonteCarloModel (const Handle< path_generator_type > &pathGenerator, const
Handle< path_pricer_type > &pathPricer, const stats_type &sampleAccumulator, bool
antitheticVariate, const Handle< path_pricer_type > &cvPathPricer=Handle< path_-
pricer_type >(), result_type cvOptionValue=result_type())
• void addSamples (Size samples)
• const stats_type & sampleAccumulator (void) const

The documentation for this class was generated from the following file:

• ql/MonteCarlo/montecarlomodel.hpp

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11.269 MoroInverseCumulativeNormal Class Reference 505

11.269 MoroInverseCumulativeNormal Class Reference

#include <normaldistribution.hpp>

11.269.1 Detailed Description

Moro Inverse cumulative normal distribution class.

Given x between zero and one as the integral value of a gaussian normal distribution this class
provides the value y such that formula here ...
It uses Beasly and Springer approximation, with an improved approximation for the tails. See
Boris Moro, "The Full Monte", 1995, Risk Magazine.
This class can also be used to generate a gaussian normal distribution from a uniform distribution.
This is especially useful when a gaussian normal distribution is generated from a low discrepancy
uniform distribution: in this case the traditional Box-Muller approach and its variants would not
preserve the sequence’s low-discrepancy.
Peter J. Acklam’s approximation is better and is available as QuantLib::Math::Inverse-
CumulativeNormal(p. 431)

Public Member Functions

• MoroInverseCumulativeNormal (double average=0.0, double sigma=1.0)
• double operator() (double x) const

The documentation for this class was generated from the following files:

• ql/Math/normaldistribution.hpp
• ql/Math/normaldistribution.cpp

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506 QuantLib Class Documentation

11.270 MultiPath Class Reference

#include <multipath.hpp>

11.270.1 Detailed Description

single random walk

MultiPath(p. 506) contains the list of variations for each asset,
j
Yi+1
log j
fori = 0, . . . , n − 1 and j = 0, . . . , m − 1
Yi
j
where Yi is the value of the underlying j at discretized time ti . The first index refers to the
underlying, the second to the time position MultiPath(p. 506)[j,i]

Todo
make it time-aware

Public Member Functions

• MultiPath (Size nAsset, const TimeGrid &timeGrid)
• MultiPath (const std::vector< Path > &multiPath)

inspectors

• Size assetNumber () const

• Size pathSize () const

read/write access to components

• const Path & operator[ ] (Size j) const

• Path & operator[ ] (Size j)

The documentation for this class was generated from the following file:

• ql/MonteCarlo/multipath.hpp

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11.271 MultiPathGenerator Class Template Reference 507

11.271 MultiPathGenerator Class Template Reference

#include <multipathgenerator.hpp>

11.271.1 Detailed Description

template<class SG> class QuantLib::MonteCarlo::MultiPathGenerator< SG >

Generates a multipath from a random number generator.

MultiPathGenerator<RAG> is a class that returns a random multi path. RAG is a sample gener-
ator which returns a random array. It must have the minimal interface:

RAG{
RAG();
RAG(Matrix& covariance,
long seed);
Sample<Array> next();
};

Public Types
• typedef Sample< MultiPath > sample_type

Public Member Functions

• MultiPathGenerator (const Array &drifts, const Math::Matrix &covariance, Time length,
Size timeSteps, SG generator)
• MultiPathGenerator (const Array &drifts, const Math::Matrix &covariance, const Time-
Grid &timeGrid, SG generator)
• const sample_type & next () const
• const sample_type & antithetic () const

The documentation for this class was generated from the following file:

• ql/MonteCarlo/multipathgenerator.hpp

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508 QuantLib Class Documentation

11.272 MultiPathGenerator_old Class Template Reference

#include <multipathgenerator.hpp>

11.272.1 Detailed Description

template<class RAG> class QuantLib::MonteCarlo::MultiPathGenerator_old< RAG >

Generates a multipath from a random number generator.

MultiPathGenerator_old<RAG> is a class that returns a random multi path. RAG is a sample
generator which returns a random array. It must have the minimal interface:

RAG{
RAG();
RAG(Matrix& covariance,
long seed);
Sample<Array> next();
};

Public Types
• typedef Sample< MultiPath > sample_type

Public Member Functions

• MultiPathGenerator_old (const Array &drifts, const Math::Matrix &covariance, Time
length, Size timeSteps, long seed)
• MultiPathGenerator_old (const Array &drifts, const Math::Matrix &covariance, const
TimeGrid &times, long seed=0)
• const sample_type & next () const
• const sample_type & antithetic () const

The documentation for this class was generated from the following file:

• ql/MonteCarlo/multipathgenerator.hpp

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11.273 MultivariateAccumulator Class Reference 509

11.273 MultivariateAccumulator Class Reference

#include <multivariateaccumulator.hpp>

11.273.1 Detailed Description

A sample accumulator for multivariate analysis.

MultivariateAccumulator(p. 509) can accumulate vector-type samples and return the average
vector, both in Array(p. 173) form and std::vector<double> form, and the covariance matrix

Deprecated
use SequenceStatistics(p. 591) instead

Public Member Functions

• MultivariateAccumulator (Size size)

Inspectors

• Size size () const

size of each sample

• Size samples () const

number of samples collected

• double weightSum () const

sum of data weights

• Disposable< Array > mean () const

returns the mean as an Array(p. 173)

• std::vector< double > meanVector () const

returns the mean as a std::vector<double>

• Matrix covariance () const

returns the covariance Matrix(p. 471)

• Matrix correlation () const

returns the correlation Matrix(p. 471)

Modifiers

• void add (const Array &arr, double weight=1.0)

adds an Array(p. 173) to the collection, possibly with a weight

• void add (const std::vector< double > &vec, double weight=1.0)

adds a vector<double> to the collection, possibly with a weight

• template<class DataIterator> void addSequence (DataIterator begin, DataIterator end)

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510 QuantLib Class Documentation

adds a sequence of data to the collection

• template<class DataIterator, class WeightIterator> void addSequence (DataIterator be-

gin, DataIterator end, WeightIterator wbegin)
adds a sequence of data to the collection, each with its weight

• void reset ()
resets the data to a null set

The documentation for this class was generated from the following files:

• ql/Math/multivariateaccumulator.hpp
• ql/Math/multivariateaccumulator.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.274 NeumannBC Class Reference 511

11.274 NeumannBC Class Reference

#include <boundarycondition.hpp>
Inheritance diagram for NeumannBC:

BoundaryCondition< TridiagonalOperator >

NeumannBC

11.274.1 Detailed Description

Neumann boundary condition (i.e., constant derivative).

Warning:
The value passed must not be the value of the derivative. Instead, it must be comprehensive
of the grid step between the first two points–i.e., it must be the difference between f[0] and
f[1].

Todo
generalize to time-dependent conditions.

Public Member Functions

• NeumannBC (double value, Side side)
• void applyBeforeApplying (TridiagonalOperator &) const
• void applyAfterApplying (Array &) const
• void applyBeforeSolving (TridiagonalOperator &, Array &rhs) const
• void applyAfterSolving (Array &) const
• void setTime (Time t)

11.274.2 Member Function Documentation

11.274.2.1 void setTime (Time t) [virtual]

This method sets the current time for time-dependent boundary conditions.
Implements BoundaryCondition< TridiagonalOperator > (p. 225).
The documentation for this class was generated from the following files:

• ql/FiniteDifferences/boundarycondition.hpp
• ql/FiniteDifferences/boundarycondition.cpp

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512 QuantLib Class Documentation

11.275 Newton Class Reference

#include <newton.hpp>
Inheritance diagram for Newton:

CuriouslyRecurringTemplate< Newton >

Solver1D< Newton >

Newton

11.275.1 Detailed Description

Newton 1-D solver

Note:
This solver requires that the passed function object implement a method double
derivative(double).

Public Member Functions

• template<class F> double solveImpl (const F &f, double xAccuracy) const

The documentation for this class was generated from the following file:

• ql/Solvers1D/newton.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.276 NewtonSafe Class Reference 513

11.276 NewtonSafe Class Reference

#include <newtonsafe.hpp>
Inheritance diagram for NewtonSafe:

CuriouslyRecurringTemplate< NewtonSafe >

Solver1D< NewtonSafe >

NewtonSafe

11.276.1 Detailed Description

safe Newton 1-D solver

Note:
This solver requires that the passed function object implement a method double
derivative(double).

Public Member Functions

• template<class F> double solveImpl (const F &f, double xAccuracy) const

The documentation for this class was generated from the following file:

• ql/Solvers1D/newtonsafe.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

514 QuantLib Class Documentation

11.277 NewYork Class Reference

#include <newyork.hpp>
Inheritance diagram for NewYork:

Bridge< Calendar, CalendarImpl >

Calendar

NewYork

11.277.1 Detailed Description

New York calendar.

Holidays:

• Saturdays
• Sundays
• New Year’s Day, January 1st (possibly moved to Monday if actually on Sunday, or to Friday
if on Saturday)
• Martin Luther King’s birthday, third Monday in January
• Washington’s birthday, third Monday in February
• Memorial Day, last Monday in May
• Independence Day, July 4th (moved to Monday if Sunday or Friday if Saturday)
• Labor Day, first Monday in September
• Columbus Day, second Monday in October

• Veteran’s Day, November 11th (moved to Monday if Sunday or Friday if Saturday)

• Thanksgiving Day, fourth Thursday in November
• Christmas, December 25th (moved to Monday if Sunday or Friday if Saturday)

The documentation for this class was generated from the following file:

• ql/Calendars/newyork.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.278 NoConstraint Class Reference 515

11.278 NoConstraint Class Reference

#include <constraint.hpp>
Inheritance diagram for NoConstraint:

Bridge< Constraint, ConstraintImpl >

Constraint

NoConstraint

11.278.1 Detailed Description

No constraint.
The documentation for this class was generated from the following file:

• ql/Optimization/constraint.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

516 QuantLib Class Documentation

11.279 NonLinearLeastSquare Class Reference

#include <leastsquare.hpp>

11.279.1 Detailed Description

Default least square method using a given optimization algorithm (default is conjugate gradient).
min { r(x) : x in R∧ n }
where r(x) = ||f(x)||∧ 2 the euclidian norm of f(x) for some vector-valued function f from R∧ n to
R∧ m f = (f1, ..., fm) with fi(x) = bi - phi(x,ti) where bi is the vector of target data and phi is a scalar
function.
Assuming the differentiability of f, the gradient of r is define by grad r(x) = f’(x)∧ t.f(x)
Array(p. 173) vector class has the requirement of the previous class Handle(p. 390) class is need
to manage pointer to optimization method

Public Member Functions

• NonLinearLeastSquare (Constraint &c, double accuracy=1e-4, int maxiter=100)
Default constructor.

• NonLinearLeastSquare (Constraint &c, double accuracy, int maxiter, Handle< Method >
om)
Default constructor.

• ∼NonLinearLeastSquare ()
Destructor.

• Array & perform (LeastSquareProblem &lsProblem)

Solve least square problem using numerix solver.

• void setInitialValue (const Array &initialValue)

• Array & results ()
return the results

• double residualNorm ()
return the least square residual norm

• double lastValue ()
return last function value

• int exitFlag ()
return exit flag

• int iterationsNumber ()
return the performed number of iterations

The documentation for this class was generated from the following file:

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.279 NonLinearLeastSquare Class Reference 517

• ql/Optimization/leastsquare.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

518 QuantLib Class Documentation

11.280 NormalDistribution Class Reference

#include <normaldistribution.hpp>

11.280.1 Detailed Description

Normal distribution function.

formula here ... Given x it returns its probability in a gaussian normal distribution. It provides
the first derivative too.

Public Member Functions

• NormalDistribution (double average=0.0, double sigma=1.0)
• double operator() (double x) const
• double derivative (double x) const

The documentation for this class was generated from the following file:

• ql/Math/normaldistribution.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.281 Null Class Template Reference 519

11.281 Null Class Template Reference

#include <null.hpp>

11.281.1 Detailed Description

template<class Type> class QuantLib::Null< Type >

template class providing a null value for a given type.

Public Member Functions

• operator Type () const

The documentation for this class was generated from the following file:

• ql/null.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

520 QuantLib Class Documentation

11.282 NullCalendar Class Reference

#include <nullcalendar.hpp>
Inheritance diagram for NullCalendar:

Bridge< Calendar, CalendarImpl >

Calendar

NullCalendar

11.282.1 Detailed Description

Calendar(p. 235) for reproducing theoretical calculations.

This calendar has no holidays. It ensures that dates at whole-month distances have the same day
of month.
The documentation for this class was generated from the following file:

• ql/Calendars/nullcalendar.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.283 NullParameter Class Reference 521

11.283 NullParameter Class Reference

#include <parameter.hpp>
Inheritance diagram for NullParameter:

Bridge< Parameter, ParameterImpl >

Parameter

NullParameter

11.283.1 Detailed Description

Parameter(p. 539) which is always zero a(t) = 0.

The documentation for this class was generated from the following file:

• ql/ShortRateModels/parameter.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

522 QuantLib Class Documentation

11.284 NumericalMethod Class Reference

#include <numericalmethod.hpp>
Inheritance diagram for NumericalMethod:

NumericalMethod

Lattice

BlackScholesLattice Lattice2D ShortRateTree

ShortRateTree

11.284.1 Detailed Description

Numerical method (Tree, Finite Differences) base class.

Public Member Functions

• NumericalMethod (const TimeGrid &timeGrid)
• const TimeGrid & timeGrid () const
• virtual void initialize (const Handle< DiscretizedAsset > &, Time time) const =0
• virtual void rollback (const Handle< DiscretizedAsset > &, Time to) const =0
• virtual void rollAlmostBack (const Handle< DiscretizedAsset > &, Time to) const =0

Protected Attributes
• TimeGrid t_

The documentation for this class was generated from the following file:

• ql/numericalmethod.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.285 Observable Class Reference 523

11.285 Observable Class Reference

#include <observable.hpp>
Inheritance diagram for Observable:

BlackModel

BlackVolTermStructure

CapFlatVolatilityStructure

CapletForwardVolatilityStructure

CashFlow

Index

Link

Link< BlackVarianceCurve >

Link< BlackVolTermStructure >

Link< LocalVolTermStructure >

Link< MarketElement >

Link< TermStructure >

LocalVolTermStructure

MarketElement
Observable
LazyObject

GenericModelEngine

GenericModelEngine< BlackModel, Instruments::CapFloor::arguments, Instruments::CapFloor::results >

GenericModelEngine< BlackModel, Instruments::Swaption::arguments, Instruments::Swaption::results >

GenericModelEngine< ShortRateModels::AffineModel, Instruments::CapFloor::arguments, Instruments::CapFloor::results >

GenericModelEngine< ShortRateModels::Model, Arguments, Results >

GenericModelEngine< ShortRateModels::Model, Instruments::CapFloor::arguments, Instruments::CapFloor::results >

GenericModelEngine< ShortRateModels::Model, Instruments::Swaption::arguments, Instruments::Swaption::results >

GenericModelEngine< ShortRateModels::OneFactorAffineModel, Instruments::Swaption::arguments, Instruments::Swaption::results >

CalibrationHelper

Model

SwaptionVolatilityStructure

TermStructure

RateHelper

11.285.1 Detailed Description

Object that notifies its changes to a set of observables.

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

524 QuantLib Class Documentation

Public Member Functions

• void notifyObservers ()

Friends
• class Observer

11.285.2 Member Function Documentation

11.285.2.1 void notifyObservers ()

This method should be called at the end of non-const methods or when the programmer desires
to notify any changes.
The documentation for this class was generated from the following file:

• ql/Patterns/observable.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.286 Observer Class Reference 525

11.286 Observer Class Reference

#include <observable.hpp>
Inheritance diagram for Observer:

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

526 QuantLib Class Documentation

BlackModel

IndexedCoupon

ParCoupon

CompositeMarketElement

DerivedMarketElement

Xibor

Link

Link< BlackVarianceCurve >

Link< BlackVolTermStructure >

Link< LocalVolTermStructure >

Link< MarketElement >

Link< TermStructure >

LazyObject

GenericModelEngine

GenericModelEngine< BlackModel, Instruments::CapFloor::arguments, Instruments::CapFloor::results >

GenericModelEngine< BlackModel, Instruments::Swaption::arguments, Instruments::Swaption::results >

GenericModelEngine< ShortRateModels::AffineModel, Instruments::CapFloor::arguments, Instruments::CapFloor::results >

GenericModelEngine< ShortRateModels::Model, Arguments, Results >

GenericModelEngine< ShortRateModels::Model, Instruments::CapFloor::arguments, Instruments::CapFloor::results >

Observer
GenericModelEngine< ShortRateModels::Model, Instruments::Swaption::arguments, Instruments::Swaption::results >

GenericModelEngine< ShortRateModels::OneFactorAffineModel, Instruments::Swaption::arguments, Instruments::Swaption::results >

CalibrationHelper

Model

AffineTermStructure

DriftTermStructure

ExtendedDiscountCurve

ForwardSpreadedTermStructure

ImpliedTermStructure

QuantoTermStructure

RateHelper

ZeroSpreadedTermStructure

BlackConstantVol

BlackVarianceCurve

BlackVarianceSurface

ImpliedVolTermStructure

LocalConstantVol

LocalVolCurve

LocalVolSurface

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.286 Observer Class Reference 527

11.286.1 Detailed Description

Object that gets notified when a given observable changes.

Public Member Functions

• Observer (const Observer &)
• Observer & operator= (const Observer &)
• void registerWith (const Handle< Observable > &)
• void unregisterWith (const Handle< Observable > &)
• virtual void update ()=0

11.286.2 Member Function Documentation

11.286.2.1 virtual void update () [pure virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implemented in BlackModel (p. 211), IndexedCoupon (p. 420), ParCoupon (p. 542), Xibor
(p. 676), DerivedMarketElement (p. 297), CompositeMarketElement (p. 267), LazyObject
(p. 444), GenericModelEngine (p. 382), LatticeShortRateModelEngine (p. 442), Link (p. 455),
CalibrationHelper (p. 241), Model (p. 503), AffineTermStructure (p. 160), DriftTermStructure
(p. 319), ExtendedDiscountCurve (p. 341), ForwardSpreadedTermStructure (p. 364), Implied-
TermStructure (p. 410), QuantoTermStructure (p. 571), RateHelper (p. 578), ZeroSpreadedTerm-
Structure (p. 682), BlackConstantVol (p. 208), BlackVarianceCurve (p. 217), BlackVariance-
Surface (p. 219), ImpliedVolTermStructure (p. 412), LocalConstantVol (p. 458), LocalVol-
Curve (p. 460), LocalVolSurface (p. 462), GenericModelEngine< ShortRateModels::One-
FactorAffineModel, Instruments::Swaption::arguments, Instruments::Swaption::results
> (p. 382), GenericModelEngine< BlackModel, Instruments::Swaption::arguments, In-
struments::Swaption::results > (p. 382), GenericModelEngine< ShortRateModels::Model,
Arguments, Results > (p. 382), GenericModelEngine< BlackModel, Instruments::Cap-
Floor::arguments, Instruments::CapFloor::results > (p. 382), GenericModelEngine< ShortRate-
Models::AffineModel, Instruments::CapFloor::arguments, Instruments::CapFloor::results >
(p. 382), GenericModelEngine< ShortRateModels::Model, Instruments::CapFloor::arguments,
Instruments::CapFloor::results > (p. 382), GenericModelEngine< ShortRateModels::Model, In-
struments::Swaption::arguments, Instruments::Swaption::results > (p. 382), LatticeShortRate-
ModelEngine< Instruments::Swaption::arguments, Instruments::Swaption::results > (p. 442),
LatticeShortRateModelEngine< Instruments::CapFloor::arguments, Instruments::Cap-
Floor::results > (p. 442), Link< LocalVolTermStructure > (p. 455), Link< BlackVarianceCurve >
(p. 455), Link< MarketElement > (p. 455), Link< BlackVolTermStructure > (p. 455), and Link<
TermStructure > (p. 455).
The documentation for this class was generated from the following file:

• ql/Patterns/observable.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

528 QuantLib Class Documentation

11.287 OneFactorAffineModel Class Reference

#include <onefactormodel.hpp>
Inheritance diagram for OneFactorAffineModel:

Observer Observable

Model

OneFactorModel AffineModel

OneFactorAffineModel

CoxIngersollRoss Vasicek

ExtendedCoxIngersollRoss HullWhite

11.287.1 Detailed Description

Single-factor affine base class.

Single-factor models with an analytical formula for discount bonds should inherit from this class.
They must then implement the functions A(t, T) and B(t, T) such that

P(t, T, rt ) = A(t, T)e−B(t,T)rt .

Public Member Functions

• OneFactorAffineModel (Size nArguments)
• double discountBond (Time now, Time maturity, Rate rate) const
• DiscountFactor discount (Time t) const
Implied discount curve.

Protected Member Functions

• virtual double A (Time t, Time T) const =0
• virtual double B (Time t, Time T) const =0

The documentation for this class was generated from the following file:

• ql/ShortRateModels/onefactormodel.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.288 OneFactorModel Class Reference 529

11.288 OneFactorModel Class Reference

#include <onefactormodel.hpp>
Inheritance diagram for OneFactorModel:

Observer Observable

Model

OneFactorModel

BlackKarasinski OneFactorAffineModel

CoxIngersollRoss Vasicek

ExtendedCoxIngersollRoss HullWhite

11.288.1 Detailed Description

Single-factor short-rate model abstract class.

Public Member Functions

• OneFactorModel (Size nArguments)
• virtual Handle< ShortRateDynamics > dynamics () const =0
returns the short-rate dynamics

• virtual Handle< Lattices::Lattice > tree (const TimeGrid &grid) const

Return by default a trinomial recombining tree.

The documentation for this class was generated from the following files:

• ql/ShortRateModels/onefactormodel.hpp
• ql/ShortRateModels/onefactormodel.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

530 QuantLib Class Documentation

11.289 OneFactorModel::ShortRateDynamics Class Reference

#include <onefactormodel.hpp>

11.289.1 Detailed Description

Base class describing the short-rate dynamics.

Public Member Functions

• ShortRateDynamics (const Handle< DiffusionProcess > &process)
• virtual double variable (Time t, Rate r) const =0
Compute state variable from short rate.

• virtual Rate shortRate (Time t, double variable) const =0

Compute short rate from state variable.

• const Handle< DiffusionProcess > & process ()

Returns the risk-neutral dynamics of the state variable.

The documentation for this class was generated from the following file:

• ql/ShortRateModels/onefactormodel.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.290 OneFactorModel::ShortRateTree Class Reference 531

11.290 OneFactorModel::ShortRateTree Class Reference

#include <onefactormodel.hpp>
Inheritance diagram for OneFactorModel::ShortRateTree:

NumericalMethod

Lattice

OneFactorModel::ShortRateTree

11.290.1 Detailed Description

Recombining trinomial tree discretizing the state variable.

Public Member Functions

• ShortRateTree (const Handle< Lattices::Tree > &tree, const Handle< ShortRateDynamics
> &dynamics, const TimeGrid &timeGrid)
Plain tree build-up from short-rate dynamics.

• ShortRateTree (const Handle< Lattices::Tree > &tree, const Handle< ShortRateDynamics

> &dynamics, const Handle< TermStructureFittingParameter::NumericalImpl > &phi,
const TimeGrid &timeGrid)
Tree build-up + numerical fitting to term-structure.

• Size size (Size i) const

• DiscountFactor discount (Size i, Size index) const
Discount factor at time t_i and node indexed by index.

Protected Member Functions

• Size descendant (Size i, Size index, Size branch) const
Tree properties.

• double probability (Size i, Size index, Size branch) const

The documentation for this class was generated from the following file:

• ql/ShortRateModels/onefactormodel.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

532 QuantLib Class Documentation

11.291 OneFactorOperator Class Reference

#include <onefactoroperator.hpp>
Inheritance diagram for OneFactorOperator:

TridiagonalOperator

OneFactorOperator

11.291.1 Detailed Description

Interest-rate single factor model differential operator.

Public Member Functions

• OneFactorOperator (const Array &grid, const Handle< ShortRateModels::OneFactor-
Model::ShortRateDynamics > &process)

The documentation for this class was generated from the following file:

• ql/FiniteDifferences/onefactoroperator.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.292 Option Class Reference 533

11.292 Option Class Reference

#include <option.hpp>
Inheritance diagram for Option:

Observable Observer

LazyObject

Instrument

Option

BarrierOption BinaryOption Swaption VanillaOption

ForwardVanillaOption QuantoVanillaOption

QuantoForwardVanillaOption

11.292.1 Detailed Description

base option class

Examples:
DiscreteHedging.cpp.

Public Types
• enum Type { Call, Put, Straddle }

Public Member Functions

• Option (const Handle< PricingEngine > &engine=Handle< PricingEngine >(), const
std::string &isinCode="", const std::string &description="")

The documentation for this class was generated from the following file:

• ql/option.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

534 QuantLib Class Documentation

11.293 OrnsteinUhlenbeckProcess Class Reference

#include <diffusionprocess.hpp>
Inheritance diagram for OrnsteinUhlenbeckProcess:

DiffusionProcess

OrnsteinUhlenbeckProcess

11.293.1 Detailed Description

Ornstein-Uhlenbeck process class.

This class describes the Ornstein-Uhlenbeck process governed by

dx = −axt dt + σdWt .

Public Member Functions

• OrnsteinUhlenbeckProcess (double speed, double vol, double x0=0.0)
• double drift (Time t, double x) const
returns the drift part of the equation, i.e. µ(t, xt )

• double diffusion (Time t, double x) const

returns the diffusion part of the equation, i.e. σ(t, xt )

• double expectation (Time t0, double x0, Time dt) const

returns the expectation of the process after a time interval

• double variance (Time t0, double x0, Time dt) const

returns the variance of the process after a time interval

11.293.2 Member Function Documentation

11.293.2.1 double expectation (Time t0, double x0, Time dt) const [virtual]

returns the expectation of the process after a time interval

returns E(xt0 +∆t |xt0 = x0 ). By default, it returns the Euler approximation defined by x0 + µ(t0 , x0 )∆t.
Reimplemented from DiffusionProcess (p. 298).

11.293.2.2 double variance (Time t0, double x0, Time dt) const [virtual]

returns the variance of the process after a time interval

returns Var(xt0 +∆t |xt0 = x0 ). By default, it returns the Euler approximation defined by σ(t0 , x0 )2 ∆t.

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.293 OrnsteinUhlenbeckProcess Class Reference 535

Reimplemented from DiffusionProcess (p. 298).

The documentation for this class was generated from the following file:

• ql/diffusionprocess.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

536 QuantLib Class Documentation

11.294 Oslo Class Reference

#include <oslo.hpp>
Inheritance diagram for Oslo:

Bridge< Calendar, CalendarImpl >

Calendar

Oslo

11.294.1 Detailed Description

Oslo calendar
Holidays:

• Saturdays
• Sundays
• Holy Thursday
• Good Friday
• Easter Monday
• Ascension
• Whit(Pentecost) Monday
• New Year’s Day, January 1st
• May Day, May 1st
• National Independence Day, May 17st
• Christmas, December 25th
• Boxing Day, December 26th

The documentation for this class was generated from the following file:

• ql/Calendars/oslo.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.295 OutOfMemoryError Class Reference 537

11.295 OutOfMemoryError Class Reference

#include <errors.hpp>
Inheritance diagram for OutOfMemoryError:

Error

OutOfMemoryError

11.295.1 Detailed Description

Specialized error.
Thrown upon failed allocation.

Public Member Functions

• OutOfMemoryError (const std::string &whatClass="unknown class")

The documentation for this class was generated from the following file:

• ql/errors.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

538 QuantLib Class Documentation

11.296 PagodaPathPricer_old Class Reference

#include <pagodapathpricer.hpp>
Inheritance diagram for PagodaPathPricer_old:

PathPricer_old< MultiPath >

PagodaPathPricer_old

11.296.1 Detailed Description

multipath pricer for pagoda options

A pagoda option is a multi-asset asian option with a cap (the pagoda "roof"). Given a portfolio
of assets the payoff is the arithmetic average of the portfolio performance, with a maximum cap
given by the roof.

Public Member Functions

• PagodaPathPricer_old (const std::vector< double > &underlying, double roof, Discount-
Factor discount, bool useAntitheticVariance)
• double operator() (const MultiPath &path) const

The documentation for this class was generated from the following files:

• ql/MonteCarlo/pagodapathpricer.hpp
• ql/MonteCarlo/pagodapathpricer.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.297 Parameter Class Reference 539

11.297 Parameter Class Reference

#include <parameter.hpp>
Inheritance diagram for Parameter:

Bridge< Parameter, ParameterImpl >

Parameter

ConstantParameter NullParameter PiecewiseConstantParameter TermStructureFittingParameter

11.297.1 Detailed Description

Base class for model arguments.

Public Member Functions

• const Array & params () const
• void setParam (Size i, double x)
• bool testParams (const Array &params) const
• Size size () const
• double operator() (Time t) const
• const Handle< ParameterImpl > & implementation () const

Protected Member Functions

• Parameter (Size size, const Handle< ParameterImpl > &impl, const Optimiza-
tion::Constraint &constraint)

Protected Attributes
• Array params_
• Optimization::Constraint constraint_

The documentation for this class was generated from the following file:

• ql/ShortRateModels/parameter.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

540 QuantLib Class Documentation

11.298 ParameterImpl Class Reference

#include <parameter.hpp>

11.298.1 Detailed Description

Base class for model parameter implementation.

Public Member Functions

• virtual double value (const Array &params, Time t) const =0

The documentation for this class was generated from the following file:

• ql/ShortRateModels/parameter.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.299 ParCoupon Class Reference 541

11.299 ParCoupon Class Reference

#include <parcoupon.hpp>
Inheritance diagram for ParCoupon:

Observable

CashFlow

Coupon

FloatingRateCoupon Observer

ParCoupon

ShortFloatingRateCoupon

11.299.1 Detailed Description

coupon at par on a term structure

Warning:
This class does not perform any date adjustment, i.e., the start and end date passed upon
construction should be already rolled to a business day.

Public Member Functions

• ParCoupon (double nominal, const Date &paymentDate, const Handle< Indexes::Xibor >
&index, const Date &startDate, const Date &endDate, int fixingDays, Spread spread=0.0,
const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date())

CashFlow interface

• double amount () const

returns the amount of the cash flow

Coupon interface

• DayCounter dayCounter () const

day counter for accrual calculation

FloatingRateCoupon interface

• Rate fixing () const

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

542 QuantLib Class Documentation

• Date fixingDate () const

Inspectors

• const Handle< Indexes::Xibor > & index () const

Observer interface

• void update ()

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

11.299.2 Member Function Documentation

11.299.2.1 double amount () const [virtual]

returns the amount of the cash flow

Note:
The amount is not discounted, i.e., it is the actual amount paid at the cash flow date.

Implements CashFlow (p. 252).

Reimplemented in ShortFloatingRateCoupon (p. 594).

11.299.2.2 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).
The documentation for this class was generated from the following files:

• ql/CashFlows/parcoupon.hpp
• ql/CashFlows/parcoupon.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.300 Path Class Reference 543

11.300 Path Class Reference

#include <path.hpp>

11.300.1 Detailed Description

single factor random walk

Examples:
DiscreteHedging.cpp.

Public Member Functions

• Path (const TimeGrid &timeGrid, const Array &drift=Array(), const Array &diffu-
sion=Array())

inspectors

• double operator[ ] (int i) const

• Size size () const

read/write access to components

• const TimeGrid & timeGrid () const

• TimeGrid & timeGrid ()
• const Array & drift () const
• Array & drift ()
• const Array & diffusion () const
• Array & diffusion ()

The documentation for this class was generated from the following file:

• ql/MonteCarlo/path.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

544 QuantLib Class Documentation

11.301 PathGenerator Class Template Reference

#include <pathgenerator.hpp>

11.301.1 Detailed Description

template<class SG> class QuantLib::MonteCarlo::PathGenerator< SG >

Generates random paths using a sequence generator.

Generates random paths with drift(S,t) and variance(S,t) using a sequence generator

Public Types
• typedef Sample< Path > sample_type

Public Member Functions

• PathGenerator (const Handle< DiffusionProcess > &diffProcess, Time length, Size time-
Steps, const SG &generator)
• PathGenerator (const Handle< DiffusionProcess > &diffProcess, const TimeGrid &time-
Grid, const SG &generator)

inspectors

• const sample_type & next () const

• const sample_type & antithetic () const
• Size size () const
• const TimeGrid & timeGrid () const

The documentation for this class was generated from the following file:

• ql/MonteCarlo/pathgenerator.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.302 PathGenerator_old Class Template Reference 545

11.302 PathGenerator_old Class Template Reference

#include <pathgenerator.hpp>

11.302.1 Detailed Description

template<class RNG> class QuantLib::MonteCarlo::PathGenerator_old< RNG >

Generates random paths from a random number generator.

Deprecated
use PathGenerator(p. 544) instead

Examples:
DiscreteHedging.cpp.

Public Types
• typedef Sample< Path > sample_type

Public Member Functions

• PathGenerator_old (double drift, double variance, Time length, Size timeSteps, long
seed=0)
• PathGenerator_old (double drift, double variance, const TimeGrid &times, long seed=0)
• PathGenerator_old (const std::vector< double > &drift, const std::vector< double > &vari-
ance, const TimeGrid &times, long seed=0)

inspectors

• const sample_type & next () const

• const sample_type & antithetic () const
• Size size () const

11.302.2 Constructor & Destructor Documentation

11.302.2.1 PathGenerator_old (double drift, double variance, const TimeGrid & times, long
seed = 0)

Warning:
the initial time is assumed to be zero and must not be included in the passed vector

The documentation for this class was generated from the following file:

• ql/MonteCarlo/pathgenerator.hpp

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546 QuantLib Class Documentation

11.303 PathPricer Class Template Reference

#include <pathpricer.hpp>

11.303.1 Detailed Description

template<class PathType, class ValueType = double> class QuantLib::MonteCarlo::Path-

Pricer< PathType, ValueType >

base class for path pricers

Given a path the value of an option is returned on that path.

Public Member Functions

• PathPricer (const RelinkableHandle< TermStructure > &riskFreeTS)
• virtual ValueType operator() (const PathType &path) const =0

Protected Attributes
• RelinkableHandle< TermStructure > riskFreeTS_

The documentation for this class was generated from the following file:

• ql/MonteCarlo/pathpricer.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.304 PathPricer_old Class Template Reference 547

11.304 PathPricer_old Class Template Reference

#include <pathpricer.hpp>

11.304.1 Detailed Description

template<class PathType, class ValueType = double> class QuantLib::MonteCarlo::Path-

Pricer_old< PathType, ValueType >

base class for path pricers

Given a path the value of an option is returned on that path.

Deprecated
use PathPricer(p. 546) instead

Examples:
DiscreteHedging.cpp.

Public Member Functions

• PathPricer_old (DiscountFactor discount, bool useAntitheticVariance)
• virtual ValueType operator() (const PathType &path) const =0

Protected Attributes
• DiscountFactor discount_
• bool useAntitheticVariance_

The documentation for this class was generated from the following file:

• ql/MonteCarlo/pathpricer.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

548 QuantLib Class Documentation

11.305 Payoff Class Reference

#include <payoff.hpp>
Inheritance diagram for Payoff:

Payoff

StrikedTypePayoff

AssetOrNothingPayoff CashOrNothingPayoff PlainVanillaPayoff SupersharePayoff

11.305.1 Detailed Description

Option(p. 533) payoff base class.

Public Member Functions

• virtual double operator() (double price) const =0

The documentation for this class was generated from the following file:

• ql/payoff.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.306 PerformanceOption Class Reference 549

11.306 PerformanceOption Class Reference

#include <performanceoption.hpp>

11.306.1 Detailed Description

Performance option.
A performance option is a variant of a cliquet option: the payoff of each forward-starting (a.k.a.
deferred strike) options is $ max(S/X- 1) $.

Public Member Functions

• PerformanceOption (Option::Type type, double underlying, double moneyness, const
std::vector< Spread > &dividendYield, const std::vector< Rate > &riskFreeRate, const
std::vector< Time > &times, const std::vector< double > &volatility)
• double value () const
• double delta () const
• double gamma () const
• double theta () const
• double vega () const
• double rho () const
• double dividendRho () const

The documentation for this class was generated from the following files:

• ql/Pricers/performanceoption.hpp
• ql/Pricers/performanceoption.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

550 QuantLib Class Documentation

11.307 PerformanceOptionPathPricer_old Class Reference

#include <performanceoptionpathpricer.hpp>
Inheritance diagram for PerformanceOptionPathPricer_old:

PathPricer_old< Path >

PerformanceOptionPathPricer_old

11.307.1 Detailed Description

path pricer for performance options

Public Member Functions

• PerformanceOptionPathPricer_old (Option::Type type, double underlying, double mon-
eyness, const std::vector< DiscountFactor > &discounts, bool useAntitheticVariance)
• double operator() (const Path &path) const

The documentation for this class was generated from the following files:

• ql/MonteCarlo/performanceoptionpathpricer.hpp
• ql/MonteCarlo/performanceoptionpathpricer.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.308 Period Class Reference 551

11.308 Period Class Reference

#include <date.hpp>

11.308.1 Detailed Description

Time period described by a number of a given time unit.

Public Member Functions

• Period (int n, TimeUnit units)
• int length () const
• TimeUnit units () const

Related Functions

(Note that these are not member functions.)

• bool operator== (const Period &, const Period &)

• bool operator< (const Period &, const Period &)

The documentation for this class was generated from the following file:

• ql/date.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

552 QuantLib Class Documentation

11.309 PiecewiseConstantParameter Class Reference

#include <parameter.hpp>
Inheritance diagram for PiecewiseConstantParameter:

Bridge< Parameter, ParameterImpl >

Parameter

PiecewiseConstantParameter

11.309.1 Detailed Description

Piecewise constant parameter.

a(t) = ai i f ti−1 ≥ t < ti . This kind of parameter is usually used to enhance the fitting of a model

Public Member Functions

• PiecewiseConstantParameter (const std::vector< Time > &times)

The documentation for this class was generated from the following file:

• ql/ShortRateModels/parameter.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.310 PiecewiseFlatForward Class Reference 553

11.310 PiecewiseFlatForward Class Reference

#include <piecewiseflatforward.hpp>
Inheritance diagram for PiecewiseFlatForward:

Observable Observer

TermStructure LazyObject

PiecewiseFlatForward

11.310.1 Detailed Description

Piecewise flat forward term structure.

This term structure is bootstrapped on a number of interest rate instruments which are passed as
a vector of handles to RateHelper(p. 577) instances. Their maturities mark the boundaries of the
flat forward segments.
The values of the forward rates for each segment are determined sequentially starting from the
earliest period to the latest.
The value for each segment is chosen so that the instrument whose maturity marks the end of
such segment is correctly repriced on the curve.
Rates are assumed to be annual continuos compounding.

Warning:
The bootstrapping algorithm will raise an exception if any two instruments have the same
maturity date.

Public Member Functions

• PiecewiseFlatForward (const Date &todaysDate, const Date &referenceDate, const
std::vector< Handle< RateHelper > > &instruments, const DayCounter &dayCounter,
double accuracy=1.0e-12)
• PiecewiseFlatForward (const Date &todaysDate, const std::vector< Date > &dates, const
std::vector< Rate > &forwards, const DayCounter &dayCounter)

TermStructure interface

• DayCounter dayCounter () const

the day counter used for date/time conversion

• Date todaysDate () const

today’s date

• Date referenceDate () const

the reference date, i.e., the date at which discount = 1

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554 QuantLib Class Documentation

• const std::vector< Date > & dates () const

• Date maxDate () const
the latest date for which the curve can return rates

• const std::vector< Time > & times () const

• Time maxTime () const
the latest time for which the curve can return rates

Protected Member Functions

• Rate zeroYieldImpl (Time, bool extrapolate=false) const
zero-yield calculation

• DiscountFactor discountImpl (Time, bool extrapolate=false) const

discount calculation

• Rate forwardImpl (Time, bool extrapolate=false) const

instantaneous forward-rate calculation

• Rate compoundForwardImpl (Time t, int compFreq, bool extrapolate) const

compound forward-rate calculation

Friends
• class FFObjFunction

11.310.2 Constructor & Destructor Documentation

11.310.2.1 PiecewiseFlatForward (const Date & todaysDate, const std::vector< Date > &
dates, const std::vector< Rate > & forwards, const DayCounter & dayCounter)

In this constructor, the first date must be the reference date of the curve, the other dates are
the nodes of the term structure. The forward rate at index i is used in the period ti−1 < t ≤ ti .
Therefore, forwards[0] is used only to compute the zero yield for t = 0.
The documentation for this class was generated from the following files:

• ql/TermStructures/piecewiseflatforward.hpp
• ql/TermStructures/piecewiseflatforward.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.311 PlainVanillaPayoff Class Reference 555

11.311 PlainVanillaPayoff Class Reference

#include <payoff.hpp>
Inheritance diagram for PlainVanillaPayoff:

Payoff

StrikedTypePayoff

PlainVanillaPayoff

11.311.1 Detailed Description

The former PlainPayoff has been renamed PlainVanillaPayoff(p. 555) to stress that fact that now
nobody elses derives from it

Examples:
DiscreteHedging.cpp.

Public Member Functions

• PlainVanillaPayoff (Option::Type type, double strike)
• double operator() (double price) const

The documentation for this class was generated from the following file:

• ql/payoff.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

556 QuantLib Class Documentation

11.312 PositiveConstraint Class Reference

#include <constraint.hpp>
Inheritance diagram for PositiveConstraint:

Bridge< Constraint, ConstraintImpl >

Constraint

PositiveConstraint

11.312.1 Detailed Description

Constraint(p. 270) imposing positivity to all arguments.

The documentation for this class was generated from the following file:

• ql/Optimization/constraint.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.313 PostconditionNotSatisfiedError Class Reference 557

11.313 PostconditionNotSatisfiedError Class Reference

#include <errors.hpp>
Inheritance diagram for PostconditionNotSatisfiedError:

Error

PostconditionNotSatisfiedError

11.313.1 Detailed Description

Specialized error.
Thrown upon an unsatisfied postcondition.

Public Member Functions

• PostconditionNotSatisfiedError (const std::string &what="")

The documentation for this class was generated from the following file:

• ql/errors.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

558 QuantLib Class Documentation

11.314 PreconditionNotSatisfiedError Class Reference

#include <errors.hpp>
Inheritance diagram for PreconditionNotSatisfiedError:

Error

PreconditionNotSatisfiedError

11.314.1 Detailed Description

Specialized error.
Thrown upon an unsatisfied precondition.

Public Member Functions

• PreconditionNotSatisfiedError (const std::string &what="")

The documentation for this class was generated from the following file:

• ql/errors.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.315 PricingEngine Class Reference 559

11.315 PricingEngine Class Reference

#include <pricingengine.hpp>
Inheritance diagram for PricingEngine:

GenericEngine

GenericEngine< Arguments, Results >

GenericEngine< Instruments::BarrierOption::arguments, Instruments::BarrierOption::results >

GenericEngine< Instruments::BinaryOption::arguments, Instruments::BinaryOption::results >

GenericEngine< Instruments::CapFloor::arguments, Instruments::CapFloor::results >

PricingEngine
GenericEngine< Instruments::CliquetOption::arguments, Instruments::VanillaOption::results >

GenericEngine< Instruments::ForwardOptionArguments< ArgumentsType >, ResultsType >

GenericEngine< Instruments::QuantoOptionArguments< ArgumentsType >, Instruments::QuantoOptionResults< ResultsType > >

GenericEngine< Instruments::Swaption::arguments, Instruments::Swaption::results >

GenericEngine< Instruments::VanillaOption::arguments, Instruments::VanillaOption::results >

11.315.1 Detailed Description

base class for pricing engines

Public Member Functions

• virtual Arguments ∗ arguments () const =0
• virtual const Results ∗ results () const =0
• virtual void reset () const =0
• virtual void calculate () const =0

The documentation for this class was generated from the following file:

• ql/pricingengine.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

560 QuantLib Class Documentation

11.316 PrimeNumbers Class Reference

#include <primenumbers.hpp>

11.316.1 Detailed Description

Prime numbers calculator.

Prime numbers calculator. Taken from "Monte Carlo Methods in Finance", by Peter Jäckel

Static Public Member Functions

• unsigned long get (Size absoluteIndex)
Get and store one after another.

The documentation for this class was generated from the following files:

• ql/Math/primenumbers.hpp
• ql/Math/primenumbers.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.317 Problem Class Reference 561

11.317 Problem Class Reference

#include <problem.hpp>

11.317.1 Detailed Description

Constrained optimization problem.

Public Member Functions

• Problem (CostFunction &f, Constraint &c, Method &meth)
default constructor

• double value (const Array &x) const

call cost function computation and increment evaluation counter

• void gradient (Array &grad_f, const Array &x) const

call cost function gradient computation and increment

• double valueAndGradient (Array &grad_f, const Array &x) const

call cost function computation and it gradient

• Method & method () const

Constrained optimization method.

• Constraint & constraint () const

Constraint(p. 270).

• CostFunction & costFunction () const

Cost function.

• void minimize () const

Minimization.

• Array & minimumValue () const

Protected Attributes
• CostFunction & costFunction_
Unconstrained cost function.

• Constraint & constraint_

Constraint(p. 270).

• Method & method_

constrained optimization method

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562 QuantLib Class Documentation

The documentation for this class was generated from the following file:

• ql/Optimization/problem.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.318 processing_iterator Class Template Reference 563

11.318 processing_iterator Class Template Reference

#include <processingiterator.hpp>

11.318.1 Detailed Description

template<class Iterator, class UnaryFunction> class QuantLib::Utilities::processing_iterator<

Iterator, UnaryFunction >

Iterator mapping a unary function to an underlying sequence.

This iterator advances an underlying iterator and returns the values obtained by applying a unary
function to the values such iterator points to.
This class was implemented based on Christopher Baus and Thomas Becker, Custom Iterators
for the STL, included in the proceedings of the First Workshop on C++ Template Programming,
Erfurt, Germany, 2000 (http://www.oonumerics.org/tmpw00/)

Public Types
• typedef UnaryFunction::result_type value_type
• typedef const value_type ∗ pointer
• typedef const value_type & reference

Public Member Functions

• processing_iterator (const Iterator &, const UnaryFunction &)

Dereferencing

• reference operator ∗ () const

• pointer operator → () const

Random access

• value_type operator[ ] (int) const

Increment and decrement

• processing_iterator & operator++ ()

• processing_iterator operator++ (int)
• processing_iterator & operator– ()
• processing_iterator operator– (int)
• processing_iterator & operator+= (difference_type)
• processing_iterator & operator-= (difference_type)
• processing_iterator operator+ (difference_type)
• processing_iterator operator- (difference_type)

Difference

• difference_type operator- (const processing_iterator< Iterator, UnaryFunction > &)

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564 QuantLib Class Documentation

Comparisons

• bool operator== (const processing_iterator< Iterator, UnaryFunction > &)

• bool operator!= (const processing_iterator< Iterator, UnaryFunction > &)
• bool operator< (const processing_iterator< Iterator, UnaryFunction > &)
• bool operator> (const processing_iterator< Iterator, UnaryFunction > &)
• bool operator<= (const processing_iterator< Iterator, UnaryFunction > &)
• bool operator>= (const processing_iterator< Iterator, UnaryFunction > &)

Public Attributes
• typedef< Iterator >::difference_type difference_type

Related Functions

(Note that these are not member functions.)

• processing_iterator< Iterator, UnaryFunction > make_processing_iterator (Iterator it,

UnaryFunction p)
helper function to create processing iterators

The documentation for this class was generated from the following file:

• ql/Utilities/processingiterator.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.319 QuantoEngine Class Template Reference 565

11.319 QuantoEngine Class Template Reference

#include <quantoengines.hpp>
Inheritance diagram for QuantoEngine:

GenericEngine< Instruments::QuantoOptionArguments< ArgumentsType >, Instruments::QuantoOptionResults< ResultsType > > QuantoEngine

11.319.1 Detailed Description

template<class ArgumentsType, class ResultsType> class QuantLib::PricingEngines::Quanto-

Engine< ArgumentsType, ResultsType >

Quanto engine base class.

Public Member Functions

• QuantoEngine (const Handle< GenericEngine< ArgumentsType, ResultsType > > &)
• void calculate () const

Protected Attributes
• Handle< GenericEngine< ArgumentsType, ResultsType > > originalEngine_
• ArgumentsType ∗ originalArguments_
• const ResultsType ∗ originalResults_

The documentation for this class was generated from the following file:

• ql/PricingEngines/quantoengines.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

566 QuantLib Class Documentation

11.320 QuantoForwardVanillaOption Class Reference

#include <quantoforwardvanillaoption.hpp>
Inheritance diagram for QuantoForwardVanillaOption:

Observable Observer

LazyObject

Instrument

Option

VanillaOption

QuantoVanillaOption

QuantoForwardVanillaOption

11.320.1 Detailed Description

Quanto version of a forward vanilla option.

Public Types

• typedef QuantoOptionArguments< ForwardVanillaOption::arguments > arguments

• typedef QuantoOptionResults< ForwardVanillaOption::arguments > results

Public Member Functions

• QuantoForwardVanillaOption (Option::Type type, const RelinkableHandle< Market-

Element > &underlying, double strike, const RelinkableHandle< TermStructure >
&dividendTS, const RelinkableHandle< TermStructure > &riskFreeTS, const Exercise
&exercise, const RelinkableHandle< BlackVolTermStructure > &volTS, const Handle<
PricingEngine > &engine, const RelinkableHandle< TermStructure > &foreignRisk-
FreeTS, const RelinkableHandle< BlackVolTermStructure > &exchRateVolTS, const
RelinkableHandle< MarketElement > &correlation, double moneyness, Date resetDate,
const std::string &isinCode="", const std::string &description="")
• void setupArguments (Arguments ∗) const

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11.320 QuantoForwardVanillaOption Class Reference 567

11.320.2 Member Function Documentation

11.320.2.1 void setupArguments (Arguments ∗) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overrid-
den to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from QuantoVanillaOption (p. 573).
The documentation for this class was generated from the following files:

• ql/Instruments/quantoforwardvanillaoption.hpp
• ql/Instruments/quantoforwardvanillaoption.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

568 QuantLib Class Documentation

11.321 QuantoOptionArguments Class Template Reference

#include <quantovanillaoption.hpp>

11.321.1 Detailed Description

template<class ArgumentsType> class QuantLib::Instruments::QuantoOptionArguments<

ArgumentsType >

arguments for quanto option calculation

Public Member Functions

• void validate () const

Public Attributes
• double correlation
• RelinkableHandle< TermStructure > foreignRiskFreeTS
• RelinkableHandle< BlackVolTermStructure > exchRateVolTS

The documentation for this class was generated from the following file:

• ql/Instruments/quantovanillaoption.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.322 QuantoOptionResults Class Template Reference 569

11.322 QuantoOptionResults Class Template Reference

#include <quantovanillaoption.hpp>

11.322.1 Detailed Description

template<class ResultsType> class QuantLib::Instruments::QuantoOptionResults< Results-

Type >

results from quanto option calculation

Public Member Functions

• void reset ()

Public Attributes
• double qvega
• double qrho
• double qlambda

The documentation for this class was generated from the following file:

• ql/Instruments/quantovanillaoption.hpp

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570 QuantLib Class Documentation

11.323 QuantoTermStructure Class Reference

#include <quantotermstructure.hpp>
Inheritance diagram for QuantoTermStructure:

Observable

TermStructure

ZeroYieldStructure Observer

QuantoTermStructure

11.323.1 Detailed Description

Quanto term structure.

Quanto term structure for modelling quanto effect in option pricing.

Note:
This term structure will remain linked to the original structures, i.e., any changes in the latters
will be reflected in this structure as well.

Public Member Functions

• QuantoTermStructure (const RelinkableHandle< TermStructure > &underlying-
DividendTS, const RelinkableHandle< TermStructure > &riskFreeTS, const Relinkable-
Handle< TermStructure > &foreignRiskFreeTS, const RelinkableHandle< BlackVolTerm-
Structure > &underlyingBlackVolTS, double strike, const RelinkableHandle< BlackVol-
TermStructure > &exchRateBlackVolTS, double exchRateATMlevel, double underlying-
ExchRateCorrelation)

TermStructure interface
• DayCounter dayCounter () const
the day counter used for date/time conversion

• Date todaysDate () const

today’s date

• Date referenceDate () const

the reference date, i.e., the date at which discount = 1

• Date maxDate () const

the latest date for which the curve can return rates

Observer interface
• void update ()

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11.323 QuantoTermStructure Class Reference 571

Protected Member Functions

• Rate zeroYieldImpl (Time, bool extrapolate=false) const
returns the zero yield as seen from the evaluation date

11.323.2 Member Function Documentation

11.323.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).
The documentation for this class was generated from the following file:

• ql/TermStructures/quantotermstructure.hpp

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572 QuantLib Class Documentation

11.324 QuantoVanillaOption Class Reference

#include <quantovanillaoption.hpp>
Inheritance diagram for QuantoVanillaOption:

Observable Observer

LazyObject

Instrument

Option

VanillaOption

QuantoVanillaOption

QuantoForwardVanillaOption

11.324.1 Detailed Description

quanto version of a vanilla option

Public Types
• typedef QuantoOptionArguments< VanillaOption::arguments > arguments
• typedef QuantoOptionResults< VanillaOption::results > results

Public Member Functions

• QuantoVanillaOption (Option::Type type, const RelinkableHandle< MarketElement >
&underlying, double strike, const RelinkableHandle< TermStructure > &dividend-
TS, const RelinkableHandle< TermStructure > &riskFreeTS, const Exercise &exercise,
const RelinkableHandle< BlackVolTermStructure > &volTS, const Handle< Pricing-
Engine > &engine, const RelinkableHandle< TermStructure > &foreignRiskFreeTS,
const RelinkableHandle< BlackVolTermStructure > &exchRateVolTS, const Relinkable-
Handle< MarketElement > &correlation, const std::string &isinCode="", const std::string
&description="")
• void setupArguments (Arguments ∗) const

greeks

• double qvega () const

• double qrho () const
• double qlambda () const

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11.324 QuantoVanillaOption Class Reference 573

Protected Member Functions

• void setupExpired () const
• void performCalculations () const

Protected Attributes
• RelinkableHandle< TermStructure > foreignRiskFreeTS_
• RelinkableHandle< BlackVolTermStructure > exchRateVolTS_
• RelinkableHandle< MarketElement > correlation_
• double qvega_
• double qrho_
• double qlambda_

11.324.2 Member Function Documentation

11.324.2.1 void setupArguments (Arguments ∗) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overrid-
den to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from VanillaOption (p. 665).
Reimplemented in QuantoForwardVanillaOption (p. 567).

11.324.2.2 void setupExpired () const [protected, virtual]

This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from VanillaOption (p. 666).

11.324.2.3 void performCalculations () const [protected, virtual]

In case a pricing engine is not used, this method must be overridden to perform the actual calcu-
lations and set any needed results. In case a pricing engine is used, the default implementation
can be used.
Reimplemented from VanillaOption (p. 666).
The documentation for this class was generated from the following files:

• ql/Instruments/quantovanillaoption.hpp
• ql/Instruments/quantovanillaoption.cpp

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574 QuantLib Class Documentation

11.325 RandomArrayGenerator Class Template Reference

#include <randomarraygenerator.hpp>

11.325.1 Detailed Description

template<class RNG> class QuantLib::RandomNumbers::RandomArrayGenerator< RNG >

Generates random arrays using a random number generator.

Deprecated
use RandomSequenceGenerator(p. 575) instead.

Public Types
• typedef MonteCarlo::Sample< Array > sample_type

Public Member Functions

• RandomArrayGenerator (const Array &variance, long seed=0)
• RandomArrayGenerator (const Math::Matrix &covariance, long seed=0)
• const sample_type & next () const
• int size () const

The documentation for this class was generated from the following file:

• ql/RandomNumbers/randomarraygenerator.hpp

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11.326 RandomSequenceGenerator Class Template Reference 575

11.326 RandomSequenceGenerator Class Template Reference

#include <randomsequencegenerator.hpp>

11.326.1 Detailed Description

template<class RNG> class QuantLib::RandomNumbers::RandomSequenceGenerator< RNG

>

Random sequence generator based on a pseudo-random number generator.

Random sequence generator based on a pseudo-random number generator RNG.
Class RNG must implement the following interface:

RNG::sample_type RNG::next() const;

Warning:
do not use with low-discrepancy sequence generator

Public Types
• typedef MonteCarlo::Sample< Array > sample_type

Public Member Functions

• RandomSequenceGenerator (Size dimensionality, const RNG &rng)
• RandomSequenceGenerator (Size dimensionality, long seed=0)
• const sample_type & nextSequence () const
• std::vector< unsigned long > nextInt32Sequence () const
• const sample_type & lastSequence () const
• Size dimension () const

The documentation for this class was generated from the following file:

• ql/RandomNumbers/randomsequencegenerator.hpp

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576 QuantLib Class Documentation

11.327 RateFormatter Class Reference

#include <dataformatters.hpp>

11.327.1 Detailed Description

Formats rates for output.

Formatting is in percentage form (xx.xxxxx)

Static Public Member Functions

• std::string toString (double rate, int precision=5)

The documentation for this class was generated from the following files:

• ql/dataformatters.hpp
• ql/dataformatters.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.328 RateHelper Class Reference 577

11.328 RateHelper Class Reference

#include <ratehelpers.hpp>
Inheritance diagram for RateHelper:

Observer Observable

RateHelper

DepositRateHelper FraRateHelper FuturesRateHelper SwapRateHelper

11.328.1 Detailed Description

base class for rate helpers

This class provides an abstraction for the instruments used to bootstrap a term structure. It is
advised that a rate helper for an instrument contains an instance of the actual instrument class
to ensure consistancy between the algorithms used during bootstrapping and later instrument
pricing. This is not yet fully enforced in the available rate helpers, though - only SwapRate-
Helper(p. 623) contains a Swap instrument for the time being.

Public Member Functions

• RateHelper (const RelinkableHandle< MarketElement > &quote)

• RateHelper (double quote)

RateHelper interface

• double quoteError () const

• double referenceQuote () const
• virtual double impliedQuote () const =0
• virtual DiscountFactor discountGuess () const
• virtual void setTermStructure (TermStructure ∗)
sets the term structure to be used for pricing

• virtual Date maturity () const =0

maturity date

Observer interface

• void update ()

Protected Attributes

• RelinkableHandle< MarketElement > quote_

• TermStructure ∗ termStructure_

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578 QuantLib Class Documentation

11.328.2 Member Function Documentation

11.328.2.1 void setTermStructure (TermStructure ∗) [virtual]

sets the term structure to be used for pricing

Warning:
Being a pointer and not a Handle(p. 390), the term structure is not guaranteed to remain
allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure
that the pointer remains valid. It is advised that rate helpers be used only in term structure
constructors, setting the term structure to this, i.e., the one being constructed.

Reimplemented in DepositRateHelper (p. 295), FraRateHelper (p. 368), and SwapRateHelper

(p. 624).

11.328.2.2 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).
The documentation for this class was generated from the following files:

• ql/TermStructures/ratehelpers.hpp
• ql/TermStructures/ratehelpers.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.329 RelinkableHandle Class Template Reference 579

11.329 RelinkableHandle Class Template Reference

#include <relinkablehandle.hpp>
Inheritance diagram for RelinkableHandle:

Handle< Link< Type > >

RelinkableHandle

11.329.1 Detailed Description

template<class Type> class QuantLib::RelinkableHandle< Type >

Globally accessible relinkable pointer.

An instance of this class can be relinked to another Handle(p. 390): such change will be propagated
to all the copies of the instance.

Precondition:
Class "Type" must inherit from Observable

Public Member Functions

• RelinkableHandle (const Handle< Type > &h=Handle< Type >(), bool registerAs-
Observer=true)
• void linkTo (const Handle< Type > &h, bool registerAsObserver=true)
• const Handle< Type > & operator → () const
dereferencing

• bool isNull () const

Checks if the contained handle points to anything.

11.329.2 Constructor & Destructor Documentation

11.329.2.1 RelinkableHandle (const Handle< Type > & h = Handle< Type >(), bool
registerAsObserver = true) [explicit]

Warning:
see the documentation of Link(p. 455) for issues relatives to registerAsObserver.

11.329.3 Member Function Documentation

11.329.3.1 void linkTo (const Handle< Type > & h, bool registerAsObserver = true)

Warning:
see the documentation of Link(p. 455) for issues relatives to registerAsObserver.

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580 QuantLib Class Documentation

The documentation for this class was generated from the following file:

• ql/relinkablehandle.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.330 Results Class Reference 581

11.330 Results Class Reference

#include <argsandresults.hpp>
Inheritance diagram for Results:

Results

Greeks Value

results results results results

results results

11.330.1 Detailed Description

base class for generic result groups

Public Member Functions

• virtual void reset ()=0

The documentation for this class was generated from the following file:

• ql/argsandresults.hpp

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582 QuantLib Class Documentation

11.331 Ridder Class Reference

#include <ridder.hpp>
Inheritance diagram for Ridder:

CuriouslyRecurringTemplate< Ridder >

Solver1D< Ridder >

Ridder

11.331.1 Detailed Description

Ridder 1-D solver

Public Member Functions

• template<class F> double solveImpl (const F &f, double xAcc) const

The documentation for this class was generated from the following file:

• ql/Solvers1D/ridder.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.332 RiskMeasures Class Reference 583

11.332 RiskMeasures Class Reference

#include <riskmeasures.hpp>

11.332.1 Detailed Description

Deprecated
use Statistics instead

Public Member Functions

• template<class DataIterator> double percentile (double percentile, DataIterator begin,
DataIterator end) const
• double gaussianPercentile (double percentile, double mean, double std) const
• template<class DataIterator> double potentialUpside (double percentile, DataIterator be-
gin, DataIterator end) const
• double gaussianPotentialUpside (double percentile, double mean, double std) const
• template<class DataIterator> double valueAtRisk (double percentile, DataIterator begin,
DataIterator end) const
• double gaussianValueAtRisk (double percentile, double mean, double std) const
• double gaussianExpectedShortfall (double percentile, double mean, double std) const
• double gaussianShortfall (double target, double mean, double std) const
• double gaussianAverageShortfall (double target, double mean, double std) const

11.332.2 Member Function Documentation

11.332.2.1 double percentile (double percentile, DataIterator begin, DataIterator end) const

Precondition:
percentile must be in range (0%-100%]

11.332.2.2 double gaussianPercentile (double percentile, double mean, double std) const

Precondition:
percentile must be in range (0%-100%) extremes excluded

11.332.2.3 double potentialUpside (double percentile, DataIterator begin, DataIterator end)

const

Precondition:
y must be in range [90%-100%)

11.332.2.4 double gaussianPotentialUpside (double percentile, double mean, double std)

const

Precondition:
percentile must be in range [90%-100%)

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584 QuantLib Class Documentation

11.332.2.5 double valueAtRisk (double percentile, DataIterator begin, DataIterator end) const

Precondition:
y must be in range [90%-100%)

11.332.2.6 double gaussianValueAtRisk (double percentile, double mean, double std) const

Precondition:
percentile must be in range [90%-100%)

11.332.2.7 double gaussianExpectedShortfall (double percentile, double mean, double std)

const

Precondition:
percentile must be in range 90%-100%

The documentation for this class was generated from the following file:

• ql/Math/riskmeasures.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.333 RiskStatistics_old Class Reference 585

11.333 RiskStatistics_old Class Reference

#include <riskstatistics.hpp>

11.333.1 Detailed Description

Risk analysis tool.

It can accumulate a set of data and return statistics as mean, variance, std. deviation, skewness,
kurtosis, plus risk quantities as Value-At-Risk, Expected Shortfall, Shortfall, Average Shortfall,
etc under gaussian assumption

Deprecated
use IncrementalGaussianStatistics or Statistics instead

Public Member Functions

Inspectors

• Size samples () const

• double weightSum () const
• double mean () const
• double variance () const
• double standardDeviation () const
• double errorEstimate () const
• double skewness () const
• double kurtosis () const
• double min () const
• double max () const
• double potentialUpside (double percentile) const
returns the Potential-Upside at a given percentile

• double valueAtRisk (double percentile) const

returns the Value-At-Risk at a given percentile

• double expectedShortfall (double percentile) const

returns the Expected Shortfall at a given percentile

• double shortfall (double target) const

returns the Shortfall (observations below target)

• double averageShortfall (double target) const

returns the Average Shortfall (averaged shortfallness)

Modifiers

• void add (double value, double weight=1.0)

• template<class DataIterator> void addSequence (DataIterator begin, DataIterator end)
• template<class DataIterator, class WeightIterator> void addSequence (DataIterator be-
gin, DataIterator end, WeightIterator wbegin)
adds a sequence of data to the set, each with its weight

• void reset ()

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586 QuantLib Class Documentation

11.333.2 Member Function Documentation

11.333.2.1 void add (double value, double weight = 1.0)

Precondition:
weights must be positive or null

The documentation for this class was generated from the following file:

• ql/riskstatistics.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.334 Sample Struct Template Reference 587

11.334 Sample Struct Template Reference

#include <sample.hpp>

11.334.1 Detailed Description

template<class T> struct QuantLib::MonteCarlo::Sample< T >

weighted sample

Public Types
• typedef T value_type

Public Member Functions

• Sample (const T &value, double weight)

Public Attributes
• T value
• double weight

The documentation for this struct was generated from the following file:

• ql/MonteCarlo/sample.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

588 QuantLib Class Documentation

11.335 Schedule Class Reference

#include <scheduler.hpp>

11.335.1 Detailed Description

Payment schedule.

Iterators
• typedef std::vector< Date >::const_iterator const_iterator
• const_iterator begin () const
• const_iterator end () const

Public Member Functions

• Schedule (const Calendar &calendar, const Date &startDate, const Date &endDate, int
frequency, RollingConvention rollingConvention, bool isAdjusted, const Date &stub-
Date=Date(), bool startFromEnd=false, bool longFinal=false)
• Schedule (const std::vector< Date > &, const Calendar &calendar, RollingConvention
rollingConvention, bool isAdjusted)

Date access

• Size size () const

• const Date & operator[ ] (Size i) const
• const Date & date (Size i) const
• bool isRegular (Size i) const

Other inspectors

• const Calendar & calendar () const

• const Date & startDate () const
• const Date & endDate () const
• int frequency () const
• RollingConvention rollingConvention () const
• bool isAdjusted () const

The documentation for this class was generated from the following files:

• ql/scheduler.hpp
• ql/scheduler.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.336 Secant Class Reference 589

11.336 Secant Class Reference

#include <secant.hpp>
Inheritance diagram for Secant:

CuriouslyRecurringTemplate< Secant >

Solver1D< Secant >

Secant

11.336.1 Detailed Description

secant 1-D solver

Public Member Functions

• template<class F> double solveImpl (const F &f, double xAccuracy) const

The documentation for this class was generated from the following file:

• ql/Solvers1D/secant.hpp

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590 QuantLib Class Documentation

11.337 SegmentIntegral Class Reference

#include <segmentintegral.hpp>

11.337.1 Detailed Description

Integral of a one-dimensional function.

Given a number N of intervals, the integral of a function f between a and b is calculated by means
of the trapezoid formula
Z b
1 1
f dx = f (x0 ) + f (x1 ) + f (x2 ) + . . . + f (xN−1 ) + f (xN )
a 2 2

where x0 = a, xN = b, and xi = a + i∆x with ∆x = (b − a)/N.

Examples:
EuropeanOption.cpp.

Public Member Functions

• SegmentIntegral (Size intervals)
• template<class F> double operator() (const F &f, double a, double b) const

The documentation for this class was generated from the following file:

• ql/Math/segmentintegral.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.338 SequenceStatistics Class Template Reference 591

11.338 SequenceStatistics Class Template Reference

#include <sequencestatistics.hpp>

11.338.1 Detailed Description

template<class StatisticsType = Statistics> class QuantLib::Math::SequenceStatistics<

StatisticsType >

Statistics analysis of N-dimensional (sequence) data.

It provides 1-dimensional statistics as discrepancy plus N-dimensional (sequence) statistics (e.g.
mean, variance, skewness, kurtosis, etc.) with one component for each dimension of the sample
space.
For most of the statistics this class relies on the StatisticsType underlying class to provide 1-D
methods that will be iterated for all the components of the N-D data. These lifted methods are
the union of all the methods that might be requested to the 1-D underlying StatisticsType class,
with the usual compile-time checks provided by the template approach.

Public Types
• typedef StatisticsType statistics_type

Public Member Functions

• SequenceStatistics (Size dimension)

covariance and correlation

• Disposable< Matrix > covariance () const

returns the covariance Matrix(p. 471)

• Disposable< Matrix > correlation () const

returns the correlation Matrix(p. 471)

1-D inspectors lifted from underlying statistics class

• Size samples () const

• double weightSum () const

N-D inspectors lifted from underlying statistics class

• std::vector< double > mean () const

• std::vector< double > variance () const
• std::vector< double > standardDeviation () const
• std::vector< double > downsideVariance () const
• std::vector< double > downsideDeviation () const
• std::vector< double > semiVariance () const
• std::vector< double > semiDeviation () const
• std::vector< double > errorEstimate () const

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592 QuantLib Class Documentation

• std::vector< double > skewness () const

• std::vector< double > kurtosis () const
• std::vector< double > min () const
• std::vector< double > max () const
• std::vector< double > gaussianPercentile (double y) const
• std::vector< double > percentile (double y) const
• std::vector< double > gaussianPotentialUpside (double percentile) const
• std::vector< double > potentialUpside (double percentile) const
• std::vector< double > gaussianValueAtRisk (double percentile) const
• std::vector< double > valueAtRisk (double percentile) const
• std::vector< double > gaussianExpectedShortfall (double percentile) const
• std::vector< double > expectedShortfall (double percentile) const
• std::vector< double > regret (double target) const
• std::vector< double > gaussianShortfall (double target) const
• std::vector< double > shortfall (double target) const
• std::vector< double > gaussianAverageShortfall (double target) const
• std::vector< double > averageShortfall (double target) const

Modifiers

• void reset (Size dimension=0)

• template<class Sequence> void add (const Sequence &sample, double weight=1.0)
• template<class Iterator> void add (Iterator begin, Iterator end, double weight=1.0)

Protected Attributes
• Size dimension_
• std::vector< statistics_type > stats_
• std::vector< double > results_
• Matrix quadraticSum_

The documentation for this class was generated from the following file:

• ql/Math/sequencestatistics.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.339 Short Class Template Reference 593

11.339 Short Class Template Reference

#include <shortindexedcoupon.hpp>

11.339.1 Detailed Description

template<class IndexedCouponType> class QuantLib::CashFlows::Short< IndexedCoupon-

Type >

short indexed coupon

Warning:
This class does not perform any date adjustment, i.e., the start and end date passed upon
construction should be already rolled to a business day.

Public Member Functions

• Short (double nominal, const Date &paymentDate, const Handle< Indexes::Xibor > &in-
dex, const Date &startDate, const Date &endDate, int fixingDays, Spread spread=0.0, const
Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &day-
Counter=DayCounter())
• double amount () const
inhibit calculation

11.339.2 Member Function Documentation

11.339.2.1 double amount () const

inhibit calculation
Unlike ParCoupon(p. 541), this coupon can’t calculate its fixing for future dates, either.
The documentation for this class was generated from the following file:

• ql/CashFlows/shortindexedcoupon.hpp

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594 QuantLib Class Documentation

11.340 ShortFloatingRateCoupon Class Reference

#include <shortfloatingcoupon.hpp>
Inheritance diagram for ShortFloatingRateCoupon:

Observable

CashFlow

Coupon

FloatingRateCoupon Observer

ParCoupon

ShortFloatingRateCoupon

11.340.1 Detailed Description

short coupon at par on a term structure

Warning:
This class does not perform any date adjustment, i.e., the start and end date passed upon
construction should be already rolled to a business day.

Public Member Functions

• ShortFloatingRateCoupon (double nominal, const Date &paymentDate, const Handle<
Indexes::Xibor > &index, const Date &startDate, const Date &endDate, int fixingDays,
Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date())
• double amount () const
throws when an interpolated fixing is needed

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

The documentation for this class was generated from the following files:

• ql/CashFlows/shortfloatingcoupon.hpp
• ql/CashFlows/shortfloatingcoupon.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.341 ShoutCondition Class Reference 595

11.341 ShoutCondition Class Reference

#include <shoutcondition.hpp>
Inheritance diagram for ShoutCondition:

StandardStepCondition

ShoutCondition

11.341.1 Detailed Description

Shout option condition.

A shout option is an option where the holder has the right to lock in a minimum value for the
payoff at one (shout) time during the option’s life. The minimum value is the option’s intrinsic
value at the shout time.

Todo
Unify the intrinsicValues/Payoff thing

Public Member Functions

• ShoutCondition (Option::Type type, double strike, Time resTime, Rate rate)
• ShoutCondition (const Array &intrinsicValues, Time resTime, Rate rate)
• void applyTo (Array &a, Time t) const
• void applyTo (Handle< DiscretizedAsset > asset) const

The documentation for this class was generated from the following file:

• ql/FiniteDifferences/shoutcondition.hpp

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596 QuantLib Class Documentation

11.342 SimpleCashFlow Class Reference

#include <simplecashflow.hpp>
Inheritance diagram for SimpleCashFlow:

Observable

CashFlow

SimpleCashFlow

11.342.1 Detailed Description

Predetermined cash flow.

This cash flow pays a predetermined amount at a given date.

Public Member Functions

• SimpleCashFlow (double amount, const Date &date)

CashFlow interface

• double amount () const

returns the amount of the cash flow

• Date date () const

returns the date at which the cash flow is settled

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

11.342.2 Member Function Documentation

11.342.2.1 double amount () const [virtual]

returns the amount of the cash flow

Note:
The amount is not discounted, i.e., it is the actual amount paid at the cash flow date.

Implements CashFlow (p. 252).

The documentation for this class was generated from the following file:

• ql/CashFlows/simplecashflow.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.343 SimpleDayCounter Class Reference 597

11.343 SimpleDayCounter Class Reference

#include <simpledaycounter.hpp>
Inheritance diagram for SimpleDayCounter:

Bridge< DayCounter, DayCounterImpl >

DayCounter

SimpleDayCounter

11.343.1 Detailed Description

Simple day counter for reproducing theoretical calculations.

This day counter tries to ensure that whole-month distances are returned as a simple fraction, i.e.,
1 year = 1.0, 6 months = 0.5, 3 months = 0.25 and so forth.

Warning:
this day counter should be used together with NullCalendar, which ensures that dates at
whole-month distances share the same day of month. It is not guaranteed to work with any
other calendar.

The documentation for this class was generated from the following file:

• ql/DayCounters/simpledaycounter.hpp

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598 QuantLib Class Documentation

11.344 SimpleMarketElement Class Reference

#include <marketelement.hpp>
Inheritance diagram for SimpleMarketElement:

Observable

MarketElement

SimpleMarketElement

11.344.1 Detailed Description

market element returning a stored value

Public Member Functions

• SimpleMarketElement (double value)

Market element interface

• double value () const

returns the current value

Modifiers

• void setValue (double value)

The documentation for this class was generated from the following file:

• ql/marketelement.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.345 SimpleSwap Class Reference 599

11.345 SimpleSwap Class Reference

#include <simpleswap.hpp>
Inheritance diagram for SimpleSwap:

Observable Observer

LazyObject

Instrument

Swap

SimpleSwap

11.345.1 Detailed Description

Simple fixed-rate vs Libor swap.

Public Member Functions

• SimpleSwap (bool payFixedRate, const Date &startDate, int n, TimeUnit units, const
Calendar &calendar, RollingConvention rollingConvention, double nominal, int fixed-
Frequency, Rate fixedRate, bool fixedIsAdjusted, const DayCounter &fixedDayCount, int
floatingFrequency, const Handle< Indexes::Xibor > &index, int indexFixingDays, Spread
spread, const RelinkableHandle< TermStructure > &termStructure, const std::string &isin-
Code="", const std::string &description="")
• SimpleSwap (bool payFixedRate, double nominal, const Schedule &fixedSchedule, Rate
fixedRate, const DayCounter &fixedDayCount, const Schedule &floatSchedule, const
Handle< Indexes::Xibor > &index, int indexFixingDays, Spread spread, const Relinkable-
Handle< TermStructure > &termStructure, const std::string &isinCode="", const std::string
&description="")
• SimpleSwap (bool payFixedRate, const Date &startDate, const Date &maturity, const
Calendar &calendar, RollingConvention rollingConvention, double nominal, int fixed-
Frequency, Rate fixedRate, bool fixedIsAdjusted, const DayCounter &fixedDayCount, int
floatingFrequency, const Handle< Indexes::Xibor > &index, int indexFixingDays, Spread
spread, const RelinkableHandle< TermStructure > &termStructure, const Date &fixed-
StubDate=Date(), bool fixedFromEnd=false, bool fixedLongFinal=false, const Date &float-
StubDate=Date(), bool floatFromEnd=false, bool floatLongFinal=false, const std::string
&isinCode="", const std::string &description="")
• Rate fairRate () const
• Spread fairSpread () const
• double fixedLegBPS () const
• double floatingLegBPS () const
• Rate fixedRate () const
• Spread spread () const

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600 QuantLib Class Documentation

• double nominal () const

• bool payFixedRate () const
• const std::vector< Handle< CashFlow > > & fixedLeg () const
• const std::vector< Handle< CashFlow > > & floatingLeg () const
• void setupArguments (Arguments ∗args) const

11.345.2 Constructor & Destructor Documentation

11.345.2.1 SimpleSwap (bool payFixedRate, const Date & startDate, const Date &
maturity, const Calendar & calendar, RollingConvention rollingConvention,
double nominal, int fixedFrequency, Rate fixedRate, bool fixedIsAdjusted,
const DayCounter & fixedDayCount, int floatingFrequency, const Handle<
Indexes::Xibor > & index, int indexFixingDays, Spread spread, const
RelinkableHandle< TermStructure > & termStructure, const Date & fixedStubDate
= Date(), bool fixedFromEnd = false, bool fixedLongFinal = false, const Date &
floatStubDate = Date(), bool floatFromEnd = false, bool floatLongFinal = false,
const std::string & isinCode = "", const std::string & description = "")

Deprecated
use the constructor taking two Schedules

11.345.3 Member Function Documentation

11.345.3.1 void setupArguments (Arguments ∗ args) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overrid-
den to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument (p. 423).
The documentation for this class was generated from the following files:

• ql/Instruments/simpleswap.hpp
• ql/Instruments/simpleswap.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.346 SimpleSwap::arguments Class Reference 601

11.346 SimpleSwap::arguments Class Reference

#include <simpleswap.hpp>
Inheritance diagram for SimpleSwap::arguments:

Arguments

SimpleSwap::arguments

arguments

11.346.1 Detailed Description

arguments for simple swap calculation

Public Member Functions

• void validate () const

Public Attributes
• bool payFixed
• double nominal
• std::vector< Time > fixedResetTimes
• std::vector< Time > fixedPayTimes
• std::vector< double > fixedCoupons
• std::vector< Time > floatingAccrualTimes
• std::vector< Time > floatingResetTimes
• std::vector< Time > floatingPayTimes
• std::vector< Spread > floatingSpreads

The documentation for this class was generated from the following files:

• ql/Instruments/simpleswap.hpp
• ql/Instruments/simpleswap.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

602 QuantLib Class Documentation

11.347 SimpleSwap::results Class Reference

#include <simpleswap.hpp>
Inheritance diagram for SimpleSwap::results:

Results

Value

SimpleSwap::results

11.347.1 Detailed Description

results from swaption calculation

The documentation for this class was generated from the following file:

• ql/Instruments/simpleswap.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.348 Simplex Class Reference 603

11.348 Simplex Class Reference

#include <simplex.hpp>
Inheritance diagram for Simplex:

Method

Simplex

11.348.1 Detailed Description

Multi-dimensional Simplex(p. 603) class.

Public Member Functions

• Simplex (double lambda, double tol)
• virtual void minimize (const Problem &P) const
minimize the optimization problem P

11.348.2 Constructor & Destructor Documentation

11.348.2.1 Simplex (double lambda, double tol)

Constructor taking as input lambda as the characteristic length and tol as the precision
The documentation for this class was generated from the following files:

• ql/Optimization/simplex.hpp
• ql/Optimization/simplex.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

604 QuantLib Class Documentation

11.349 SimpsonIntegral Class Reference

#include <simpsonintegral.hpp>
Inheritance diagram for SimpsonIntegral:

TrapezoidIntegral

SimpsonIntegral

11.349.1 Detailed Description

Integral of a one-dimensional function.

Public Member Functions

• SimpsonIntegral (double accuracy, Size maxIterations=Null< int >())
• template<class F> double operator() (const F &f, double a, double b) const

The documentation for this class was generated from the following file:

• ql/Math/simpsonintegral.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.350 SingleAssetOption Class Reference 605

11.350 SingleAssetOption Class Reference

#include <singleassetoption.hpp>
Inheritance diagram for SingleAssetOption:

BarrierOption

BinaryOption

DiscreteGeometricAPO
SingleAssetOption
DiscreteGeometricASO

EuropeanOption

FdBsmOption

11.350.1 Detailed Description

Black-Scholes-Merton option.

Public Member Functions

• SingleAssetOption (Option::Type type, double underlying, double strike, Spread
dividendYield, Rate riskFreeRate, Time residualTime, double volatility)
• virtual void setVolatility (double newVolatility)
• virtual void setRiskFreeRate (Rate newRate)
• virtual void setDividendYield (Rate newDividendYield)
• virtual double value () const =0
• virtual double delta () const =0
• virtual double gamma () const =0
• virtual double theta () const
• virtual double vega () const
• virtual double rho () const
• virtual double dividendRho () const
• double impliedVolatility (double targetValue, double accuracy=1e-4, Size max-
Evaluations=100, double minVol=QL_MIN_VOLATILITY, double maxVol=QL_MAX_-
VOLATILITY) const
• double impliedDivYield (double targetValue, double accuracy=1e-4, Size max-
Evaluations=100, double minVol=QL_MIN_DIVYIELD, double maxVol=QL_MAX_-
DIVYIELD) const
• virtual Handle< SingleAssetOption > clone () const =0

Protected Attributes
• double underlying_
• PlainVanillaPayoff payoff_
• Spread dividendYield_
• Rate riskFreeRate_
• Time residualTime_

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606 QuantLib Class Documentation

• double volatility_
• bool hasBeenCalculated_
• double rho_
• double dividendRho_
• double vega_
• double theta_
• bool rhoComputed_
• bool dividendRhoComputed_
• bool vegaComputed_
• bool thetaComputed_

Static Protected Attributes

• const double dVolMultiplier_ = 0.0001
• const double dRMultiplier_ = 0.0001

Friends
• class VolatilityFunction
• class DivYieldFunction

11.350.2 Member Function Documentation

11.350.2.1 double impliedVolatility (double targetValue, double accuracy = 1e-4, Size

maxEvaluations = 100, double minVol = QL_MIN_VOLATILITY, double maxVol
= QL_MAX_VOLATILITY) const

Warning:
Options with a gamma that changes sign have values that are not monotonic in the volatility,
e.g binary options. In these cases impliedVolatility can fail and in any case is meaningless.
Another possible source of failure is to have a targetValue that is not attainable with any
volatility, e.g. a targetValue lower than the intrinsic value in the case of American options.

The documentation for this class was generated from the following files:

• ql/Pricers/singleassetoption.hpp
• ql/Pricers/singleassetoption.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.351 SobolRsg Class Reference 607

11.351 SobolRsg Class Reference

#include <sobolrsg.hpp>

11.351.1 Detailed Description

Sobol low-discrepancy sequence generator.

A Gray code counter and bitwise operations are used for very fast sequence generation.
The implementation relies on primitive polynomials modulo two and initialization numbers from
the book "Monte Carlo Methods in Finance" by Peter Jäckel.
21200 primitive polynomials modulo two are provided by default. There are 8 129 334 polynomials
as provided by Jäckel which can be downloaded from quantlib.org. If you need that many
dimensions you must replace the primitivepolynomial.∗ files with the ones downloaded and
recompile the library.
The choice of initialization numbers is crucial for the homogeneity properties of the sequence.
Jäckel’s initialization numbers are superior to the "unit initialization" suggested in "Numerical
Recipes in C" by Press, Teukolsky, Vetterling, and Flannery.
For more info on Sobol sequences see "Monte Carlo Methods in Finance", by Peter Jäckel, section
8.3 and "Numerical Recipes in C", 2nd edition, by Press, Teukolsky, Vetterling, and Flannery,
section 7.7.

Public Types
• typedef MonteCarlo::Sample< Array > sample_type

Public Member Functions

• SobolRsg (Size dimensionality, unsigned long seed=0, bool unitInitialization=false)
• const sample_type & nextSequence () const
• const sample_type & lastSequence () const
• Size dimension () const

The documentation for this class was generated from the following files:

• ql/RandomNumbers/sobolrsg.hpp
• ql/RandomNumbers/sobolrsg.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

608 QuantLib Class Documentation

11.352 Solver1D Class Template Reference

#include <solver1d.hpp>
Inheritance diagram for Solver1D:

CuriouslyRecurringTemplate<Impl>

Solver1D

11.352.1 Detailed Description

template<class Impl> class QuantLib::Solver1D< Impl >

Base class for 1-D solvers.

The implementation of this class uses the so-called "Barton-Nackman trick", also known as "the
curiously recurring template pattern". Concrete solvers will be declared as:

class Foo : public Solver1D<Foo> {

public:
...
template <class F>
double solveImpl(const F& f, double accuracy) const {
...
}
};

Before calling solveImpl, the base class will set its protected data members so that:

• xMin_ and xMax_ form a valid bracket;

• fxMin_ and fxMax_ contain the values of the function in xMin_ and xMax_;

• root_ is a valid initial guess. The implementation of solveImpl can safely assume all of the
above.

Public Member Functions

Modifiers

• template<class F> double solve (const F &f, double accuracy, double guess, double step)
const
• template<class F> double solve (const F &f, double accuracy, double guess, double xMin,
double xMax) const
• void setMaxEvaluations (Size evaluations)
• void setLowerBound (double lowerBound)
sets the lower bound for the function domain

• void setUpperBound (double upperBound)

sets the upper bound for the function domain

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11.352 Solver1D Class Template Reference 609

Protected Attributes
• double root_
• double xMin_
• double xMax_
• double fxMin_
• double fxMax_
• Size maxEvaluations_
• Size evaluationNumber_

11.352.2 Member Function Documentation

11.352.2.1 double solve (const F & f, double accuracy, double guess, double step) const

This method returns the zero of the function f , determined with the given accuracy (i.e., x is
considered a zero if | f (x)| < accuracy). This method contains a bracketing routine to which an
initial guess must be supplied as well as a step used to scan the range of the possible bracketing
values.

11.352.2.2 double solve (const F & f, double accuracy, double guess, double xMin, double
xMax) const

This method returns the zero of the function f , determined with the given accuracy (i.e., x is
considered a zero if | f (x)| < accuracy). An initial guess must be supplied, as well as two values
xmin and xmax which must bracket the zero (i.e., either f (xmin ) ≤ 0 ≤ f (xmax ), or f (xmax ) ≤ 0 ≤ f (xmin )
must be true).

11.352.2.3 void setMaxEvaluations (Size evaluations)

This method sets the maximum number of function evaluations for the bracketing routine. An
error is thrown if a bracket is not found after this number of evaluations.
The documentation for this class was generated from the following file:

• ql/solver1d.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

610 QuantLib Class Documentation

11.353 SquareRootProcess Class Reference

#include <diffusionprocess.hpp>
Inheritance diagram for SquareRootProcess:

DiffusionProcess

SquareRootProcess

11.353.1 Detailed Description

Square-root process class.

This class describes a square-root process governed by
√
dx = a(b − xt )dt + σ xt dWt .

Public Member Functions

• SquareRootProcess (double b, double a, double sigma, double x0=0)
• double drift (Time t, double x) const
returns the drift part of the equation, i.e. µ(t, xt )

• double diffusion (Time t, double x) const

returns the diffusion part of the equation, i.e. σ(t, xt )

The documentation for this class was generated from the following file:

• ql/diffusionprocess.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.354 SteepestDescent Class Reference 611

11.354 SteepestDescent Class Reference

#include <steepestdescent.hpp>
Inheritance diagram for SteepestDescent:

Method

SteepestDescent

11.354.1 Detailed Description

Multi-dimensional steepest-descent class.

User has to provide line-search method and optimization end criteria
search direction = − f 0 (x)

Public Member Functions

• SteepestDescent ()
default default constructor (msvc bug)

• SteepestDescent (const Handle< LineSearch > &lineSearch)

default constructor

• virtual ∼SteepestDescent ()
destructor

• virtual void minimize (const Problem &P) const

minimize the optimization problem P

The documentation for this class was generated from the following files:

• ql/Optimization/steepestdescent.hpp
• ql/Optimization/steepestdescent.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

612 QuantLib Class Documentation

11.355 StepCondition Class Template Reference

#include <stepcondition.hpp>
Inheritance diagram for StepCondition:

StepCondition

AmericanCondition ShoutCondition

11.355.1 Detailed Description

template<class arrayType> class QuantLib::FiniteDifferences::StepCondition< arrayType >

condition to be applied at every time step

Public Member Functions

• virtual void applyTo (arrayType &a, Time t) const =0
• virtual void applyTo (Handle< DiscretizedAsset > asset) const =0

The documentation for this class was generated from the following file:

• ql/FiniteDifferences/stepcondition.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.356 stepping_iterator Class Template Reference 613

11.356 stepping_iterator Class Template Reference

#include <steppingiterator.hpp>

11.356.1 Detailed Description

template<class RandomAccessIterator> class QuantLib::Utilities::stepping_iterator<

RandomAccessIterator >

Iterator advancing in constant steps.

This iterator advances an underlying random access iterator in steps of n positions, where n is an
integer given upon construction.

Public Member Functions

• stepping_iterator (const RandomAccessIterator &it, difference_type step)

Dereferencing

• reference operator ∗ () const

• pointer operator → () const

Random access

• reference operator[ ] (int i) const

Increment and decrement

• stepping_iterator & operator++ ()

• stepping_iterator operator++ (int)
• stepping_iterator & operator– ()
• stepping_iterator operator– (int)
• stepping_iterator & operator+= (difference_type i)
• stepping_iterator & operator-= (difference_type i)
• stepping_iterator operator+ (difference_type i)
• stepping_iterator operator- (difference_type i)

Difference

• difference_type operator- (const stepping_iterator &i)

Comparisons

• bool operator== (const stepping_iterator &i)

• bool operator!= (const stepping_iterator &i)
• bool operator< (const stepping_iterator &i)
• bool operator> (const stepping_iterator &i)
• bool operator<= (const stepping_iterator &i)
• bool operator>= (const stepping_iterator &i)

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614 QuantLib Class Documentation

Public Attributes
• typedef< RandomAccessIterator >::difference_type difference_type
• typedef< RandomAccessIterator >::pointer pointer
• typedef< RandomAccessIterator >::reference reference

Related Functions

(Note that these are not member functions.)

• stepping_iterator< Iterator > make_stepping_iterator (Iterator it, typename stepping_-

iterator< Iterator >::difference_type step)
helper function to create stepping iterators

The documentation for this class was generated from the following file:

• ql/Utilities/steppingiterator.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.357 Stock Class Reference 615

11.357 Stock Class Reference

#include <stock.hpp>
Inheritance diagram for Stock:

Observable Observer

LazyObject

Instrument

Stock

11.357.1 Detailed Description

Simple stock class.

Public Member Functions

• Stock (const RelinkableHandle< MarketElement > &quote, const std::string &isinCode,
const std::string &description)
• bool isExpired () const
returns whether the instrument is still tradable.

Protected Member Functions

• void performCalculations () const

11.357.2 Member Function Documentation

11.357.2.1 void performCalculations () const [protected, virtual]

In case a pricing engine is not used, this method must be overridden to perform the actual calcu-
lations and set any needed results. In case a pricing engine is used, the default implementation
can be used.
Reimplemented from Instrument (p. 424).
The documentation for this class was generated from the following files:

• ql/Instruments/stock.hpp
• ql/Instruments/stock.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

616 QuantLib Class Documentation

11.358 Stockholm Class Reference

#include <stockholm.hpp>
Inheritance diagram for Stockholm:

Bridge< Calendar, CalendarImpl >

Calendar

Stockholm

11.358.1 Detailed Description

Stockholm calendar
Holidays:

• Saturdays
• Sundays
• Good Friday
• Easter Monday
• Ascension
• Whit(Pentecost) Monday
• Midsummer Eve (Friday between June 18-24)
• New Year’s Day, January 1st
• Epiphany, January 6th
• May Day, May 1st
• National Day, June 6th
• Christmas Eve, December 24th
• Christmas Day, December 25th

• Boxing Day, December 26th

• New Year’s Eve, December 31th

The documentation for this class was generated from the following file:

• ql/Calendars/stockholm.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.359 StrikedTypePayoff Class Reference 617

11.359 StrikedTypePayoff Class Reference

#include <payoff.hpp>
Inheritance diagram for StrikedTypePayoff:

Payoff

StrikedTypePayoff

AssetOrNothingPayoff CashOrNothingPayoff PlainVanillaPayoff SupersharePayoff

11.359.1 Detailed Description

We need an intermediate class for all those payoff that have both a strike and a type but are not
necessarily plain-vanilla

Public Member Functions

• StrikedTypePayoff (Option::Type type, double strike)
• Option::Type optionType () const
• double strike () const

Protected Attributes
• Option::Type type_
• double strike_

The documentation for this class was generated from the following file:

• ql/payoff.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

618 QuantLib Class Documentation

11.360 StringFormatter Class Reference

#include <dataformatters.hpp>

11.360.1 Detailed Description

Formats strings as lower- or uppercase.

Static Public Member Functions

• std::string toLowercase (const std::string &s)
• std::string toUppercase (const std::string &s)

The documentation for this class was generated from the following files:

• ql/dataformatters.hpp
• ql/dataformatters.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.361 SupersharePayoff Class Reference 619

11.361 SupersharePayoff Class Reference

#include <payoff.hpp>
Inheritance diagram for SupersharePayoff:

Payoff

StrikedTypePayoff

SupersharePayoff

11.361.1 Detailed Description

Binary(p. 195) supershare option payoff.

Public Member Functions

• SupersharePayoff (Option::Type type, double strike, double strikeIncrement)
• double operator() (double price) const

The documentation for this class was generated from the following file:

• ql/payoff.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

620 QuantLib Class Documentation

11.362 SVD Class Reference

#include <svd.hpp>

11.362.1 Detailed Description

Singular Value(p. 662) Decomposition.

Refer to Golub and Van Loan: Matrix(p. 471) computation, The Johns Hopkins University Press

Public Member Functions

• SVD (const Matrix &Arg)
• void getU (Matrix &A) const
• void getV (Matrix &A) const
• void getSingularValues (Array &x) const
• void getS (Matrix &S) const
• double norm2 ()
• double cond ()
• int rank ()

The documentation for this class was generated from the following files:

• ql/Math/svd.hpp
• ql/Math/svd.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.363 Swap Class Reference 621

11.363 Swap Class Reference

#include <swap.hpp>
Inheritance diagram for Swap:

Observable Observer

LazyObject

Instrument

Swap

SimpleSwap

11.363.1 Detailed Description

Interest rate swap.

The cash flows belonging to the first leg are payed; the ones belonging to the first leg are received.

Public Member Functions

• Swap (const std::vector< Handle< CashFlow > > &firstLeg, const std::vector< Handle<
CashFlow > > &secondLeg, const RelinkableHandle< TermStructure > &termStructure,
const std::string &isinCode="", const std::string &description="")

Instrument interface

• bool isExpired () const

returns whether the instrument is still tradable.

Additional interface

• Date startDate () const

• Date maturity () const
• double firstLegBPS () const
• double secondLegBPS () const
• CashFlows::TimeBasket sensitivity (int basis=2) const

Protected Member Functions

• void setupExpired () const
• void performCalculations () const

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622 QuantLib Class Documentation

Protected Attributes
• std::vector< Handle< CashFlow > > firstLeg_
• std::vector< Handle< CashFlow > > secondLeg_
• RelinkableHandle< TermStructure > termStructure_
• double firstLegBPS_
• double secondLegBPS_

11.363.2 Member Function Documentation

11.363.2.1 TimeBasket sensitivity (int basis = 2) const

Unstable
This method was not tested enough to guarantee its functionality.

11.363.2.2 void setupExpired () const [protected, virtual]

This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument (p. 424).

11.363.2.3 void performCalculations () const [protected, virtual]

In case a pricing engine is not used, this method must be overridden to perform the actual calcu-
lations and set any needed results. In case a pricing engine is used, the default implementation
can be used.
Reimplemented from Instrument (p. 424).
The documentation for this class was generated from the following files:

• ql/Instruments/swap.hpp
• ql/Instruments/swap.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.364 SwapRateHelper Class Reference 623

11.364 SwapRateHelper Class Reference

#include <ratehelpers.hpp>
Inheritance diagram for SwapRateHelper:

Observer Observable

RateHelper

SwapRateHelper

11.364.1 Detailed Description

Swap rate.

Warning:
This class assumes that the settlement date does not change between calls of setTerm-
Structure()(p. 624).

Public Member Functions

• SwapRateHelper (const RelinkableHandle< MarketElement > &rate, int n, TimeUnit
units, int settlementDays, const Calendar &calendar, RollingConvention convention, int
fixedFrequency, bool fixedIsAdjusted, const DayCounter &fixedDayCount, int floating-
Frequency)
• SwapRateHelper (double rate, int n, TimeUnit units, int settlementDays, const Calendar
&calendar, RollingConvention convention, int fixedFrequency, bool fixedIsAdjusted, const
DayCounter &fixedDayCount, int floatingFrequency)
• double impliedQuote () const
• Date maturity () const
maturity date

• void setTermStructure (TermStructure ∗)

sets the term structure to be used for pricing

Protected Attributes
• int n_
• TimeUnit units_
• int settlementDays_
• Calendar calendar_
• RollingConvention convention_
• int fixedFrequency_
• int floatingFrequency_
• bool fixedIsAdjusted_

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624 QuantLib Class Documentation

• DayCounter fixedDayCount_
• Date settlement_
• Handle< Instruments::SimpleSwap > swap_
• RelinkableHandle< TermStructure > termStructureHandle_

11.364.2 Member Function Documentation

11.364.2.1 void setTermStructure (TermStructure ∗) [virtual]

sets the term structure to be used for pricing

Warning:
Being a pointer and not a Handle(p. 390), the term structure is not guaranteed to remain
allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure
that the pointer remains valid. It is advised that rate helpers be used only in term structure
constructors, setting the term structure to this, i.e., the one being constructed.

Reimplemented from RateHelper (p. 578).

The documentation for this class was generated from the following files:

• ql/TermStructures/ratehelpers.hpp
• ql/TermStructures/ratehelpers.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.365 Swaption Class Reference 625

11.365 Swaption Class Reference

#include <swaption.hpp>
Inheritance diagram for Swaption:

Observable Observer

LazyObject

Instrument

Option

Swaption

11.365.1 Detailed Description

Swaption(p. 625) class.

Public Member Functions

• Swaption (const Handle< SimpleSwap > &swap, const Exercise &exercise, const
RelinkableHandle< TermStructure > &termStructure, const Handle< PricingEngine >
&engine)
• bool isExpired () const
returns whether the instrument is still tradable.

• void setupArguments (Arguments ∗) const

Protected Member Functions

• void performCalculations () const

11.365.2 Member Function Documentation

11.365.2.1 void setupArguments (Arguments ∗) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overrid-
den to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument (p. 423).

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626 QuantLib Class Documentation

11.365.2.2 void performCalculations () const [protected, virtual]

In case a pricing engine is not used, this method must be overridden to perform the actual calcu-
lations and set any needed results. In case a pricing engine is used, the default implementation
can be used.
Reimplemented from Instrument (p. 424).
The documentation for this class was generated from the following files:

• ql/Instruments/swaption.hpp
• ql/Instruments/swaption.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.366 Swaption::arguments Class Reference 627

11.366 Swaption::arguments Class Reference

#include <swaption.hpp>
Inheritance diagram for Swaption::arguments:

Arguments

arguments

Swaption::arguments

11.366.1 Detailed Description

arguments for swaption calculation

Public Member Functions

• void validate () const

Public Attributes
• Rate fairRate
• Rate fixedRate
• double fixedBPS
• Exercise::Type exerciseType
• std::vector< Time > exerciseTimes

The documentation for this class was generated from the following files:

• ql/Instruments/swaption.hpp
• ql/Instruments/swaption.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

628 QuantLib Class Documentation

11.367 Swaption::results Class Reference

#include <swaption.hpp>
Inheritance diagram for Swaption::results:

Results

Value

Swaption::results

11.367.1 Detailed Description

results from swaption calculation

The documentation for this class was generated from the following file:

• ql/Instruments/swaption.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.368 SwaptionVolatilityMatrix Class Reference 629

11.368 SwaptionVolatilityMatrix Class Reference

#include <swaptionvolmatrix.hpp>
Inheritance diagram for SwaptionVolatilityMatrix:

Observable

SwaptionVolatilityStructure

SwaptionVolatilityMatrix

11.368.1 Detailed Description

Swaption at-the-money volatility matrix.

This class provides the at-the-money volatility for a given swaption by interpolating a volatility
matrix whose elements are the market volatilities of a set of swaption with given exercise date
and length.

Todo
Either add correct copy behavior or inhibit copy. Right now, a copied instance would end up
with its own copy of the exercise date and length vector but an interpolation pointing to the
original ones.

Public Member Functions

• SwaptionVolatilityMatrix (const Date &todaysDate, const std::vector< Date > &exercise-
Dates, const std::vector< Period > &lengths, const Math::Matrix &volatilities, const Day-
Counter &dayCounter=DayCounters::Thirty360())
• Date todaysDate () const
returns today’s date

• DayCounter dayCounter () const

returns the day counter used for internal date/time conversions

• const std::vector< Date > & exerciseDates () const

• const std::vector< Period > & lengths () const

The documentation for this class was generated from the following file:

• ql/Volatilities/swaptionvolmatrix.hpp

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630 QuantLib Class Documentation

11.369 SwaptionVolatilityStructure Class Reference

#include <swaptionvolstructure.hpp>
Inheritance diagram for SwaptionVolatilityStructure:

Observable

SwaptionVolatilityStructure

SwaptionVolatilityMatrix

11.369.1 Detailed Description

Swaption volatility structure.

This class is purely abstract and defines the interface of concrete swaption volatility structures
which will be derived from this one.

Public Member Functions

• virtual Date todaysDate () const =0
returns today’s date

• virtual DayCounter dayCounter () const =0

returns the day counter used for internal date/time conversions

• double volatility (const Date &start, const Period &length, Rate strike) const
returns the volatility for a given starting date and length

• double volatility (Time start, Time length, Rate strike) const

returns the volatility for a given starting time and length

Protected Member Functions

• virtual double volatilityImpl (Time start, Time length, Rate strike) const =0
implements the actual volatility calculation in derived classes

• virtual std::pair< Time, Time > convertDates (const Date &start, const Period &length)
const
implements the conversion between dates and times

The documentation for this class was generated from the following file:

• ql/swaptionvolstructure.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.370 Sydney Class Reference 631

11.370 Sydney Class Reference

#include <sydney.hpp>
Inheritance diagram for Sydney:

Bridge< Calendar, CalendarImpl >

Calendar

Sydney

11.370.1 Detailed Description

Sydney, calendar (New South Wales, Australia)

Holidays:

• Saturdays
• Sundays
• New Year’s Day, January 1st
• Australia Day, January 26th (possibly moved to Monday)
• Good Friday
• Easter Monday
• ANZAC Day. April 25th (possibly moved to Monday)
• Queen’s Birthday, second Monday in June
• Bank Holiday, first Monday in August
• Labour Day, first Monday in October
• Christmas, December 25th (possibly moved to Monday or Tuesday)
• Boxing Day, December 26th (possibly moved to Monday or Tuesday)

The documentation for this class was generated from the following file:

• ql/Calendars/sydney.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

632 QuantLib Class Documentation

11.371 SymmetricSchurDecomposition Class Reference

#include <symmetricschurdecomposition.hpp>

11.371.1 Detailed Description

symmetric threshold Jacobi algorithm.

Given a real symmetric matrix S, the Schur decomposition finds the eigenvalues and eigenvectors
of S. If D is the diagonal matrix formed by the eigenvalues and U the unitarian matrix of the
eigenvectors we can write the Schur decomposition as

S = U · D · UT ,

where · is the standard matrix product and T is the transpose operator. This class implements the
Schur decomposition using the symmetric threshold Jacobi algorithm. For details on the different
Jacobi transfomations you can start from the great book on matrix computations by Golub and
Van Loan: Matrix(p. 471) computation, second edition The Johns Hopkins University Press

Public Member Functions

• SymmetricSchurDecomposition (const Matrix &s)
• const Array & eigenvalues () const
• const Matrix & eigenvectors () const

The documentation for this class was generated from the following files:

• ql/Math/symmetricschurdecomposition.hpp
• ql/Math/symmetricschurdecomposition.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.372 TARGET Class Reference 633

11.372 TARGET Class Reference

#include <target.hpp>
Inheritance diagram for TARGET:

Bridge< Calendar, CalendarImpl >

Calendar

TARGET

11.372.1 Detailed Description

TARGET calendar
Holidays:

• Saturdays
• Sundays
• New Year’s Day, January 1st
• Good Friday (since 2000)
• Easter Monday (since 2000)
• Labour Day, May 1st (since 2000)
• Christmas, December 25th
• Day of Goodwill, December 26th (since 2000)
• December 31st (1998, 1999, and 2001)

The documentation for this class was generated from the following file:

• ql/Calendars/target.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

634 QuantLib Class Documentation

11.373 TermStructure Class Reference

#include <termstructure.hpp>
Inheritance diagram for TermStructure:

Observable

TermStructure

DiscountStructure ForwardRateStructure PiecewiseFlatForward ZeroYieldStructure

11.373.1 Detailed Description

Term structure.
This abstract class defines the interface of concrete rate structures which will be derived from this
one.
Rates are assumed to be annual continuos compounding.

Todo
add derived class ParSwapTermStructure similar to ZeroYieldTermStructure, Discount-
Structure(p. 303), ForwardRateStructure(p. 361)
allow for different compounding rules and compounding frequencies

Public Member Functions

Rates and discount
These methods are either function of dates or times. In the latter case, times are calculated as fraction
of year from the reference date.

• Rate zeroYield (const Date &, bool extrapolate=false) const

zero-yield rate

• Rate zeroYield (Time, bool extrapolate=false) const

zero-yield rate

• DiscountFactor discount (const Date &, bool extrapolate=false) const

discount factor

• DiscountFactor discount (Time, bool extrapolate=false) const

discount factor

• Rate instantaneousForward (const Date &, bool extrapolate=false) const

instantaneous forward rate

• Rate instantaneousForward (Time, bool extrapolate=false) const

instantaneous forward rate

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11.373 TermStructure Class Reference 635

• Rate compoundForward (const Date &, int, bool extrapolate=false) const

instantaneous forward rate at a given compounding frequency

• Rate compoundForward (Time, int, bool extrapolate=false) const

instantaneous forward rate at a given compounding frequency

• Rate forward (const Date &, const Date &, bool extrapolate=false) const
discrete forward rate between two dates

• Rate forward (Time, Time, bool extrapolate=false) const

discrete forward rate between two times

• Rate zeroCoupon (const Date &, int, bool extrapolate=false) const

zero-coupon rate

• Rate zeroCoupon (Time, int, bool extrapolate=false) const

zero-coupon rate

Dates

• virtual Date todaysDate () const =0

today’s date

• virtual Date referenceDate () const =0

the reference date, i.e., the date at which discount = 1

• virtual DayCounter dayCounter () const =0

the day counter used for date/time conversion

• virtual Date maxDate () const =0

the latest date for which the curve can return rates

• virtual Time maxTime () const

the latest time for which the curve can return rates

Protected Member Functions

Calculations
These methods must be implemented in derived classes to perform the actual discount and rate calcula-
tions

• virtual Rate zeroYieldImpl (Time, bool extrapolate=false) const =0

zero-yield calculation

• virtual DiscountFactor discountImpl (Time, bool extrapolate=false) const =0

discount calculation

• virtual Rate forwardImpl (Time, bool extrapolate=false) const =0

instantaneous forward-rate calculation

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636 QuantLib Class Documentation

• virtual Rate compoundForwardImpl (Time, int, bool extrapolate=false) const =0

compound forward-rate calculation

The documentation for this class was generated from the following file:

• ql/termstructure.hpp

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11.374 TermStructureConsistentModel Class Reference 637

11.374 TermStructureConsistentModel Class Reference

#include <model.hpp>
Inheritance diagram for TermStructureConsistentModel:

TermStructureConsistentModel

BlackKarasinski ExtendedCoxIngersollRoss G2 HullWhite

11.374.1 Detailed Description

Term-structure consistent model class.

This is a base class for models that can reprice exactly any discount bond.

Public Member Functions

• TermStructureConsistentModel (const RelinkableHandle< TermStructure > &term-
Structure)
• const RelinkableHandle< TermStructure > & termStructure () const

The documentation for this class was generated from the following file:

• ql/ShortRateModels/model.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

638 QuantLib Class Documentation

11.375 TermStructureFittingParameter Class Reference

#include <parameter.hpp>
Inheritance diagram for TermStructureFittingParameter:

Bridge< Parameter, ParameterImpl >

Parameter

TermStructureFittingParameter

FittingParameter FittingParameter FittingParameter

11.375.1 Detailed Description

Deterministic time-dependent parameter used for yield-curve fitting.

Public Member Functions

• TermStructureFittingParameter (const Handle< Parameter::Impl > &impl)
• TermStructureFittingParameter (const RelinkableHandle< TermStructure > &term)

The documentation for this class was generated from the following file:

• ql/ShortRateModels/parameter.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.376 Thirty360 Class Reference 639

11.376 Thirty360 Class Reference

#include <thirty360.hpp>
Inheritance diagram for Thirty360:

Bridge< DayCounter, DayCounterImpl >

DayCounter

Thirty360

11.376.1 Detailed Description

30/360 day count convention

The day count can be calculated according to US, European, or Italian conventions.
US (NASD) convention: if the starting date is the 31st of a month, it becomes equal to the 30th
of the same month. If the ending date is the 31st of a month and the starting date is earlier than
the 30th of a month, the ending date becomes equal to the 1st of the next month, otherwise the
ending date becomes equal to the 30th of the same month.
European convention: starting dates or ending dates that occur on the 31st of a month become
equal to the 30th of the same month.
Italian convention: starting dates or ending dates that occur on February and are grater than 27
become equal to 30 for computational sake.

Public Types
• enum Convention { USA, European, Italian }

Public Member Functions

• Thirty360 (Convention c=Thirty360::USA)

The documentation for this class was generated from the following files:

• ql/DayCounters/thirty360.hpp
• ql/DayCounters/thirty360.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

640 QuantLib Class Documentation

11.377 Tian Class Reference

#include <binomialtree.hpp>
Inheritance diagram for Tian:

Tree

BinomialTree

Tian

11.377.1 Detailed Description

Tian(p. 640) tree: third moment matching, multiplicative approach.

Public Member Functions

• Tian (const Handle< DiffusionProcess > &process, Time end, Size steps)
• double underlying (Size i, Size index) const
• double probability (Size, Size, Size) const

Protected Attributes
• double up_
• double down_
• double pu_
• double pd_

The documentation for this class was generated from the following files:

• ql/Lattices/binomialtree.hpp
• ql/Lattices/binomialtree.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.378 TimeBasket Class Reference 641

11.378 TimeBasket Class Reference

#include <timebasket.hpp>

11.378.1 Detailed Description

Distribution over a number of dates.

Map interface
• typedef super::iterator iterator
• typedef super::const_iterator const_iterator
• typedef super::reverse_iterator reverse_iterator
• typedef super::const_reverse_iterator const_reverse_iterator
• bool hasDate (const Date &) const
membership

Public Member Functions

• TimeBasket (const std::vector< Date > &dates, const std::vector< double > &values)

Algebra

• TimeBasket & operator+= (const TimeBasket &other)

• TimeBasket & operator-= (const TimeBasket &other)

Other methods

• TimeBasket rebin (const std::vector< Date > &buckets) const

redistribute the entries over the given dates

The documentation for this class was generated from the following files:

• ql/CashFlows/timebasket.hpp
• ql/CashFlows/timebasket.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

642 QuantLib Class Documentation

11.379 TimeGrid Class Reference

#include <grid.hpp>

11.379.1 Detailed Description

time grid class

Todo
What was the rationale for limiting the grid to positive times? Investigate and see whether
we can use it for negative ones as well.

Public Member Functions

• TimeGrid (Time end, Size steps)
Regularly spaced time-grid.

• template<class Iterator> TimeGrid (Iterator begin, Iterator end)

Time grid with mandatory time points.

• template<class Iterator> TimeGrid (Iterator begin, Iterator end, Size steps)

Time grid with mandatory time points.

• Size findIndex (Time t) const

• const std::vector< Time > & mandatoryTimes () const
• Time dt (Size i) const

11.379.2 Constructor & Destructor Documentation

11.379.2.1 TimeGrid (Iterator begin, Iterator end)

Time grid with mandatory time points.

Mandatory points are guaranteed to belong to the grid. No additional points are added.

11.379.2.2 TimeGrid (Iterator begin, Iterator end, Size steps)

Time grid with mandatory time points.

Mandatory points are guaranteed to belong to the grid. Additional points are then added with
regular spacing between pairs of mandatory times in order to reach the desired number of steps.
The documentation for this class was generated from the following files:

• ql/grid.hpp
• ql/grid.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.380 Tokyo Class Reference 643

11.380 Tokyo Class Reference

#include <tokyo.hpp>
Inheritance diagram for Tokyo:

Bridge< Calendar, CalendarImpl >

Calendar

Tokyo

11.380.1 Detailed Description

Tokyo calendar
Holidays:

• Saturdays
• Sundays
• New Year’s Day, January 1st
• Bank Holiday, January 2nd
• Bank Holiday, January 3rd
• Coming of Age Day, 2nd Monday in January
• National Foundation Day, February 11th
• Vernal Equinox
• Greenery Day, April 29th
• Constitution Memorial Day, May 3rd
• Holiday for a Nation, May 4th
• Children’s Day, May 5th
• Marine Day, 3rd Monday in July
• Respect for the Aged Day, 3rd Monday in September
• Autumnal Equinox
• Health and Sports Day, 2nd Monday in October
• National Culture Day, November 3rd
• Labor Thanksgiving Day, November 23rd
• Emperor’s Birthday, December 23rd
• Bank Holiday, December 31st

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644 QuantLib Class Documentation

• a few one-shot holidays

Holidays falling on a Sunday are observed on the Monday following except for the Bank Holidays
associated with the New Year
The documentation for this class was generated from the following file:

• ql/Calendars/tokyo.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.381 Toronto Class Reference 645

11.381 Toronto Class Reference

#include <toronto.hpp>
Inheritance diagram for Toronto:

Bridge< Calendar, CalendarImpl >

Calendar

Toronto

11.381.1 Detailed Description

Toronto calendar
Holidays:

• Saturdays
• Sundays
• New Year’s Day, January 1st (possibly moved to Monday)
• Good Friday
• Easter Monday
• Victoria Day, The Monday on or preceding 24 May
• Canada Day, July 1st (possibly moved to Monday)
• Provincial Holiday, first Monday of August
• Labour Day, first Monday of September
• Thanksgiving Day, second Monday of October
• Remembrance Day, November 11th
• Christmas, December 25th (possibly moved to Monday or Tuesday)
• Boxing Day, December 26th (possibly moved to Monday or Tuesday)

The documentation for this class was generated from the following file:

• ql/Calendars/toronto.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

646 QuantLib Class Documentation

11.382 TrapezoidIntegral Class Reference

#include <trapezoidintegral.hpp>
Inheritance diagram for TrapezoidIntegral:

TrapezoidIntegral

SimpsonIntegral

11.382.1 Detailed Description

Integral of a one-dimensional function.

Given a target accuracy , the integral of a function f between a and b is calculated by means of
the trapezoid formula
Z b
1 1
f dx = f (x0 ) + f (x1 ) + f (x2 ) + . . . + f (xN−1 ) + f (xN )
a 2 2

where x0 = a, xN = b, and xi = a + i∆x with ∆x = (b − a)/N. The number N of intervals is repeatedly

increased until the target accuracy is reached.

Public Types

• enum Method { Default, MidPoint }

Public Member Functions

• TrapezoidIntegral (double accuracy, Method method=Default, Size maxIterations=Null<

int >())
• template<class F> double operator() (const F &f, double a, double b) const
• double accuracy () const
• double & accuracy ()
• Method method () const
• Method & method ()
• Size maxIterations () const
• Size & maxIterations ()

Protected Member Functions

• template<class F> double defaultIteration (const F &f, double a, double b, double I, Size
N) const
• template<class F> double midPointIteration (const F &f, double a, double b, double I, Size
N) const

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11.382 TrapezoidIntegral Class Reference 647

Protected Attributes
• double accuracy_
• Method method_
• Size maxIterations_

The documentation for this class was generated from the following file:

• ql/Math/trapezoidintegral.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

648 QuantLib Class Documentation

11.383 Tree Class Reference

#include <tree.hpp>
Inheritance diagram for Tree:

Tree

BinomialTree TrinomialTree

EqualJumpsBinomialTree EqualProbabilitiesBinomialTree Tian

CoxRossRubinstein Trigeorgis AdditiveEQPBinomialTree JarrowRudd

11.383.1 Detailed Description

Tree(p. 648) approximating a single-factor diffusion.

Public Member Functions

• Tree (Size nColumns)
• virtual double underlying (Size i, Size index) const =0
• virtual Size size (Size i) const =0
• virtual Size descendant (Size i, Size index, Size branch) const =0
• virtual double probability (Size i, Size index, Size branch) const =0
• Size nColumns () const

The documentation for this class was generated from the following file:

• ql/Lattices/tree.hpp

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11.384 TreeCapFloor Class Reference 649

11.384 TreeCapFloor Class Reference

#include <treecapfloor.hpp>
Inheritance diagram for TreeCapFloor:

PricingEngine

GenericEngine<ArgumentsType, ResultsType> Observer Observable

GenericModelEngine< ShortRateModels::Model, Arguments, Results >

LatticeShortRateModelEngine< Instruments::CapFloor::arguments, Instruments::CapFloor::results >

TreeCapFloor

11.384.1 Detailed Description

Cap/Floor priced in a tree.

Public Member Functions

• TreeCapFloor (const Handle< ShortRateModels::Model > &model, Size timeSteps)
• TreeCapFloor (const Handle< ShortRateModels::Model > &model, const TimeGrid
&timeGrid)
• void calculate () const

The documentation for this class was generated from the following files:

• ql/Pricers/treecapfloor.hpp
• ql/Pricers/treecapfloor.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

650 QuantLib Class Documentation

11.385 TreeSwaption Class Reference

#include <treeswaption.hpp>
Inheritance diagram for TreeSwaption:

PricingEngine

GenericEngine<ArgumentsType, ResultsType> Observer Observable

GenericModelEngine< ShortRateModels::Model, Arguments, Results >

LatticeShortRateModelEngine< Instruments::Swaption::arguments, Instruments::Swaption::results >

TreeSwaption

11.385.1 Detailed Description

Swaption priced on a lattice.

Public Member Functions

• TreeSwaption (const Handle< ShortRateModels::Model > &model, Size timeSteps)
• TreeSwaption (const Handle< ShortRateModels::Model > &model, const TimeGrid
&timeGrid)
• void calculate () const

The documentation for this class was generated from the following files:

• ql/Pricers/treeswaption.hpp
• ql/Pricers/treeswaption.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.386 TridiagonalOperator Class Reference 651

11.386 TridiagonalOperator Class Reference

#include <tridiagonaloperator.hpp>
Inheritance diagram for TridiagonalOperator:

TridiagonalOperator

BSMOperator DMinus DPlus DPlusDMinus DZero OneFactorOperator

11.386.1 Detailed Description

Base implementation for tridiagonal operator.

Warning:
to use real time-dependant algebra, you must overload the corresponding operators in the
inheriting time-dependent class

Operator interface
• Disposable< Array > applyTo (const Array &v) const
apply operator to a given array

• Disposable< Array > solveFor (const Array &rhs) const

solve linear system for a given right-hand side

• Disposable< Array > SOR (const Array &rhs, double tol) const
solve linear system with SOR approach

• Disposable< TridiagonalOperator > identity (Size size)

identity instance

Public Types
• typedef Array arrayType

Public Member Functions

• TridiagonalOperator (Size size=0)
• TridiagonalOperator (const Array &low, const Array &mid, const Array &high)
• TridiagonalOperator (const Disposable< TridiagonalOperator > &)
• TridiagonalOperator & operator= (const Disposable< TridiagonalOperator > &)

Inspectors

• Size size () const

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652 QuantLib Class Documentation

• bool isTimeDependent ()
• const Array & lowerDiagonal () const
• const Array & diagonal () const
• const Array & upperDiagonal () const

Modifiers

• void setFirstRow (double, double)

• void setMidRow (Size, double, double, double)
• void setMidRows (double, double, double)
• void setLastRow (double, double)
• void setTime (Time t)

Utilities

• void swap (TridiagonalOperator &)

Protected Attributes
• Array diagonal_
• Array lowerDiagonal_
• Array upperDiagonal_
• Handle< TimeSetter > timeSetter_

Friends
• Disposable< TridiagonalOperator > operator+ (const TridiagonalOperator &)
• Disposable< TridiagonalOperator > operator- (const TridiagonalOperator &)
• Disposable< TridiagonalOperator > operator+ (const TridiagonalOperator &, const
TridiagonalOperator &)
• Disposable< TridiagonalOperator > operator- (const TridiagonalOperator &, const
TridiagonalOperator &)
• Disposable< TridiagonalOperator > operator ∗ (double, const TridiagonalOperator &)
• Disposable< TridiagonalOperator > operator ∗ (const TridiagonalOperator &, double)
• Disposable< TridiagonalOperator > operator/ (const TridiagonalOperator &, double)

The documentation for this class was generated from the following files:

• ql/FiniteDifferences/tridiagonaloperator.hpp
• ql/FiniteDifferences/tridiagonaloperator.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.387 TridiagonalOperator::TimeSetter Class Reference 653

11.387 TridiagonalOperator::TimeSetter Class Reference

#include <tridiagonaloperator.hpp>

11.387.1 Detailed Description

encapsulation of time-setting logic

Public Member Functions

• virtual void setTime (Time t, TridiagonalOperator &L) const =0

The documentation for this class was generated from the following file:

• ql/FiniteDifferences/tridiagonaloperator.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

654 QuantLib Class Documentation

11.388 Trigeorgis Class Reference

#include <binomialtree.hpp>
Inheritance diagram for Trigeorgis:

Tree

BinomialTree

EqualJumpsBinomialTree

Trigeorgis

11.388.1 Detailed Description

Trigeorgis(p. 654) (additive equal jumps) binomial tree.

Public Member Functions

• Trigeorgis (const Handle< DiffusionProcess > &process, Time end, Size steps)

The documentation for this class was generated from the following files:

• ql/Lattices/binomialtree.hpp
• ql/Lattices/binomialtree.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.389 TrinomialBranching Class Reference 655

11.389 TrinomialBranching Class Reference

#include <trinomialtree.hpp>

11.389.1 Detailed Description

Branching scheme for a trinomial node.

Each node has three descendants, with the middle branch linked to the node which is closest to
the expectation of the variable.

Public Member Functions

• Size descendant (Size index, Size branch) const
• double probability (Size index, Size branch) const
• int jMin () const

Friends
• class TrinomialTree

The documentation for this class was generated from the following file:

• ql/Lattices/trinomialtree.hpp

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656 QuantLib Class Documentation

11.390 TrinomialTree Class Reference

#include <trinomialtree.hpp>
Inheritance diagram for TrinomialTree:

Tree

TrinomialTree

11.390.1 Detailed Description

Recombining trinomial tree class.

This class defines a recombining trinomial tree approximating a a diffusion.

Warning:
The diffusion term of the SDE must be independent of the underlying process.

Public Member Functions

• TrinomialTree (const Handle< DiffusionProcess > &process, const TimeGrid &timeGrid,
bool isPositive=false)
• double dx (Size i) const
• Size size (Size i) const
• double underlying (Size i, Size index) const
• const TimeGrid & timeGrid () const
• Size descendant (Size i, Size index, Size branch) const
• double probability (Size i, Size index, Size branch) const

Protected Attributes
• std::vector< Handle< TrinomialBranching > > branchings_
• double x0_
• std::vector< double > dx_
• TimeGrid timeGrid_

The documentation for this class was generated from the following files:

• ql/Lattices/trinomialtree.hpp
• ql/Lattices/trinomialtree.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.391 TwoFactorModel Class Reference 657

11.391 TwoFactorModel Class Reference

#include <twofactormodel.hpp>
Inheritance diagram for TwoFactorModel:

Observer Observable

Model

TwoFactorModel

G2

11.391.1 Detailed Description

Abstract base-class for two-factor models.

Public Member Functions

• TwoFactorModel (Size nParams)
• virtual Handle< ShortRateDynamics > dynamics () const =0
Returns the short-rate dynamics.

• virtual Handle< Lattices::Lattice > tree (const TimeGrid &grid) const

Returns a two-dimensional trinomial tree.

The documentation for this class was generated from the following files:

• ql/ShortRateModels/twofactormodel.hpp
• ql/ShortRateModels/twofactormodel.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

658 QuantLib Class Documentation

11.392 TwoFactorModel::ShortRateDynamics Class Reference

#include <twofactormodel.hpp>

11.392.1 Detailed Description

Class describing the dynamics of the two state variables.

We assume here that the short-rate is a function of two state variables x and y.

rt = f (t, xt , yt )

of two state variables xt and yt . These stochastic processes satisfy

xt = µx (t, xt )dt + σx (t, xt )dWtx

and
y
yt = µ y (t, yt )dt + σ y (t, yt )dWt
where W x and W y are two brownian motions satisfying
y
dWtx dWt = ρdt

Public Member Functions

• ShortRateDynamics (const Handle< DiffusionProcess > &xProcess, const Handle<
DiffusionProcess > &yProcess, double correlation)
• virtual Rate shortRate (Time t, double x, double y) const =0
• const Handle< DiffusionProcess > & xProcess () const
Risk-neutral dynamics of the first state variable x.

• const Handle< DiffusionProcess > & yProcess () const

Risk-neutral dynamics of the second state variable y.

• double correlation () const

Correlation ρ between the two brownian motions.

The documentation for this class was generated from the following file:

• ql/ShortRateModels/twofactormodel.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.393 TwoFactorModel::ShortRateTree Class Reference 659

11.393 TwoFactorModel::ShortRateTree Class Reference

#include <twofactormodel.hpp>
Inheritance diagram for TwoFactorModel::ShortRateTree:

NumericalMethod

Lattice

Lattice2D

TwoFactorModel::ShortRateTree

11.393.1 Detailed Description

Recombining two-dimensional tree discretizing the state variable.

Public Member Functions

• ShortRateTree (const Handle< Lattices::TrinomialTree > &tree1, const Handle<
Lattices::TrinomialTree > &tree2, const Handle< ShortRateDynamics > &dynamics)
Plain tree build-up from short-rate dynamics.

• DiscountFactor discount (Size i, Size index) const

Discount factor at time t_i and node indexed by index.

The documentation for this class was generated from the following file:

• ql/ShortRateModels/twofactormodel.hpp

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660 QuantLib Class Documentation

11.394 UpFrontIndexedCoupon Class Reference

#include <upfrontindexedcoupon.hpp>
Inheritance diagram for UpFrontIndexedCoupon:

Observable

CashFlow

Coupon

FloatingRateCoupon Observer

IndexedCoupon

UpFrontIndexedCoupon

11.394.1 Detailed Description

up front indexed coupon class

Warning:
This class does not perform any date adjustment, i.e., the start and end date passed upon
construction should be already rolled to a business day.

Public Member Functions

• UpFrontIndexedCoupon (double nominal, const Date &paymentDate, const Handle< In-
dexes::Xibor > &index, const Date &startDate, const Date &endDate, int fixingDays, Spread
spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const
DayCounter &dayCounter=DayCounter())

FloatingRateCoupon interface

• Date fixingDate () const

Visitability

• virtual void accept (Patterns::AcyclicVisitor &)

The documentation for this class was generated from the following file:

• ql/CashFlows/upfrontindexedcoupon.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.395 USDLibor Class Reference 661

11.395 USDLibor Class Reference

#include <usdlibor.hpp>
Inheritance diagram for USDLibor:

Observable

Index Observer

Xibor

USDLibor

11.395.1 Detailed Description

USD Libor index

Public Member Functions

• USDLibor (int n, TimeUnit units, const RelinkableHandle< TermStructure > &h, const
DayCounter &dc=DayCounters::Actual360())

The documentation for this class was generated from the following file:

• ql/Indexes/usdlibor.hpp

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662 QuantLib Class Documentation

11.396 Value Class Reference

#include <instrument.hpp>
Inheritance diagram for Value:

Results

Value

results results results results

results results

11.396.1 Detailed Description

pricing results

Public Member Functions

• void reset ()

Public Attributes
• double value
• double errorEstimate

The documentation for this class was generated from the following file:

• ql/instrument.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.397 VanillaEngine Class Reference 663

11.397 VanillaEngine Class Reference

#include <vanillaengines.hpp>
Inheritance diagram for VanillaEngine:

AmericanMCVanillaEngine

AnalyticEuropeanEngine

GenericEngine< Instruments::VanillaOption::arguments, Instruments::VanillaOption::results > VanillaEngine BinomialVanillaEngine

IntegralEngine

MCVanillaEngine

11.397.1 Detailed Description

Vanilla engine base class.

The documentation for this class was generated from the following file:

• ql/PricingEngines/vanillaengines.hpp

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664 QuantLib Class Documentation

11.398 VanillaOption Class Reference

#include <vanillaoption.hpp>
Inheritance diagram for VanillaOption:

Observable Observer

LazyObject

Instrument

Option

VanillaOption

ForwardVanillaOption QuantoVanillaOption

QuantoForwardVanillaOption

11.398.1 Detailed Description

Vanilla option (no discrete dividends, no barriers) on a single asset.

Public Member Functions

• VanillaOption (Option::Type type, const RelinkableHandle< MarketElement > &un-
derlying, double strike, const RelinkableHandle< TermStructure > &dividendTS, const
RelinkableHandle< TermStructure > &riskFreeTS, const Exercise &exercise, const
RelinkableHandle< BlackVolTermStructure > &volTS, const Handle< PricingEngine >
&engine=Handle< PricingEngine >(), const std::string &isinCode="", const std::string &de-
scription="")
• double impliedVolatility (double price, double accuracy=1.0e-4, Size maxEvaluations=100,
double minVol=QL_MIN_VOLATILITY, double maxVol=QL_MAX_VOLATILITY) const
• void setupArguments (Arguments ∗) const

Instrument interface

• bool isExpired () const

returns whether the instrument is still tradable.

greeks

• double delta () const

• double gamma () const
• double theta () const
• double vega () const

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11.398 VanillaOption Class Reference 665

• double rho () const

• double dividendRho () const
• double strikeSensitivity () const

Protected Member Functions

• void setupExpired () const

• void performCalculations () const

Protected Attributes

• double delta_
• double gamma_
• double theta_
• double vega_
• double rho_
• double dividendRho_
• double strikeSensitivity_
• Option::Type type_
• RelinkableHandle< MarketElement > underlying_
• double strike_
• Exercise exercise_
• RelinkableHandle< TermStructure > riskFreeTS_
• RelinkableHandle< TermStructure > dividendTS_
• RelinkableHandle< BlackVolTermStructure > volTS_

11.398.2 Member Function Documentation

11.398.2.1 double impliedVolatility (double price, double accuracy = 1.0e-4, Size

maxEvaluations = 100, double minVol = QL_MIN_VOLATILITY, double maxVol
= QL_MAX_VOLATILITY) const

Warning:
Options with a gamma that changes sign have values that are not monotonic in the volatility,
e.g binary options. In these cases impliedVolatility can fail and in any case it is almost
meaningless. Another possible source of failure is to have a targetValue that is not attainable
with any volatility, e.g. a targetValue lower than the intrinsic value in the case of American
options.

11.398.2.2 void setupArguments (Arguments ∗) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overrid-
den to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument (p. 423).
Reimplemented in ForwardVanillaOption (p. 366), QuantoForwardVanillaOption (p. 567), and
QuantoVanillaOption (p. 573).

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666 QuantLib Class Documentation

11.398.2.3 void setupExpired () const [protected, virtual]

This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument (p. 424).
Reimplemented in QuantoVanillaOption (p. 573).

11.398.2.4 void performCalculations () const [protected, virtual]

In case a pricing engine is not used, this method must be overridden to perform the actual calcu-
lations and set any needed results. In case a pricing engine is used, the default implementation
can be used.
Reimplemented from Instrument (p. 424).
Reimplemented in ForwardVanillaOption (p. 366), and QuantoVanillaOption (p. 573).
The documentation for this class was generated from the following files:

• ql/Instruments/vanillaoption.hpp
• ql/Instruments/vanillaoption.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.399 VanillaOption::arguments Class Reference 667

11.399 VanillaOption::arguments Class Reference

#include <vanillaoption.hpp>
Inheritance diagram for VanillaOption::arguments:

Arguments

VanillaOption::arguments

arguments arguments arguments

11.399.1 Detailed Description

arguments for vanilla option calculation

Public Member Functions

• void validate () const

Public Attributes
• Handle< Payoff > payoff
• double underlying
• RelinkableHandle< TermStructure > riskFreeTS
• RelinkableHandle< TermStructure > dividendTS
• RelinkableHandle< BlackVolTermStructure > volTS
• Exercise::Type exerciseType
• std::vector< Time > stoppingTimes
• Time maturity

The documentation for this class was generated from the following files:

• ql/Instruments/vanillaoption.hpp
• ql/Instruments/vanillaoption.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

668 QuantLib Class Documentation

11.400 VanillaOption::results Class Reference

#include <vanillaoption.hpp>
Inheritance diagram for VanillaOption::results:

Results

Value Greeks

VanillaOption::results

results results

11.400.1 Detailed Description

results from vanilla option calculation

Public Member Functions

• void reset ()

The documentation for this class was generated from the following file:

• ql/Instruments/vanillaoption.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.401 Vasicek Class Reference 669

11.401 Vasicek Class Reference

#include <vasicek.hpp>
Inheritance diagram for Vasicek:

Observer Observable

Model

OneFactorModel AffineModel

OneFactorAffineModel

Vasicek

HullWhite

11.401.1 Detailed Description

Vasicek(p. 669) model class.

This class implements the Vasicek(p. 669) model defined by

drt = a(b − rt )dt + σdWt ,

where a, b and σ are constants.

Public Member Functions

• Vasicek (Rate r0=0.05, double a=0.1, double b=0.05, double sigma=0.01)
• virtual double discountBondOption (Option::Type type, double strike, Time maturity, Time
bondMaturity) const
• virtual Handle< ShortRateDynamics > dynamics () const
returns the short-rate dynamics

Protected Member Functions

• virtual double A (Time t, Time T) const
• virtual double B (Time t, Time T) const
• double a () const
• double b () const
• double sigma () const

The documentation for this class was generated from the following files:

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

670 QuantLib Class Documentation

• ql/ShortRateModels/OneFactorModels/vasicek.hpp
• ql/ShortRateModels/OneFactorModels/vasicek.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.402 Vasicek::Dynamics Class Reference 671

11.402 Vasicek::Dynamics Class Reference

#include <vasicek.hpp>

11.402.1 Detailed Description

Short-rate dynamics in the Vasicek(p. 669) model.

The short-rate follows an Ornstein-Uhlenbeck process with mean b.

Public Member Functions

• Dynamics (double a, double b, double sigma, double r0)
• virtual double variable (Time t, Rate r) const
• virtual double shortRate (Time t, double x) const

The documentation for this class was generated from the following file:

• ql/ShortRateModels/OneFactorModels/vasicek.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

672 QuantLib Class Documentation

11.403 Visitor Class Template Reference

#include <visitor.hpp>

11.403.1 Detailed Description

template<class T> class QuantLib::Patterns::Visitor< T >

visitor for a specific class

Public Member Functions

• virtual void visit (T &)=0

The documentation for this class was generated from the following file:

• ql/Patterns/visitor.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.404 Warsaw Class Reference 673

11.404 Warsaw Class Reference

#include <warsaw.hpp>
Inheritance diagram for Warsaw:

Bridge< Calendar, CalendarImpl >

Calendar

Warsaw

11.404.1 Detailed Description

Warsaw calendar
Holidays:

• Saturdays
• Sundays
• Easter Monday
• Corpus Christi
• New Year’s Day, January 1st
• May Day, May 1st
• Constitution Day, May 3rd
• Assumption of the Blessed Virgin Mary, August 15th
• All Saints Day, November 1st
• Independence Day, November 11th
• Christmas, December 25th
• 2nd Day of Christmas, December 26th

The documentation for this class was generated from the following file:

• ql/Calendars/warsaw.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

674 QuantLib Class Documentation

11.405 Wellington Class Reference

#include <wellington.hpp>
Inheritance diagram for Wellington:

Bridge< Calendar, CalendarImpl >

Calendar

Wellington

11.405.1 Detailed Description

Wellington calendar
Holidays:

• Saturdays
• Sundays
• New Year’s Day, January 1st (possibly moved to Monday or Tuesday)
• Day after New Year’s Day, January 2st (possibly moved to Monday or Tuesday)
• Anniversary Day, Monday nearest January 22nd
• Waitangi Day. February 6th
• Good Friday
• Easter Monday
• ANZAC Day. April 25th
• Queen’s Birthday, first Monday in June
• Labour Day, fourth Monday in October
• Christmas, December 25th (possibly moved to Monday or Tuesday)
• Boxing Day, December 26th (possibly moved to Monday or Tuesday)

Note:
The holiday rules for Wellington(p. 674) were documented by David Gilbert for IDB
(http://www.jrefinery.com/ibd/)

The documentation for this class was generated from the following file:

• ql/Calendars/wellington.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.406 Xibor Class Reference 675

11.406 Xibor Class Reference

#include <xibor.hpp>
Inheritance diagram for Xibor:

Index Observer

Xibor

AUDLibor CADLibor CHFLibor Euribor GBPLibor JPYLibor USDLibor ZARLibor

11.406.1 Detailed Description

base class for libor indexes

Public Member Functions

• Xibor (const std::string &familyName, int n, TimeUnit units, int settlementDays, Cur-
rency currency, const Calendar &calendar, bool isAdjusted, RollingConvention rolling-
Convention, const DayCounter &dayCounter, const RelinkableHandle< TermStructure >
&h)

Index interface

• Rate fixing (const Date &fixingDate) const

returns the fixing at the given date

Observer interface

• void update ()

Inspectors

• std::string name () const

Returns the name of the index.

• Period tenor () const

• int frequency () const
• int settlementDays () const
• Currency currency () const
• Calendar calendar () const
• bool isAdjusted () const
• RollingConvention rollingConvention () const
• DayCounter dayCounter () const
• Handle< TermStructure > termStructure () const

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

676 QuantLib Class Documentation

11.406.2 Member Function Documentation

11.406.2.1 Rate fixing (const Date & fixingDate) const [virtual]

returns the fixing at the given date

Note:
any date passed as arguments must be a value date, i.e., the real calendar date advanced by
a number of settlement days.

Implements Index (p. 417).

11.406.2.2 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).

11.406.2.3 std::string name () const [virtual]

Returns the name of the index.

Warning:
This method is used for output and comparison between indexes. It is not meant to be used
for writing switch-on-type code.

Implements Index (p. 417).

The documentation for this class was generated from the following files:

• ql/Indexes/xibor.hpp
• ql/Indexes/xibor.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.407 XiborManager Class Reference 677

11.407 XiborManager Class Reference

#include <xibormanager.hpp>

11.407.1 Detailed Description

global repository for libor histories

Public Types
• typedef std::map< std::string, History > HistoryMap

Static Public Member Functions

• void setHistory (const std::string &name, const History &)
• const History & getHistory (const std::string &name)
• bool hasHistory (const std::string &name)
• std::vector< std::string > histories ()

The documentation for this class was generated from the following files:

• ql/Indexes/xibormanager.hpp
• ql/Indexes/xibormanager.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

678 QuantLib Class Documentation

11.408 ZARLibor Class Reference

#include <zarlibor.hpp>
Inheritance diagram for ZARLibor:

Observable

Index Observer

Xibor

ZARLibor

11.408.1 Detailed Description

ZAR Libor index (also known as JIBAR)

Todo
check settlement days

Public Member Functions

• ZARLibor (int n, TimeUnit units, const RelinkableHandle< TermStructure > &h, const
DayCounter &dc=DayCounters::Actual365())

The documentation for this class was generated from the following file:

• ql/Indexes/zarlibor.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.409 ZeroCurve Class Reference 679

11.409 ZeroCurve Class Reference

#include <zerocurve.hpp>
Inheritance diagram for ZeroCurve:

Observable

TermStructure

ZeroYieldStructure

ZeroCurve

11.409.1 Detailed Description

Term structure based on linear interpolation of zero yields.

Public Member Functions

• ZeroCurve (const Date &todaysDate, const std::vector< Date > &dates, const std::vector<
Rate > &yields, const DayCounter &dayCounter=DayCounters::Actual365())
• DayCounter dayCounter () const
the day counter used for date/time conversion

• Date todaysDate () const

today’s date

• Date referenceDate () const

the reference date, i.e., the date at which discount = 1

• const std::vector< Date > & dates () const

• Date maxDate () const
the latest date for which the curve can return rates

• const std::vector< Time > & times () const

• Time maxTime () const
the latest time for which the curve can return rates

Protected Member Functions

• Rate zeroYieldImpl (Time t, bool extrapolate=false) const
zero-yield calculation

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

680 QuantLib Class Documentation

The documentation for this class was generated from the following files:

• ql/TermStructures/zerocurve.hpp
• ql/TermStructures/zerocurve.cpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.410 ZeroSpreadedTermStructure Class Reference 681

11.410 ZeroSpreadedTermStructure Class Reference

#include <zerospreadedtermstructure.hpp>
Inheritance diagram for ZeroSpreadedTermStructure:

Observable

TermStructure

ZeroYieldStructure Observer

ZeroSpreadedTermStructure

11.410.1 Detailed Description

Term structure with an added spread on the zero yield rate.

Note:
This term structure will remain linked to the original structure, i.e., any changes in the latter
will be reflected in this structure as well.

Public Member Functions

• ZeroSpreadedTermStructure (const RelinkableHandle< TermStructure > &, const
RelinkableHandle< MarketElement > &spread)

TermStructure interface

• DayCounter dayCounter () const

the day counter used for date/time conversion

• Date referenceDate () const

the reference date, i.e., the date at which discount = 1

• Date todaysDate () const

today’s date

• Date maxDate () const

the latest date for which the curve can return rates

• Time maxTime () const

the latest time for which the curve can return rates

Observer interface

• void update ()

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682 QuantLib Class Documentation

Protected Member Functions

• Rate zeroYieldImpl (Time, bool extrapolate=false) const
returns the spreaded zero yield rate

• Rate forwardImpl (Time, bool extrapolate=false) const

returns the spreaded forward rate

11.410.2 Member Function Documentation

11.410.2.1 void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this
method directly: instead, it will be called by the observables the instance registered with when
they need to notify any changes.
Implements Observer (p. 527).

11.410.2.2 Rate forwardImpl (Time, bool extrapolate = false) const [protected, virtual]

returns the spreaded forward rate

Warning:
This method must disappear should the spread become a curve

Reimplemented from ZeroYieldStructure (p. 683).

The documentation for this class was generated from the following file:

• ql/TermStructures/zerospreadedtermstructure.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.411 ZeroYieldStructure Class Reference 683

11.411 ZeroYieldStructure Class Reference

#include <termstructure.hpp>
Inheritance diagram for ZeroYieldStructure:

Observable

TermStructure

ZeroYieldStructure

DriftTermStructure QuantoTermStructure ZeroCurve ZeroSpreadedTermStructure

11.411.1 Detailed Description

Zero yield term structure.

This abstract class acts as an adapter to TermStructure(p. 634) allowing the programmer to im-
plement only the zeroYieldImpl(Time, bool) method in derived classes.
Rates are assumed to be annual continuos compounding.

Protected Member Functions

• DiscountFactor discountImpl (Time, bool extrapolate=false) const

• Rate forwardImpl (Time, bool extrapolate=false) const
• Rate compoundForwardImpl (Time, int, bool extrapolate=false) const

11.411.2 Member Function Documentation

11.411.2.1 DiscountFactor discountImpl (Time, bool extrapolate = false) const [protected,

virtual]

Returns the discount factor for the given date calculating it from the zero yield.
Implements TermStructure (p. 635).

11.411.2.2 Rate forwardImpl (Time, bool extrapolate = false) const [protected, virtual]

Returns the instantaneous forward rate for the given date calculating it from the zero yield.
Implements TermStructure (p. 635).
Reimplemented in ZeroSpreadedTermStructure (p. 682).

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

684 QuantLib Class Documentation

11.411.2.3 Rate compoundForwardImpl (Time, int, bool extrapolate = false) const

[protected, virtual]

Returns the forward rate at a specified compound frequency for the given date calculating it from
the zero yield.
Implements TermStructure (p. 636).
The documentation for this class was generated from the following file:

• ql/termstructure.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

11.412 Zurich Class Reference 685

11.412 Zurich Class Reference

#include <zurich.hpp>
Inheritance diagram for Zurich:

Bridge< Calendar, CalendarImpl >

Calendar

Zurich

11.412.1 Detailed Description

Zurich calendar
Holidays:

• Saturdays
• Sundays
• New Year’s Day, January 1st
• Berchtoldstag, January 2nd
• Good Friday
• Easter Monday
• Ascension Day
• Whit Monday
• Labour Day, May 1st
• National Day, August 1st
• Christmas, December 25th
• St. Stephen’s Day, December 26th

The documentation for this class was generated from the following file:

• ql/Calendars/zurich.hpp

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

686 QuantLib Class Documentation

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

Chapter 12

QuantLib File Documentation

12.1 ql/argsandresults.hpp File Reference

12.1.1 Detailed Description

Base classes for generic arguments and results.

#include <ql/null.hpp>
Include dependency graph for argsandresults.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

ql/null.hpp

argsandresults.hpp

Namespaces
• namespace QuantLib

Defines
• #define QL_MIN_VOLATILITY 0.0
• #define QL_MIN_DIVYIELD 1.0e-7
• #define QL_MAX_VOLATILITY 4.0
• #define QL_MAX_DIVYIELD 4.0
688 QuantLib File Documentation

12.2 ql/array.hpp File Reference

12.2.1 Detailed Description

1-D array used in linear algebra.

#include <ql/types.hpp>
#include <ql/errors.hpp>
#include <ql/disposable.hpp>
#include <functional>
#include <numeric>
#include <iostream>
Include dependency graph for array.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

array.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.3 ql/blackmodel.hpp File Reference 689

12.3 ql/blackmodel.hpp File Reference

12.3.1 Detailed Description

Abstract class for Black-type models (market models).

#include <ql/termstructure.hpp>
#include <ql/Math/normaldistribution.hpp>
Include dependency graph for blackmodel.hpp:

ql/termstructure.hpp ql/Math/normaldistribution.hpp

blackmodel.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

690 QuantLib File Documentation

12.4 ql/calendar.cpp File Reference

12.4.1 Detailed Description

Abstract calendar class.

#include <ql/calendar.hpp>
Include dependency graph for calendar.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

calendar.cpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.5 ql/calendar.hpp File Reference 691

12.5 ql/calendar.hpp File Reference

12.5.1 Detailed Description

calendar class
#include <ql/date.hpp>
#include <ql/Patterns/bridge.hpp>
Include dependency graph for calendar.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

calendar.hpp

Namespaces
• namespace QuantLib::Calendars
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

692 QuantLib File Documentation

12.6 ql/Calendars/budapest.cpp File Reference

12.6.1 Detailed Description

Budapest calendar.
#include <ql/Calendars/budapest.hpp>
Include dependency graph for budapest.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

ql/Calendars/budapest.hpp

budapest.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.7 ql/Calendars/budapest.hpp File Reference 693

12.7 ql/Calendars/budapest.hpp File Reference

12.7.1 Detailed Description

Budapest calendar.
#include <ql/calendar.hpp>
Include dependency graph for budapest.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

budapest.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

694 QuantLib File Documentation

12.8 ql/Calendars/frankfurt.cpp File Reference

12.8.1 Detailed Description

Frankfurt calendar.
#include <ql/Calendars/frankfurt.hpp>
Include dependency graph for frankfurt.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

ql/Calendars/frankfurt.hpp

frankfurt.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.9 ql/Calendars/frankfurt.hpp File Reference 695

12.9 ql/Calendars/frankfurt.hpp File Reference

12.9.1 Detailed Description

Frankfurt calendar.
#include <ql/calendar.hpp>
Include dependency graph for frankfurt.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

frankfurt.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

696 QuantLib File Documentation

12.10 ql/Calendars/helsinki.cpp File Reference

12.10.1 Detailed Description

Helsinki calendar.
#include <ql/Calendars/helsinki.hpp>
Include dependency graph for helsinki.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

ql/Calendars/helsinki.hpp

helsinki.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.11 ql/Calendars/helsinki.hpp File Reference 697

12.11 ql/Calendars/helsinki.hpp File Reference

12.11.1 Detailed Description

Helsinki calendar.
#include <ql/calendar.hpp>
Include dependency graph for helsinki.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

helsinki.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

698 QuantLib File Documentation

12.12 ql/Calendars/johannesburg.cpp File Reference

12.12.1 Detailed Description

Johannesburg calendar.
#include <ql/Calendars/johannesburg.hpp>
Include dependency graph for johannesburg.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

ql/Calendars/johannesburg.hpp

johannesburg.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.13 ql/Calendars/johannesburg.hpp File Reference 699

12.13 ql/Calendars/johannesburg.hpp File Reference

12.13.1 Detailed Description

Johannesburg calendar.
#include <ql/calendar.hpp>
Include dependency graph for johannesburg.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

johannesburg.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

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700 QuantLib File Documentation

12.14 ql/Calendars/jointcalendar.cpp File Reference

12.14.1 Detailed Description

Joint calendar.
#include <ql/Calendars/jointcalendar.hpp>
Include dependency graph for jointcalendar.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp vector

ql/Calendars/jointcalendar.hpp

jointcalendar.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.15 ql/Calendars/jointcalendar.hpp File Reference 701

12.15 ql/Calendars/jointcalendar.hpp File Reference

12.15.1 Detailed Description

Joint calendar.
#include <ql/calendar.hpp>
#include <vector>
Include dependency graph for jointcalendar.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp vector

jointcalendar.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

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702 QuantLib File Documentation

12.16 ql/Calendars/london.cpp File Reference

12.16.1 Detailed Description

London calendar.
#include <ql/Calendars/london.hpp>
Include dependency graph for london.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

ql/Calendars/london.hpp

london.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

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12.17 ql/Calendars/london.hpp File Reference 703

12.17 ql/Calendars/london.hpp File Reference

12.17.1 Detailed Description

London calendar.
#include <ql/calendar.hpp>
Include dependency graph for london.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

london.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

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704 QuantLib File Documentation

12.18 ql/Calendars/milan.cpp File Reference

12.18.1 Detailed Description

Milan calendar.
#include <ql/Calendars/milan.hpp>
Include dependency graph for milan.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

ql/Calendars/milan.hpp

milan.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.19 ql/Calendars/milan.hpp File Reference 705

12.19 ql/Calendars/milan.hpp File Reference

12.19.1 Detailed Description

Milan calendar.
#include <ql/calendar.hpp>
Include dependency graph for milan.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

milan.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

706 QuantLib File Documentation

12.20 ql/Calendars/newyork.cpp File Reference

12.20.1 Detailed Description

New York calendar.

#include <ql/Calendars/newyork.hpp>
Include dependency graph for newyork.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

ql/Calendars/newyork.hpp

newyork.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.21 ql/Calendars/newyork.hpp File Reference 707

12.21 ql/Calendars/newyork.hpp File Reference

12.21.1 Detailed Description

New York calendar.

#include <ql/calendar.hpp>
Include dependency graph for newyork.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

newyork.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

708 QuantLib File Documentation

12.22 ql/Calendars/nullcalendar.hpp File Reference

12.22.1 Detailed Description

Calendar for reproducing theoretical calculations.

#include <ql/calendar.hpp>
Include dependency graph for nullcalendar.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

nullcalendar.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.23 ql/Calendars/oslo.cpp File Reference 709

12.23 ql/Calendars/oslo.cpp File Reference

12.23.1 Detailed Description

Oslo calendar.
#include <ql/Calendars/oslo.hpp>
Include dependency graph for oslo.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

ql/Calendars/oslo.hpp

oslo.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

710 QuantLib File Documentation

12.24 ql/Calendars/oslo.hpp File Reference

12.24.1 Detailed Description

Oslo calendar.
#include <ql/calendar.hpp>
Include dependency graph for oslo.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

oslo.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.25 ql/Calendars/stockholm.cpp File Reference 711

12.25 ql/Calendars/stockholm.cpp File Reference

12.25.1 Detailed Description

Stockholm calendar.
#include <ql/Calendars/stockholm.hpp>
Include dependency graph for stockholm.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

ql/Calendars/stockholm.hpp

stockholm.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

712 QuantLib File Documentation

12.26 ql/Calendars/stockholm.hpp File Reference

12.26.1 Detailed Description

Stockholm calendar.
#include <ql/calendar.hpp>
Include dependency graph for stockholm.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

stockholm.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.27 ql/Calendars/sydney.cpp File Reference 713

12.27 ql/Calendars/sydney.cpp File Reference

12.27.1 Detailed Description

Sydney calendar.
#include <ql/Calendars/sydney.hpp>
Include dependency graph for sydney.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

ql/Calendars/sydney.hpp

sydney.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

714 QuantLib File Documentation

12.28 ql/Calendars/sydney.hpp File Reference

12.28.1 Detailed Description

Sydney calendar.
#include <ql/calendar.hpp>
Include dependency graph for sydney.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

sydney.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.29 ql/Calendars/target.cpp File Reference 715

12.29 ql/Calendars/target.cpp File Reference

12.29.1 Detailed Description

TARGET calendar.
#include <ql/Calendars/target.hpp>
Include dependency graph for target.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

ql/Calendars/target.hpp

target.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

716 QuantLib File Documentation

12.30 ql/Calendars/target.hpp File Reference

12.30.1 Detailed Description

TARGET calendar.
#include <ql/calendar.hpp>
Include dependency graph for target.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

target.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.31 ql/Calendars/tokyo.cpp File Reference 717

12.31 ql/Calendars/tokyo.cpp File Reference

12.31.1 Detailed Description

Tokyo calendar.
#include <ql/Calendars/tokyo.hpp>
Include dependency graph for tokyo.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

ql/Calendars/tokyo.hpp

tokyo.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

718 QuantLib File Documentation

12.32 ql/Calendars/tokyo.hpp File Reference

12.32.1 Detailed Description

Tokyo calendar.
#include <ql/calendar.hpp>
Include dependency graph for tokyo.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

tokyo.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.33 ql/Calendars/toronto.cpp File Reference 719

12.33 ql/Calendars/toronto.cpp File Reference

12.33.1 Detailed Description

Toronto calendar.
#include <ql/Calendars/toronto.hpp>
Include dependency graph for toronto.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

ql/Calendars/toronto.hpp

toronto.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

720 QuantLib File Documentation

12.34 ql/Calendars/toronto.hpp File Reference

12.34.1 Detailed Description

Toronto calendar.
#include <ql/calendar.hpp>
Include dependency graph for toronto.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

toronto.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.35 ql/Calendars/warsaw.cpp File Reference 721

12.35 ql/Calendars/warsaw.cpp File Reference

12.35.1 Detailed Description

Warsaw calendar.
#include <ql/Calendars/warsaw.hpp>
Include dependency graph for warsaw.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

ql/Calendars/warsaw.hpp

warsaw.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

722 QuantLib File Documentation

12.36 ql/Calendars/warsaw.hpp File Reference

12.36.1 Detailed Description

Warsaw calendar.
#include <ql/calendar.hpp>
Include dependency graph for warsaw.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

warsaw.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.37 ql/Calendars/wellington.cpp File Reference 723

12.37 ql/Calendars/wellington.cpp File Reference

12.37.1 Detailed Description

Wellington calendar.
#include <ql/Calendars/wellington.hpp>
Include dependency graph for wellington.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

ql/Calendars/wellington.hpp

wellington.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

724 QuantLib File Documentation

12.38 ql/Calendars/wellington.hpp File Reference

12.38.1 Detailed Description

Wellington calendar.
#include <ql/calendar.hpp>
Include dependency graph for wellington.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

wellington.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.39 ql/Calendars/zurich.cpp File Reference 725

12.39 ql/Calendars/zurich.cpp File Reference

12.39.1 Detailed Description

Zurich calendar.
#include <ql/Calendars/zurich.hpp>
Include dependency graph for zurich.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

ql/Calendars/zurich.hpp

zurich.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

726 QuantLib File Documentation

12.40 ql/Calendars/zurich.hpp File Reference

12.40.1 Detailed Description

Zurich calendar.
#include <ql/calendar.hpp>
Include dependency graph for zurich.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/calendar.hpp

zurich.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Calendars

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.41 ql/capvolstructures.hpp File Reference 727

12.41 ql/capvolstructures.hpp File Reference

12.41.1 Detailed Description

Cap/Floor volatility structures.

#include <ql/daycounter.hpp>
#include <ql/Patterns/observable.hpp>
Include dependency graph for capvolstructures.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

list ql/handle.hpp ql/date.hpp

ql/Patterns/observable.hpp ql/Patterns/bridge.hpp

ql/daycounter.hpp

capvolstructures.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

728 QuantLib File Documentation

12.42 ql/cashflow.hpp File Reference

12.42.1 Detailed Description

Base class for cash flows.

#include <ql/date.hpp>
#include <ql/Patterns/observable.hpp>
#include <ql/Patterns/visitor.hpp>
Include dependency graph for cashflow.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

list ql/handle.hpp ql/date.hpp

ql/Patterns/observable.hpp ql/Patterns/visitor.hpp

cashflow.hpp

Namespaces
• namespace QuantLib::CashFlows
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.43 ql/CashFlows/basispointsensitivity.cpp File Reference 729

12.43 ql/CashFlows/basispointsensitivity.cpp File Reference

12.43.1 Detailed Description

basis point sensitivity calculator

#include <ql/CashFlows/basispointsensitivity.hpp>
Include dependency graph for basispointsensitivity.cpp:

ql/termstructure.hpp ql/CashFlows/fixedratecoupon.hpp ql/CashFlows/timebasket.hpp

ql/CashFlows/basispointsensitivity.hpp

basispointsensitivity.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::CashFlows

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

730 QuantLib File Documentation

12.44 ql/CashFlows/basispointsensitivity.hpp File Reference

12.44.1 Detailed Description

basis point sensitivity calculator

#include <ql/termstructure.hpp>
#include <ql/CashFlows/fixedratecoupon.hpp>
#include <ql/CashFlows/timebasket.hpp>
Include dependency graph for basispointsensitivity.hpp:

ql/termstructure.hpp ql/CashFlows/fixedratecoupon.hpp ql/CashFlows/timebasket.hpp

basispointsensitivity.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::CashFlows

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.45 ql/CashFlows/cashflowvectors.cpp File Reference 731

12.45 ql/CashFlows/cashflowvectors.cpp File Reference

12.45.1 Detailed Description

Cash flow vector builders.

#include <ql/CashFlows/cashflowvectors.hpp>
#include <ql/CashFlows/fixedratecoupon.hpp>
#include <ql/CashFlows/shortfloatingcoupon.hpp>
Include dependency graph for cashflowvectors.cpp:

ql/cashflow.hpp ql/scheduler.hpp ql/Indexes/xibor.hpp

ql/CashFlows/coupon.hpp ql/CashFlows/cashflowvectors.hpp ql/CashFlows/parcoupon.hpp

ql/CashFlows/fixedratecoupon.hpp ql/CashFlows/shortfloatingcoupon.hpp

cashflowvectors.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::CashFlows

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

732 QuantLib File Documentation

12.46 ql/CashFlows/cashflowvectors.hpp File Reference

12.46.1 Detailed Description

Cash flow vector builders.

#include <ql/cashflow.hpp>
#include <ql/Indexes/xibor.hpp>
#include <ql/scheduler.hpp>
Include dependency graph for cashflowvectors.hpp:

ql/date.hpp

ql/Patterns/visitor.hpp ql/Patterns/observable.hpp ql/calendar.hpp vector ql/null.hpp

ql/cashflow.hpp ql/index.hpp ql/termstructure.hpp ql/scheduler.hpp

ql/Indexes/xibor.hpp

cashflowvectors.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::CashFlows

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.47 ql/CashFlows/coupon.hpp File Reference 733

12.47 ql/CashFlows/coupon.hpp File Reference

12.47.1 Detailed Description

Coupon accruing over a fixed period.

#include <ql/cashflow.hpp>
#include <ql/calendar.hpp>
#include <ql/daycounter.hpp>
Include dependency graph for coupon.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp

ql/handle.hpp list utility functional

ql/Patterns/bridge.hpp ql/Patterns/observable.hpp ql/date.hpp ql/Patterns/visitor.hpp

ql/daycounter.hpp ql/calendar.hpp ql/cashflow.hpp

coupon.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::CashFlows

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

734 QuantLib File Documentation

12.48 ql/CashFlows/fixedratecoupon.hpp File Reference

12.48.1 Detailed Description

Coupon paying a fixed annual rate.

#include <ql/CashFlows/coupon.hpp>
Include dependency graph for fixedratecoupon.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp

ql/handle.hpp list utility functional

ql/Patterns/bridge.hpp ql/Patterns/observable.hpp ql/date.hpp ql/Patterns/visitor.hpp

ql/daycounter.hpp ql/calendar.hpp ql/cashflow.hpp

ql/CashFlows/coupon.hpp

fixedratecoupon.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::CashFlows

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.49 ql/CashFlows/floatingratecoupon.hpp File Reference 735

12.49 ql/CashFlows/floatingratecoupon.hpp File Reference

12.49.1 Detailed Description

Coupon at par on a term structure.

#include <ql/CashFlows/coupon.hpp>
Include dependency graph for floatingratecoupon.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp

ql/handle.hpp list utility functional

ql/Patterns/bridge.hpp ql/Patterns/observable.hpp ql/date.hpp ql/Patterns/visitor.hpp

ql/daycounter.hpp ql/calendar.hpp ql/cashflow.hpp

ql/CashFlows/coupon.hpp

floatingratecoupon.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::CashFlows

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

736 QuantLib File Documentation

12.50 ql/CashFlows/inarrearindexedcoupon.hpp File Reference

12.50.1 Detailed Description

in arrear indexed coupon

#include <ql/CashFlows/indexedcoupon.hpp>
Include dependency graph for inarrearindexedcoupon.hpp:

ql/CashFlows/coupon.hpp ql/index.hpp ql/termstructure.hpp

ql/CashFlows/floatingratecoupon.hpp ql/Indexes/xibor.hpp

ql/CashFlows/indexedcoupon.hpp

inarrearindexedcoupon.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::CashFlows

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.51 ql/CashFlows/indexcashflowvectors.hpp File Reference 737

12.51 ql/CashFlows/indexcashflowvectors.hpp File Reference

12.51.1 Detailed Description

Index Cash flow vector builders.

#include <ql/CashFlows/shortindexedcoupon.hpp>
#include <ql/scheduler.hpp>
Include dependency graph for indexcashflowvectors.hpp:

ql/qldefines.hpp

ql/calendar.hpp vector ql/null.hpp

ql/CashFlows/coupon.hpp ql/index.hpp ql/termstructure.hpp ql/scheduler.hpp

ql/CashFlows/floatingratecoupon.hpp ql/Indexes/xibor.hpp

ql/CashFlows/indexedcoupon.hpp

ql/CashFlows/shortindexedcoupon.hpp

indexcashflowvectors.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::CashFlows

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

738 QuantLib File Documentation

12.52 ql/CashFlows/indexedcoupon.hpp File Reference

12.52.1 Detailed Description

indexed coupon
#include <ql/CashFlows/floatingratecoupon.hpp>
#include <ql/Indexes/xibor.hpp>
Include dependency graph for indexedcoupon.hpp:

ql/CashFlows/coupon.hpp ql/index.hpp ql/termstructure.hpp

ql/CashFlows/floatingratecoupon.hpp ql/Indexes/xibor.hpp

indexedcoupon.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::CashFlows

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.53 ql/CashFlows/parcoupon.cpp File Reference 739

12.53 ql/CashFlows/parcoupon.cpp File Reference

12.53.1 Detailed Description

Coupon at par on a term structure.

#include <ql/CashFlows/parcoupon.hpp>
#include <ql/Indexes/xibormanager.hpp>
Include dependency graph for parcoupon.cpp:

ql/termstructure.hpp ql/history.hpp map

ql/CashFlows/floatingratecoupon.hpp ql/Indexes/xibor.hpp ql/Indexes/xibormanager.hpp

ql/CashFlows/parcoupon.hpp

parcoupon.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::CashFlows

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

740 QuantLib File Documentation

12.54 ql/CashFlows/parcoupon.hpp File Reference

12.54.1 Detailed Description

Coupon at par on a term structure.

#include <ql/CashFlows/floatingratecoupon.hpp>
#include <ql/Indexes/xibor.hpp>
Include dependency graph for parcoupon.hpp:

ql/CashFlows/coupon.hpp ql/index.hpp ql/termstructure.hpp

ql/CashFlows/floatingratecoupon.hpp ql/Indexes/xibor.hpp

parcoupon.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::CashFlows

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.55 ql/CashFlows/shortfloatingcoupon.cpp File Reference 741

12.55 ql/CashFlows/shortfloatingcoupon.cpp File Reference

12.55.1 Detailed Description

Short coupon at par on a term structure.

#include <ql/CashFlows/shortfloatingcoupon.hpp>
#include <ql/Indexes/xibormanager.hpp>
Include dependency graph for shortfloatingcoupon.cpp:

ql/CashFlows/parcoupon.hpp ql/history.hpp ql/termstructure.hpp map

ql/CashFlows/shortfloatingcoupon.hpp ql/Indexes/xibormanager.hpp

shortfloatingcoupon.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::CashFlows

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

742 QuantLib File Documentation

12.56 ql/CashFlows/shortfloatingcoupon.hpp File Reference

12.56.1 Detailed Description

Short (or long) coupon at par on a term structure.

#include <ql/CashFlows/parcoupon.hpp>
Include dependency graph for shortfloatingcoupon.hpp:

ql/CashFlows/coupon.hpp ql/index.hpp ql/termstructure.hpp

ql/CashFlows/floatingratecoupon.hpp ql/Indexes/xibor.hpp

ql/CashFlows/parcoupon.hpp

shortfloatingcoupon.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::CashFlows

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.57 ql/CashFlows/shortindexedcoupon.hpp File Reference 743

12.57 ql/CashFlows/shortindexedcoupon.hpp File Reference

12.57.1 Detailed Description

Short (or long) indexed coupon.

#include <ql/CashFlows/indexedcoupon.hpp>
Include dependency graph for shortindexedcoupon.hpp:

ql/CashFlows/coupon.hpp ql/index.hpp ql/termstructure.hpp

ql/CashFlows/floatingratecoupon.hpp ql/Indexes/xibor.hpp

ql/CashFlows/indexedcoupon.hpp

shortindexedcoupon.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::CashFlows

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

744 QuantLib File Documentation

12.58 ql/CashFlows/simplecashflow.hpp File Reference

12.58.1 Detailed Description

Predetermined cash flow.

#include <ql/cashflow.hpp>
Include dependency graph for simplecashflow.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

list ql/handle.hpp ql/date.hpp

ql/Patterns/observable.hpp ql/Patterns/visitor.hpp

ql/cashflow.hpp

simplecashflow.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::CashFlows

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.59 ql/CashFlows/timebasket.cpp File Reference 745

12.59 ql/CashFlows/timebasket.cpp File Reference

12.59.1 Detailed Description

Distribution over a number of dates

#include <ql/CashFlows/timebasket.hpp>
Include dependency graph for timebasket.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp utility functional

ql/date.hpp ql/null.hpp vector map

ql/CashFlows/timebasket.hpp

timebasket.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::CashFlows

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

746 QuantLib File Documentation

12.60 ql/CashFlows/timebasket.hpp File Reference

12.60.1 Detailed Description

Distribution over a number of dates

#include <ql/date.hpp>
#include <ql/null.hpp>
#include <vector>
#include <map>
Include dependency graph for timebasket.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp utility functional

ql/date.hpp ql/null.hpp vector map

timebasket.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::CashFlows

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.61 ql/CashFlows/upfrontindexedcoupon.hpp File Reference 747

12.61 ql/CashFlows/upfrontindexedcoupon.hpp File Reference

12.61.1 Detailed Description

Up front indexed coupon.

#include <ql/CashFlows/indexedcoupon.hpp>
Include dependency graph for upfrontindexedcoupon.hpp:

ql/CashFlows/coupon.hpp ql/index.hpp ql/termstructure.hpp

ql/CashFlows/floatingratecoupon.hpp ql/Indexes/xibor.hpp

ql/CashFlows/indexedcoupon.hpp

upfrontindexedcoupon.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::CashFlows

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

748 QuantLib File Documentation

12.62 ql/currency.hpp File Reference

12.62.1 Detailed Description

Known currencies.
#include <ql/qldefines.hpp>
Include dependency graph for currency.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

currency.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.63 ql/dataformatters.cpp File Reference 749

12.63 ql/dataformatters.cpp File Reference

12.63.1 Detailed Description

classes used to format data for output

#include <ql/dataformatters.hpp>
#include <ql/null.hpp>
Include dependency graph for dataformatters.cpp:

ql/qldefines.hpp

functional ql/errors.hpp ql/types.hpp utility

ql/array.hpp ql/Utilities/steppingiterator.hpp ql/date.hpp

ql/Math/matrix.hpp ql/currency.hpp

ql/dataformatters.hpp ql/null.hpp

dataformatters.cpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

750 QuantLib File Documentation

12.64 ql/dataformatters.hpp File Reference

12.64.1 Detailed Description

Classes used to format data for output.

#include <ql/date.hpp>
#include <ql/currency.hpp>
#include <ql/Math/matrix.hpp>
Include dependency graph for dataformatters.hpp:

ql/qldefines.hpp

utility ql/types.hpp ql/errors.hpp functional

ql/date.hpp ql/Utilities/steppingiterator.hpp ql/array.hpp

ql/currency.hpp ql/Math/matrix.hpp

dataformatters.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.65 ql/dataparsers.cpp File Reference 751

12.65 ql/dataparsers.cpp File Reference

12.65.1 Detailed Description

classes used to parse data for input

#include <ql/dataparsers.hpp>
#include <ql/dataformatters.hpp>
#include <ql/null.hpp>
Include dependency graph for dataparsers.cpp:

ql/qldefines.hpp

utility ql/types.hpp ql/errors.hpp functional

vector ql/date.hpp ql/array.hpp ql/Utilities/steppingiterator.hpp

ql/dataparsers.hpp ql/Math/matrix.hpp ql/currency.hpp

ql/dataformatters.hpp ql/null.hpp

dataparsers.cpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

752 QuantLib File Documentation

12.66 ql/dataparsers.hpp File Reference

12.66.1 Detailed Description

Classes used to parse data for input.

#include <ql/date.hpp>
#include <vector>
Include dependency graph for dataparsers.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp utility functional

ql/date.hpp vector

dataparsers.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.67 ql/date.cpp File Reference 753

12.67 ql/date.cpp File Reference

12.67.1 Detailed Description

date- and time-related classes, typedefs and enumerations

#include <ql/dataformatters.hpp>
Include dependency graph for date.cpp:

ql/qldefines.hpp

utility ql/types.hpp ql/errors.hpp functional

ql/date.hpp ql/Utilities/steppingiterator.hpp ql/array.hpp

ql/currency.hpp ql/Math/matrix.hpp

ql/dataformatters.hpp

date.cpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

754 QuantLib File Documentation

12.68 ql/date.hpp File Reference

12.68.1 Detailed Description

date- and time-related classes, typedefs and enumerations

#include <ql/errors.hpp>
#include <ql/types.hpp>
#include <utility>
#include <functional>
Include dependency graph for date.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp utility functional

date.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.69 ql/daycounter.hpp File Reference 755

12.69 ql/daycounter.hpp File Reference

12.69.1 Detailed Description

day counter class

#include <ql/date.hpp>
#include <ql/Patterns/bridge.hpp>
Include dependency graph for daycounter.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

daycounter.hpp

Namespaces
• namespace QuantLib::DayCounters
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

756 QuantLib File Documentation

12.70 ql/DayCounters/actual360.hpp File Reference

12.70.1 Detailed Description

act/360 day counter

#include <ql/daycounter.hpp>
Include dependency graph for actual360.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/daycounter.hpp

actual360.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::DayCounters

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.71 ql/DayCounters/actual365.hpp File Reference 757

12.71 ql/DayCounters/actual365.hpp File Reference

12.71.1 Detailed Description

act/365 day counter

#include <ql/daycounter.hpp>
Include dependency graph for actual365.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/daycounter.hpp

actual365.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::DayCounters

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

758 QuantLib File Documentation

12.72 ql/DayCounters/actualactual.cpp File Reference

12.72.1 Detailed Description

act/act day counters

#include <ql/DayCounters/actualactual.hpp>
#include <ql/dataformatters.hpp>
Include dependency graph for actualactual.cpp:

ql/Patterns/bridge.hpp ql/date.hpp ql/qldefines.hpp ql/array.hpp ql/Utilities/steppingiterator.hpp

ql/daycounter.hpp ql/currency.hpp ql/Math/matrix.hpp

ql/DayCounters/actualactual.hpp ql/dataformatters.hpp

actualactual.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::DayCounters

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.73 ql/DayCounters/actualactual.hpp File Reference 759

12.73 ql/DayCounters/actualactual.hpp File Reference

12.73.1 Detailed Description

act/act day counters

#include <ql/daycounter.hpp>
Include dependency graph for actualactual.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/daycounter.hpp

actualactual.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::DayCounters

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

760 QuantLib File Documentation

12.74 ql/DayCounters/simpledaycounter.cpp File Reference

12.74.1 Detailed Description

Simple day counter for reproducing theoretical calculations.

#include <ql/DayCounters/simpledaycounter.hpp>
#include <ql/DayCounters/thirty360.hpp>
Include dependency graph for simpledaycounter.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/daycounter.hpp

ql/DayCounters/simpledaycounter.hpp ql/DayCounters/thirty360.hpp

simpledaycounter.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::DayCounters

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.75 ql/DayCounters/simpledaycounter.hpp File Reference 761

12.75 ql/DayCounters/simpledaycounter.hpp File Reference

12.75.1 Detailed Description

Simple day counter for reproducing theoretical calculations.

#include <ql/daycounter.hpp>
Include dependency graph for simpledaycounter.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/daycounter.hpp

simpledaycounter.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::DayCounters

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

762 QuantLib File Documentation

12.76 ql/DayCounters/thirty360.cpp File Reference

12.76.1 Detailed Description

30/360 day counters

#include <ql/DayCounters/thirty360.hpp>
Include dependency graph for thirty360.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/daycounter.hpp

ql/DayCounters/thirty360.hpp

thirty360.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::DayCounters

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.77 ql/DayCounters/thirty360.hpp File Reference 763

12.77 ql/DayCounters/thirty360.hpp File Reference

12.77.1 Detailed Description

30/360 day counters

#include <ql/daycounter.hpp>
Include dependency graph for thirty360.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp

ql/daycounter.hpp

thirty360.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::DayCounters

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

764 QuantLib File Documentation

12.78 ql/diffusionprocess.cpp File Reference

12.78.1 Detailed Description

Diffusion process.
#include <ql/diffusionprocess.hpp>
#include <ql/Volatilities/localvolsurface.hpp>
#include <ql/Volatilities/localvolcurve.hpp>
#include <ql/Volatilities/localconstantvol.hpp>
Include dependency graph for diffusionprocess.cpp:

ql/diffusionprocess.hpp

ql/Volatilities/localvolsurface.hpp
diffusionprocess.cpp
ql/Volatilities/localvolcurve.hpp

ql/Volatilities/localconstantvol.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.79 ql/diffusionprocess.hpp File Reference 765

12.79 ql/diffusionprocess.hpp File Reference

12.79.1 Detailed Description

Diffusion process.
#include <ql/termstructure.hpp>
#include <ql/voltermstructure.hpp>
Include dependency graph for diffusionprocess.hpp:

ql/termstructure.hpp ql/voltermstructure.hpp

diffusionprocess.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

766 QuantLib File Documentation

12.80 ql/discretizedasset.cpp File Reference

12.80.1 Detailed Description

Discretized asset classes.

#include <ql/discretizedasset.hpp>
Include dependency graph for discretizedasset.cpp:

typeinfo ql/errors.hpp

ql/handle.hpp ql/date.hpp

list ql/dataformatters.hpp vector ql/instrument.hpp ql/Patterns/bridge.hpp

ql/grid.hpp ql/option.hpp ql/calendar.hpp

ql/numericalmethod.hpp ql/exercise.hpp

ql/discretizedasset.hpp

discretizedasset.cpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.81 ql/discretizedasset.hpp File Reference 767

12.81 ql/discretizedasset.hpp File Reference

12.81.1 Detailed Description

Discretized asset classes.

#include <ql/numericalmethod.hpp>
#include <ql/exercise.hpp>
Include dependency graph for discretizedasset.hpp:

typeinfo ql/errors.hpp

ql/handle.hpp ql/date.hpp

list ql/dataformatters.hpp vector ql/instrument.hpp ql/Patterns/bridge.hpp

ql/grid.hpp ql/option.hpp ql/calendar.hpp

ql/numericalmethod.hpp ql/exercise.hpp

discretizedasset.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

768 QuantLib File Documentation

12.82 ql/disposable.hpp File Reference

12.82.1 Detailed Description

generic disposable object with move semantics

#include <ql/qldefines.hpp>
Include dependency graph for disposable.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

disposable.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.83 ql/errors.hpp File Reference 769

12.83 ql/errors.hpp File Reference

12.83.1 Detailed Description

Classes and functions for error handling.

#include <ql/qldefines.hpp>
#include <exception>
#include <string>
Include dependency graph for errors.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp exception string

errors.hpp

Namespaces

• namespace QuantLib

Defines

• #define QL_ASSERT(condition, description)

throw an error if the given condition is not verified

• #define QL_REQUIRE(condition, description)

throw an error if the given pre-condition is not verified

• #define QL_ENSURE(condition, description)

throw an error if the given post-condition is not verified

12.83.2 Define Documentation

12.83.2.1 #define QL_ASSERT(condition, description)

Value:

if (!(condition)) \
throw QuantLib::AssertionFailedError(\
QuantLib::Error::where(__FILE__,__LINE__) + description); \
else

throw an error if the given condition is not verified

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

770 QuantLib File Documentation

12.83.2.2 #define QL_REQUIRE(condition, description)

Value:

if (!(condition)) \
throw QuantLib::PreconditionNotSatisfiedError(\
QuantLib::Error::where(__FILE__,__LINE__) + description); \
else

throw an error if the given pre-condition is not verified

Examples:
DiscreteHedging.cpp, and swapvaluation.cpp.

12.83.2.3 #define QL_ENSURE(condition, description)

Value:

if (!(condition)) \
throw QuantLib::PostconditionNotSatisfiedError(\
QuantLib::Error::where(__FILE__,__LINE__) + description); \
else

throw an error if the given post-condition is not verified

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.84 ql/exercise.cpp File Reference 771

12.84 ql/exercise.cpp File Reference

12.84.1 Detailed Description

Option exercise classes and exercise payoff function.

#include <ql/exercise.hpp>
Include dependency graph for exercise.cpp:

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/argsandresults.hpp ql/Patterns/observable.hpp ql/Patterns/bridge.hpp

ql/pricingengine.hpp ql/Patterns/lazyobject.hpp ql/calendar.hpp

ql/instrument.hpp

ql/option.hpp vector

ql/exercise.hpp

exercise.cpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

772 QuantLib File Documentation

12.85 ql/exercise.hpp File Reference

12.85.1 Detailed Description

Option exercise classes and payoff function.

#include <ql/calendar.hpp>
#include <ql/option.hpp>
#include <vector>
Include dependency graph for exercise.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

utility functional ql/errors.hpp ql/types.hpp typeinfo

ql/date.hpp ql/handle.hpp list ql/null.hpp

ql/Patterns/bridge.hpp ql/Patterns/observable.hpp ql/argsandresults.hpp

ql/calendar.hpp ql/Patterns/lazyobject.hpp ql/pricingengine.hpp

ql/instrument.hpp

ql/option.hpp vector

exercise.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.86 ql/FiniteDifferences/americancondition.hpp File Reference 773

12.86 ql/FiniteDifferences/americancondition.hpp File Refer-

ence

12.86.1 Detailed Description

american option exercise condition

#include <ql/FiniteDifferences/fdtypedefs.hpp>
#include <ql/discretizedasset.hpp>
Include dependency graph for americancondition.hpp:

ql/FiniteDifferences/finitedifferencemodel.hpp ql/date.hpp ql/Patterns/bridge.hpp ql/instrument.hpp

ql/FiniteDifferences/mixedscheme.hpp ql/calendar.hpp ql/option.hpp vector

ql/FiniteDifferences/cranknicolson.hpp ql/numericalmethod.hpp ql/exercise.hpp

ql/FiniteDifferences/fdtypedefs.hpp ql/discretizedasset.hpp

americancondition.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

774 QuantLib File Documentation

12.87 ql/FiniteDifferences/boundarycondition.cpp File Refer-

ence

12.87.1 Detailed Description

boundary conditions for differential operators

#include <ql/FiniteDifferences/boundarycondition.hpp>
Include dependency graph for boundarycondition.cpp:

ql/qldefines.hpp ql/array.hpp ql/handle.hpp

ql/null.hpp ql/FiniteDifferences/tridiagonaloperator.hpp

ql/FiniteDifferences/boundarycondition.hpp

boundarycondition.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.88 ql/FiniteDifferences/boundarycondition.hpp File Reference 775

12.88 ql/FiniteDifferences/boundarycondition.hpp File Refer-

ence

12.88.1 Detailed Description

boundary conditions for differential operators

#include <ql/null.hpp>
#include <ql/FiniteDifferences/tridiagonaloperator.hpp>
Include dependency graph for boundarycondition.hpp:

ql/qldefines.hpp ql/array.hpp ql/handle.hpp

ql/null.hpp ql/FiniteDifferences/tridiagonaloperator.hpp

boundarycondition.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

776 QuantLib File Documentation

12.89 ql/FiniteDifferences/bsmoperator.cpp File Reference

12.89.1 Detailed Description

differential operator for Black-Scholes-Merton equation

#include <ql/FiniteDifferences/bsmoperator.hpp>
Include dependency graph for bsmoperator.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/handle.hpp ql/array.hpp

ql/FiniteDifferences/tridiagonaloperator.hpp

ql/FiniteDifferences/bsmoperator.hpp

bsmoperator.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.90 ql/FiniteDifferences/bsmoperator.hpp File Reference 777

12.90 ql/FiniteDifferences/bsmoperator.hpp File Reference

12.90.1 Detailed Description

differential operator for Black-Scholes-Merton equation

#include <ql/FiniteDifferences/tridiagonaloperator.hpp>
Include dependency graph for bsmoperator.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/handle.hpp ql/array.hpp

ql/FiniteDifferences/tridiagonaloperator.hpp

bsmoperator.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

778 QuantLib File Documentation

12.91 ql/FiniteDifferences/cranknicolson.hpp File Reference

12.91.1 Detailed Description

Crank-Nicolson scheme for finite difference methods.

#include <ql/FiniteDifferences/mixedscheme.hpp>
Include dependency graph for cranknicolson.hpp:

ql/qldefines.hpp

ql/dataformatters.hpp list vector typeinfo ql/errors.hpp

ql/grid.hpp ql/handle.hpp ql/array.hpp

ql/numericalmethod.hpp ql/FiniteDifferences/tridiagonaloperator.hpp ql/null.hpp

ql/FiniteDifferences/stepcondition.hpp ql/FiniteDifferences/boundarycondition.hpp

ql/FiniteDifferences/finitedifferencemodel.hpp

ql/FiniteDifferences/mixedscheme.hpp

cranknicolson.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.92 ql/FiniteDifferences/dminus.hpp File Reference 779

12.92 ql/FiniteDifferences/dminus.hpp File Reference

12.92.1 Detailed Description

D− matricial representation
#include <ql/FiniteDifferences/tridiagonaloperator.hpp>
Include dependency graph for dminus.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/handle.hpp ql/array.hpp

ql/FiniteDifferences/tridiagonaloperator.hpp

dminus.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

780 QuantLib File Documentation

12.93 ql/FiniteDifferences/dplus.hpp File Reference

12.93.1 Detailed Description

D+ matricial representation
#include <ql/FiniteDifferences/tridiagonaloperator.hpp>
Include dependency graph for dplus.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/handle.hpp ql/array.hpp

ql/FiniteDifferences/tridiagonaloperator.hpp

dplus.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.94 ql/FiniteDifferences/dplusdminus.hpp File Reference 781

12.94 ql/FiniteDifferences/dplusdminus.hpp File Reference

12.94.1 Detailed Description

D+ D− matricial representation
#include <ql/FiniteDifferences/tridiagonaloperator.hpp>
Include dependency graph for dplusdminus.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/handle.hpp ql/array.hpp

ql/FiniteDifferences/tridiagonaloperator.hpp

dplusdminus.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

782 QuantLib File Documentation

12.95 ql/FiniteDifferences/dzero.hpp File Reference

12.95.1 Detailed Description

D0 matricial representation
#include <ql/FiniteDifferences/tridiagonaloperator.hpp>
Include dependency graph for dzero.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/handle.hpp ql/array.hpp

ql/FiniteDifferences/tridiagonaloperator.hpp

dzero.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.96 ql/FiniteDifferences/expliciteuler.hpp File Reference 783

12.96 ql/FiniteDifferences/expliciteuler.hpp File Reference

12.96.1 Detailed Description

explicit Euler scheme for finite difference methods

#include <ql/FiniteDifferences/mixedscheme.hpp>
Include dependency graph for expliciteuler.hpp:

ql/qldefines.hpp

ql/dataformatters.hpp list vector typeinfo ql/errors.hpp

ql/grid.hpp ql/handle.hpp ql/array.hpp

ql/numericalmethod.hpp ql/FiniteDifferences/tridiagonaloperator.hpp ql/null.hpp

ql/FiniteDifferences/stepcondition.hpp ql/FiniteDifferences/boundarycondition.hpp

ql/FiniteDifferences/finitedifferencemodel.hpp

ql/FiniteDifferences/mixedscheme.hpp

expliciteuler.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

784 QuantLib File Documentation

12.97 ql/FiniteDifferences/fdtypedefs.hpp File Reference

12.97.1 Detailed Description

default choices for template instantiations

#include <ql/FiniteDifferences/cranknicolson.hpp>
Include dependency graph for fdtypedefs.hpp:

ql/qldefines.hpp

ql/dataformatters.hpp list vector typeinfo ql/errors.hpp

ql/grid.hpp ql/handle.hpp ql/array.hpp

ql/numericalmethod.hpp ql/FiniteDifferences/tridiagonaloperator.hpp ql/null.hpp

ql/FiniteDifferences/stepcondition.hpp ql/FiniteDifferences/boundarycondition.hpp

ql/FiniteDifferences/finitedifferencemodel.hpp

ql/FiniteDifferences/mixedscheme.hpp

ql/FiniteDifferences/cranknicolson.hpp

fdtypedefs.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.98 ql/FiniteDifferences/finitedifferencemodel.hpp File Reference 785

12.98 ql/FiniteDifferences/finitedifferencemodel.hpp File Ref-

erence

12.98.1 Detailed Description

generic finite difference model

#include <ql/FiniteDifferences/stepcondition.hpp>
#include <ql/FiniteDifferences/boundarycondition.hpp>
Include dependency graph for finitedifferencemodel.hpp:

ql/qldefines.hpp

ql/dataformatters.hpp list vector typeinfo ql/errors.hpp

ql/grid.hpp ql/handle.hpp ql/array.hpp

ql/numericalmethod.hpp ql/FiniteDifferences/tridiagonaloperator.hpp ql/null.hpp

ql/FiniteDifferences/stepcondition.hpp ql/FiniteDifferences/boundarycondition.hpp

finitedifferencemodel.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

786 QuantLib File Documentation

12.99 ql/FiniteDifferences/impliciteuler.hpp File Reference

12.99.1 Detailed Description

implicit Euler scheme for finite difference methods

#include <ql/FiniteDifferences/mixedscheme.hpp>
Include dependency graph for impliciteuler.hpp:

ql/qldefines.hpp

ql/dataformatters.hpp list vector typeinfo ql/errors.hpp

ql/grid.hpp ql/handle.hpp ql/array.hpp

ql/numericalmethod.hpp ql/FiniteDifferences/tridiagonaloperator.hpp ql/null.hpp

ql/FiniteDifferences/stepcondition.hpp ql/FiniteDifferences/boundarycondition.hpp

ql/FiniteDifferences/finitedifferencemodel.hpp

ql/FiniteDifferences/mixedscheme.hpp

impliciteuler.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.100 ql/FiniteDifferences/mixedscheme.hpp File Reference 787

12.100 ql/FiniteDifferences/mixedscheme.hpp File Reference

12.100.1 Detailed Description

Mixed (explicit/implicit) scheme for finite difference methods.

#include <ql/FiniteDifferences/finitedifferencemodel.hpp>
Include dependency graph for mixedscheme.hpp:

ql/qldefines.hpp

ql/dataformatters.hpp list vector typeinfo ql/errors.hpp

ql/grid.hpp ql/handle.hpp ql/array.hpp

ql/numericalmethod.hpp ql/FiniteDifferences/tridiagonaloperator.hpp ql/null.hpp

ql/FiniteDifferences/stepcondition.hpp ql/FiniteDifferences/boundarycondition.hpp

ql/FiniteDifferences/finitedifferencemodel.hpp

mixedscheme.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

788 QuantLib File Documentation

12.101 ql/FiniteDifferences/onefactoroperator.cpp File Refer-

ence

12.101.1 Detailed Description

differential operator for one-factor interest rate models

#include "ql/FiniteDifferences/onefactoroperator.hpp"
Include dependency graph for onefactoroperator.cpp:

ql/FiniteDifferences/tridiagonaloperator.hpp ql/ShortRateModels/onefactormodel.hpp

ql/FiniteDifferences/onefactoroperator.hpp

onefactoroperator.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.102 ql/FiniteDifferences/onefactoroperator.hpp File Reference 789

12.102 ql/FiniteDifferences/onefactoroperator.hpp File Refer-

ence

12.102.1 Detailed Description

general differential operator for one-factor interest rate models

#include <ql/FiniteDifferences/tridiagonaloperator.hpp>
#include <ql/ShortRateModels/onefactormodel.hpp>
Include dependency graph for onefactoroperator.hpp:

ql/FiniteDifferences/tridiagonaloperator.hpp ql/ShortRateModels/onefactormodel.hpp

onefactoroperator.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

790 QuantLib File Documentation

12.103 ql/FiniteDifferences/shoutcondition.hpp File Reference

12.103.1 Detailed Description

shout option exercise condition

#include <ql/FiniteDifferences/fdtypedefs.hpp>
#include <ql/discretizedasset.hpp>
Include dependency graph for shoutcondition.hpp:

ql/FiniteDifferences/finitedifferencemodel.hpp ql/date.hpp ql/Patterns/bridge.hpp ql/instrument.hpp

ql/FiniteDifferences/mixedscheme.hpp ql/calendar.hpp ql/option.hpp vector

ql/FiniteDifferences/cranknicolson.hpp ql/numericalmethod.hpp ql/exercise.hpp

ql/FiniteDifferences/fdtypedefs.hpp ql/discretizedasset.hpp

shoutcondition.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.104 ql/FiniteDifferences/stepcondition.hpp File Reference 791

12.104 ql/FiniteDifferences/stepcondition.hpp File Reference

12.104.1 Detailed Description

conditions to be applied at every time step

#include <ql/numericalmethod.hpp>
Include dependency graph for stepcondition.hpp:

ql/qldefines.hpp

utility functional ql/types.hpp ql/errors.hpp typeinfo

ql/date.hpp ql/Utilities/steppingiterator.hpp ql/array.hpp ql/handle.hpp

ql/Math/matrix.hpp ql/currency.hpp

ql/dataformatters.hpp list vector

ql/grid.hpp

ql/numericalmethod.hpp

stepcondition.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

792 QuantLib File Documentation

12.105 ql/FiniteDifferences/tridiagonaloperator.cpp File Refer-

ence

12.105.1 Detailed Description

tridiagonal operator
#include <ql/FiniteDifferences/tridiagonaloperator.hpp>
#include <ql/dataformatters.hpp>
Include dependency graph for tridiagonaloperator.cpp:

ql/handle.hpp ql/array.hpp

ql/FiniteDifferences/tridiagonaloperator.hpp ql/Math/matrix.hpp ql/date.hpp ql/currency.hpp

ql/dataformatters.hpp

tridiagonaloperator.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.106 ql/FiniteDifferences/tridiagonaloperator.hpp File Reference 793

12.106 ql/FiniteDifferences/tridiagonaloperator.hpp File Refer-

ence

12.106.1 Detailed Description

tridiagonal operator
#include <ql/array.hpp>
#include <ql/handle.hpp>
Include dependency graph for tridiagonaloperator.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/handle.hpp ql/array.hpp

tridiagonaloperator.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

794 QuantLib File Documentation

12.107 ql/FiniteDifferences/valueatcenter.cpp File Reference

12.107.1 Detailed Description

compute value, first, and second derivatives at grid center

#include <ql/array.hpp>
Include dependency graph for valueatcenter.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/array.hpp

valueatcenter.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.108 ql/FiniteDifferences/valueatcenter.hpp File Reference 795

12.108 ql/FiniteDifferences/valueatcenter.hpp File Reference

12.108.1 Detailed Description

compute value, first, and second derivatives at grid center

#include <ql/array.hpp>
Include dependency graph for valueatcenter.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/array.hpp

valueatcenter.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::FiniteDifferences

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

796 QuantLib File Documentation

12.109 ql/functions/daycounters.cpp File Reference

12.109.1 Detailed Description

day counters functions

#include <ql/functions/daycounters.hpp>
Include dependency graph for daycounters.cpp:

ql/functions/daycounters.hpp

daycounters.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Functions

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.110 ql/functions/daycounters.hpp File Reference 797

12.110 ql/functions/daycounters.hpp File Reference

12.110.1 Detailed Description

day counters functions

#include <ql/DayCounters/actual360.hpp>
#include <ql/DayCounters/actual365.hpp>
#include <ql/DayCounters/actualactual.hpp>
#include <ql/DayCounters/thirty360.hpp>
Include dependency graph for daycounters.hpp:

ql/DayCounters/actual360.hpp

ql/DayCounters/actual365.hpp
daycounters.hpp
ql/DayCounters/actualactual.hpp

ql/DayCounters/thirty360.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Functions

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

798 QuantLib File Documentation

12.111 ql/functions/mathf.cpp File Reference

12.111.1 Detailed Description

math functions
#include <ql/functions/mathf.hpp>
#include <ql/Math/loglinearinterpolation.hpp>
#include <ql/Math/bilinearinterpolation.hpp>
#include <ql/Math/bicubicsplineinterpolation.hpp>
#include <ql/Math/riskmeasures.hpp>
#include <ql/Math/primenumbers.hpp>
#include <ql/RandomNumbers/mt19937uniformrng.hpp>
Include dependency graph for mathf.cpp:

ql/functions/mathf.hpp

ql/Math/loglinearinterpolation.hpp

ql/Math/bilinearinterpolation.hpp

ql/Math/bicubicsplineinterpolation.hpp mathf.cpp

ql/Math/riskmeasures.hpp

ql/Math/primenumbers.hpp

ql/RandomNumbers/mt19937uniformrng.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Functions

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.112 ql/functions/mathf.hpp File Reference 799

12.112 ql/functions/mathf.hpp File Reference

12.112.1 Detailed Description

math functions
#include <ql/Math/matrix.hpp>
#include <vector>
Include dependency graph for mathf.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/array.hpp ql/Utilities/steppingiterator.hpp

ql/Math/matrix.hpp vector

mathf.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Functions

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

800 QuantLib File Documentation

12.113 ql/functions/vols.cpp File Reference

12.113.1 Detailed Description

Volatility functions.
#include <ql/functions/vols.hpp>
#include <ql/Math/bilinearinterpolation.hpp>
#include <ql/Volatilities/localconstantvol.hpp>
#include <ql/Volatilities/localvolcurve.hpp>
#include <ql/Volatilities/blackvariancesurface.hpp>
Include dependency graph for vols.cpp:

ql/functions/vols.hpp

ql/Math/bilinearinterpolation.hpp

ql/Volatilities/localconstantvol.hpp vols.cpp

ql/Volatilities/localvolcurve.hpp

ql/Volatilities/blackvariancesurface.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Functions

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.114 ql/functions/vols.hpp File Reference 801

12.114 ql/functions/vols.hpp File Reference

12.114.1 Detailed Description

Volatility functions.
#include <ql/Math/matrix.hpp>
#include <ql/daycounter.hpp>
#include <vector>
Include dependency graph for vols.hpp:

ql/array.hpp ql/Utilities/steppingiterator.hpp ql/date.hpp ql/Patterns/bridge.hpp

ql/Math/matrix.hpp ql/daycounter.hpp vector

vols.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Functions

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

802 QuantLib File Documentation

12.115 ql/grid.cpp File Reference

12.115.1 Detailed Description

Grid classes with useful constructors for trees and finite diffs.
#include <ql/grid.hpp>
Include dependency graph for grid.cpp:

ql/qldefines.hpp

utility ql/types.hpp ql/errors.hpp functional

ql/date.hpp ql/Utilities/steppingiterator.hpp ql/array.hpp

ql/currency.hpp ql/Math/matrix.hpp

ql/dataformatters.hpp list vector

ql/grid.hpp

grid.cpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.116 ql/grid.hpp File Reference 803

12.116 ql/grid.hpp File Reference

12.116.1 Detailed Description

Grid classes with useful constructors for trees and finite diffs.
#include <ql/dataformatters.hpp>
#include <list>
#include <vector>
Include dependency graph for grid.hpp:

ql/qldefines.hpp

utility ql/types.hpp ql/errors.hpp functional

ql/date.hpp ql/Utilities/steppingiterator.hpp ql/array.hpp

ql/currency.hpp ql/Math/matrix.hpp

ql/dataformatters.hpp list vector

grid.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

804 QuantLib File Documentation

12.117 ql/handle.hpp File Reference

12.117.1 Detailed Description

Reference-counted pointer.
#include <ql/errors.hpp>
#include <typeinfo>
Include dependency graph for handle.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp exception string

ql/errors.hpp typeinfo

handle.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.118 ql/history.hpp File Reference 805

12.118 ql/history.hpp File Reference

12.118.1 Detailed Description

history class
#include <ql/null.hpp>
#include <ql/Utilities/filteringiterator.hpp>
#include <ql/dataformatters.hpp>
#include <vector>
Include dependency graph for history.hpp:

cmath limits ctime cctype algorithm ql/config.bcc.hpp iterator

ql/qldefines.hpp ql/Utilities/steppingiterator.hpp

utility ql/errors.hpp ql/types.hpp functional

ql/currency.hpp ql/date.hpp ql/array.hpp

ql/null.hpp ql/Math/matrix.hpp ql/Utilities/filteringiterator.hpp

ql/dataformatters.hpp vector

history.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

806 QuantLib File Documentation

12.119 ql/index.hpp File Reference

12.119.1 Detailed Description

purely virtual base class for indexes

#include <ql/calendar.hpp>
#include <ql/currency.hpp>
#include <ql/daycounter.hpp>
#include <ql/Patterns/observable.hpp>
Include dependency graph for index.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

string exception ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

list ql/handle.hpp ql/date.hpp

ql/Patterns/observable.hpp ql/Patterns/bridge.hpp ql/currency.hpp

ql/daycounter.hpp ql/calendar.hpp

index.hpp

Namespaces
• namespace QuantLib::Indexes
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.120 ql/Indexes/audlibor.hpp File Reference 807

12.120 ql/Indexes/audlibor.hpp File Reference

12.120.1 Detailed Description

AUD Libor index (check settlement days)

#include <ql/Indexes/xibor.hpp>
#include <ql/Calendars/sydney.hpp>
#include <ql/DayCounters/actual365.hpp>
Include dependency graph for audlibor.hpp:

ql/calendar.hpp ql/daycounter.hpp

ql/index.hpp ql/termstructure.hpp

ql/Calendars/sydney.hpp ql/Indexes/xibor.hpp ql/DayCounters/actual365.hpp

audlibor.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Indexes

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

808 QuantLib File Documentation

12.121 ql/Indexes/cadlibor.hpp File Reference

12.121.1 Detailed Description

CAD Libor index (Also known as CDOR)

#include <ql/Indexes/xibor.hpp>
#include <ql/Calendars/toronto.hpp>
#include <ql/DayCounters/actual365.hpp>
Include dependency graph for cadlibor.hpp:

ql/calendar.hpp ql/daycounter.hpp

ql/index.hpp ql/termstructure.hpp

ql/Calendars/toronto.hpp ql/Indexes/xibor.hpp ql/DayCounters/actual365.hpp

cadlibor.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Indexes

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.122 ql/Indexes/chflibor.hpp File Reference 809

12.122 ql/Indexes/chflibor.hpp File Reference

12.122.1 Detailed Description

CHF Libor index (Also known as ZIBOR)

#include <ql/Indexes/xibor.hpp>
#include <ql/Calendars/zurich.hpp>
#include <ql/DayCounters/actual360.hpp>
Include dependency graph for chflibor.hpp:

ql/calendar.hpp ql/daycounter.hpp

ql/index.hpp ql/termstructure.hpp

ql/Calendars/zurich.hpp ql/Indexes/xibor.hpp ql/DayCounters/actual360.hpp

chflibor.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Indexes

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

810 QuantLib File Documentation

12.123 ql/Indexes/euribor.hpp File Reference

12.123.1 Detailed Description

Euribor index
#include <ql/Indexes/xibor.hpp>
#include <ql/Calendars/target.hpp>
#include <ql/DayCounters/actual360.hpp>
Include dependency graph for euribor.hpp:

ql/calendar.hpp ql/daycounter.hpp

ql/index.hpp ql/termstructure.hpp

ql/Calendars/target.hpp ql/Indexes/xibor.hpp ql/DayCounters/actual360.hpp

euribor.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Indexes

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.124 ql/Indexes/gbplibor.hpp File Reference 811

12.124 ql/Indexes/gbplibor.hpp File Reference

12.124.1 Detailed Description

GBP Libor index

#include <ql/Indexes/xibor.hpp>
#include <ql/Calendars/london.hpp>
#include <ql/DayCounters/actual365.hpp>
Include dependency graph for gbplibor.hpp:

ql/calendar.hpp ql/daycounter.hpp

ql/index.hpp ql/termstructure.hpp

ql/Calendars/london.hpp ql/Indexes/xibor.hpp ql/DayCounters/actual365.hpp

gbplibor.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Indexes

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

812 QuantLib File Documentation

12.125 ql/Indexes/jpylibor.hpp File Reference

12.125.1 Detailed Description

JPY Libor index (Also known as TIBOR, check settlement days)

#include <ql/Indexes/xibor.hpp>
#include <ql/Calendars/tokyo.hpp>
#include <ql/DayCounters/actual360.hpp>
Include dependency graph for jpylibor.hpp:

ql/calendar.hpp ql/daycounter.hpp

ql/index.hpp ql/termstructure.hpp

ql/Calendars/tokyo.hpp ql/Indexes/xibor.hpp ql/DayCounters/actual360.hpp

jpylibor.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Indexes

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.126 ql/Indexes/usdlibor.hpp File Reference 813

12.126 ql/Indexes/usdlibor.hpp File Reference

12.126.1 Detailed Description

USD Libor index

#include <ql/Indexes/xibor.hpp>
#include <ql/Calendars/newyork.hpp>
#include <ql/DayCounters/actual360.hpp>
Include dependency graph for usdlibor.hpp:

ql/calendar.hpp ql/daycounter.hpp

ql/index.hpp ql/termstructure.hpp

ql/Calendars/newyork.hpp ql/Indexes/xibor.hpp ql/DayCounters/actual360.hpp

usdlibor.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Indexes

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

814 QuantLib File Documentation

12.127 ql/Indexes/xibor.cpp File Reference

12.127.1 Detailed Description

purely virtual base class for libor indexes

#include <ql/Indexes/xibor.hpp>
#include <ql/Indexes/xibormanager.hpp>
Include dependency graph for xibor.cpp:

ql/index.hpp ql/termstructure.hpp ql/history.hpp map

ql/Indexes/xibor.hpp ql/Indexes/xibormanager.hpp

xibor.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Indexes

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.128 ql/Indexes/xibor.hpp File Reference 815

12.128 ql/Indexes/xibor.hpp File Reference

12.128.1 Detailed Description

base class for libor indexes

#include <ql/index.hpp>
#include <ql/termstructure.hpp>
Include dependency graph for xibor.hpp:

ql/index.hpp ql/termstructure.hpp

xibor.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Indexes

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

816 QuantLib File Documentation

12.129 ql/Indexes/xibormanager.cpp File Reference

12.129.1 Detailed Description

global repository for Xibor histories

#include <ql/Indexes/xibormanager.hpp>
Include dependency graph for xibormanager.cpp:

ql/history.hpp ql/termstructure.hpp map

ql/Indexes/xibormanager.hpp

xibormanager.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Indexes

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.130 ql/Indexes/xibormanager.hpp File Reference 817

12.130 ql/Indexes/xibormanager.hpp File Reference

12.130.1 Detailed Description

global repository for Xibor histories

#include <ql/history.hpp>
#include <ql/termstructure.hpp>
#include <map>
Include dependency graph for xibormanager.hpp:

ql/history.hpp ql/termstructure.hpp map

xibormanager.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Indexes

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

818 QuantLib File Documentation

12.131 ql/Indexes/zarlibor.hpp File Reference

12.131.1 Detailed Description

ZAR Libor index (also known as JIBAR)

#include <ql/Indexes/xibor.hpp>
#include <ql/Calendars/johannesburg.hpp>
#include <ql/DayCounters/actual365.hpp>
Include dependency graph for zarlibor.hpp:

ql/calendar.hpp ql/daycounter.hpp

ql/index.hpp ql/termstructure.hpp

ql/Calendars/johannesburg.hpp ql/Indexes/xibor.hpp ql/DayCounters/actual365.hpp

zarlibor.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Indexes

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.132 ql/instrument.hpp File Reference 819

12.132 ql/instrument.hpp File Reference

12.132.1 Detailed Description

Abstract instrument class.

#include <ql/Patterns/lazyobject.hpp>
#include <ql/pricingengine.hpp>
Include dependency graph for instrument.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp typeinfo ql/null.hpp

ql/handle.hpp list ql/argsandresults.hpp

ql/Patterns/observable.hpp

ql/Patterns/lazyobject.hpp ql/pricingengine.hpp

instrument.hpp

Namespaces
• namespace QuantLib::Instruments
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

820 QuantLib File Documentation

12.133 ql/Instruments/barrieroption.cpp File Reference

12.133.1 Detailed Description

Barrier option on a single asset.

#include <ql/Volatilities/blackconstantvol.hpp>
#include <ql/Instruments/barrieroption.hpp>
Include dependency graph for barrieroption.cpp:

ql/DayCounters/actual365.hpp ql/dataformatters.hpp ql/voltermstructure.hpp

ql/Volatilities/blackconstantvol.hpp ql/Instruments/vanillaoption.hpp

ql/Instruments/barrieroption.hpp

barrieroption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.134 ql/Instruments/barrieroption.hpp File Reference 821

12.134 ql/Instruments/barrieroption.hpp File Reference

12.134.1 Detailed Description

Barrier option on a single asset.

#include <ql/Instruments/vanillaoption.hpp>
Include dependency graph for barrieroption.hpp:

ql/termstructure.hpp ql/voltermstructure.hpp ql/exercise.hpp ql/payoff.hpp

ql/Instruments/vanillaoption.hpp

barrieroption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

822 QuantLib File Documentation

12.135 ql/Instruments/binaryoption.cpp File Reference

12.135.1 Detailed Description

Binary option on a single asset.

#include <ql/Volatilities/blackconstantvol.hpp>
#include <ql/Instruments/binaryoption.hpp>
Include dependency graph for binaryoption.cpp:

ql/DayCounters/actual365.hpp ql/dataformatters.hpp ql/voltermstructure.hpp

ql/Volatilities/blackconstantvol.hpp ql/Instruments/vanillaoption.hpp

ql/Instruments/binaryoption.hpp

binaryoption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.136 ql/Instruments/binaryoption.hpp File Reference 823

12.136 ql/Instruments/binaryoption.hpp File Reference

12.136.1 Detailed Description

Binary option on a single asset.

#include <ql/Instruments/vanillaoption.hpp>
Include dependency graph for binaryoption.hpp:

ql/termstructure.hpp ql/voltermstructure.hpp ql/exercise.hpp ql/payoff.hpp

ql/Instruments/vanillaoption.hpp

binaryoption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

824 QuantLib File Documentation

12.137 ql/Instruments/capfloor.cpp File Reference

12.137.1 Detailed Description

European cap and floor class.

#include <ql/CashFlows/floatingratecoupon.hpp>
#include <ql/Pricers/blackcapfloor.hpp>
#include <ql/Solvers1D/brent.hpp>
Include dependency graph for capfloor.cpp:

ql/CashFlows/coupon.hpp ql/blackmodel.hpp ql/Pricers/capfloorpricer.hpp ql/solver1d.hpp

ql/CashFlows/floatingratecoupon.hpp ql/Pricers/blackcapfloor.hpp ql/Solvers1D/brent.hpp

capfloor.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.138 ql/Instruments/capfloor.hpp File Reference 825

12.138 ql/Instruments/capfloor.hpp File Reference

12.138.1 Detailed Description

Cap and Floor class.

#include <ql/numericalmethod.hpp>
#include <ql/instrument.hpp>
#include <ql/cashflow.hpp>
#include <ql/termstructure.hpp>
Include dependency graph for capfloor.hpp:

ql/numericalmethod.hpp ql/instrument.hpp ql/cashflow.hpp ql/termstructure.hpp

capfloor.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

826 QuantLib File Documentation

12.139 ql/Instruments/forwardvanillaoption.cpp File Reference

12.139.1 Detailed Description

Forward version of a vanilla option.

#include <ql/Instruments/forwardvanillaoption.hpp>
Include dependency graph for forwardvanillaoption.cpp:

ql/termstructure.hpp ql/voltermstructure.hpp ql/exercise.hpp ql/payoff.hpp

ql/Instruments/vanillaoption.hpp

ql/Instruments/forwardvanillaoption.hpp

forwardvanillaoption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.140 ql/Instruments/forwardvanillaoption.hpp File Reference 827

12.140 ql/Instruments/forwardvanillaoption.hpp File Reference

12.140.1 Detailed Description

Forward version of a vanilla option.

#include <ql/Instruments/vanillaoption.hpp>
Include dependency graph for forwardvanillaoption.hpp:

ql/termstructure.hpp ql/voltermstructure.hpp ql/exercise.hpp ql/payoff.hpp

ql/Instruments/vanillaoption.hpp

forwardvanillaoption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

828 QuantLib File Documentation

12.141 ql/Instruments/quantoforwardvanillaoption.cpp File

Reference

12.141.1 Detailed Description

Quanto version of a forward vanilla option.

#include <ql/Instruments/quantoforwardvanillaoption.hpp>
Include dependency graph for quantoforwardvanillaoption.cpp:

ql/termstructure.hpp ql/voltermstructure.hpp ql/exercise.hpp ql/payoff.hpp

ql/Instruments/vanillaoption.hpp

ql/Instruments/quantovanillaoption.hpp ql/Instruments/forwardvanillaoption.hpp

ql/Instruments/quantoforwardvanillaoption.hpp

quantoforwardvanillaoption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.142 ql/Instruments/quantoforwardvanillaoption.hpp File Reference 829

12.142 ql/Instruments/quantoforwardvanillaoption.hpp File

Reference

12.142.1 Detailed Description

Quanto version of a forward vanilla option.

#include <ql/Instruments/quantovanillaoption.hpp>
#include <ql/Instruments/forwardvanillaoption.hpp>
Include dependency graph for quantoforwardvanillaoption.hpp:

ql/termstructure.hpp ql/voltermstructure.hpp ql/exercise.hpp ql/payoff.hpp

ql/Instruments/vanillaoption.hpp

ql/Instruments/quantovanillaoption.hpp ql/Instruments/forwardvanillaoption.hpp

quantoforwardvanillaoption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

830 QuantLib File Documentation

12.143 ql/Instruments/quantovanillaoption.cpp File Reference

12.143.1 Detailed Description

Quanto version of a vanilla option.

#include <ql/Instruments/quantovanillaoption.hpp>
Include dependency graph for quantovanillaoption.cpp:

ql/termstructure.hpp ql/voltermstructure.hpp ql/exercise.hpp ql/payoff.hpp

ql/Instruments/vanillaoption.hpp

ql/Instruments/quantovanillaoption.hpp

quantovanillaoption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.144 ql/Instruments/quantovanillaoption.hpp File Reference 831

12.144 ql/Instruments/quantovanillaoption.hpp File Reference

12.144.1 Detailed Description

Quanto version of a vanilla option.

#include <ql/Instruments/vanillaoption.hpp>
Include dependency graph for quantovanillaoption.hpp:

ql/termstructure.hpp ql/voltermstructure.hpp ql/exercise.hpp ql/payoff.hpp

ql/Instruments/vanillaoption.hpp

quantovanillaoption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

832 QuantLib File Documentation

12.145 ql/Instruments/simpleswap.cpp File Reference

12.145.1 Detailed Description

Simple fixed-rate vs Libor swap.

#include <ql/Instruments/simpleswap.hpp>
#include <ql/CashFlows/cashflowvectors.hpp>
#include <ql/CashFlows/fixedratecoupon.hpp>
#include <ql/CashFlows/floatingratecoupon.hpp>
Include dependency graph for simpleswap.cpp:

ql/Instruments/simpleswap.hpp

ql/CashFlows/cashflowvectors.hpp
simpleswap.cpp
ql/CashFlows/fixedratecoupon.hpp

ql/CashFlows/floatingratecoupon.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.146 ql/Instruments/simpleswap.hpp File Reference 833

12.146 ql/Instruments/simpleswap.hpp File Reference

12.146.1 Detailed Description

Simple fixed-rate vs Libor swap.

#include <ql/Instruments/swap.hpp>
#include <ql/Indexes/xibor.hpp>
#include <ql/scheduler.hpp>
Include dependency graph for simpleswap.hpp:

ql/Instruments/swap.hpp ql/Indexes/xibor.hpp ql/scheduler.hpp

simpleswap.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

834 QuantLib File Documentation

12.147 ql/Instruments/stock.cpp File Reference

12.147.1 Detailed Description

concrete stock class

#include <ql/Instruments/stock.hpp>
Include dependency graph for stock.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp typeinfo ql/null.hpp

ql/handle.hpp list ql/argsandresults.hpp

ql/Patterns/observable.hpp ql/pricingengine.hpp

ql/relinkablehandle.hpp ql/Patterns/lazyobject.hpp

ql/marketelement.hpp ql/instrument.hpp

ql/Instruments/stock.hpp

stock.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.148 ql/Instruments/stock.hpp File Reference 835

12.148 ql/Instruments/stock.hpp File Reference

12.148.1 Detailed Description

concrete stock class

#include <ql/instrument.hpp>
#include <ql/marketelement.hpp>
Include dependency graph for stock.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp typeinfo ql/null.hpp

ql/handle.hpp list ql/argsandresults.hpp

ql/Patterns/observable.hpp ql/pricingengine.hpp

ql/relinkablehandle.hpp ql/Patterns/lazyobject.hpp

ql/marketelement.hpp ql/instrument.hpp

stock.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

836 QuantLib File Documentation

12.149 ql/Instruments/swap.cpp File Reference

12.149.1 Detailed Description

Interest rate swap.

#include <ql/Instruments/swap.hpp>
#include <ql/CashFlows/basispointsensitivity.hpp>
Include dependency graph for swap.cpp:

ql/Instruments/swap.hpp ql/CashFlows/basispointsensitivity.hpp

swap.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.150 ql/Instruments/swap.hpp File Reference 837

12.150 ql/Instruments/swap.hpp File Reference

12.150.1 Detailed Description

Interest rate swap.

#include <ql/instrument.hpp>
#include <ql/termstructure.hpp>
#include <ql/cashflow.hpp>
#include <ql/CashFlows/timebasket.hpp>
Include dependency graph for swap.hpp:

ql/instrument.hpp ql/termstructure.hpp ql/cashflow.hpp ql/CashFlows/timebasket.hpp

swap.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

838 QuantLib File Documentation

12.151 ql/Instruments/swaption.cpp File Reference

12.151.1 Detailed Description

Swaption.
#include <ql/Instruments/swaption.hpp>
#include <ql/CashFlows/fixedratecoupon.hpp>
#include <ql/CashFlows/parcoupon.hpp>
#include <ql/Solvers1D/brent.hpp>
Include dependency graph for swaption.cpp:

ql/Instruments/swaption.hpp

ql/CashFlows/fixedratecoupon.hpp
swaption.cpp
ql/CashFlows/parcoupon.hpp

ql/Solvers1D/brent.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.152 ql/Instruments/swaption.hpp File Reference 839

12.152 ql/Instruments/swaption.hpp File Reference

12.152.1 Detailed Description

Swaption class.
#include <ql/exercise.hpp>
#include <ql/numericalmethod.hpp>
#include <ql/Instruments/simpleswap.hpp>
Include dependency graph for swaption.hpp:

ql/exercise.hpp ql/numericalmethod.hpp ql/Instruments/simpleswap.hpp

swaption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

840 QuantLib File Documentation

12.153 ql/Instruments/vanillaoption.cpp File Reference

12.153.1 Detailed Description

Vanilla option on a single asset.

#include <ql/Volatilities/blackconstantvol.hpp>
#include <ql/Instruments/vanillaoption.hpp>
#include <ql/Solvers1D/brent.hpp>
Include dependency graph for vanillaoption.cpp:

ql/Volatilities/blackconstantvol.hpp ql/Instruments/vanillaoption.hpp ql/Solvers1D/brent.hpp

vanillaoption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.154 ql/Instruments/vanillaoption.hpp File Reference 841

12.154 ql/Instruments/vanillaoption.hpp File Reference

12.154.1 Detailed Description

Vanilla option on a single asset.

#include <ql/termstructure.hpp>
#include <ql/voltermstructure.hpp>
#include <ql/exercise.hpp>
#include <ql/payoff.hpp>
Include dependency graph for vanillaoption.hpp:

ql/termstructure.hpp ql/voltermstructure.hpp ql/exercise.hpp ql/payoff.hpp

vanillaoption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Instruments

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

842 QuantLib File Documentation

12.155 ql/Lattices/binomialtree.cpp File Reference

12.155.1 Detailed Description

Binomial tree class.

#include "ql/Lattices/binomialtree.hpp"
Include dependency graph for binomialtree.cpp:

ql/termstructure.hpp ql/voltermstructure.hpp ql/numericalmethod.hpp

ql/diffusionprocess.hpp ql/Lattices/tree.hpp

ql/Lattices/binomialtree.hpp

binomialtree.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Lattices

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.156 ql/Lattices/binomialtree.hpp File Reference 843

12.156 ql/Lattices/binomialtree.hpp File Reference

12.156.1 Detailed Description

Binomial tree class.

#include <ql/diffusionprocess.hpp>
#include <ql/Lattices/tree.hpp>
Include dependency graph for binomialtree.hpp:

ql/termstructure.hpp ql/voltermstructure.hpp ql/numericalmethod.hpp

ql/diffusionprocess.hpp ql/Lattices/tree.hpp

binomialtree.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Lattices

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

844 QuantLib File Documentation

12.157 ql/Lattices/bsmlattice.cpp File Reference

12.157.1 Detailed Description

Binomial trees under the BSM model.

#include "ql/Lattices/bsmlattice.hpp"
Include dependency graph for bsmlattice.cpp:

ql/errors.hpp typeinfo

ql/date.hpp ql/currency.hpp ql/Math/matrix.hpp ql/handle.hpp

ql/dataformatters.hpp list vector

ql/grid.hpp

ql/numericalmethod.hpp

ql/Lattices/tree.hpp ql/Lattices/lattice.hpp

ql/Lattices/bsmlattice.hpp

bsmlattice.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Lattices

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.158 ql/Lattices/bsmlattice.hpp File Reference 845

12.158 ql/Lattices/bsmlattice.hpp File Reference

12.158.1 Detailed Description

Binomial trees under the BSM model.

#include <ql/Lattices/tree.hpp>
#include <ql/Lattices/lattice.hpp>
Include dependency graph for bsmlattice.hpp:

ql/qldefines.hpp

utility functional ql/types.hpp ql/errors.hpp typeinfo

ql/date.hpp ql/Utilities/steppingiterator.hpp ql/array.hpp ql/handle.hpp

ql/Math/matrix.hpp ql/currency.hpp

ql/dataformatters.hpp list vector

ql/grid.hpp

ql/numericalmethod.hpp

ql/Lattices/tree.hpp ql/Lattices/lattice.hpp

bsmlattice.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Lattices

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

846 QuantLib File Documentation

12.159 ql/Lattices/lattice.cpp File Reference

12.159.1 Detailed Description

Lattice class.
#include <ql/Lattices/lattice.hpp>
#include <ql/discretizedasset.hpp>
Include dependency graph for lattice.cpp:

typeinfo ql/errors.hpp

ql/handle.hpp ql/date.hpp

list ql/dataformatters.hpp vector ql/instrument.hpp ql/Patterns/bridge.hpp

ql/grid.hpp ql/option.hpp ql/calendar.hpp

ql/numericalmethod.hpp ql/exercise.hpp

ql/Lattices/lattice.hpp ql/discretizedasset.hpp

lattice.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Lattices

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.160 ql/Lattices/lattice.hpp File Reference 847

12.160 ql/Lattices/lattice.hpp File Reference

12.160.1 Detailed Description

Lattice method class.

#include <ql/numericalmethod.hpp>
Include dependency graph for lattice.hpp:

ql/qldefines.hpp

utility functional ql/types.hpp ql/errors.hpp typeinfo

ql/date.hpp ql/Utilities/steppingiterator.hpp ql/array.hpp ql/handle.hpp

ql/Math/matrix.hpp ql/currency.hpp

ql/dataformatters.hpp list vector

ql/grid.hpp

ql/numericalmethod.hpp

lattice.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Lattices

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

848 QuantLib File Documentation

12.161 ql/Lattices/lattice2d.cpp File Reference

12.161.1 Detailed Description

Trinomial tree class.

#include "ql/Lattices/lattice2d.hpp"
Include dependency graph for lattice2d.cpp:

ql/grid.hpp ql/handle.hpp

ql/termstructure.hpp ql/voltermstructure.hpp ql/numericalmethod.hpp

ql/diffusionprocess.hpp ql/Lattices/tree.hpp

ql/Lattices/trinomialtree.hpp ql/Lattices/lattice.hpp ql/Math/matrix.hpp

ql/Lattices/lattice2d.hpp

lattice2d.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Lattices

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.162 ql/Lattices/lattice2d.hpp File Reference 849

12.162 ql/Lattices/lattice2d.hpp File Reference

12.162.1 Detailed Description

Two-dimensional tree class.

#include <ql/Lattices/lattice.hpp>
#include <ql/Lattices/trinomialtree.hpp>
#include <ql/Math/matrix.hpp>
Include dependency graph for lattice2d.hpp:

ql/grid.hpp ql/handle.hpp

ql/termstructure.hpp ql/voltermstructure.hpp ql/numericalmethod.hpp

ql/diffusionprocess.hpp ql/Lattices/tree.hpp

ql/Lattices/trinomialtree.hpp ql/Lattices/lattice.hpp ql/Math/matrix.hpp

lattice2d.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Lattices

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

850 QuantLib File Documentation

12.163 ql/Lattices/tree.hpp File Reference

12.163.1 Detailed Description

Tree class.
#include <ql/numericalmethod.hpp>
Include dependency graph for tree.hpp:

ql/qldefines.hpp

utility functional ql/types.hpp ql/errors.hpp typeinfo

ql/date.hpp ql/Utilities/steppingiterator.hpp ql/array.hpp ql/handle.hpp

ql/Math/matrix.hpp ql/currency.hpp

ql/dataformatters.hpp list vector

ql/grid.hpp

ql/numericalmethod.hpp

tree.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Lattices

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.164 ql/Lattices/trinomialtree.cpp File Reference 851

12.164 ql/Lattices/trinomialtree.cpp File Reference

12.164.1 Detailed Description

Trinomial tree class.

#include "ql/Lattices/trinomialtree.hpp"
Include dependency graph for trinomialtree.cpp:

ql/termstructure.hpp ql/voltermstructure.hpp ql/numericalmethod.hpp

ql/diffusionprocess.hpp ql/Lattices/tree.hpp

ql/Lattices/trinomialtree.hpp

trinomialtree.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Lattices

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

852 QuantLib File Documentation

12.165 ql/Lattices/trinomialtree.hpp File Reference

12.165.1 Detailed Description

Trinomial tree class.

#include <ql/diffusionprocess.hpp>
#include <ql/Lattices/tree.hpp>
Include dependency graph for trinomialtree.hpp:

ql/termstructure.hpp ql/voltermstructure.hpp ql/numericalmethod.hpp

ql/diffusionprocess.hpp ql/Lattices/tree.hpp

trinomialtree.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Lattices

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.166 ql/marketelement.hpp File Reference 853

12.166 ql/marketelement.hpp File Reference

12.166.1 Detailed Description

purely virtual base class for market observables

#include <ql/relinkablehandle.hpp>
Include dependency graph for marketelement.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp exception string

ql/errors.hpp typeinfo

ql/handle.hpp list

ql/Patterns/observable.hpp

ql/relinkablehandle.hpp

marketelement.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

854 QuantLib File Documentation

12.167 ql/Math/bicubicsplineinterpolation.hpp File Reference

12.167.1 Detailed Description

bicubic spline interpolation between discrete points

#include <ql/Math/interpolation2D.hpp>
#include <ql/Math/cubicspline.hpp>
Include dependency graph for bicubicsplineinterpolation.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

string exception ql/qldefines.hpp

ql/errors.hpp typeinfo ql/disposable.hpp functional numeric iostream ql/types.hpp

ql/handle.hpp ql/array.hpp

ql/Math/interpolation.hpp ql/FiniteDifferences/tridiagonaloperator.hpp vector

ql/Math/interpolation2D.hpp ql/Math/cubicspline.hpp

bicubicsplineinterpolation.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.168 ql/Math/bilinearinterpolation.hpp File Reference 855

12.168 ql/Math/bilinearinterpolation.hpp File Reference

12.168.1 Detailed Description

bilinear interpolation between discrete points

#include <ql/Math/interpolation2D.hpp>
Include dependency graph for bilinearinterpolation.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp exception string

ql/errors.hpp

ql/Math/interpolation2D.hpp

bilinearinterpolation.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

856 QuantLib File Documentation

12.169 ql/Math/chisquaredistribution.cpp File Reference

12.169.1 Detailed Description

normal, cumulative and inverse cumulative distributions

#include <ql/Math/chisquaredistribution.hpp>
#include <ql/Math/gammadistribution.hpp>
#include <ql/Math/normaldistribution.hpp>
Include dependency graph for chisquaredistribution.cpp:

ql/types.hpp ql/errors.hpp functional

ql/Math/gammadistribution.hpp ql/dataformatters.hpp ql/Math/errorfunction.hpp

ql/Math/chisquaredistribution.hpp ql/Math/normaldistribution.hpp

chisquaredistribution.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.170 ql/Math/chisquaredistribution.hpp File Reference 857

12.170 ql/Math/chisquaredistribution.hpp File Reference

12.170.1 Detailed Description

Chi-square (central and non-central) distributions.

#include <ql/dataformatters.hpp>
Include dependency graph for chisquaredistribution.hpp:

ql/qldefines.hpp

utility ql/types.hpp ql/errors.hpp functional

ql/date.hpp ql/Utilities/steppingiterator.hpp ql/array.hpp

ql/currency.hpp ql/Math/matrix.hpp

ql/dataformatters.hpp

chisquaredistribution.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

858 QuantLib File Documentation

12.171 ql/Math/cubicspline.hpp File Reference

12.171.1 Detailed Description

cubic spline interpolation between discrete points

#include <ql/Math/interpolation.hpp>
#include <ql/FiniteDifferences/tridiagonaloperator.hpp>
#include <vector>
Include dependency graph for cubicspline.hpp:

ql/errors.hpp

ql/array.hpp ql/handle.hpp

ql/Math/interpolation.hpp ql/FiniteDifferences/tridiagonaloperator.hpp vector

cubicspline.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.172 ql/Math/discrepancystatistics.cpp File Reference 859

12.172 ql/Math/discrepancystatistics.cpp File Reference

12.172.1 Detailed Description

Statistic tool for sequences with discrepancy calculation.

#include <ql/Math/discrepancystatistics.hpp>
Include dependency graph for discrepancystatistics.cpp:

ql/qldefines.hpp

ql/Math/matrix.hpp ql/currency.hpp ql/date.hpp

vector ql/null.hpp ql/dataformatters.hpp ql/Math/errorfunction.hpp

ql/Math/generalstatistics.hpp ql/Math/incrementalstatistics.hpp ql/Math/normaldistribution.hpp

ql/Math/gaussianstatistics.hpp

ql/Math/statistics.hpp

ql/Math/sequencestatistics.hpp

ql/Math/discrepancystatistics.hpp

discrepancystatistics.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

860 QuantLib File Documentation

12.173 ql/Math/discrepancystatistics.hpp File Reference

12.173.1 Detailed Description

Statistic tool for sequences with discrepancy calculation.

#include <ql/Math/sequencestatistics.hpp>
Include dependency graph for discrepancystatistics.hpp:

ql/qldefines.hpp

ql/Math/matrix.hpp ql/currency.hpp ql/date.hpp

vector ql/null.hpp ql/dataformatters.hpp ql/Math/errorfunction.hpp

ql/Math/generalstatistics.hpp ql/Math/incrementalstatistics.hpp ql/Math/normaldistribution.hpp

ql/Math/gaussianstatistics.hpp

ql/Math/statistics.hpp

ql/Math/sequencestatistics.hpp

discrepancystatistics.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.174 ql/Math/errorfunction.cpp File Reference 861

12.174 ql/Math/errorfunction.cpp File Reference

12.174.1 Detailed Description

Error function.
#include <ql/Math/errorfunction.hpp>
#include <float.h>
Include dependency graph for errorfunction.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp functional

ql/Math/errorfunction.hpp float.h

errorfunction.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

862 QuantLib File Documentation

12.175 ql/Math/errorfunction.hpp File Reference

12.175.1 Detailed Description

Error function.
#include <ql/qldefines.hpp>
#include <functional>
Include dependency graph for errorfunction.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp functional

errorfunction.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.176 ql/Math/functional.hpp File Reference 863

12.176 ql/Math/functional.hpp File Reference

12.176.1 Detailed Description

functionals and combinators not included in the STL

#include <ql/qldefines.hpp>
#include <functional>
Include dependency graph for functional.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp functional

functional.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

864 QuantLib File Documentation

12.177 ql/Math/gammadistribution.cpp File Reference

12.177.1 Detailed Description

Gamma function.
#include <ql/Math/gammadistribution.hpp>
Include dependency graph for gammadistribution.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp functional

ql/Math/gammadistribution.hpp

gammadistribution.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.178 ql/Math/gammadistribution.hpp File Reference 865

12.178 ql/Math/gammadistribution.hpp File Reference

12.178.1 Detailed Description

Gamma distribution.
#include <ql/errors.hpp>
#include <ql/types.hpp>
#include <functional>
Include dependency graph for gammadistribution.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp functional

gammadistribution.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

866 QuantLib File Documentation

12.179 ql/Math/gaussianstatistics.hpp File Reference

12.179.1 Detailed Description

statistics tool for gaussian-assumption risk measures

#include <ql/Math/normaldistribution.hpp>
Include dependency graph for gaussianstatistics.hpp:

ql/qldefines.hpp

functional ql/errors.hpp ql/types.hpp utility

ql/Math/errorfunction.hpp ql/array.hpp ql/Utilities/steppingiterator.hpp ql/date.hpp

ql/Math/matrix.hpp ql/currency.hpp

ql/dataformatters.hpp

ql/Math/normaldistribution.hpp

gaussianstatistics.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.180 ql/Math/generalstatistics.cpp File Reference 867

12.180 ql/Math/generalstatistics.cpp File Reference

12.180.1 Detailed Description

statistics tool
#include <ql/Math/generalstatistics.hpp>
#include <ql/Math/functional.hpp>
Include dependency graph for generalstatistics.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp ql/Utilities/steppingiterator.hpp

utility ql/errors.hpp ql/types.hpp functional

ql/date.hpp ql/array.hpp ql/Math/functional.hpp

ql/null.hpp ql/currency.hpp ql/Math/matrix.hpp

ql/dataformatters.hpp vector

ql/Math/generalstatistics.hpp

generalstatistics.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

868 QuantLib File Documentation

12.181 ql/Math/generalstatistics.hpp File Reference

12.181.1 Detailed Description

statistics tool
#include <ql/null.hpp>
#include <ql/dataformatters.hpp>
#include <vector>
Include dependency graph for generalstatistics.hpp:

ctime cctype algorithm ql/config.bcc.hpp cmath limits iterator

ql/qldefines.hpp ql/Utilities/steppingiterator.hpp

utility ql/types.hpp ql/errors.hpp functional

ql/date.hpp ql/array.hpp ql/currency.hpp

ql/null.hpp ql/Math/matrix.hpp

ql/dataformatters.hpp vector

generalstatistics.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.182 ql/Math/incrementalstatistics.cpp File Reference 869

12.182 ql/Math/incrementalstatistics.cpp File Reference

12.182.1 Detailed Description

statistics tool based on incremental accumulation

#include <ql/Math/incrementalstatistics.hpp>
Include dependency graph for incrementalstatistics.cpp:

ctime cctype algorithm ql/config.bcc.hpp cmath limits iterator

ql/qldefines.hpp ql/Utilities/steppingiterator.hpp

utility ql/types.hpp ql/errors.hpp functional

ql/date.hpp ql/array.hpp ql/currency.hpp

ql/null.hpp ql/Math/matrix.hpp

ql/dataformatters.hpp

ql/Math/incrementalstatistics.hpp

incrementalstatistics.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

870 QuantLib File Documentation

12.183 ql/Math/incrementalstatistics.hpp File Reference

12.183.1 Detailed Description

statistics tool based on incremental accumulation

#include <ql/null.hpp>
#include <ql/dataformatters.hpp>
Include dependency graph for incrementalstatistics.hpp:

ctime cctype algorithm ql/config.bcc.hpp cmath limits iterator

ql/qldefines.hpp ql/Utilities/steppingiterator.hpp

utility ql/types.hpp ql/errors.hpp functional

ql/date.hpp ql/array.hpp ql/currency.hpp

ql/null.hpp ql/Math/matrix.hpp

ql/dataformatters.hpp

incrementalstatistics.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.184 ql/Math/interpolation.hpp File Reference 871

12.184 ql/Math/interpolation.hpp File Reference

12.184.1 Detailed Description

abstract base classes for interpolations

#include <ql/errors.hpp>
Include dependency graph for interpolation.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp exception string

ql/errors.hpp

interpolation.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

872 QuantLib File Documentation

12.185 ql/Math/interpolation2D.hpp File Reference

12.185.1 Detailed Description

abstract base classes for 2-D interpolations

#include <ql/errors.hpp>
Include dependency graph for interpolation2D.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp exception string

ql/errors.hpp

interpolation2D.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.186 ql/Math/interpolationtraits.hpp File Reference 873

12.186 ql/Math/interpolationtraits.hpp File Reference

12.186.1 Detailed Description

traits classes for interpolation algorithms

#include <ql/Math/loglinearinterpolation.hpp>
#include <ql/Math/bilinearinterpolation.hpp>
#include <ql/Math/bicubicsplineinterpolation.hpp>
Include dependency graph for interpolationtraits.hpp:

ql/Math/loglinearinterpolation.hpp ql/Math/bilinearinterpolation.hpp ql/Math/bicubicsplineinterpolation.hpp

interpolationtraits.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

874 QuantLib File Documentation

12.187 ql/Math/kronrodintegral.hpp File Reference

12.187.1 Detailed Description

Integral of a 1-dimensional function using the Gauss-Kronrod method.

#include <ql/types.hpp>
#include <ql/errors.hpp>
Include dependency graph for kronrodintegral.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp

kronrodintegral.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.188 ql/Math/lexicographicalview.hpp File Reference 875

12.188 ql/Math/lexicographicalview.hpp File Reference

12.188.1 Detailed Description

Lexicographical 2-D view of a contiguous set of data.

#include <ql/Utilities/steppingiterator.hpp>
Include dependency graph for lexicographicalview.hpp:

iterator

ql/Utilities/steppingiterator.hpp

lexicographicalview.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

876 QuantLib File Documentation

12.189 ql/Math/linearinterpolation.hpp File Reference

12.189.1 Detailed Description

linear interpolation between discrete points

#include <ql/Math/interpolation.hpp>
Include dependency graph for linearinterpolation.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp exception string

ql/errors.hpp

ql/Math/interpolation.hpp

linearinterpolation.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.190 ql/Math/loglinearinterpolation.hpp File Reference 877

12.190 ql/Math/loglinearinterpolation.hpp File Reference

12.190.1 Detailed Description

log-linear interpolation between discrete points

#include <ql/types.hpp>
#include <ql/handle.hpp>
#include <ql/Math/linearinterpolation.hpp>
#include <vector>
Include dependency graph for loglinearinterpolation.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp

ql/handle.hpp ql/Math/interpolation.hpp ql/types.hpp

ql/Math/linearinterpolation.hpp vector

loglinearinterpolation.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

878 QuantLib File Documentation

12.191 ql/Math/matrix.cpp File Reference

12.191.1 Detailed Description

matrix used in linear algebra.

#include <ql/Math/symmetricschurdecomposition.hpp>
#include <ql/dataformatters.hpp>
Include dependency graph for matrix.cpp:

ql/qldefines.hpp

functional ql/types.hpp ql/errors.hpp utility

ql/array.hpp ql/Utilities/steppingiterator.hpp ql/date.hpp

ql/Math/matrix.hpp ql/currency.hpp

ql/Math/symmetricschurdecomposition.hpp ql/dataformatters.hpp

matrix.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.192 ql/Math/matrix.hpp File Reference 879

12.192 ql/Math/matrix.hpp File Reference

12.192.1 Detailed Description

matrix used in linear algebra.

#include <ql/array.hpp>
#include <ql/Utilities/steppingiterator.hpp>
Include dependency graph for matrix.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/array.hpp ql/Utilities/steppingiterator.hpp

matrix.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

880 QuantLib File Documentation

12.193 ql/Math/multivariateaccumulator.cpp File Reference

12.193.1 Detailed Description

A simple accumulator for vector-type samples.

#include <ql/Math/multivariateaccumulator.hpp>
Include dependency graph for multivariateaccumulator.cpp:

ctime cctype algorithm ql/config.bcc.hpp cmath limits iterator

ql/qldefines.hpp ql/Utilities/steppingiterator.hpp

utility ql/types.hpp ql/errors.hpp functional

ql/date.hpp ql/array.hpp ql/currency.hpp

ql/null.hpp ql/Math/matrix.hpp

ql/dataformatters.hpp vector

ql/Math/multivariateaccumulator.hpp

multivariateaccumulator.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.194 ql/Math/multivariateaccumulator.hpp File Reference 881

12.194 ql/Math/multivariateaccumulator.hpp File Reference

12.194.1 Detailed Description

A simple accumulator for vector-type samples.

#include <ql/null.hpp>
#include <ql/dataformatters.hpp>
#include <vector>
Include dependency graph for multivariateaccumulator.hpp:

ctime cctype algorithm ql/config.bcc.hpp cmath limits iterator

ql/qldefines.hpp ql/Utilities/steppingiterator.hpp

utility ql/types.hpp ql/errors.hpp functional

ql/date.hpp ql/array.hpp ql/currency.hpp

ql/null.hpp ql/Math/matrix.hpp

ql/dataformatters.hpp vector

multivariateaccumulator.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

882 QuantLib File Documentation

12.195 ql/Math/normaldistribution.cpp File Reference

12.195.1 Detailed Description

normal, cumulative and inverse cumulative distributions

#include <ql/Math/normaldistribution.hpp>
Include dependency graph for normaldistribution.cpp:

ql/qldefines.hpp

functional ql/errors.hpp ql/types.hpp utility

ql/Math/errorfunction.hpp ql/array.hpp ql/Utilities/steppingiterator.hpp ql/date.hpp

ql/Math/matrix.hpp ql/currency.hpp

ql/dataformatters.hpp

ql/Math/normaldistribution.hpp

normaldistribution.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.196 ql/Math/normaldistribution.hpp File Reference 883

12.196 ql/Math/normaldistribution.hpp File Reference

12.196.1 Detailed Description

normal, cumulative and inverse cumulative distributions

#include <ql/dataformatters.hpp>
#include <ql/Math/errorfunction.hpp>
Include dependency graph for normaldistribution.hpp:

ql/qldefines.hpp

functional ql/errors.hpp ql/types.hpp utility

ql/Math/errorfunction.hpp ql/array.hpp ql/Utilities/steppingiterator.hpp ql/date.hpp

ql/Math/matrix.hpp ql/currency.hpp

ql/dataformatters.hpp

normaldistribution.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

884 QuantLib File Documentation

12.197 ql/Math/primenumbers.cpp File Reference

12.197.1 Detailed Description

Prime numbers calculator.

#include "ql/Math/primenumbers.hpp"
Include dependency graph for primenumbers.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

ql/types.hpp vector

ql/Math/primenumbers.hpp

primenumbers.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.198 ql/Math/primenumbers.hpp File Reference 885

12.198 ql/Math/primenumbers.hpp File Reference

12.198.1 Detailed Description

Prime numbers calculator.

#include <ql/types.hpp>
#include <vector>
Include dependency graph for primenumbers.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

ql/types.hpp vector

primenumbers.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

886 QuantLib File Documentation

12.199 ql/Math/riskmeasures.hpp File Reference

12.199.1 Detailed Description

Risk functions.
#include <ql/null.hpp>
#include <ql/Math/normaldistribution.hpp>
Include dependency graph for riskmeasures.hpp:

ql/qldefines.hpp

ql/Math/errorfunction.hpp ql/dataformatters.hpp

ql/null.hpp ql/Math/normaldistribution.hpp

riskmeasures.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.200 ql/Math/segmentintegral.hpp File Reference 887

12.200 ql/Math/segmentintegral.hpp File Reference

12.200.1 Detailed Description

Integral of a one-dimensional function.

#include <ql/types.hpp>
#include <ql/errors.hpp>
Include dependency graph for segmentintegral.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp

segmentintegral.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

888 QuantLib File Documentation

12.201 ql/Math/sequencestatistics.hpp File Reference

12.201.1 Detailed Description

Statistics tools for sequence (vector, list, array) samples.

#include <ql/Math/statistics.hpp>
Include dependency graph for sequencestatistics.hpp:

ql/qldefines.hpp

ql/Math/matrix.hpp ql/currency.hpp ql/date.hpp

vector ql/null.hpp ql/dataformatters.hpp ql/Math/errorfunction.hpp

ql/Math/generalstatistics.hpp ql/Math/incrementalstatistics.hpp ql/Math/normaldistribution.hpp

ql/Math/gaussianstatistics.hpp

ql/Math/statistics.hpp

sequencestatistics.hpp

Namespaces

• namespace QuantLib
• namespace QuantLib::Math

Defines

• #define DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID(METHOD)
• #define DEFINE_SEQUENCE_STAT_CONST_METHOD_DOUBLE(METHOD)

12.201.2 Define Documentation

12.201.2.1 #define DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID(METHOD)

Value:

template <class Stat> \

std::vector<double> \
SequenceStatistics<Stat>::METHOD() const { \
for (Size i=0; i<dimension_; i++) \
results_[i] = stats_[i].METHOD(); \
return results_; \
}

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.201 ql/Math/sequencestatistics.hpp File Reference 889

12.201.2.2 #define DEFINE_SEQUENCE_STAT_CONST_METHOD_DOUBLE(METHOD)

Value:

template <class Stat> \

std::vector<double> \
SequenceStatistics<Stat>::METHOD(double x) const { \
for (Size i=0; i<dimension_; i++) \
results_[i] = stats_[i].METHOD(x); \
return results_; \
}

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

890 QuantLib File Documentation

12.202 ql/Math/statistics.hpp File Reference

12.202.1 Detailed Description

statistics tool with risk measures

#include <ql/Math/generalstatistics.hpp>
#include <ql/Math/incrementalstatistics.hpp>
#include <ql/Math/gaussianstatistics.hpp>
#include <ql/Math/riskstatistics.hpp>
Include dependency graph for statistics.hpp:

ctime cctype algorithm ql/config.bcc.hpp cmath limits iterator

ql/qldefines.hpp ql/Utilities/steppingiterator.hpp

utility ql/errors.hpp ql/types.hpp functional

ql/date.hpp ql/array.hpp ql/Math/errorfunction.hpp

ql/Math/matrix.hpp ql/currency.hpp

vector ql/null.hpp ql/dataformatters.hpp

ql/Math/generalstatistics.hpp ql/Math/incrementalstatistics.hpp ql/Math/normaldistribution.hpp

ql/Math/gaussianstatistics.hpp

statistics.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.203 ql/Math/svd.cpp File Reference 891

12.203 ql/Math/svd.cpp File Reference

12.203.1 Detailed Description

Calculates Singular Value Decomposition.

in MATLAB notation A = U∗S∗V’
#include <ql/Math/svd.hpp>
Include dependency graph for svd.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/array.hpp ql/Utilities/steppingiterator.hpp

ql/Math/matrix.hpp

ql/Math/svd.hpp

svd.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

892 QuantLib File Documentation

12.204 ql/Math/svd.hpp File Reference

12.204.1 Detailed Description

Calculates Singular Value Decomposition.

in MATLAB notation A = U∗S∗V’
#include <ql/Math/matrix.hpp>
Include dependency graph for svd.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/array.hpp ql/Utilities/steppingiterator.hpp

ql/Math/matrix.hpp

svd.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.205 ql/Math/symmetriceigenvalues.hpp File Reference 893

12.205 ql/Math/symmetriceigenvalues.hpp File Reference

12.205.1 Detailed Description

Eigenvalues / eigenvectors of a real symmetric matrix.

#include <ql/Math/symmetricschurdecomposition.hpp>
Include dependency graph for symmetriceigenvalues.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/array.hpp ql/Utilities/steppingiterator.hpp

ql/Math/matrix.hpp

ql/Math/symmetricschurdecomposition.hpp

symmetriceigenvalues.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

894 QuantLib File Documentation

12.206 ql/Math/symmetricschurdecomposition.cpp File Refer-

ence

12.206.1 Detailed Description

Eigenvalues / eigenvectors of a real symmetric matrix.

#include <ql/Math/symmetricschurdecomposition.hpp>
#include <vector>
Include dependency graph for symmetricschurdecomposition.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/array.hpp ql/Utilities/steppingiterator.hpp

ql/Math/matrix.hpp

ql/Math/symmetricschurdecomposition.hpp vector

symmetricschurdecomposition.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.207 ql/Math/symmetricschurdecomposition.hpp File Reference 895

12.207 ql/Math/symmetricschurdecomposition.hpp File Refer-

ence

12.207.1 Detailed Description

Eigenvalues / eigenvectors of a real symmetric matrix.

#include <ql/Math/matrix.hpp>
Include dependency graph for symmetricschurdecomposition.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/array.hpp ql/Utilities/steppingiterator.hpp

ql/Math/matrix.hpp

symmetricschurdecomposition.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

896 QuantLib File Documentation

12.208 ql/Math/trapezoidintegral.hpp File Reference

12.208.1 Detailed Description

integral of a one-dimensional function

#include <ql/null.hpp>
#include <algorithm>
Include dependency graph for trapezoidintegral.hpp:

ql/config.bcc.hpp cmath limits ctime cctype iterator algorithm

ql/qldefines.hpp

ql/null.hpp

trapezoidintegral.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Math

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.209 ql/MonteCarlo/arithmeticapopathpricer.cpp File Reference 897

12.209 ql/MonteCarlo/arithmeticapopathpricer.cpp File Refer-

ence

12.209.1 Detailed Description

arithmetic average price option path pricer

#include <ql/MonteCarlo/arithmeticapopathpricer.hpp>
#include <ql/Pricers/singleassetoption.hpp>
Include dependency graph for arithmeticapopathpricer.cpp:

ql/MonteCarlo/pathpricer.hpp ql/MonteCarlo/path.hpp ql/payoff.hpp ql/exercise.hpp

ql/MonteCarlo/arithmeticapopathpricer.hpp ql/Pricers/singleassetoption.hpp

arithmeticapopathpricer.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

898 QuantLib File Documentation

12.210 ql/MonteCarlo/arithmeticapopathpricer.hpp File Refer-

ence

12.210.1 Detailed Description

arithmetic average price option path pricer

#include <ql/MonteCarlo/pathpricer.hpp>
#include <ql/MonteCarlo/path.hpp>
#include <ql/payoff.hpp>
Include dependency graph for arithmeticapopathpricer.hpp:

ql/types.hpp ql/termstructure.hpp ql/option.hpp functional ql/grid.hpp ql/handle.hpp

ql/MonteCarlo/pathpricer.hpp ql/payoff.hpp ql/MonteCarlo/path.hpp

arithmeticapopathpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.211 ql/MonteCarlo/arithmeticasopathpricer.cpp File Reference 899

12.211 ql/MonteCarlo/arithmeticasopathpricer.cpp File Refer-

ence

12.211.1 Detailed Description

arithmetic average strike option path pricer

#include <ql/MonteCarlo/arithmeticasopathpricer.hpp>
#include <ql/Pricers/singleassetoption.hpp>
Include dependency graph for arithmeticasopathpricer.cpp:

ql/MonteCarlo/pathpricer.hpp ql/MonteCarlo/path.hpp ql/exercise.hpp ql/payoff.hpp

ql/MonteCarlo/arithmeticasopathpricer.hpp ql/Pricers/singleassetoption.hpp

arithmeticasopathpricer.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

900 QuantLib File Documentation

12.212 ql/MonteCarlo/arithmeticasopathpricer.hpp File Refer-

ence

12.212.1 Detailed Description

arithmetic average strike option path pricer

#include <ql/MonteCarlo/pathpricer.hpp>
#include <ql/MonteCarlo/path.hpp>
Include dependency graph for arithmeticasopathpricer.hpp:

ql/option.hpp ql/types.hpp ql/termstructure.hpp functional ql/grid.hpp ql/handle.hpp

ql/MonteCarlo/pathpricer.hpp ql/MonteCarlo/path.hpp

arithmeticasopathpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.213 ql/MonteCarlo/barrierpathpricer.cpp File Reference 901

12.213 ql/MonteCarlo/barrierpathpricer.cpp File Reference

12.213.1 Detailed Description

path pricer for Barrier options

#include <ql/MonteCarlo/barrierpathpricer.hpp>
Include dependency graph for barrierpathpricer.cpp:

ql/MonteCarlo/barrierpathpricer.hpp

barrierpathpricer.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

902 QuantLib File Documentation

12.214 ql/MonteCarlo/barrierpathpricer.hpp File Reference

12.214.1 Detailed Description

path pricer for Barrier options

#include <ql/Instruments/barrieroption.hpp>
#include <ql/MonteCarlo/pathpricer.hpp>
#include <ql/MonteCarlo/path.hpp>
#include <ql/RandomNumbers/rngtypedefs.hpp>
#include <ql/diffusionprocess.hpp>
#include <ql/payoff.hpp>
Include dependency graph for barrierpathpricer.hpp:

ql/Instruments/barrieroption.hpp

ql/MonteCarlo/pathpricer.hpp

ql/MonteCarlo/path.hpp
barrierpathpricer.hpp
ql/RandomNumbers/rngtypedefs.hpp

ql/diffusionprocess.hpp

ql/payoff.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.215 ql/MonteCarlo/basketpathpricer.cpp File Reference 903

12.215 ql/MonteCarlo/basketpathpricer.cpp File Reference

12.215.1 Detailed Description

multipath pricer for European-type basket option

#include <ql/MonteCarlo/basketpathpricer.hpp>
#include <ql/Pricers/singleassetoption.hpp>
Include dependency graph for basketpathpricer.cpp:

vector ql/calendar.hpp

ql/MonteCarlo/path.hpp ql/types.hpp ql/termstructure.hpp functional ql/option.hpp

ql/MonteCarlo/multipath.hpp ql/MonteCarlo/pathpricer.hpp ql/payoff.hpp ql/exercise.hpp

ql/MonteCarlo/basketpathpricer.hpp ql/Pricers/singleassetoption.hpp

basketpathpricer.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

904 QuantLib File Documentation

12.216 ql/MonteCarlo/basketpathpricer.hpp File Reference

12.216.1 Detailed Description

multipath pricer for European-type basket option

#include <ql/MonteCarlo/pathpricer.hpp>
#include <ql/MonteCarlo/multipath.hpp>
#include <ql/payoff.hpp>
Include dependency graph for basketpathpricer.hpp:

ql/calendar.hpp ql/daycounter.hpp ql/marketelement.hpp vector ql/dataformatters.hpp

ql/instrument.hpp ql/termstructure.hpp ql/qldefines.hpp ql/handle.hpp ql/grid.hpp

functional ql/option.hpp ql/types.hpp ql/MonteCarlo/path.hpp

ql/payoff.hpp ql/MonteCarlo/pathpricer.hpp ql/MonteCarlo/multipath.hpp

basketpathpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.217 ql/MonteCarlo/binarypathpricer.cpp File Reference 905

12.217 ql/MonteCarlo/binarypathpricer.cpp File Reference

12.217.1 Detailed Description

path pricer for Binary options

#include <ql/MonteCarlo/binarypathpricer.hpp>
Include dependency graph for binarypathpricer.cpp:

ql/MonteCarlo/binarypathpricer.hpp

binarypathpricer.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

906 QuantLib File Documentation

12.218 ql/MonteCarlo/binarypathpricer.hpp File Reference

12.218.1 Detailed Description

path pricer for Binary options

#include <ql/Instruments/binaryoption.hpp>
#include <ql/MonteCarlo/pathpricer.hpp>
#include <ql/MonteCarlo/path.hpp>
#include <ql/RandomNumbers/rngtypedefs.hpp>
#include <ql/diffusionprocess.hpp>
#include <ql/payoff.hpp>
Include dependency graph for binarypathpricer.hpp:

ql/Instruments/binaryoption.hpp

ql/MonteCarlo/pathpricer.hpp

ql/MonteCarlo/path.hpp
binarypathpricer.hpp
ql/RandomNumbers/rngtypedefs.hpp

ql/diffusionprocess.hpp

ql/payoff.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.219 ql/MonteCarlo/brownianbridge.hpp File Reference 907

12.219 ql/MonteCarlo/brownianbridge.hpp File Reference

12.219.1 Detailed Description

Browian bridge.
#include <ql/MonteCarlo/path.hpp>
#include <ql/MonteCarlo/sample.hpp>
Include dependency graph for brownianbridge.hpp:

ql/qldefines.hpp

typeinfo ql/errors.hpp

ql/handle.hpp ql/date.hpp ql/currency.hpp ql/Math/matrix.hpp

ql/dataformatters.hpp list vector

ql/grid.hpp ql/MonteCarlo/sample.hpp

ql/MonteCarlo/path.hpp

brownianbridge.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

908 QuantLib File Documentation

12.220 ql/MonteCarlo/cliquetoptionpathpricer.cpp File Refer-

ence

12.220.1 Detailed Description

path pricer for cliquet options

#include <ql/MonteCarlo/cliquetoptionpathpricer.hpp>
#include <ql/Pricers/singleassetoption.hpp>
Include dependency graph for cliquetoptionpathpricer.cpp:

ql/MonteCarlo/pathpricer.hpp ql/MonteCarlo/path.hpp ql/exercise.hpp ql/payoff.hpp

ql/MonteCarlo/cliquetoptionpathpricer.hpp ql/Pricers/singleassetoption.hpp

cliquetoptionpathpricer.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.221 ql/MonteCarlo/cliquetoptionpathpricer.hpp File Reference 909

12.221 ql/MonteCarlo/cliquetoptionpathpricer.hpp File Refer-

ence

12.221.1 Detailed Description

path pricer for cliquet options

#include <ql/MonteCarlo/pathpricer.hpp>
#include <ql/MonteCarlo/path.hpp>
Include dependency graph for cliquetoptionpathpricer.hpp:

ql/option.hpp ql/types.hpp ql/termstructure.hpp functional ql/grid.hpp ql/handle.hpp

ql/MonteCarlo/pathpricer.hpp ql/MonteCarlo/path.hpp

cliquetoptionpathpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

910 QuantLib File Documentation

12.222 ql/MonteCarlo/europeanpathpricer.cpp File Reference

12.222.1 Detailed Description

path pricer for European options

#include <ql/MonteCarlo/europeanpathpricer.hpp>
#include <ql/Pricers/singleassetoption.hpp>
Include dependency graph for europeanpathpricer.cpp:

ql/MonteCarlo/pathpricer.hpp ql/MonteCarlo/path.hpp ql/payoff.hpp ql/exercise.hpp

ql/MonteCarlo/europeanpathpricer.hpp ql/Pricers/singleassetoption.hpp

europeanpathpricer.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.223 ql/MonteCarlo/europeanpathpricer.hpp File Reference 911

12.223 ql/MonteCarlo/europeanpathpricer.hpp File Reference

12.223.1 Detailed Description

path pricer for European options

#include <ql/MonteCarlo/pathpricer.hpp>
#include <ql/MonteCarlo/path.hpp>
#include <ql/payoff.hpp>
Include dependency graph for europeanpathpricer.hpp:

ql/types.hpp ql/termstructure.hpp ql/option.hpp functional ql/grid.hpp ql/handle.hpp

ql/MonteCarlo/pathpricer.hpp ql/payoff.hpp ql/MonteCarlo/path.hpp

europeanpathpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

912 QuantLib File Documentation

12.224 ql/MonteCarlo/everestpathpricer.cpp File Reference

12.224.1 Detailed Description

path pricer for European-type Everest option

#include <ql/MonteCarlo/everestpathpricer.hpp>
Include dependency graph for everestpathpricer.cpp:

ql/option.hpp ql/types.hpp ql/termstructure.hpp functional ql/MonteCarlo/path.hpp

ql/MonteCarlo/pathpricer.hpp ql/MonteCarlo/multipath.hpp

ql/MonteCarlo/everestpathpricer.hpp

everestpathpricer.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.225 ql/MonteCarlo/everestpathpricer.hpp File Reference 913

12.225 ql/MonteCarlo/everestpathpricer.hpp File Reference

12.225.1 Detailed Description

path pricer for European-type Everest option

#include <ql/MonteCarlo/pathpricer.hpp>
#include <ql/MonteCarlo/multipath.hpp>
Include dependency graph for everestpathpricer.hpp:

ql/option.hpp ql/types.hpp ql/termstructure.hpp functional ql/MonteCarlo/path.hpp

ql/MonteCarlo/pathpricer.hpp ql/MonteCarlo/multipath.hpp

everestpathpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

914 QuantLib File Documentation

12.226 ql/MonteCarlo/geometricapopathpricer.cpp File Refer-

ence

12.226.1 Detailed Description

path pricer for geometric average price option

#include <ql/MonteCarlo/geometricapopathpricer.hpp>
#include <ql/Pricers/singleassetoption.hpp>
Include dependency graph for geometricapopathpricer.cpp:

ql/MonteCarlo/pathpricer.hpp ql/MonteCarlo/path.hpp ql/payoff.hpp ql/exercise.hpp

ql/MonteCarlo/geometricapopathpricer.hpp ql/Pricers/singleassetoption.hpp

geometricapopathpricer.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.227 ql/MonteCarlo/geometricapopathpricer.hpp File Reference 915

12.227 ql/MonteCarlo/geometricapopathpricer.hpp File Refer-

ence

12.227.1 Detailed Description

path pricer for geometric average price option

#include <ql/MonteCarlo/pathpricer.hpp>
#include <ql/MonteCarlo/path.hpp>
#include <ql/payoff.hpp>
Include dependency graph for geometricapopathpricer.hpp:

ql/types.hpp ql/termstructure.hpp ql/option.hpp functional ql/grid.hpp ql/handle.hpp

ql/MonteCarlo/pathpricer.hpp ql/payoff.hpp ql/MonteCarlo/path.hpp

geometricapopathpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

916 QuantLib File Documentation

12.228 ql/MonteCarlo/geometricasopathpricer.cpp File Refer-

ence

12.228.1 Detailed Description

path pricer for geometric average strike option

#include <ql/MonteCarlo/geometricasopathpricer.hpp>
#include <ql/Pricers/singleassetoption.hpp>
Include dependency graph for geometricasopathpricer.cpp:

ql/MonteCarlo/pathpricer.hpp ql/MonteCarlo/path.hpp ql/exercise.hpp ql/payoff.hpp

ql/MonteCarlo/geometricasopathpricer.hpp ql/Pricers/singleassetoption.hpp

geometricasopathpricer.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.229 ql/MonteCarlo/geometricasopathpricer.hpp File Reference 917

12.229 ql/MonteCarlo/geometricasopathpricer.hpp File Refer-

ence

12.229.1 Detailed Description

path pricer for geometric average strike option

#include <ql/MonteCarlo/pathpricer.hpp>
#include <ql/MonteCarlo/path.hpp>
Include dependency graph for geometricasopathpricer.hpp:

ql/option.hpp ql/types.hpp ql/termstructure.hpp functional ql/grid.hpp ql/handle.hpp

ql/MonteCarlo/pathpricer.hpp ql/MonteCarlo/path.hpp

geometricasopathpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

918 QuantLib File Documentation

12.230 ql/MonteCarlo/getcovariance.hpp File Reference

12.230.1 Detailed Description

Covariance matrix calculation.

#include <ql/Math/matrix.hpp>
Include dependency graph for getcovariance.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/array.hpp ql/Utilities/steppingiterator.hpp

ql/Math/matrix.hpp

getcovariance.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.231 ql/MonteCarlo/himalayapathpricer.cpp File Reference 919

12.231 ql/MonteCarlo/himalayapathpricer.cpp File Reference

12.231.1 Detailed Description

multipath pricer for European-type Himalaya option

#include <ql/MonteCarlo/himalayapathpricer.hpp>
Include dependency graph for himalayapathpricer.cpp:

ql/option.hpp ql/types.hpp ql/termstructure.hpp functional ql/MonteCarlo/path.hpp

ql/MonteCarlo/pathpricer.hpp ql/MonteCarlo/multipath.hpp

ql/MonteCarlo/himalayapathpricer.hpp

himalayapathpricer.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

920 QuantLib File Documentation

12.232 ql/MonteCarlo/himalayapathpricer.hpp File Reference

12.232.1 Detailed Description

multipath pricer for European-type Himalaya option

#include <ql/MonteCarlo/pathpricer.hpp>
#include <ql/MonteCarlo/multipath.hpp>
Include dependency graph for himalayapathpricer.hpp:

ql/option.hpp ql/types.hpp ql/termstructure.hpp functional ql/MonteCarlo/path.hpp

ql/MonteCarlo/pathpricer.hpp ql/MonteCarlo/multipath.hpp

himalayapathpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.233 ql/MonteCarlo/maxbasketpathpricer.cpp File Reference 921

12.233 ql/MonteCarlo/maxbasketpathpricer.cpp File Reference

12.233.1 Detailed Description

multipath pricer for max basket option

#include <ql/MonteCarlo/maxbasketpathpricer.hpp>
Include dependency graph for maxbasketpathpricer.cpp:

ql/option.hpp ql/types.hpp ql/termstructure.hpp functional ql/MonteCarlo/path.hpp

ql/MonteCarlo/pathpricer.hpp ql/MonteCarlo/multipath.hpp

ql/MonteCarlo/maxbasketpathpricer.hpp

maxbasketpathpricer.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

922 QuantLib File Documentation

12.234 ql/MonteCarlo/maxbasketpathpricer.hpp File Reference

12.234.1 Detailed Description

multipath pricer for max basket option

#include <ql/MonteCarlo/pathpricer.hpp>
#include <ql/MonteCarlo/multipath.hpp>
Include dependency graph for maxbasketpathpricer.hpp:

ql/option.hpp ql/types.hpp ql/termstructure.hpp functional ql/MonteCarlo/path.hpp

ql/MonteCarlo/pathpricer.hpp ql/MonteCarlo/multipath.hpp

maxbasketpathpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.235 ql/MonteCarlo/mctraits.hpp File Reference 923

12.235 ql/MonteCarlo/mctraits.hpp File Reference

12.235.1 Detailed Description

Monte Carlo policy descriptors.

#include <ql/MonteCarlo/pathgenerator.hpp>
#include <ql/MonteCarlo/multipathgenerator.hpp>
#include <ql/MonteCarlo/pathpricer.hpp>
#include <ql/RandomNumbers/mt19937uniformrng.hpp>
#include <ql/RandomNumbers/inversecumgaussianrng.hpp>
#include <ql/RandomNumbers/randomsequencegenerator.hpp>
#include <ql/RandomNumbers/sobolrsg.hpp>
#include <ql/RandomNumbers/inversecumgaussianrsg.hpp>
#include <ql/Math/normaldistribution.hpp>
Include dependency graph for mctraits.hpp:

ql/MonteCarlo/pathgenerator.hpp

ql/MonteCarlo/multipathgenerator.hpp

ql/MonteCarlo/pathpricer.hpp

ql/RandomNumbers/mt19937uniformrng.hpp

ql/RandomNumbers/inversecumgaussianrng.hpp mctraits.hpp

ql/RandomNumbers/randomsequencegenerator.hpp

ql/RandomNumbers/sobolrsg.hpp

ql/RandomNumbers/inversecumgaussianrsg.hpp

ql/Math/normaldistribution.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

924 QuantLib File Documentation

12.236 ql/MonteCarlo/mctypedefs.hpp File Reference

12.236.1 Detailed Description

Default choices for template instantiations.

#include <ql/RandomNumbers/rngtypedefs.hpp>
#include <ql/MonteCarlo/montecarlomodel.hpp>
Include dependency graph for mctypedefs.hpp:

ql/MonteCarlo/mctraits.hpp ql/handle.hpp ql/Math/statistics.hpp

ql/RandomNumbers/rngtypedefs.hpp ql/MonteCarlo/montecarlomodel.hpp

mctypedefs.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.237 ql/MonteCarlo/montecarlomodel.hpp File Reference 925

12.237 ql/MonteCarlo/montecarlomodel.hpp File Reference

12.237.1 Detailed Description

General purpose Monte Carlo model.

#include <ql/handle.hpp>
#include <ql/MonteCarlo/mctraits.hpp>
#include <ql/Math/statistics.hpp>
Include dependency graph for montecarlomodel.hpp:

ql/handle.hpp ql/MonteCarlo/mctraits.hpp ql/Math/statistics.hpp

montecarlomodel.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

926 QuantLib File Documentation

12.238 ql/MonteCarlo/multipath.hpp File Reference

12.238.1 Detailed Description

Correlated multiple asset paths.

#include <ql/MonteCarlo/path.hpp>
Include dependency graph for multipath.hpp:

ql/qldefines.hpp

utility functional ql/types.hpp ql/errors.hpp typeinfo

ql/date.hpp ql/Utilities/steppingiterator.hpp ql/array.hpp ql/handle.hpp

ql/Math/matrix.hpp ql/currency.hpp

ql/dataformatters.hpp list vector

ql/grid.hpp

ql/MonteCarlo/path.hpp

multipath.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.239 ql/MonteCarlo/multipathgenerator.hpp File Reference 927

12.239 ql/MonteCarlo/multipathgenerator.hpp File Reference

12.239.1 Detailed Description

Generates a multi path from a random-array generator.

#include <ql/MonteCarlo/multipath.hpp>
#include <ql/MonteCarlo/sample.hpp>
Include dependency graph for multipathgenerator.hpp:

ql/qldefines.hpp

typeinfo ql/errors.hpp

ql/handle.hpp ql/date.hpp ql/currency.hpp ql/Math/matrix.hpp

ql/dataformatters.hpp list vector

ql/grid.hpp ql/MonteCarlo/sample.hpp

ql/MonteCarlo/path.hpp

ql/MonteCarlo/multipath.hpp

multipathgenerator.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

928 QuantLib File Documentation

12.240 ql/MonteCarlo/pagodapathpricer.cpp File Reference

12.240.1 Detailed Description

path pricer for pagoda options

#include <ql/MonteCarlo/pagodapathpricer.hpp>
Include dependency graph for pagodapathpricer.cpp:

ql/option.hpp ql/types.hpp ql/termstructure.hpp functional ql/MonteCarlo/path.hpp

ql/MonteCarlo/pathpricer.hpp ql/MonteCarlo/multipath.hpp

ql/MonteCarlo/pagodapathpricer.hpp

pagodapathpricer.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.241 ql/MonteCarlo/pagodapathpricer.hpp File Reference 929

12.241 ql/MonteCarlo/pagodapathpricer.hpp File Reference

12.241.1 Detailed Description

path pricer for pagoda options

#include <ql/MonteCarlo/pathpricer.hpp>
#include <ql/MonteCarlo/multipath.hpp>
Include dependency graph for pagodapathpricer.hpp:

ql/option.hpp ql/types.hpp ql/termstructure.hpp functional ql/MonteCarlo/path.hpp

ql/MonteCarlo/pathpricer.hpp ql/MonteCarlo/multipath.hpp

pagodapathpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

930 QuantLib File Documentation

12.242 ql/MonteCarlo/path.hpp File Reference

12.242.1 Detailed Description

single factor random walk

#include <ql/grid.hpp>
#include <ql/handle.hpp>
Include dependency graph for path.hpp:

ql/qldefines.hpp

utility functional ql/types.hpp ql/errors.hpp typeinfo

ql/date.hpp ql/Utilities/steppingiterator.hpp ql/array.hpp ql/handle.hpp

ql/Math/matrix.hpp ql/currency.hpp

ql/dataformatters.hpp list vector

ql/grid.hpp

path.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.243 ql/MonteCarlo/pathgenerator.hpp File Reference 931

12.243 ql/MonteCarlo/pathgenerator.hpp File Reference

12.243.1 Detailed Description

Generates random paths using a sequence generator.

#include <ql/diffusionprocess.hpp>
#include <ql/MonteCarlo/path.hpp>
#include <ql/RandomNumbers/randomarraygenerator.hpp>
Include dependency graph for pathgenerator.hpp:

ql/diffusionprocess.hpp ql/MonteCarlo/path.hpp ql/RandomNumbers/randomarraygenerator.hpp

pathgenerator.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

932 QuantLib File Documentation

12.244 ql/MonteCarlo/pathpricer.hpp File Reference

12.244.1 Detailed Description

base class for single-path pricers

#include <ql/option.hpp>
#include <ql/types.hpp>
#include <ql/termstructure.hpp>
#include <functional>
Include dependency graph for pathpricer.hpp:

ql/option.hpp ql/types.hpp ql/termstructure.hpp functional

pathpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.245 ql/MonteCarlo/performanceoptionpathpricer.cpp File Reference 933

12.245 ql/MonteCarlo/performanceoptionpathpricer.cpp File

Reference

12.245.1 Detailed Description

path pricer for performance options

#include <ql/MonteCarlo/performanceoptionpathpricer.hpp>
#include <ql/Pricers/singleassetoption.hpp>
Include dependency graph for performanceoptionpathpricer.cpp:

ql/MonteCarlo/pathpricer.hpp ql/MonteCarlo/path.hpp ql/payoff.hpp ql/exercise.hpp

ql/MonteCarlo/performanceoptionpathpricer.hpp ql/Pricers/singleassetoption.hpp

performanceoptionpathpricer.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

934 QuantLib File Documentation

12.246 ql/MonteCarlo/performanceoptionpathpricer.hpp File

Reference

12.246.1 Detailed Description

path pricer for performance option

#include <ql/MonteCarlo/pathpricer.hpp>
#include <ql/MonteCarlo/path.hpp>
#include <ql/payoff.hpp>
Include dependency graph for performanceoptionpathpricer.hpp:

ql/types.hpp ql/termstructure.hpp ql/option.hpp functional ql/grid.hpp ql/handle.hpp

ql/MonteCarlo/pathpricer.hpp ql/payoff.hpp ql/MonteCarlo/path.hpp

performanceoptionpathpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.247 ql/MonteCarlo/sample.hpp File Reference 935

12.247 ql/MonteCarlo/sample.hpp File Reference

12.247.1 Detailed Description

weighted sample
#include <ql/qldefines.hpp>
Include dependency graph for sample.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

sample.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::MonteCarlo

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

936 QuantLib File Documentation

12.248 ql/null.hpp File Reference

12.248.1 Detailed Description

null values
#include <ql/qldefines.hpp>
Include dependency graph for null.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

null.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.249 ql/numericalmethod.hpp File Reference 937

12.249 ql/numericalmethod.hpp File Reference

12.249.1 Detailed Description

Numerical method class.

#include <ql/grid.hpp>
#include <ql/handle.hpp>
Include dependency graph for numericalmethod.hpp:

ql/qldefines.hpp

utility functional ql/types.hpp ql/errors.hpp typeinfo

ql/date.hpp ql/Utilities/steppingiterator.hpp ql/array.hpp ql/handle.hpp

ql/Math/matrix.hpp ql/currency.hpp

ql/dataformatters.hpp list vector

ql/grid.hpp

numericalmethod.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

938 QuantLib File Documentation

12.250 ql/Optimization/armijo.cpp File Reference

12.250.1 Detailed Description

Armijo line-search class.

#include "ql/Optimization/armijo.hpp"
Include dependency graph for armijo.cpp:

ql/Patterns/bridge.hpp ql/array.hpp

ql/Optimization/constraint.hpp ql/Optimization/costfunction.hpp ql/Optimization/criteria.hpp

ql/Optimization/method.hpp

ql/Optimization/problem.hpp

ql/Optimization/linesearch.hpp

ql/Optimization/armijo.hpp

armijo.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Optimization

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.251 ql/Optimization/armijo.hpp File Reference 939

12.251 ql/Optimization/armijo.hpp File Reference

12.251.1 Detailed Description

Armijo line-search class.

#include "ql/Optimization/linesearch.hpp"
Include dependency graph for armijo.hpp:

ql/Patterns/bridge.hpp ql/array.hpp

ql/Optimization/constraint.hpp ql/Optimization/costfunction.hpp ql/Optimization/criteria.hpp

ql/Optimization/method.hpp

ql/Optimization/problem.hpp

ql/Optimization/linesearch.hpp

armijo.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Optimization

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

940 QuantLib File Documentation

12.252 ql/Optimization/conjugategradient.cpp File Reference

12.252.1 Detailed Description

Conjugate gradient optimization method.

#include "ql/Optimization/conjugategradient.hpp"
Include dependency graph for conjugategradient.cpp:

ql/Patterns/bridge.hpp ql/array.hpp

ql/Optimization/constraint.hpp ql/Optimization/costfunction.hpp ql/Optimization/criteria.hpp

ql/Optimization/method.hpp

ql/Optimization/problem.hpp

ql/Optimization/linesearch.hpp

ql/Optimization/armijo.hpp

ql/Optimization/conjugategradient.hpp

conjugategradient.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Optimization

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.253 ql/Optimization/conjugategradient.hpp File Reference 941

12.253 ql/Optimization/conjugategradient.hpp File Reference

12.253.1 Detailed Description

Conjugate gradient optimization method.

#include "ql/Optimization/armijo.hpp"
Include dependency graph for conjugategradient.hpp:

ql/Patterns/bridge.hpp ql/array.hpp

ql/Optimization/constraint.hpp ql/Optimization/costfunction.hpp ql/Optimization/criteria.hpp

ql/Optimization/method.hpp

ql/Optimization/problem.hpp

ql/Optimization/linesearch.hpp

ql/Optimization/armijo.hpp

conjugategradient.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Optimization

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

942 QuantLib File Documentation

12.254 ql/Optimization/constraint.hpp File Reference

12.254.1 Detailed Description

Abstract constraint class.

#include <ql/array.hpp>
#include <ql/Patterns/bridge.hpp>
Include dependency graph for constraint.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/handle.hpp ql/array.hpp

ql/Patterns/bridge.hpp

constraint.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Optimization

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.255 ql/Optimization/costfunction.hpp File Reference 943

12.255 ql/Optimization/costfunction.hpp File Reference

12.255.1 Detailed Description

Optimization cost function class.

#include <ql/array.hpp>
Include dependency graph for costfunction.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/array.hpp

costfunction.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Optimization

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

944 QuantLib File Documentation

12.256 ql/Optimization/criteria.hpp File Reference

12.256.1 Detailed Description

Optimization criteria class.

Namespaces
• namespace QuantLib
• namespace QuantLib::Optimization

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.257 ql/Optimization/leastsquare.hpp File Reference 945

12.257 ql/Optimization/leastsquare.hpp File Reference

12.257.1 Detailed Description

Least square cost function.

#include "ql/Math/matrix.hpp"
#include "ql/Optimization/conjugategradient.hpp"
Include dependency graph for leastsquare.hpp:

ql/array.hpp ql/Utilities/steppingiterator.hpp ql/Optimization/armijo.hpp

ql/Math/matrix.hpp ql/Optimization/conjugategradient.hpp

leastsquare.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Optimization

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

946 QuantLib File Documentation

12.258 ql/Optimization/linesearch.hpp File Reference

12.258.1 Detailed Description

Line search abstract class.

#include <ql/Optimization/problem.hpp>
Include dependency graph for linesearch.hpp:

ql/Patterns/bridge.hpp ql/array.hpp

ql/Optimization/constraint.hpp ql/Optimization/costfunction.hpp ql/Optimization/criteria.hpp

ql/Optimization/method.hpp

ql/Optimization/problem.hpp

linesearch.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Optimization

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.259 ql/Optimization/method.hpp File Reference 947

12.259 ql/Optimization/method.hpp File Reference

12.259.1 Detailed Description

Abstract optimization method class.

#include <ql/Optimization/constraint.hpp>
#include <ql/Optimization/costfunction.hpp>
#include <ql/Optimization/criteria.hpp>
Include dependency graph for method.hpp:

ql/Patterns/bridge.hpp ql/array.hpp

ql/Optimization/constraint.hpp ql/Optimization/costfunction.hpp ql/Optimization/criteria.hpp

method.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Optimization

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

948 QuantLib File Documentation

12.260 ql/Optimization/problem.hpp File Reference

12.260.1 Detailed Description

Abstract optimization class.

#include <ql/Optimization/method.hpp>
Include dependency graph for problem.hpp:

ql/Patterns/bridge.hpp ql/array.hpp

ql/Optimization/constraint.hpp ql/Optimization/costfunction.hpp ql/Optimization/criteria.hpp

ql/Optimization/method.hpp

problem.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Optimization

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.261 ql/Optimization/simplex.cpp File Reference 949

12.261 ql/Optimization/simplex.cpp File Reference

12.261.1 Detailed Description

Simplex optimization method.

#include "ql/Optimization/simplex.hpp"
Include dependency graph for simplex.cpp:

ql/Patterns/bridge.hpp ql/array.hpp

ql/Optimization/constraint.hpp ql/Optimization/costfunction.hpp ql/Optimization/criteria.hpp

ql/Optimization/method.hpp

ql/Optimization/problem.hpp vector

ql/Optimization/simplex.hpp

simplex.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Optimization

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

950 QuantLib File Documentation

12.262 ql/Optimization/simplex.hpp File Reference

12.262.1 Detailed Description

Simplex optimization method.

#include <ql/Optimization/problem.hpp>
#include <vector>
Include dependency graph for simplex.hpp:

ql/Patterns/bridge.hpp ql/array.hpp

ql/Optimization/constraint.hpp ql/Optimization/costfunction.hpp ql/Optimization/criteria.hpp

ql/Optimization/method.hpp

ql/Optimization/problem.hpp vector

simplex.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Optimization

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.263 ql/Optimization/steepestdescent.cpp File Reference 951

12.263 ql/Optimization/steepestdescent.cpp File Reference

12.263.1 Detailed Description

Steepest descent optimization method.

#include "ql/Optimization/steepestdescent.hpp"
Include dependency graph for steepestdescent.cpp:

ql/Patterns/bridge.hpp ql/array.hpp

ql/Optimization/constraint.hpp ql/Optimization/costfunction.hpp ql/Optimization/criteria.hpp

ql/Optimization/method.hpp

ql/Optimization/problem.hpp

ql/Optimization/linesearch.hpp

ql/Optimization/armijo.hpp

ql/Optimization/steepestdescent.hpp

steepestdescent.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Optimization

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

952 QuantLib File Documentation

12.264 ql/Optimization/steepestdescent.hpp File Reference

12.264.1 Detailed Description

Steepest descent optimization method.

#include <ql/Optimization/armijo.hpp>
Include dependency graph for steepestdescent.hpp:

ql/Patterns/bridge.hpp ql/array.hpp

ql/Optimization/constraint.hpp ql/Optimization/costfunction.hpp ql/Optimization/criteria.hpp

ql/Optimization/method.hpp

ql/Optimization/problem.hpp

ql/Optimization/linesearch.hpp

ql/Optimization/armijo.hpp

steepestdescent.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Optimization

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.265 ql/option.hpp File Reference 953

12.265 ql/option.hpp File Reference

12.265.1 Detailed Description

Base option class.

#include <ql/instrument.hpp>
Include dependency graph for option.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp typeinfo ql/null.hpp

ql/handle.hpp list ql/argsandresults.hpp

ql/Patterns/observable.hpp

ql/Patterns/lazyobject.hpp ql/pricingengine.hpp

ql/instrument.hpp

option.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

954 QuantLib File Documentation

12.266 ql/Patterns/bridge.hpp File Reference

12.266.1 Detailed Description

bridge pattern (a.k.a. handle-body idiom)

#include <ql/handle.hpp>
Include dependency graph for bridge.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp exception string

ql/errors.hpp typeinfo

ql/handle.hpp

bridge.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Patterns

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.267 ql/Patterns/curiouslyrecurring.hpp File Reference 955

12.267 ql/Patterns/curiouslyrecurring.hpp File Reference

12.267.1 Detailed Description

Curiously recurring template pattern.

#include <ql/qldefines.hpp>
Include dependency graph for curiouslyrecurring.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

curiouslyrecurring.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Patterns

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

956 QuantLib File Documentation

12.268 ql/Patterns/lazyobject.hpp File Reference

12.268.1 Detailed Description

framework for calculation on demand and result caching

#include <ql/Patterns/observable.hpp>
Include dependency graph for lazyobject.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp exception string

ql/errors.hpp typeinfo

ql/handle.hpp list

ql/Patterns/observable.hpp

lazyobject.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Patterns

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.269 ql/Patterns/observable.hpp File Reference 957

12.269 ql/Patterns/observable.hpp File Reference

12.269.1 Detailed Description

observer/observable pattern
#include <ql/handle.hpp>
#include <list>
Include dependency graph for observable.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp exception string

ql/errors.hpp typeinfo

ql/handle.hpp list

observable.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Patterns

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

958 QuantLib File Documentation

12.270 ql/Patterns/visitor.hpp File Reference

12.270.1 Detailed Description

degenerate base class for the Acyclic Visitor pattern

#include <ql/qldefines.hpp>
Include dependency graph for visitor.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

visitor.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Patterns

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.271 ql/payoff.hpp File Reference 959

12.271 ql/payoff.hpp File Reference

12.271.1 Detailed Description

Option payoff classes.

#include <ql/option.hpp>
#include <functional>
Include dependency graph for payoff.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp typeinfo ql/null.hpp

ql/handle.hpp list ql/argsandresults.hpp

ql/Patterns/observable.hpp

ql/Patterns/lazyobject.hpp ql/pricingengine.hpp

ql/instrument.hpp

ql/option.hpp functional

payoff.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

960 QuantLib File Documentation

12.272 ql/Pricers/analyticalcapfloor.cpp File Reference

12.272.1 Detailed Description

Analytical pricer for caps/floors.

#include "ql/Pricers/analyticalcapfloor.hpp"
Include dependency graph for analyticalcapfloor.cpp:

ql/Pricers/capfloorpricer.hpp ql/ShortRateModels/model.hpp

ql/Pricers/analyticalcapfloor.hpp

analyticalcapfloor.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.273 ql/Pricers/analyticalcapfloor.hpp File Reference 961

12.273 ql/Pricers/analyticalcapfloor.hpp File Reference

12.273.1 Detailed Description

Analytical pricer for caps/floors.

#include <ql/Pricers/capfloorpricer.hpp>
#include <ql/ShortRateModels/model.hpp>
Include dependency graph for analyticalcapfloor.hpp:

ql/Pricers/capfloorpricer.hpp ql/ShortRateModels/model.hpp

analyticalcapfloor.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

962 QuantLib File Documentation

12.274 ql/Pricers/barrieroptionpricer.cpp File Reference

12.274.1 Detailed Description

barrier option pricer

#include <ql/Pricers/barrieroptionpricer.hpp>
#include <ql/Instruments/barrieroption.hpp>
#include <ql/TermStructures/flatforward.hpp>
#include <ql/Volatilities/blackconstantvol.hpp>
#include <ql/DayCounters/simpledaycounter.hpp>
Include dependency graph for barrieroptionpricer.cpp:

ql/Pricers/barrieroptionpricer.hpp

ql/Instruments/barrieroption.hpp

ql/TermStructures/flatforward.hpp barrieroptionpricer.cpp

ql/Volatilities/blackconstantvol.hpp

ql/DayCounters/simpledaycounter.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.275 ql/Pricers/barrieroptionpricer.hpp File Reference 963

12.275 ql/Pricers/barrieroptionpricer.hpp File Reference

12.275.1 Detailed Description

barrier option pricer

#include <ql/PricingEngines/barrierengines.hpp>
#include <ql/Pricers/singleassetoption.hpp>
#include <ql/Math/normaldistribution.hpp>
Include dependency graph for barrieroptionpricer.hpp:

ql/PricingEngines/barrierengines.hpp ql/Pricers/singleassetoption.hpp ql/Math/normaldistribution.hpp

barrieroptionpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

964 QuantLib File Documentation

12.276 ql/Pricers/binaryoptionpricer.cpp File Reference

12.276.1 Detailed Description

European style cash-or-nothing option pricer.

#include <ql/Pricers/binaryoptionpricer.hpp>
#include <ql/DayCounters/simpledaycounter.hpp>
#include <ql/TermStructures/flatforward.hpp>
#include <ql/Volatilities/blackconstantvol.hpp>
Include dependency graph for binaryoptionpricer.cpp:

ql/Pricers/binaryoptionpricer.hpp

ql/DayCounters/simpledaycounter.hpp
binaryoptionpricer.cpp
ql/TermStructures/flatforward.hpp

ql/Volatilities/blackconstantvol.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.277 ql/Pricers/binaryoptionpricer.hpp File Reference 965

12.277 ql/Pricers/binaryoptionpricer.hpp File Reference

12.277.1 Detailed Description

European style cash-or-nothing option pricer.

#include <ql/Pricers/singleassetoption.hpp>
#include <ql/PricingEngines/binaryengines.hpp>
Include dependency graph for binaryoptionpricer.hpp:

ql/Pricers/singleassetoption.hpp ql/PricingEngines/binaryengines.hpp

binaryoptionpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

966 QuantLib File Documentation

12.278 ql/Pricers/blackcapfloor.cpp File Reference

12.278.1 Detailed Description

European capfloor calculated using Black formula.

#include "ql/Pricers/blackcapfloor.hpp"
Include dependency graph for blackcapfloor.cpp:

ql/blackmodel.hpp ql/Pricers/capfloorpricer.hpp

ql/Pricers/blackcapfloor.hpp

blackcapfloor.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.279 ql/Pricers/blackcapfloor.hpp File Reference 967

12.279 ql/Pricers/blackcapfloor.hpp File Reference

12.279.1 Detailed Description

CapFloor calculated using the Black formula.

#include <ql/blackmodel.hpp>
#include <ql/Pricers/capfloorpricer.hpp>
Include dependency graph for blackcapfloor.hpp:

ql/blackmodel.hpp ql/Pricers/capfloorpricer.hpp

blackcapfloor.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

968 QuantLib File Documentation

12.280 ql/Pricers/blackswaption.cpp File Reference

12.280.1 Detailed Description

European swaption calculated using Black formula.

#include "ql/Pricers/blackswaption.hpp"
Include dependency graph for blackswaption.cpp:

ql/blackmodel.hpp ql/Pricers/swaptionpricer.hpp

ql/Pricers/blackswaption.hpp

blackswaption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.281 ql/Pricers/blackswaption.hpp File Reference 969

12.281 ql/Pricers/blackswaption.hpp File Reference

12.281.1 Detailed Description

Swaption calculated using the Black formula.

#include <ql/blackmodel.hpp>
#include <ql/Pricers/swaptionpricer.hpp>
Include dependency graph for blackswaption.hpp:

ql/blackmodel.hpp ql/Pricers/swaptionpricer.hpp

blackswaption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

970 QuantLib File Documentation

12.282 ql/Pricers/capfloorpricer.cpp File Reference

12.282.1 Detailed Description

cap and floor pricer class

#include <ql/Pricers/capfloorpricer.hpp>
Include dependency graph for capfloorpricer.cpp:

ql/Instruments/capfloor.hpp ql/PricingEngines/genericengine.hpp ql/discretizedasset.hpp

ql/Pricers/capfloorpricer.hpp

capfloorpricer.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.283 ql/Pricers/capfloorpricer.hpp File Reference 971

12.283 ql/Pricers/capfloorpricer.hpp File Reference

12.283.1 Detailed Description

cap and floor pricer class

#include <ql/Instruments/capfloor.hpp>
#include <ql/PricingEngines/genericengine.hpp>
#include <ql/discretizedasset.hpp>
Include dependency graph for capfloorpricer.hpp:

ql/Instruments/capfloor.hpp ql/PricingEngines/genericengine.hpp ql/discretizedasset.hpp

capfloorpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

972 QuantLib File Documentation

12.284 ql/Pricers/cliquetoption.cpp File Reference

12.284.1 Detailed Description

Cliquet option.
#include <ql/Pricers/cliquetoption.hpp>

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.285 ql/Pricers/continuousgeometricapo.hpp File Reference 973

12.285 ql/Pricers/continuousgeometricapo.hpp File Reference

12.285.1 Detailed Description

Continuous Geometric Average Price Option (European exercise).

#include <ql/Pricers/europeanoption.hpp>
Include dependency graph for continuousgeometricapo.hpp:

functional ql/qldefines.hpp

ql/date.hpp ql/Math/errorfunction.hpp ql/Math/matrix.hpp ql/currency.hpp

ql/option.hpp ql/calendar.hpp vector ql/dataformatters.hpp

ql/payoff.hpp ql/exercise.hpp ql/Math/normaldistribution.hpp

ql/Pricers/singleassetoption.hpp

ql/Pricers/europeanoption.hpp

continuousgeometricapo.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

974 QuantLib File Documentation

12.286 ql/Pricers/discretegeometricapo.cpp File Reference

12.286.1 Detailed Description

Discrete Geometric Average Price Option.

#include <ql/Pricers/discretegeometricapo.hpp>
#include <numeric>
Include dependency graph for discretegeometricapo.cpp:

functional ql/qldefines.hpp

ql/date.hpp ql/Math/errorfunction.hpp ql/Math/matrix.hpp ql/currency.hpp

ql/option.hpp ql/calendar.hpp vector ql/dataformatters.hpp

ql/payoff.hpp ql/exercise.hpp ql/Math/normaldistribution.hpp

ql/Pricers/singleassetoption.hpp

ql/Pricers/discretegeometricapo.hpp numeric

discretegeometricapo.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.287 ql/Pricers/discretegeometricapo.hpp File Reference 975

12.287 ql/Pricers/discretegeometricapo.hpp File Reference

12.287.1 Detailed Description

Discrete Geometric Average Price Option.

#include <ql/Pricers/singleassetoption.hpp>
#include <ql/Math/normaldistribution.hpp>
Include dependency graph for discretegeometricapo.hpp:

functional ql/qldefines.hpp

ql/date.hpp ql/Math/errorfunction.hpp ql/Math/matrix.hpp ql/currency.hpp

ql/option.hpp ql/calendar.hpp vector ql/dataformatters.hpp

ql/payoff.hpp ql/exercise.hpp ql/Math/normaldistribution.hpp

ql/Pricers/singleassetoption.hpp

discretegeometricapo.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

976 QuantLib File Documentation

12.288 ql/Pricers/discretegeometricaso.cpp File Reference

12.288.1 Detailed Description

Discrete Geometric Average Strike Option.

#include <ql/Pricers/discretegeometricaso.hpp>
#include <numeric>
Include dependency graph for discretegeometricaso.cpp:

functional ql/qldefines.hpp

ql/date.hpp ql/Math/errorfunction.hpp ql/Math/matrix.hpp ql/currency.hpp

ql/option.hpp ql/calendar.hpp vector ql/dataformatters.hpp

ql/payoff.hpp ql/exercise.hpp ql/Math/normaldistribution.hpp

ql/Pricers/singleassetoption.hpp

ql/Pricers/discretegeometricaso.hpp numeric

discretegeometricaso.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.289 ql/Pricers/discretegeometricaso.hpp File Reference 977

12.289 ql/Pricers/discretegeometricaso.hpp File Reference

12.289.1 Detailed Description

Discrete Geometric Average Strike Option.

#include <ql/Pricers/singleassetoption.hpp>
#include <ql/Math/normaldistribution.hpp>
Include dependency graph for discretegeometricaso.hpp:

functional ql/qldefines.hpp

ql/date.hpp ql/Math/errorfunction.hpp ql/Math/matrix.hpp ql/currency.hpp

ql/option.hpp ql/calendar.hpp vector ql/dataformatters.hpp

ql/payoff.hpp ql/exercise.hpp ql/Math/normaldistribution.hpp

ql/Pricers/singleassetoption.hpp

discretegeometricaso.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

978 QuantLib File Documentation

12.290 ql/Pricers/europeanoption.cpp File Reference

12.290.1 Detailed Description

european option
#include <ql/Pricers/europeanoption.hpp>
Include dependency graph for europeanoption.cpp:

functional ql/qldefines.hpp

ql/date.hpp ql/Math/errorfunction.hpp ql/Math/matrix.hpp ql/currency.hpp

ql/option.hpp ql/calendar.hpp vector ql/dataformatters.hpp

ql/payoff.hpp ql/exercise.hpp ql/Math/normaldistribution.hpp

ql/Pricers/singleassetoption.hpp

ql/Pricers/europeanoption.hpp

europeanoption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.291 ql/Pricers/europeanoption.hpp File Reference 979

12.291 ql/Pricers/europeanoption.hpp File Reference

12.291.1 Detailed Description

european option
#include <ql/Pricers/singleassetoption.hpp>
#include <ql/Math/normaldistribution.hpp>
Include dependency graph for europeanoption.hpp:

functional ql/qldefines.hpp

ql/date.hpp ql/Math/errorfunction.hpp ql/Math/matrix.hpp ql/currency.hpp

ql/option.hpp ql/calendar.hpp vector ql/dataformatters.hpp

ql/payoff.hpp ql/exercise.hpp ql/Math/normaldistribution.hpp

ql/Pricers/singleassetoption.hpp

europeanoption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

980 QuantLib File Documentation

12.292 ql/Pricers/fdamericanoption.hpp File Reference

12.292.1 Detailed Description

american option
#include <ql/Pricers/fdstepconditionoption.hpp>
#include <ql/FiniteDifferences/americancondition.hpp>
Include dependency graph for fdamericanoption.hpp:

ql/Pricers/fdbsmoption.hpp ql/FiniteDifferences/fdtypedefs.hpp ql/discretizedasset.hpp

ql/Pricers/fdstepconditionoption.hpp ql/FiniteDifferences/americancondition.hpp

fdamericanoption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.293 ql/Pricers/fdbermudanoption.cpp File Reference 981

12.293 ql/Pricers/fdbermudanoption.cpp File Reference

12.293.1 Detailed Description

finite-difference evaluation of Bermudan option

#include <ql/Pricers/fdbermudanoption.hpp>
#include <ql/Pricers/europeanoption.hpp>
Include dependency graph for fdbermudanoption.cpp:

ql/dataformatters.hpp ql/Math/errorfunction.hpp

ql/Pricers/singleassetoption.hpp ql/Math/normaldistribution.hpp

ql/Pricers/fdbsmoption.hpp ql/FiniteDifferences/fdtypedefs.hpp ql/Pricers/europeanoption.hpp

ql/Pricers/fdmultiperiodoption.hpp

ql/Pricers/fdbermudanoption.hpp

fdbermudanoption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

982 QuantLib File Documentation

12.294 ql/Pricers/fdbermudanoption.hpp File Reference

12.294.1 Detailed Description

finite-difference evaluation of Bermudan option

#include <ql/Pricers/fdmultiperiodoption.hpp>
Include dependency graph for fdbermudanoption.hpp:

ql/Pricers/fdbsmoption.hpp ql/FiniteDifferences/fdtypedefs.hpp

ql/Pricers/fdmultiperiodoption.hpp

fdbermudanoption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.295 ql/Pricers/fdbsmoption.cpp File Reference 983

12.295 ql/Pricers/fdbsmoption.cpp File Reference

12.295.1 Detailed Description

common code for numerical option evaluation

#include <ql/Pricers/fdbsmoption.hpp>
#include <ql/FiniteDifferences/valueatcenter.hpp>
Include dependency graph for fdbsmoption.cpp:

ql/Pricers/fdbsmoption.hpp ql/FiniteDifferences/valueatcenter.hpp

fdbsmoption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

984 QuantLib File Documentation

12.296 ql/Pricers/fdbsmoption.hpp File Reference

12.296.1 Detailed Description

common code for numerical option evaluation

#include <ql/Pricers/singleassetoption.hpp>
#include <ql/FiniteDifferences/bsmoperator.hpp>
#include <ql/FiniteDifferences/boundarycondition.hpp>
Include dependency graph for fdbsmoption.hpp:

ql/Pricers/singleassetoption.hpp

ql/FiniteDifferences/bsmoperator.hpp fdbsmoption.hpp

ql/FiniteDifferences/boundarycondition.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Defines
• #define QL_NUM_OPT_MIN_GRID_POINTS 10
This is a safety check to be sure we have enough grid points.

• #define QL_NUM_OPT_GRID_POINTS_PER_YEAR 2
This is a safety check to be sure we have enough grid points.

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.297 ql/Pricers/fddividendamericanoption.cpp File Reference 985

12.297 ql/Pricers/fddividendamericanoption.cpp File Reference

12.297.1 Detailed Description

american option with discrete deterministic dividends

#include <ql/Pricers/fddividendamericanoption.hpp>
Include dependency graph for fddividendamericanoption.cpp:

ql/Pricers/fdbsmoption.hpp ql/FiniteDifferences/fdtypedefs.hpp

ql/Pricers/fdmultiperiodoption.hpp

ql/Pricers/fddividendoption.hpp

ql/Pricers/fddividendamericanoption.hpp

fddividendamericanoption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

986 QuantLib File Documentation

12.298 ql/Pricers/fddividendamericanoption.hpp File Reference

12.298.1 Detailed Description

american option with discrete deterministic dividends

#include <ql/Pricers/fddividendoption.hpp>
Include dependency graph for fddividendamericanoption.hpp:

ql/Pricers/fdbsmoption.hpp ql/FiniteDifferences/fdtypedefs.hpp

ql/Pricers/fdmultiperiodoption.hpp

ql/Pricers/fddividendoption.hpp

fddividendamericanoption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.299 ql/Pricers/fddividendeuropeanoption.cpp File Reference 987

12.299 ql/Pricers/fddividendeuropeanoption.cpp File Reference

12.299.1 Detailed Description

european option with discrete deterministic dividends

#include <ql/Pricers/fddividendeuropeanoption.hpp>
Include dependency graph for fddividendeuropeanoption.cpp:

functional ql/qldefines.hpp

ql/date.hpp ql/Math/errorfunction.hpp ql/Math/matrix.hpp ql/currency.hpp

ql/option.hpp ql/calendar.hpp vector ql/dataformatters.hpp

ql/payoff.hpp ql/exercise.hpp ql/Math/normaldistribution.hpp

ql/Pricers/singleassetoption.hpp

ql/Pricers/europeanoption.hpp

ql/Pricers/fddividendeuropeanoption.hpp

fddividendeuropeanoption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

988 QuantLib File Documentation

12.300 ql/Pricers/fddividendeuropeanoption.hpp File Refer-

ence

12.300.1 Detailed Description

european option with discrete deterministic dividends

#include <ql/Pricers/europeanoption.hpp>
Include dependency graph for fddividendeuropeanoption.hpp:

functional ql/qldefines.hpp

ql/date.hpp ql/Math/errorfunction.hpp ql/Math/matrix.hpp ql/currency.hpp

ql/option.hpp ql/calendar.hpp vector ql/dataformatters.hpp

ql/payoff.hpp ql/exercise.hpp ql/Math/normaldistribution.hpp

ql/Pricers/singleassetoption.hpp

ql/Pricers/europeanoption.hpp

fddividendeuropeanoption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.301 ql/Pricers/fddividendoption.cpp File Reference 989

12.301 ql/Pricers/fddividendoption.cpp File Reference

12.301.1 Detailed Description

base class for options with dividends

#include <ql/Pricers/fddividendoption.hpp>
#include <ql/Math/cubicspline.hpp>
#include <ql/Pricers/fddividendeuropeanoption.hpp>
#include <ql/FiniteDifferences/valueatcenter.hpp>
#include <iterator>
Include dependency graph for fddividendoption.cpp:

ql/Pricers/fddividendoption.hpp

ql/Math/cubicspline.hpp

ql/Pricers/fddividendeuropeanoption.hpp fddividendoption.cpp

ql/FiniteDifferences/valueatcenter.hpp

iterator

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

990 QuantLib File Documentation

12.302 ql/Pricers/fddividendoption.hpp File Reference

12.302.1 Detailed Description

base class for option with dividends

#include <ql/Pricers/fdmultiperiodoption.hpp>
Include dependency graph for fddividendoption.hpp:

ql/Pricers/fdbsmoption.hpp ql/FiniteDifferences/fdtypedefs.hpp

ql/Pricers/fdmultiperiodoption.hpp

fddividendoption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.303 ql/Pricers/fddividendshoutoption.cpp File Reference 991

12.303 ql/Pricers/fddividendshoutoption.cpp File Reference

12.303.1 Detailed Description

base class for shout options with dividends

#include <ql/Pricers/fddividendshoutoption.hpp>
Include dependency graph for fddividendshoutoption.cpp:

ql/Pricers/fdbsmoption.hpp ql/FiniteDifferences/fdtypedefs.hpp ql/numericalmethod.hpp ql/exercise.hpp

ql/Pricers/fdmultiperiodoption.hpp ql/discretizedasset.hpp

ql/Pricers/fddividendoption.hpp ql/FiniteDifferences/shoutcondition.hpp

ql/Pricers/fddividendshoutoption.hpp

fddividendshoutoption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

992 QuantLib File Documentation

12.304 ql/Pricers/fddividendshoutoption.hpp File Reference

12.304.1 Detailed Description

base class for shout option with dividends

#include <ql/Pricers/fddividendoption.hpp>
#include <ql/FiniteDifferences/shoutcondition.hpp>
Include dependency graph for fddividendshoutoption.hpp:

ql/Pricers/fdbsmoption.hpp ql/FiniteDifferences/fdtypedefs.hpp ql/numericalmethod.hpp ql/exercise.hpp

ql/Pricers/fdmultiperiodoption.hpp ql/discretizedasset.hpp

ql/Pricers/fddividendoption.hpp ql/FiniteDifferences/shoutcondition.hpp

fddividendshoutoption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.305 ql/Pricers/fdeuropean.cpp File Reference 993

12.305 ql/Pricers/fdeuropean.cpp File Reference

12.305.1 Detailed Description

Example of European option calculated using finite differences.

#include <ql/Pricers/fdeuropean.hpp>
#include <ql/FiniteDifferences/valueatcenter.hpp>
Include dependency graph for fdeuropean.cpp:

ql/Pricers/fdbsmoption.hpp ql/FiniteDifferences/fdtypedefs.hpp ql/array.hpp

ql/Pricers/fdeuropean.hpp ql/FiniteDifferences/valueatcenter.hpp

fdeuropean.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

994 QuantLib File Documentation

12.306 ql/Pricers/fdeuropean.hpp File Reference

12.306.1 Detailed Description

Example of European option calculated using finite differences.

#include <ql/Pricers/fdbsmoption.hpp>
#include <ql/FiniteDifferences/fdtypedefs.hpp>
Include dependency graph for fdeuropean.hpp:

ql/Pricers/fdbsmoption.hpp ql/FiniteDifferences/fdtypedefs.hpp

fdeuropean.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.307 ql/Pricers/fdmultiperiodoption.cpp File Reference 995

12.307 ql/Pricers/fdmultiperiodoption.cpp File Reference

12.307.1 Detailed Description

base class for option with events happening at different periods

#include <ql/Pricers/europeanoption.hpp>
#include <ql/FiniteDifferences/americancondition.hpp>
#include <ql/Pricers/fdmultiperiodoption.hpp>
#include <ql/FiniteDifferences/valueatcenter.hpp>
Include dependency graph for fdmultiperiodoption.cpp:

ql/Pricers/europeanoption.hpp

ql/FiniteDifferences/americancondition.hpp
fdmultiperiodoption.cpp
ql/Pricers/fdmultiperiodoption.hpp

ql/FiniteDifferences/valueatcenter.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

996 QuantLib File Documentation

12.308 ql/Pricers/fdmultiperiodoption.hpp File Reference

12.308.1 Detailed Description

base class for option with events happening at different periods

#include <ql/Pricers/fdbsmoption.hpp>
#include <ql/FiniteDifferences/fdtypedefs.hpp>
Include dependency graph for fdmultiperiodoption.hpp:

ql/Pricers/fdbsmoption.hpp ql/FiniteDifferences/fdtypedefs.hpp

fdmultiperiodoption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.309 ql/Pricers/fdshoutoption.hpp File Reference 997

12.309 ql/Pricers/fdshoutoption.hpp File Reference

12.309.1 Detailed Description

shout option
#include <ql/Pricers/fdstepconditionoption.hpp>
#include <ql/FiniteDifferences/shoutcondition.hpp>
Include dependency graph for fdshoutoption.hpp:

ql/Pricers/fdbsmoption.hpp ql/FiniteDifferences/fdtypedefs.hpp ql/discretizedasset.hpp

ql/Pricers/fdstepconditionoption.hpp ql/FiniteDifferences/shoutcondition.hpp

fdshoutoption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

998 QuantLib File Documentation

12.310 ql/Pricers/fdstepconditionoption.cpp File Reference

12.310.1 Detailed Description

Option requiring additional code to be executed at each time step.

#include <ql/Pricers/fdstepconditionoption.hpp>
#include <ql/Pricers/europeanoption.hpp>
#include <ql/FiniteDifferences/valueatcenter.hpp>
Include dependency graph for fdstepconditionoption.cpp:

ql/Pricers/fdstepconditionoption.hpp ql/Pricers/europeanoption.hpp ql/FiniteDifferences/valueatcenter.hpp

fdstepconditionoption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.311 ql/Pricers/fdstepconditionoption.hpp File Reference 999

12.311 ql/Pricers/fdstepconditionoption.hpp File Reference

12.311.1 Detailed Description

Option requiring additional code to be executed at each time step.

#include <ql/Pricers/fdbsmoption.hpp>
#include <ql/FiniteDifferences/fdtypedefs.hpp>
Include dependency graph for fdstepconditionoption.hpp:

ql/Pricers/fdbsmoption.hpp ql/FiniteDifferences/fdtypedefs.hpp

fdstepconditionoption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1000 QuantLib File Documentation

12.312 ql/Pricers/jamshidianswaption.cpp File Reference

12.312.1 Detailed Description

Swaption pricer using Jamshidian’s decomposition.

#include "ql/Pricers/jamshidianswaption.hpp"
#include "ql/Solvers1D/brent.hpp"
Include dependency graph for jamshidianswaption.cpp:

ql/Pricers/swaptionpricer.hpp ql/ShortRateModels/onefactormodel.hpp ql/solver1d.hpp

ql/Pricers/jamshidianswaption.hpp ql/Solvers1D/brent.hpp

jamshidianswaption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.313 ql/Pricers/jamshidianswaption.hpp File Reference 1001

12.313 ql/Pricers/jamshidianswaption.hpp File Reference

12.313.1 Detailed Description

Swaption pricer using Jamshidian’s decomposition.

#include <ql/Pricers/swaptionpricer.hpp>
#include <ql/ShortRateModels/onefactormodel.hpp>
Include dependency graph for jamshidianswaption.hpp:

ql/Pricers/swaptionpricer.hpp ql/ShortRateModels/onefactormodel.hpp

jamshidianswaption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1002 QuantLib File Documentation

12.314 ql/Pricers/mcbasket.cpp File Reference

12.314.1 Detailed Description

simple example of multi-factor Monte Carlo pricer

#include <ql/handle.hpp>
#include <ql/MonteCarlo/basketpathpricer.hpp>
#include <ql/Pricers/mcbasket.hpp>
Include dependency graph for mcbasket.cpp:

ql/handle.hpp ql/MonteCarlo/basketpathpricer.hpp ql/Pricers/mcbasket.hpp

mcbasket.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.315 ql/Pricers/mcbasket.hpp File Reference 1003

12.315 ql/Pricers/mcbasket.hpp File Reference

12.315.1 Detailed Description

simple example of multi-factor Monte Carlo pricer

#include <ql/Pricers/mcpricer.hpp>
#include <ql/MonteCarlo/mctypedefs.hpp>
Include dependency graph for mcbasket.hpp:

ql/dataformatters.hpp ql/MonteCarlo/montecarlomodel.hpp ql/RandomNumbers/rngtypedefs.hpp

ql/Pricers/mcpricer.hpp ql/MonteCarlo/mctypedefs.hpp

mcbasket.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1004 QuantLib File Documentation

12.316 ql/Pricers/mccliquetoption.cpp File Reference

12.316.1 Detailed Description

Cliquet option priced with Monte Carlo simulation.

#include <ql/Pricers/mccliquetoption.hpp>
#include <ql/MonteCarlo/cliquetoptionpathpricer.hpp>
Include dependency graph for mccliquetoption.cpp:

ql/Pricers/mccliquetoption.hpp ql/MonteCarlo/cliquetoptionpathpricer.hpp

mccliquetoption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.317 ql/Pricers/mccliquetoption.hpp File Reference 1005

12.317 ql/Pricers/mccliquetoption.hpp File Reference

12.317.1 Detailed Description

Cliquet option priced with Monte Carlo simulation.

#include <ql/option.hpp>
#include <ql/types.hpp>
#include <ql/Pricers/mcpricer.hpp>
#include <ql/MonteCarlo/mctypedefs.hpp>
Include dependency graph for mccliquetoption.hpp:

ql/option.hpp ql/types.hpp ql/Pricers/mcpricer.hpp ql/MonteCarlo/mctypedefs.hpp

mccliquetoption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1006 QuantLib File Documentation

12.318 ql/Pricers/mcdiscretearithmeticapo.cpp File Reference

12.318.1 Detailed Description

Discrete Arithmetic Average Price Option.

#include <ql/Pricers/mcdiscretearithmeticapo.hpp>
#include <ql/Pricers/discretegeometricapo.hpp>
#include <ql/MonteCarlo/arithmeticapopathpricer.hpp>
#include <ql/MonteCarlo/geometricapopathpricer.hpp>
Include dependency graph for mcdiscretearithmeticapo.cpp:

ql/Pricers/mcdiscretearithmeticapo.hpp

ql/Pricers/discretegeometricapo.hpp
mcdiscretearithmeticapo.cpp
ql/MonteCarlo/arithmeticapopathpricer.hpp

ql/MonteCarlo/geometricapopathpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.319 ql/Pricers/mcdiscretearithmeticapo.hpp File Reference 1007

12.319 ql/Pricers/mcdiscretearithmeticapo.hpp File Reference

12.319.1 Detailed Description

Discrete Arithmetic Average Price Option.

#include <ql/option.hpp>
#include <ql/types.hpp>
#include <ql/Pricers/mcpricer.hpp>
#include <ql/MonteCarlo/mctypedefs.hpp>
Include dependency graph for mcdiscretearithmeticapo.hpp:

ql/option.hpp ql/types.hpp ql/Pricers/mcpricer.hpp ql/MonteCarlo/mctypedefs.hpp

mcdiscretearithmeticapo.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1008 QuantLib File Documentation

12.320 ql/Pricers/mcdiscretearithmeticaso.cpp File Reference

12.320.1 Detailed Description

Discrete Arithmetic Average Strike Option.

#include <ql/Pricers/mcdiscretearithmeticaso.hpp>
#include <ql/Pricers/discretegeometricaso.hpp>
#include <ql/MonteCarlo/arithmeticasopathpricer.hpp>
#include <ql/MonteCarlo/geometricasopathpricer.hpp>
Include dependency graph for mcdiscretearithmeticaso.cpp:

ql/Pricers/mcdiscretearithmeticaso.hpp

ql/Pricers/discretegeometricaso.hpp
mcdiscretearithmeticaso.cpp
ql/MonteCarlo/arithmeticasopathpricer.hpp

ql/MonteCarlo/geometricasopathpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.321 ql/Pricers/mcdiscretearithmeticaso.hpp File Reference 1009

12.321 ql/Pricers/mcdiscretearithmeticaso.hpp File Reference

12.321.1 Detailed Description

Discrete Arithmetic Average Strike Option.

#include <ql/option.hpp>
#include <ql/types.hpp>
#include <ql/Pricers/mcpricer.hpp>
#include <ql/MonteCarlo/mctypedefs.hpp>
Include dependency graph for mcdiscretearithmeticaso.hpp:

ql/option.hpp ql/types.hpp ql/Pricers/mcpricer.hpp ql/MonteCarlo/mctypedefs.hpp

mcdiscretearithmeticaso.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1010 QuantLib File Documentation

12.322 ql/Pricers/mceuropean.cpp File Reference

12.322.1 Detailed Description

simple example of Monte Carlo pricer

#include <ql/Pricers/mceuropean.hpp>
#include <ql/MonteCarlo/europeanpathpricer.hpp>
Include dependency graph for mceuropean.cpp:

ql/Pricers/mceuropean.hpp ql/MonteCarlo/europeanpathpricer.hpp

mceuropean.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.323 ql/Pricers/mceuropean.hpp File Reference 1011

12.323 ql/Pricers/mceuropean.hpp File Reference

12.323.1 Detailed Description

simple example of Monte Carlo pricer

#include <ql/option.hpp>
#include <ql/types.hpp>
#include <ql/Pricers/mcpricer.hpp>
#include <ql/MonteCarlo/mctypedefs.hpp>
Include dependency graph for mceuropean.hpp:

ql/option.hpp ql/types.hpp ql/Pricers/mcpricer.hpp ql/MonteCarlo/mctypedefs.hpp

mceuropean.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1012 QuantLib File Documentation

12.324 ql/Pricers/mceverest.cpp File Reference

12.324.1 Detailed Description

Everest-type option pricer

#include <ql/MonteCarlo/everestpathpricer.hpp>
#include <ql/Pricers/mceverest.hpp>
Include dependency graph for mceverest.cpp:

ql/MonteCarlo/everestpathpricer.hpp ql/Pricers/mceverest.hpp

mceverest.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.325 ql/Pricers/mceverest.hpp File Reference 1013

12.325 ql/Pricers/mceverest.hpp File Reference

12.325.1 Detailed Description

Everest-type option pricer

#include <ql/Pricers/mcpricer.hpp>
#include <ql/MonteCarlo/mctypedefs.hpp>
Include dependency graph for mceverest.hpp:

ql/dataformatters.hpp ql/MonteCarlo/montecarlomodel.hpp ql/RandomNumbers/rngtypedefs.hpp

ql/Pricers/mcpricer.hpp ql/MonteCarlo/mctypedefs.hpp

mceverest.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1014 QuantLib File Documentation

12.326 ql/Pricers/mchimalaya.cpp File Reference

12.326.1 Detailed Description

Himalayan-type option pricer.

#include <ql/MonteCarlo/himalayapathpricer.hpp>
#include <ql/MonteCarlo/mctypedefs.hpp>
#include <ql/Pricers/mchimalaya.hpp>
Include dependency graph for mchimalaya.cpp:

ql/MonteCarlo/himalayapathpricer.hpp ql/MonteCarlo/mctypedefs.hpp ql/Pricers/mchimalaya.hpp

mchimalaya.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.327 ql/Pricers/mchimalaya.hpp File Reference 1015

12.327 ql/Pricers/mchimalaya.hpp File Reference

12.327.1 Detailed Description

Himalayan-type option pricer.

#include <ql/Pricers/mcpricer.hpp>
Include dependency graph for mchimalaya.hpp:

ql/dataformatters.hpp ql/MonteCarlo/montecarlomodel.hpp

ql/Pricers/mcpricer.hpp

mchimalaya.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1016 QuantLib File Documentation

12.328 ql/Pricers/mcmaxbasket.cpp File Reference

12.328.1 Detailed Description

Max Basket Monte Carlo pricer.

#include <ql/MonteCarlo/maxbasketpathpricer.hpp>
#include <ql/Pricers/mcmaxbasket.hpp>
Include dependency graph for mcmaxbasket.cpp:

ql/MonteCarlo/maxbasketpathpricer.hpp ql/Pricers/mcmaxbasket.hpp

mcmaxbasket.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.329 ql/Pricers/mcmaxbasket.hpp File Reference 1017

12.329 ql/Pricers/mcmaxbasket.hpp File Reference

12.329.1 Detailed Description

Max Basket Monte Carlo pricer.

#include <ql/Pricers/mcpricer.hpp>
#include <ql/MonteCarlo/mctypedefs.hpp>
Include dependency graph for mcmaxbasket.hpp:

ql/dataformatters.hpp ql/MonteCarlo/montecarlomodel.hpp ql/RandomNumbers/rngtypedefs.hpp

ql/Pricers/mcpricer.hpp ql/MonteCarlo/mctypedefs.hpp

mcmaxbasket.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1018 QuantLib File Documentation

12.330 ql/Pricers/mcpagoda.cpp File Reference

12.330.1 Detailed Description

Roofed multi asset Asian option.

#include <ql/handle.hpp>
#include <ql/Pricers/mcpagoda.hpp>
#include <ql/MonteCarlo/pagodapathpricer.hpp>
Include dependency graph for mcpagoda.cpp:

ql/handle.hpp ql/Pricers/mcpagoda.hpp ql/MonteCarlo/pagodapathpricer.hpp

mcpagoda.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.331 ql/Pricers/mcpagoda.hpp File Reference 1019

12.331 ql/Pricers/mcpagoda.hpp File Reference

12.331.1 Detailed Description

Roofed multi asset Asian option.

#include <ql/Pricers/mcpricer.hpp>
#include <ql/MonteCarlo/mctypedefs.hpp>
Include dependency graph for mcpagoda.hpp:

ql/dataformatters.hpp ql/MonteCarlo/montecarlomodel.hpp ql/RandomNumbers/rngtypedefs.hpp

ql/Pricers/mcpricer.hpp ql/MonteCarlo/mctypedefs.hpp

mcpagoda.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1020 QuantLib File Documentation

12.332 ql/Pricers/mcperformanceoption.cpp File Reference

12.332.1 Detailed Description

Performance option priced with Monte Carlo simulation.

#include <ql/Pricers/mcperformanceoption.hpp>
#include <ql/MonteCarlo/performanceoptionpathpricer.hpp>
Include dependency graph for mcperformanceoption.cpp:

ql/Pricers/mcperformanceoption.hpp ql/MonteCarlo/performanceoptionpathpricer.hpp

mcperformanceoption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.333 ql/Pricers/mcperformanceoption.hpp File Reference 1021

12.333 ql/Pricers/mcperformanceoption.hpp File Reference

12.333.1 Detailed Description

Performance option priced with Monte Carlo simulation.

#include <ql/option.hpp>
#include <ql/types.hpp>
#include <ql/Pricers/mcpricer.hpp>
#include <ql/MonteCarlo/mctypedefs.hpp>
Include dependency graph for mcperformanceoption.hpp:

ql/option.hpp ql/types.hpp ql/Pricers/mcpricer.hpp ql/MonteCarlo/mctypedefs.hpp

mcperformanceoption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1022 QuantLib File Documentation

12.334 ql/Pricers/mcpricer.hpp File Reference

12.334.1 Detailed Description

base class for Monte Carlo pricers

#include <ql/dataformatters.hpp>
#include <ql/MonteCarlo/montecarlomodel.hpp>
Include dependency graph for mcpricer.hpp:

ql/dataformatters.hpp ql/MonteCarlo/montecarlomodel.hpp

mcpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.335 ql/Pricers/performanceoption.cpp File Reference 1023

12.335 ql/Pricers/performanceoption.cpp File Reference

12.335.1 Detailed Description

Performance option.computed using Monte Carlo simulation.

#include <ql/Pricers/performanceoption.hpp>
Include dependency graph for performanceoption.cpp:

functional ql/qldefines.hpp

ql/date.hpp ql/Math/errorfunction.hpp ql/Math/matrix.hpp ql/currency.hpp

ql/option.hpp ql/calendar.hpp vector ql/dataformatters.hpp

ql/payoff.hpp ql/exercise.hpp ql/Math/normaldistribution.hpp

ql/Pricers/singleassetoption.hpp

ql/Pricers/europeanoption.hpp

ql/Pricers/performanceoption.hpp

performanceoption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1024 QuantLib File Documentation

12.336 ql/Pricers/performanceoption.hpp File Reference

12.336.1 Detailed Description

Performance option.
#include <ql/Pricers/europeanoption.hpp>
Include dependency graph for performanceoption.hpp:

functional ql/qldefines.hpp

ql/date.hpp ql/Math/errorfunction.hpp ql/Math/matrix.hpp ql/currency.hpp

ql/option.hpp ql/calendar.hpp vector ql/dataformatters.hpp

ql/payoff.hpp ql/exercise.hpp ql/Math/normaldistribution.hpp

ql/Pricers/singleassetoption.hpp

ql/Pricers/europeanoption.hpp

performanceoption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.337 ql/Pricers/singleassetoption.cpp File Reference 1025

12.337 ql/Pricers/singleassetoption.cpp File Reference

12.337.1 Detailed Description

common code for option evaluation

#include <ql/Pricers/singleassetoption.hpp>
#include <ql/Solvers1D/brent.hpp>
Include dependency graph for singleassetoption.cpp:

ql/exercise.hpp ql/payoff.hpp ql/solver1d.hpp

ql/Pricers/singleassetoption.hpp ql/Solvers1D/brent.hpp

singleassetoption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1026 QuantLib File Documentation

12.338 ql/Pricers/singleassetoption.hpp File Reference

12.338.1 Detailed Description

common code for option evaluation

#include <ql/exercise.hpp>
#include <ql/payoff.hpp>
Include dependency graph for singleassetoption.hpp:

string exception ql/qldefines.hpp

typeinfo ql/errors.hpp utility ql/types.hpp functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp ql/Patterns/observable.hpp ql/argsandresults.hpp

ql/calendar.hpp ql/Patterns/lazyobject.hpp ql/pricingengine.hpp

ql/instrument.hpp

vector ql/option.hpp

ql/exercise.hpp ql/payoff.hpp

singleassetoption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.339 ql/Pricers/swaptionpricer.cpp File Reference 1027

12.339 ql/Pricers/swaptionpricer.cpp File Reference

12.339.1 Detailed Description

Swaption pricer.
#include <ql/Pricers/swaptionpricer.hpp>
Include dependency graph for swaptionpricer.cpp:

ql/Instruments/swaption.hpp ql/PricingEngines/genericengine.hpp ql/discretizedasset.hpp

ql/Pricers/swaptionpricer.hpp

swaptionpricer.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1028 QuantLib File Documentation

12.340 ql/Pricers/swaptionpricer.hpp File Reference

12.340.1 Detailed Description

Swaption pricer class.

#include <ql/Instruments/swaption.hpp>
#include <ql/PricingEngines/genericengine.hpp>
#include <ql/discretizedasset.hpp>
Include dependency graph for swaptionpricer.hpp:

ql/Instruments/swaption.hpp ql/PricingEngines/genericengine.hpp ql/discretizedasset.hpp

swaptionpricer.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.341 ql/Pricers/treecapfloor.cpp File Reference 1029

12.341 ql/Pricers/treecapfloor.cpp File Reference

12.341.1 Detailed Description

Cap/Floor calculated using a tree.

#include "ql/Pricers/treecapfloor.hpp"
#include "ql/ShortRateModels/onefactormodel.hpp"
#include <ql/Pricers/capfloorpricer.hpp>
Include dependency graph for treecapfloor.cpp:

ql/Pricers/treecapfloor.hpp ql/ShortRateModels/onefactormodel.hpp ql/Pricers/capfloorpricer.hpp

treecapfloor.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1030 QuantLib File Documentation

12.342 ql/Pricers/treecapfloor.hpp File Reference

12.342.1 Detailed Description

Cap/Floor calculated using a tree.

#include <ql/PricingEngines/latticeshortratemodelengine.hpp>
#include <ql/Instruments/capfloor.hpp>
Include dependency graph for treecapfloor.hpp:

ql/PricingEngines/latticeshortratemodelengine.hpp ql/Instruments/capfloor.hpp

treecapfloor.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.343 ql/Pricers/treeswaption.cpp File Reference 1031

12.343 ql/Pricers/treeswaption.cpp File Reference

12.343.1 Detailed Description

European swaption computed on a lattice.

#include "ql/Pricers/treeswaption.hpp"
#include <ql/Pricers/swaptionpricer.hpp>
Include dependency graph for treeswaption.cpp:

ql/PricingEngines/genericengine.hpp

ql/PricingEngines/latticeshortratemodelengine.hpp ql/Instruments/swaption.hpp ql/discretizedasset.hpp

ql/Pricers/treeswaption.hpp ql/Pricers/swaptionpricer.hpp

treeswaption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1032 QuantLib File Documentation

12.344 ql/Pricers/treeswaption.hpp File Reference

12.344.1 Detailed Description

Swaption computed using a lattice.

#include <ql/PricingEngines/latticeshortratemodelengine.hpp>
#include <ql/Instruments/swaption.hpp>
Include dependency graph for treeswaption.hpp:

ql/PricingEngines/latticeshortratemodelengine.hpp ql/Instruments/swaption.hpp

treeswaption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Pricers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.345 ql/pricingengine.hpp File Reference 1033

12.345 ql/pricingengine.hpp File Reference

12.345.1 Detailed Description

Base class for pricing engines.

#include <ql/argsandresults.hpp>
Include dependency graph for pricingengine.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

ql/null.hpp

ql/argsandresults.hpp

pricingengine.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1034 QuantLib File Documentation

12.346 ql/PricingEngines/americanmcengines.cpp File Refer-

ence

12.346.1 Detailed Description

Least-square Monte Carlo engines.

#include <ql/PricingEngines/americanmcengines.hpp>
Include dependency graph for americanmcengines.cpp:

ql/PricingEngines/americanmcengines.hpp

americanmcengines.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::PricingEngines

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.347 ql/PricingEngines/americanmcengines.hpp File Reference 1035

12.347 ql/PricingEngines/americanmcengines.hpp File Refer-

ence

12.347.1 Detailed Description

Least-square Monte Carlo engines.

#include <ql/grid.hpp>
#include <ql/Math/svd.hpp>
#include <ql/MonteCarlo/mctypedefs.hpp>
#include <ql/MonteCarlo/europeanpathpricer.hpp>
#include <ql/PricingEngines/vanillaengines.hpp>
Include dependency graph for americanmcengines.hpp:

ql/grid.hpp

ql/Math/svd.hpp

ql/MonteCarlo/mctypedefs.hpp americanmcengines.hpp

ql/MonteCarlo/europeanpathpricer.hpp

ql/PricingEngines/vanillaengines.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::PricingEngines

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1036 QuantLib File Documentation

12.348 ql/PricingEngines/analyticamericanbinaryengine.cpp
File Reference

12.348.1 Detailed Description

American binary option engine using analytic formulas.

#include <ql/PricingEngines/binaryengines.hpp>
Include dependency graph for analyticamericanbinaryengine.cpp:

ql/PricingEngines/binaryengines.hpp

analyticamericanbinaryengine.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::PricingEngines

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.349 ql/PricingEngines/analyticeuropeanbinaryengine.cpp File Reference 1037

12.349 ql/PricingEngines/analyticeuropeanbinaryengine.cpp
File Reference

12.349.1 Detailed Description

European binary option engine.

#include <ql/PricingEngines/binaryengines.hpp>
Include dependency graph for analyticeuropeanbinaryengine.cpp:

ql/PricingEngines/binaryengines.hpp

analyticeuropeanbinaryengine.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::PricingEngines

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1038 QuantLib File Documentation

12.350 ql/PricingEngines/analyticeuropeanengine.cpp File Ref-

erence

12.350.1 Detailed Description

European option engine using analytic formulas.

#include <ql/PricingEngines/vanillaengines.hpp>
Include dependency graph for analyticeuropeanengine.cpp:

ql/Instruments/vanillaoption.hpp ql/PricingEngines/genericengine.hpp ql/Math/normaldistribution.hpp

ql/PricingEngines/vanillaengines.hpp

analyticeuropeanengine.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::PricingEngines

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.351 ql/PricingEngines/barrierengines.hpp File Reference 1039

12.351 ql/PricingEngines/barrierengines.hpp File Reference

12.351.1 Detailed Description

Barrier option engines.

#include <ql/Instruments/barrieroption.hpp>
#include <ql/PricingEngines/genericengine.hpp>
#include <ql/PricingEngines/mcengine.hpp>
#include <ql/MonteCarlo/barrierpathpricer.hpp>
#include <ql/MonteCarlo/biasedbarrierpathpricer.hpp>
Include dependency graph for barrierengines.hpp:

ql/Instruments/barrieroption.hpp
ql/MonteCarlo/barrierpathpricer.hpp
barrierengines.hpp
ql/PricingEngines/genericengine.hpp

ql/PricingEngines/mcengine.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::PricingEngines

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1040 QuantLib File Documentation

12.352 ql/PricingEngines/binaryengines.hpp File Reference

12.352.1 Detailed Description

binary option engines

Based on the Vanilla Engine pattern
#include <ql/exercise.hpp>
#include <ql/handle.hpp>
#include <ql/termstructure.hpp>
#include <ql/voltermstructure.hpp>
#include <ql/MonteCarlo/binarypathpricer.hpp>
#include <ql/MonteCarlo/mctraits.hpp>
#include <ql/PricingEngines/genericengine.hpp>
#include <ql/PricingEngines/mcengine.hpp>
Include dependency graph for binaryengines.hpp:

ql/exercise.hpp

ql/handle.hpp

ql/termstructure.hpp

ql/voltermstructure.hpp
binaryengines.hpp
ql/MonteCarlo/binarypathpricer.hpp

ql/MonteCarlo/mctraits.hpp

ql/PricingEngines/genericengine.hpp

ql/PricingEngines/mcengine.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::PricingEngines

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.353 ql/PricingEngines/binomialvanillaengine.cpp File Reference 1041

12.353 ql/PricingEngines/binomialvanillaengine.cpp File Refer-

ence

12.353.1 Detailed Description

Vanilla option engine using binomial tree.

#include <ql/PricingEngines/discretizedvanillaoption.hpp>
#include <ql/Lattices/binomialtree.hpp>
#include <ql/TermStructures/flatforward.hpp>
#include <ql/Volatilities/blackconstantvol.hpp>
Include dependency graph for binomialvanillaengine.cpp:

ql/PricingEngines/discretizedvanillaoption.hpp

ql/Lattices/binomialtree.hpp
binomialvanillaengine.cpp
ql/TermStructures/flatforward.hpp

ql/Volatilities/blackconstantvol.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::PricingEngines

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1042 QuantLib File Documentation

12.354 ql/PricingEngines/cliquetengines.hpp File Reference

12.354.1 Detailed Description

Cliquet option engines.

#include <ql/Instruments/cliquetoption.hpp>
#include <ql/PricingEngines/mcengine.hpp>
Include dependency graph for cliquetengines.hpp:

ql/PricingEngines/mcengine.hpp

cliquetengines.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::PricingEngines

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.355 ql/PricingEngines/discretizedvanillaoption.cpp File Reference 1043

12.355 ql/PricingEngines/discretizedvanillaoption.cpp File Ref-

erence

12.355.1 Detailed Description

discretized vanilla option

#include <ql/PricingEngines/discretizedvanillaoption.hpp>
#include <vector>
Include dependency graph for discretizedvanillaoption.cpp:

ql/PricingEngines/discretizedvanillaoption.hpp vector

discretizedvanillaoption.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::PricingEngines

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1044 QuantLib File Documentation

12.356 ql/PricingEngines/discretizedvanillaoption.hpp File Ref-

erence

12.356.1 Detailed Description

discretized vanilla option

#include <ql/discretizedasset.hpp>
#include <ql/Lattices/bsmlattice.hpp>
#include <ql/Pricers/singleassetoption.hpp>
#include <ql/PricingEngines/vanillaengines.hpp>
Include dependency graph for discretizedvanillaoption.hpp:

ql/discretizedasset.hpp

ql/Lattices/bsmlattice.hpp
discretizedvanillaoption.hpp
ql/Pricers/singleassetoption.hpp

ql/PricingEngines/vanillaengines.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::PricingEngines

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.357 ql/PricingEngines/forwardengines.hpp File Reference 1045

12.357 ql/PricingEngines/forwardengines.hpp File Reference

12.357.1 Detailed Description

Forward (strike-resetting) option engines.

#include <ql/Instruments/forwardvanillaoption.hpp>
#include <ql/PricingEngines/genericengine.hpp>
#include <ql/Volatilities/impliedvoltermstructure.hpp>
#include <ql/TermStructures/impliedtermstructure.hpp>
Include dependency graph for forwardengines.hpp:

ql/Instruments/forwardvanillaoption.hpp

ql/PricingEngines/genericengine.hpp
forwardengines.hpp
ql/Volatilities/impliedvoltermstructure.hpp

ql/TermStructures/impliedtermstructure.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::PricingEngines

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1046 QuantLib File Documentation

12.358 ql/PricingEngines/genericengine.hpp File Reference

12.358.1 Detailed Description

Generic option engine.

#include <ql/option.hpp>
#include <ql/types.hpp>
Include dependency graph for genericengine.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp typeinfo ql/null.hpp

ql/handle.hpp list ql/argsandresults.hpp

ql/Patterns/observable.hpp ql/types.hpp

ql/Patterns/lazyobject.hpp ql/pricingengine.hpp

ql/instrument.hpp

ql/option.hpp

genericengine.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::PricingEngines

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.359 ql/PricingEngines/integralengines.cpp File Reference 1047

12.359 ql/PricingEngines/integralengines.cpp File Reference

12.359.1 Detailed Description

Option engines using the integral approach.

#include <ql/PricingEngines/vanillaengines.hpp>
#include <ql/Math/segmentintegral.hpp>
Include dependency graph for integralengines.cpp:

ql/PricingEngines/vanillaengines.hpp ql/Math/segmentintegral.hpp

integralengines.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::PricingEngines

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1048 QuantLib File Documentation

12.360 ql/PricingEngines/latticeshortratemodelengine.hpp File

Reference

12.360.1 Detailed Description

Engine for a short-rate model specialized on a lattice.

#include <ql/ShortRateModels/model.hpp>
#include <ql/PricingEngines/genericengine.hpp>
Include dependency graph for latticeshortratemodelengine.hpp:

ql/ShortRateModels/model.hpp ql/PricingEngines/genericengine.hpp

latticeshortratemodelengine.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::PricingEngines

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.361 ql/PricingEngines/mcengine.hpp File Reference 1049

12.361 ql/PricingEngines/mcengine.hpp File Reference

12.361.1 Detailed Description

base class for Monte Carlo engines

#include <ql/grid.hpp>
#include <ql/MonteCarlo/montecarlomodel.hpp>
#include <ql/MonteCarlo/europeanpathpricer.hpp>
#include <ql/PricingEngines/vanillaengines.hpp>
Include dependency graph for mcengine.hpp:

ql/grid.hpp

ql/MonteCarlo/montecarlomodel.hpp
mcengine.hpp
ql/MonteCarlo/europeanpathpricer.hpp

ql/PricingEngines/vanillaengines.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::PricingEngines

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1050 QuantLib File Documentation

12.362 ql/PricingEngines/quantoengines.hpp File Reference

12.362.1 Detailed Description

Quanto option engines.

#include <ql/Instruments/quantovanillaoption.hpp>
#include <ql/PricingEngines/genericengine.hpp>
#include <ql/TermStructures/quantotermstructure.hpp>
Include dependency graph for quantoengines.hpp:

ql/Instruments/quantovanillaoption.hpp

ql/PricingEngines/genericengine.hpp quantoengines.hpp

ql/TermStructures/quantotermstructure.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::PricingEngines

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.363 ql/PricingEngines/vanillaengines.hpp File Reference 1051

12.363 ql/PricingEngines/vanillaengines.hpp File Reference

12.363.1 Detailed Description

Vanilla option engines.

#include <ql/Instruments/vanillaoption.hpp>
#include <ql/PricingEngines/genericengine.hpp>
#include <ql/Math/normaldistribution.hpp>
Include dependency graph for vanillaengines.hpp:

ql/Instruments/vanillaoption.hpp ql/PricingEngines/genericengine.hpp ql/Math/normaldistribution.hpp

vanillaengines.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::PricingEngines

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1052 QuantLib File Documentation

12.364 ql/qldefines.hpp File Reference

12.364.1 Detailed Description

Global definitions and compiler switches.

#include <ql/config.bcc.hpp>
#include <cmath>
#include <limits>
#include <ctime>
#include <cctype>
#include <algorithm>
#include <iterator>
Include dependency graph for qldefines.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

qldefines.hpp

Namespaces
• namespace QuantLib

Defines
• #define QL_HEX_VERSION 0x000304f0
version hexadecimal number

• #define QL_VERSION "0.3.4"

version string

• #define QL_DUMMY_RETURN(x)
specific per-compiler definitions Is a dummy return statement required?

• #define QL_IO_INIT std::cout << std::string();

I/O initialization.

• #define QL_MIN_INT ((std::numeric_limits<int>::min)())

• #define QL_MAX_INT ((std::numeric_limits<int>::max)())
• #define QL_MIN_DOUBLE -((std::numeric_limits<double>::max)())
• #define QL_MAX_DOUBLE ((std::numeric_limits<double>::max)())
• #define QL_EPSILON ((std::numeric_limits<double>::epsilon)())
• #define QL_MIN_POSITIVE_DOUBLE ((std::numeric_limits<double>::min)())
• #define QL_DECLARE_TEMPLATE_SPECIALIZATIONS
Blame Microsoft for this one...

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.364 ql/qldefines.hpp File Reference 1053

• #define QL_ALLOW_TEMPLATE_METHOD_CALLS 1
Blame Microsoft for this one...

• #define QL_TYPENAME typename

Blame Microsoft for this one...

• #define QL_TEMPLATE_METAPROGRAMMING_WORKS 1
• #define QL_SPECIALIZE_ITERATOR_TRAITS(T)
• #define QL_REVERSE_ITERATOR(iterator, type) std::reverse_iterator< iterator >
Blame Microsoft for this one...

• #define QL_FULL_ITERATOR_SUPPORT

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1054 QuantLib File Documentation

12.365 ql/RandomNumbers/boxmullergaussianrng.hpp File

Reference

12.365.1 Detailed Description

Box-Muller Gaussian random-number generator.

#include <ql/MonteCarlo/sample.hpp>
Include dependency graph for boxmullergaussianrng.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

ql/MonteCarlo/sample.hpp

boxmullergaussianrng.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::RandomNumbers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.366 ql/RandomNumbers/centrallimitgaussianrng.hpp File Reference 1055

12.366 ql/RandomNumbers/centrallimitgaussianrng.hpp File

Reference

12.366.1 Detailed Description

Central limit Gaussian random-number generator.

#include <ql/MonteCarlo/sample.hpp>
Include dependency graph for centrallimitgaussianrng.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

ql/MonteCarlo/sample.hpp

centrallimitgaussianrng.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::RandomNumbers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1056 QuantLib File Documentation

12.367 ql/RandomNumbers/haltonrsg.cpp File Reference

12.367.1 Detailed Description

Halton low-discrepancy sequence generator.

#include <ql/RandomNumbers/haltonrsg.hpp>
#include <ql/RandomNumbers/rngtypedefs.hpp>
#include <ql/Math/primenumbers.hpp>
Include dependency graph for haltonrsg.cpp:

ql/RandomNumbers/haltonrsg.hpp ql/RandomNumbers/rngtypedefs.hpp ql/Math/primenumbers.hpp

haltonrsg.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::RandomNumbers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.368 ql/RandomNumbers/haltonrsg.hpp File Reference 1057

12.368 ql/RandomNumbers/haltonrsg.hpp File Reference

12.368.1 Detailed Description

Halton low-discrepancy sequence generator.

#include <ql/array.hpp>
#include <ql/MonteCarlo/sample.hpp>
#include <vector>
Include dependency graph for haltonrsg.hpp:

ql/array.hpp ql/MonteCarlo/sample.hpp vector

haltonrsg.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::RandomNumbers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1058 QuantLib File Documentation

12.369 ql/RandomNumbers/inversecumgaussianrng.hpp File

Reference

12.369.1 Detailed Description

Inverse cumulative Gaussian random-number generator.

#include <ql/MonteCarlo/sample.hpp>
Include dependency graph for inversecumgaussianrng.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

ql/MonteCarlo/sample.hpp

inversecumgaussianrng.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::RandomNumbers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.370 ql/RandomNumbers/inversecumgaussianrsg.hpp File Reference 1059

12.370 ql/RandomNumbers/inversecumgaussianrsg.hpp File

Reference

12.370.1 Detailed Description

Inverse cumulative Gaussian random sequence generator.

#include <ql/array.hpp>
#include <ql/MonteCarlo/sample.hpp>
Include dependency graph for inversecumgaussianrsg.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/array.hpp ql/MonteCarlo/sample.hpp

inversecumgaussianrsg.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::RandomNumbers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1060 QuantLib File Documentation

12.371 ql/RandomNumbers/knuthuniformrng.cpp File Refer-

ence

12.371.1 Detailed Description

Knuth uniform random number generator.

#include <ql/RandomNumbers/knuthuniformrng.hpp>
Include dependency graph for knuthuniformrng.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

ql/MonteCarlo/sample.hpp vector

ql/RandomNumbers/knuthuniformrng.hpp

knuthuniformrng.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::RandomNumbers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.372 ql/RandomNumbers/knuthuniformrng.hpp File Reference 1061

12.372 ql/RandomNumbers/knuthuniformrng.hpp File Refer-

ence

12.372.1 Detailed Description

Knuth uniform random number generator.

#include <ql/MonteCarlo/sample.hpp>
#include <vector>
Include dependency graph for knuthuniformrng.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

ql/MonteCarlo/sample.hpp vector

knuthuniformrng.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::RandomNumbers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1062 QuantLib File Documentation

12.373 ql/RandomNumbers/lecuyeruniformrng.cpp File Refer-

ence

12.373.1 Detailed Description

L’Ecuyer uniform random number generator.

#include <ql/RandomNumbers/lecuyeruniformrng.hpp>
Include dependency graph for lecuyeruniformrng.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

ql/MonteCarlo/sample.hpp iostream string vector

ql/RandomNumbers/lecuyeruniformrng.hpp

lecuyeruniformrng.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::RandomNumbers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.374 ql/RandomNumbers/lecuyeruniformrng.hpp File Reference 1063

12.374 ql/RandomNumbers/lecuyeruniformrng.hpp File Refer-

ence

12.374.1 Detailed Description

L’Ecuyer uniform random number generator.

#include <ql/MonteCarlo/sample.hpp>
#include <iostream>
#include <string>
#include <vector>
Include dependency graph for lecuyeruniformrng.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

ql/MonteCarlo/sample.hpp iostream string vector

lecuyeruniformrng.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::RandomNumbers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1064 QuantLib File Documentation

12.375 ql/RandomNumbers/mt19937uniformrng.cpp File Refer-

ence

12.375.1 Detailed Description

Mersenne Twister uniform random number generator.

#include <ql/RandomNumbers/mt19937uniformrng.hpp>
Include dependency graph for mt19937uniformrng.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

ql/MonteCarlo/sample.hpp ql/types.hpp vector

ql/RandomNumbers/mt19937uniformrng.hpp

mt19937uniformrng.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::RandomNumbers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.376 ql/RandomNumbers/mt19937uniformrng.hpp File Reference 1065

12.376 ql/RandomNumbers/mt19937uniformrng.hpp File Refer-

ence

12.376.1 Detailed Description

Mersenne Twister uniform random number generator.

#include <ql/MonteCarlo/sample.hpp>
#include <ql/types.hpp>
#include <vector>
Include dependency graph for mt19937uniformrng.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

ql/MonteCarlo/sample.hpp ql/types.hpp vector

mt19937uniformrng.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::RandomNumbers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1066 QuantLib File Documentation

12.377 ql/RandomNumbers/randomarraygenerator.hpp File

Reference

12.377.1 Detailed Description

Generates random arrays from a random number generator.

#include <ql/MonteCarlo/sample.hpp>
#include <ql/dataformatters.hpp>
Include dependency graph for randomarraygenerator.hpp:

ctime cctype algorithm ql/config.bcc.hpp cmath limits iterator

ql/qldefines.hpp ql/Utilities/steppingiterator.hpp

utility ql/types.hpp ql/errors.hpp functional

ql/date.hpp ql/array.hpp ql/currency.hpp

ql/MonteCarlo/sample.hpp ql/Math/matrix.hpp

ql/dataformatters.hpp

randomarraygenerator.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::RandomNumbers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.378 ql/RandomNumbers/randomsequencegenerator.hpp File Reference 1067

12.378 ql/RandomNumbers/randomsequencegenerator.hpp File

Reference

12.378.1 Detailed Description

Random sequence generator based on a pseudo-random number generator.

#include <ql/array.hpp>
#include <ql/MonteCarlo/sample.hpp>
Include dependency graph for randomsequencegenerator.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

ql/errors.hpp ql/types.hpp ql/disposable.hpp functional numeric iostream

ql/array.hpp ql/MonteCarlo/sample.hpp

randomsequencegenerator.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::RandomNumbers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1068 QuantLib File Documentation

12.379 ql/RandomNumbers/rngtypedefs.hpp File Reference

12.379.1 Detailed Description

Default choices for template instantiations.

#include <ql/MonteCarlo/mctraits.hpp>
Include dependency graph for rngtypedefs.hpp:

ql/MonteCarlo/mctraits.hpp

rngtypedefs.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::RandomNumbers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.380 ql/RandomNumbers/sobolrsg.cpp File Reference 1069

12.380 ql/RandomNumbers/sobolrsg.cpp File Reference

12.380.1 Detailed Description

Sobol low-discrepancy sequence generator.

#include <ql/RandomNumbers/sobolrsg.hpp>
#include <ql/RandomNumbers/primitivepolynomials.h>
#include <ql/RandomNumbers/mt19937uniformrng.hpp>
#include <ql/dataformatters.hpp>
Include dependency graph for sobolrsg.cpp:

ql/RandomNumbers/sobolrsg.hpp ql/RandomNumbers/mt19937uniformrng.hpp ql/dataformatters.hpp

sobolrsg.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::RandomNumbers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1070 QuantLib File Documentation

12.381 ql/RandomNumbers/sobolrsg.hpp File Reference

12.381.1 Detailed Description

Sobol low-discrepancy sequence generator.

#include <ql/array.hpp>
#include <ql/MonteCarlo/sample.hpp>
#include <vector>
Include dependency graph for sobolrsg.hpp:

ql/array.hpp ql/MonteCarlo/sample.hpp vector

sobolrsg.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::RandomNumbers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.382 ql/relinkablehandle.hpp File Reference 1071

12.382 ql/relinkablehandle.hpp File Reference

12.382.1 Detailed Description

Globally accessible relinkable pointer.

#include <ql/Patterns/observable.hpp>
Include dependency graph for relinkablehandle.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp exception string

ql/errors.hpp typeinfo

ql/handle.hpp list

ql/Patterns/observable.hpp

relinkablehandle.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1072 QuantLib File Documentation

12.383 ql/scheduler.cpp File Reference

12.383.1 Detailed Description

date scheduler
#include <ql/scheduler.hpp>
#include <ql/dataformatters.hpp>
Include dependency graph for scheduler.cpp:

ql/date.hpp ql/currency.hpp ql/Math/matrix.hpp

ql/calendar.hpp ql/null.hpp vector ql/dataformatters.hpp

ql/scheduler.hpp

scheduler.cpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.384 ql/scheduler.hpp File Reference 1073

12.384 ql/scheduler.hpp File Reference

12.384.1 Detailed Description

date scheduler
#include <ql/calendar.hpp>
#include <ql/null.hpp>
#include <vector>
Include dependency graph for scheduler.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

ql/handle.hpp ql/date.hpp

ql/Patterns/bridge.hpp ql/null.hpp

ql/calendar.hpp vector

scheduler.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1074 QuantLib File Documentation

12.385 ql/ShortRateModels/calibrationhelper.cpp File Refer-

ence

12.385.1 Detailed Description

Calibration helper class.

#include "ql/ShortRateModels/calibrationhelper.hpp"
#include "ql/Solvers1D/brent.hpp"
Include dependency graph for calibrationhelper.cpp:

ql/grid.hpp ql/blackmodel.hpp ql/pricingengine.hpp ql/solver1d.hpp

ql/ShortRateModels/calibrationhelper.hpp ql/Solvers1D/brent.hpp

calibrationhelper.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.386 ql/ShortRateModels/calibrationhelper.hpp File Reference 1075

12.386 ql/ShortRateModels/calibrationhelper.hpp File Refer-

ence

12.386.1 Detailed Description

Calibration helper class.

#include <ql/grid.hpp>
#include <ql/blackmodel.hpp>
#include <ql/pricingengine.hpp>
Include dependency graph for calibrationhelper.hpp:

list vector ql/dataformatters.hpp

ql/grid.hpp ql/termstructure.hpp ql/Math/normaldistribution.hpp ql/argsandresults.hpp

ql/blackmodel.hpp ql/pricingengine.hpp

calibrationhelper.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1076 QuantLib File Documentation

12.387 ql/ShortRateModels/CalibrationHelpers/caphelper.cpp
File Reference

12.387.1 Detailed Description

Cap calibration helper.

#include "ql/ShortRateModels/CalibrationHelpers/caphelper.hpp"
#include "ql/CashFlows/cashflowvectors.hpp"
#include "ql/Instruments/swap.hpp"
#include "ql/Pricers/blackcapfloor.hpp"
Include dependency graph for caphelper.cpp:

ql/ShortRateModels/CalibrationHelpers/caphelper.hpp

ql/CashFlows/cashflowvectors.hpp
caphelper.cpp
ql/Instruments/swap.hpp

ql/Pricers/blackcapfloor.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels
• namespace QuantLib::ShortRateModels::CalibrationHelpers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.388 ql/ShortRateModels/CalibrationHelpers/caphelper.hpp File Reference 1077

12.388 ql/ShortRateModels/CalibrationHelpers/caphelper.hpp
File Reference

12.388.1 Detailed Description

CapHelper calibration helper.

#include "ql/ShortRateModels/calibrationhelper.hpp"
#include "ql/Instruments/capfloor.hpp"
#include "ql/Indexes/xibor.hpp"
Include dependency graph for caphelper.hpp:

ql/ShortRateModels/calibrationhelper.hpp ql/Instruments/capfloor.hpp ql/Indexes/xibor.hpp

caphelper.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels
• namespace QuantLib::ShortRateModels::CalibrationHelpers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1078 QuantLib File Documentation

12.389 ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp
File Reference

12.389.1 Detailed Description

Swaption calibration helper.

#include "ql/CashFlows/floatingratecoupon.hpp"
#include "ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp"
#include "ql/Pricers/blackswaption.hpp"
Include dependency graph for swaptionhelper.cpp:

ql/CashFlows/floatingratecoupon.hpp

ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp swaptionhelper.cpp

ql/Pricers/blackswaption.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels
• namespace QuantLib::ShortRateModels::CalibrationHelpers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.390 ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp File Reference 1079

12.390 ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp
File Reference

12.390.1 Detailed Description

Swaption calibration helper.

#include <ql/ShortRateModels/calibrationhelper.hpp>
#include <ql/Instruments/swaption.hpp>
Include dependency graph for swaptionhelper.hpp:

ql/ShortRateModels/calibrationhelper.hpp ql/Instruments/swaption.hpp

swaptionhelper.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels
• namespace QuantLib::ShortRateModels::CalibrationHelpers

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1080 QuantLib File Documentation

12.391 ql/ShortRateModels/model.cpp File Reference

12.391.1 Detailed Description

Abstract interest rate model class.

#include "ql/ShortRateModels/model.hpp"
Include dependency graph for model.cpp:

ql/ShortRateModels/model.hpp

model.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.392 ql/ShortRateModels/model.hpp File Reference 1081

12.392 ql/ShortRateModels/model.hpp File Reference

12.392.1 Detailed Description

Abstract interest rate model class.

#include <ql/option.hpp>
#include <ql/Lattices/lattice.hpp>
#include <ql/ShortRateModels/parameter.hpp>
#include <ql/ShortRateModels/calibrationhelper.hpp>
#include <ql/Optimization/problem.hpp>
Include dependency graph for model.hpp:

ql/option.hpp

ql/Lattices/lattice.hpp

ql/ShortRateModels/parameter.hpp model.hpp

ql/ShortRateModels/calibrationhelper.hpp

ql/Optimization/problem.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1082 QuantLib File Documentation

12.393 ql/ShortRateModels/onefactormodel.cpp File Reference

12.393.1 Detailed Description

Abstract one-factor interest rate model class.

#include "ql/ShortRateModels/onefactormodel.hpp"
#include "ql/Lattices/trinomialtree.hpp"
#include "ql/Solvers1D/brent.hpp"
Include dependency graph for onefactormodel.cpp:

ql/ShortRateModels/model.hpp ql/diffusionprocess.hpp ql/Lattices/tree.hpp ql/solver1d.hpp

ql/ShortRateModels/onefactormodel.hpp ql/Lattices/trinomialtree.hpp ql/Solvers1D/brent.hpp

onefactormodel.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.394 ql/ShortRateModels/onefactormodel.hpp File Reference 1083

12.394 ql/ShortRateModels/onefactormodel.hpp File Reference

12.394.1 Detailed Description

Abstract one-factor interest rate model class.

#include <ql/diffusionprocess.hpp>
#include <ql/ShortRateModels/model.hpp>
#include <ql/Lattices/tree.hpp>
Include dependency graph for onefactormodel.hpp:

ql/diffusionprocess.hpp ql/ShortRateModels/model.hpp ql/Lattices/tree.hpp

onefactormodel.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1084 QuantLib File Documentation

12.395 ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp
File Reference

12.395.1 Detailed Description

Black-Karasinski model.
#include "ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp"
#include "ql/Lattices/trinomialtree.hpp"
#include "ql/Solvers1D/brent.hpp"
Include dependency graph for blackkarasinski.cpp:

ql/diffusionprocess.hpp ql/Lattices/tree.hpp

ql/Lattices/trinomialtree.hpp ql/ShortRateModels/onefactormodel.hpp ql/solver1d.hpp

ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp ql/Solvers1D/brent.hpp

blackkarasinski.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.396 ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp File Reference 1085

12.396 ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp
File Reference

12.396.1 Detailed Description

Black-Karasinski model.
#include <ql/ShortRateModels/onefactormodel.hpp>
Include dependency graph for blackkarasinski.hpp:

ql/diffusionprocess.hpp ql/ShortRateModels/model.hpp ql/Lattices/tree.hpp

ql/ShortRateModels/onefactormodel.hpp

blackkarasinski.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1086 QuantLib File Documentation

12.397 ql/ShortRateModels/OneFactorModels/coxingersollross.cpp
File Reference

12.397.1 Detailed Description

Cox-Ingersoll-Ross model.
#include "ql/ShortRateModels/OneFactorModels/coxingersollross.hpp"
#include "ql/Lattices/trinomialtree.hpp"
#include "ql/Math/chisquaredistribution.hpp"
Include dependency graph for coxingersollross.cpp:

ql/ShortRateModels/OneFactorModels/coxingersollross.hpp

ql/Lattices/trinomialtree.hpp coxingersollross.cpp

ql/Math/chisquaredistribution.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.398 ql/ShortRateModels/OneFactorModels/coxingersollross.hpp File Reference 1087

12.398 ql/ShortRateModels/OneFactorModels/coxingersollross.hpp
File Reference

12.398.1 Detailed Description

Cox-Ingersoll-Ross model.
#include <ql/ShortRateModels/onefactormodel.hpp>
Include dependency graph for coxingersollross.hpp:

ql/diffusionprocess.hpp ql/ShortRateModels/model.hpp ql/Lattices/tree.hpp

ql/ShortRateModels/onefactormodel.hpp

coxingersollross.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1088 QuantLib File Documentation

12.399 ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
File Reference

12.399.1 Detailed Description

extended Cox-Ingersoll-Ross model

#include <ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp>
#include "ql/Lattices/trinomialtree.hpp"
#include <ql/Math/chisquaredistribution.hpp>
Include dependency graph for extendedcoxingersollross.cpp:

ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp

ql/Lattices/trinomialtree.hpp extendedcoxingersollross.cpp

ql/Math/chisquaredistribution.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.400 ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp File Reference
1089

12.400 ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
File Reference

12.400.1 Detailed Description

Extended Cox-Ingersoll-Ross model.

#include <ql/ShortRateModels/OneFactorModels/coxingersollross.hpp>
Include dependency graph for extendedcoxingersollross.hpp:

ql/diffusionprocess.hpp ql/ShortRateModels/model.hpp ql/Lattices/tree.hpp

ql/ShortRateModels/onefactormodel.hpp

ql/ShortRateModels/OneFactorModels/coxingersollross.hpp

extendedcoxingersollross.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1090 QuantLib File Documentation

12.401 ql/ShortRateModels/OneFactorModels/hullwhite.cpp
File Reference

12.401.1 Detailed Description

Hull & White model.

#include "ql/ShortRateModels/OneFactorModels/hullwhite.hpp"
#include "ql/Lattices/trinomialtree.hpp"
#include "ql/blackmodel.hpp"
Include dependency graph for hullwhite.cpp:

ql/ShortRateModels/model.hpp ql/Lattices/tree.hpp ql/diffusionprocess.hpp

ql/ShortRateModels/onefactormodel.hpp ql/Lattices/trinomialtree.hpp

ql/ShortRateModels/OneFactorModels/vasicek.hpp

ql/ShortRateModels/OneFactorModels/hullwhite.hpp ql/blackmodel.hpp

hullwhite.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.402 ql/ShortRateModels/OneFactorModels/hullwhite.hpp File Reference 1091

12.402 ql/ShortRateModels/OneFactorModels/hullwhite.hpp
File Reference

12.402.1 Detailed Description

Hull & White (HW) model.

#include <ql/ShortRateModels/OneFactorModels/vasicek.hpp>
Include dependency graph for hullwhite.hpp:

ql/diffusionprocess.hpp ql/ShortRateModels/model.hpp ql/Lattices/tree.hpp

ql/ShortRateModels/onefactormodel.hpp

ql/ShortRateModels/OneFactorModels/vasicek.hpp

hullwhite.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1092 QuantLib File Documentation

12.403 ql/ShortRateModels/OneFactorModels/vasicek.cpp File

Reference

12.403.1 Detailed Description

Vasicek model class.

#include "ql/ShortRateModels/OneFactorModels/vasicek.hpp"
#include "ql/blackmodel.hpp"
Include dependency graph for vasicek.cpp:

ql/diffusionprocess.hpp ql/ShortRateModels/model.hpp ql/Lattices/tree.hpp

ql/ShortRateModels/onefactormodel.hpp

ql/ShortRateModels/OneFactorModels/vasicek.hpp ql/blackmodel.hpp

vasicek.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.404 ql/ShortRateModels/OneFactorModels/vasicek.hpp File Reference 1093

12.404 ql/ShortRateModels/OneFactorModels/vasicek.hpp File

Reference

12.404.1 Detailed Description

Vasicek model class.

#include <ql/ShortRateModels/onefactormodel.hpp>
Include dependency graph for vasicek.hpp:

ql/diffusionprocess.hpp ql/ShortRateModels/model.hpp ql/Lattices/tree.hpp

ql/ShortRateModels/onefactormodel.hpp

vasicek.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1094 QuantLib File Documentation

12.405 ql/ShortRateModels/parameter.hpp File Reference

12.405.1 Detailed Description

Model parameter classes.

#include <ql/qldefines.hpp>
#include <ql/termstructure.hpp>
#include <ql/Optimization/constraint.hpp>
Include dependency graph for parameter.hpp:

ql/qldefines.hpp ql/termstructure.hpp ql/Optimization/constraint.hpp

parameter.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.406 ql/ShortRateModels/twofactormodel.cpp File Reference 1095

12.406 ql/ShortRateModels/twofactormodel.cpp File Reference

12.406.1 Detailed Description

Abstract two-factor interest rate model class.

#include <ql/ShortRateModels/twofactormodel.hpp>
Include dependency graph for twofactormodel.cpp:

ql/diffusionprocess.hpp ql/ShortRateModels/model.hpp ql/Lattices/lattice2d.hpp

ql/ShortRateModels/twofactormodel.hpp

twofactormodel.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1096 QuantLib File Documentation

12.407 ql/ShortRateModels/twofactormodel.hpp File Reference

12.407.1 Detailed Description

Abstract two-factor interest rate model class.

#include <ql/diffusionprocess.hpp>
#include <ql/ShortRateModels/model.hpp>
#include <ql/Lattices/lattice2d.hpp>
Include dependency graph for twofactormodel.hpp:

ql/diffusionprocess.hpp ql/ShortRateModels/model.hpp ql/Lattices/lattice2d.hpp

twofactormodel.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.408 ql/ShortRateModels/TwoFactorModels/g2.cpp File Reference 1097

12.408 ql/ShortRateModels/TwoFactorModels/g2.cpp File Ref-

erence

12.408.1 Detailed Description

Two-factor additive Gaussian Model G2++.

#include "ql/ShortRateModels/TwoFactorModels/g2.hpp"
#include "ql/blackmodel.hpp"
#include "ql/Math/segmentintegral.hpp"
#include "ql/Solvers1D/brent.hpp"
Include dependency graph for g2.cpp:

ql/ShortRateModels/TwoFactorModels/g2.hpp

ql/blackmodel.hpp
g2.cpp
ql/Math/segmentintegral.hpp

ql/Solvers1D/brent.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1098 QuantLib File Documentation

12.409 ql/ShortRateModels/TwoFactorModels/g2.hpp File Ref-

erence

12.409.1 Detailed Description

Two-factor additive Gaussian Model G2++.

#include <ql/ShortRateModels/twofactormodel.hpp>
#include <ql/Instruments/swaption.hpp>
Include dependency graph for g2.hpp:

ql/ShortRateModels/twofactormodel.hpp ql/Instruments/swaption.hpp

g2.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::ShortRateModels

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.410 ql/solver1d.hpp File Reference 1099

12.410 ql/solver1d.hpp File Reference

12.410.1 Detailed Description

Abstract 1-D solver class.

#include <ql/null.hpp>
#include <ql/dataformatters.hpp>
#include <ql/Patterns/curiouslyrecurring.hpp>
Include dependency graph for solver1d.hpp:

iterator limits ctime cctype algorithm ql/config.bcc.hpp cmath

ql/Utilities/steppingiterator.hpp ql/qldefines.hpp

functional ql/errors.hpp ql/types.hpp utility

ql/array.hpp ql/date.hpp ql/currency.hpp

ql/Math/matrix.hpp ql/null.hpp

ql/dataformatters.hpp ql/Patterns/curiouslyrecurring.hpp

solver1d.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Solvers1D

Defines
• #define MAX_FUNCTION_EVALUATIONS 100

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1100 QuantLib File Documentation

12.411 ql/Solvers1D/bisection.hpp File Reference

12.411.1 Detailed Description

bisection 1-D solver

#include <ql/solver1d.hpp>
Include dependency graph for bisection.hpp:

iterator limits ctime cctype algorithm ql/config.bcc.hpp cmath

ql/Utilities/steppingiterator.hpp ql/qldefines.hpp

functional ql/errors.hpp ql/types.hpp utility

ql/array.hpp ql/date.hpp ql/currency.hpp

ql/Math/matrix.hpp ql/null.hpp

ql/dataformatters.hpp ql/Patterns/curiouslyrecurring.hpp

ql/solver1d.hpp

bisection.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Solvers1D

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.412 ql/Solvers1D/brent.hpp File Reference 1101

12.412 ql/Solvers1D/brent.hpp File Reference

12.412.1 Detailed Description

Brent 1-D solver.

#include <ql/solver1d.hpp>
Include dependency graph for brent.hpp:

iterator limits ctime cctype algorithm ql/config.bcc.hpp cmath

ql/Utilities/steppingiterator.hpp ql/qldefines.hpp

functional ql/errors.hpp ql/types.hpp utility

ql/array.hpp ql/date.hpp ql/currency.hpp

ql/Math/matrix.hpp ql/null.hpp

ql/dataformatters.hpp ql/Patterns/curiouslyrecurring.hpp

ql/solver1d.hpp

brent.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Solvers1D

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1102 QuantLib File Documentation

12.413 ql/Solvers1D/falseposition.hpp File Reference

12.413.1 Detailed Description

false-position 1-D solver

#include <ql/solver1d.hpp>
Include dependency graph for falseposition.hpp:

iterator limits ctime cctype algorithm ql/config.bcc.hpp cmath

ql/Utilities/steppingiterator.hpp ql/qldefines.hpp

functional ql/errors.hpp ql/types.hpp utility

ql/array.hpp ql/date.hpp ql/currency.hpp

ql/Math/matrix.hpp ql/null.hpp

ql/dataformatters.hpp ql/Patterns/curiouslyrecurring.hpp

ql/solver1d.hpp

falseposition.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Solvers1D

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.414 ql/Solvers1D/newton.hpp File Reference 1103

12.414 ql/Solvers1D/newton.hpp File Reference

12.414.1 Detailed Description

Newton 1-D solver.

#include <ql/Solvers1D/newtonsafe.hpp>
Include dependency graph for newton.hpp:

iterator limits ctime cctype algorithm ql/config.bcc.hpp cmath

ql/Utilities/steppingiterator.hpp ql/qldefines.hpp

functional ql/errors.hpp ql/types.hpp utility

ql/array.hpp ql/date.hpp ql/currency.hpp

ql/Math/matrix.hpp ql/null.hpp

ql/dataformatters.hpp ql/Patterns/curiouslyrecurring.hpp

ql/solver1d.hpp

ql/Solvers1D/newtonsafe.hpp

newton.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Solvers1D

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1104 QuantLib File Documentation

12.415 ql/Solvers1D/newtonsafe.hpp File Reference

12.415.1 Detailed Description

Safe (bracketed) Newton 1-D solver.

#include <ql/solver1d.hpp>
Include dependency graph for newtonsafe.hpp:

iterator limits ctime cctype algorithm ql/config.bcc.hpp cmath

ql/Utilities/steppingiterator.hpp ql/qldefines.hpp

functional ql/errors.hpp ql/types.hpp utility

ql/array.hpp ql/date.hpp ql/currency.hpp

ql/Math/matrix.hpp ql/null.hpp

ql/dataformatters.hpp ql/Patterns/curiouslyrecurring.hpp

ql/solver1d.hpp

newtonsafe.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Solvers1D

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.416 ql/Solvers1D/ridder.hpp File Reference 1105

12.416 ql/Solvers1D/ridder.hpp File Reference

12.416.1 Detailed Description

Ridder 1-D solver.

#include <ql/solver1d.hpp>
Include dependency graph for ridder.hpp:

iterator limits ctime cctype algorithm ql/config.bcc.hpp cmath

ql/Utilities/steppingiterator.hpp ql/qldefines.hpp

functional ql/errors.hpp ql/types.hpp utility

ql/array.hpp ql/date.hpp ql/currency.hpp

ql/Math/matrix.hpp ql/null.hpp

ql/dataformatters.hpp ql/Patterns/curiouslyrecurring.hpp

ql/solver1d.hpp

ridder.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Solvers1D

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1106 QuantLib File Documentation

12.417 ql/Solvers1D/secant.hpp File Reference

12.417.1 Detailed Description

secant 1-D solver

#include <ql/solver1d.hpp>
Include dependency graph for secant.hpp:

iterator limits ctime cctype algorithm ql/config.bcc.hpp cmath

ql/Utilities/steppingiterator.hpp ql/qldefines.hpp

functional ql/errors.hpp ql/types.hpp utility

ql/array.hpp ql/date.hpp ql/currency.hpp

ql/Math/matrix.hpp ql/null.hpp

ql/dataformatters.hpp ql/Patterns/curiouslyrecurring.hpp

ql/solver1d.hpp

secant.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Solvers1D

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.418 ql/swaptionvolstructure.hpp File Reference 1107

12.418 ql/swaptionvolstructure.hpp File Reference

12.418.1 Detailed Description

Swaption volatility structure.

#include <ql/daycounter.hpp>
#include <ql/Patterns/observable.hpp>
Include dependency graph for swaptionvolstructure.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

exception string ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

list ql/handle.hpp ql/date.hpp

ql/Patterns/observable.hpp ql/Patterns/bridge.hpp

ql/daycounter.hpp

swaptionvolstructure.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1108 QuantLib File Documentation

12.419 ql/termstructure.hpp File Reference

12.419.1 Detailed Description

Term structure.
#include <ql/calendar.hpp>
#include <ql/daycounter.hpp>
#include <ql/dataformatters.hpp>
#include <ql/marketelement.hpp>
#include <vector>
Include dependency graph for termstructure.hpp:

ql/Patterns/bridge.hpp ql/date.hpp ql/Math/matrix.hpp ql/currency.hpp ql/relinkablehandle.hpp

ql/daycounter.hpp ql/calendar.hpp ql/dataformatters.hpp ql/marketelement.hpp vector

termstructure.hpp

Namespaces
• namespace QuantLib::TermStructures
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.420 ql/TermStructures/affinetermstructure.cpp File Reference 1109

12.420 ql/TermStructures/affinetermstructure.cpp File Reference

12.420.1 Detailed Description

Affine term-structure.
#include <ql/TermStructures/affinetermstructure.hpp>
Include dependency graph for affinetermstructure.cpp:

ql/TermStructures/affinetermstructure.hpp

affinetermstructure.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1110 QuantLib File Documentation

12.421 ql/TermStructures/affinetermstructure.hpp File Refer-

ence

12.421.1 Detailed Description

Affine term structure.

#include <ql/dataformatters.hpp>
#include <ql/ShortRateModels/model.hpp>
#include <ql/Optimization/method.hpp>
#include <ql/TermStructures/ratehelpers.hpp>
Include dependency graph for affinetermstructure.hpp:

ql/dataformatters.hpp

ql/ShortRateModels/model.hpp
affinetermstructure.hpp
ql/Optimization/method.hpp

ql/TermStructures/ratehelpers.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.422 ql/TermStructures/compoundforward.cpp File Reference 1111

12.422 ql/TermStructures/compoundforward.cpp File Reference

12.422.1 Detailed Description

compounded forward term structure

#include <ql/TermStructures/compoundforward.hpp>
#include <ql/TermStructures/extendeddiscountcurve.hpp>
Include dependency graph for compoundforward.cpp:

ql/termstructure.hpp ql/Math/loglinearinterpolation.hpp

ql/TermStructures/discountcurve.hpp map ql/TermStructures/compoundforward.hpp

ql/TermStructures/extendeddiscountcurve.hpp

compoundforward.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1112 QuantLib File Documentation

12.423 ql/TermStructures/compoundforward.hpp File Refer-

ence

12.423.1 Detailed Description

compounded forward term structure

#include <ql/termstructure.hpp>
#include <ql/Math/loglinearinterpolation.hpp>
Include dependency graph for compoundforward.hpp:

ql/termstructure.hpp ql/Math/loglinearinterpolation.hpp

compoundforward.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.424 ql/TermStructures/discountcurve.cpp File Reference 1113

12.424 ql/TermStructures/discountcurve.cpp File Reference

12.424.1 Detailed Description

Term structure based on loglinear interpolation of discount factors.

#include <ql/TermStructures/discountcurve.hpp>
#include <ql/TermStructures/compoundforward.hpp>
Include dependency graph for discountcurve.cpp:

ql/DayCounters/actual365.hpp ql/Math/loglinearinterpolation.hpp ql/termstructure.hpp

ql/TermStructures/discountcurve.hpp ql/TermStructures/compoundforward.hpp

discountcurve.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1114 QuantLib File Documentation

12.425 ql/TermStructures/discountcurve.hpp File Reference

12.425.1 Detailed Description

pre-bootstrapped discount factor structure

#include <ql/termstructure.hpp>
#include <ql/DayCounters/actual365.hpp>
#include <ql/Math/loglinearinterpolation.hpp>
Include dependency graph for discountcurve.hpp:

ql/termstructure.hpp ql/DayCounters/actual365.hpp ql/Math/loglinearinterpolation.hpp

discountcurve.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.426 ql/TermStructures/drifttermstructure.hpp File Reference 1115

12.426 ql/TermStructures/drifttermstructure.hpp File Reference

12.426.1 Detailed Description

Drift term structure.

#include <ql/termstructure.hpp>
#include <ql/voltermstructure.hpp>
Include dependency graph for drifttermstructure.hpp:

ql/termstructure.hpp ql/voltermstructure.hpp

drifttermstructure.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1116 QuantLib File Documentation

12.427 ql/TermStructures/extendeddiscountcurve.cpp File Ref-

erence

12.427.1 Detailed Description

discount factor structure with detailed compound-forward calculation

#include <ql/TermStructures/extendeddiscountcurve.hpp>
#include <ql/TermStructures/compoundforward.hpp>
Include dependency graph for extendeddiscountcurve.cpp:

ql/DayCounters/actual365.hpp ql/Math/loglinearinterpolation.hpp ql/termstructure.hpp

map ql/TermStructures/discountcurve.hpp ql/TermStructures/compoundforward.hpp

ql/TermStructures/extendeddiscountcurve.hpp

extendeddiscountcurve.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.428 ql/TermStructures/extendeddiscountcurve.hpp File Reference 1117

12.428 ql/TermStructures/extendeddiscountcurve.hpp File Ref-

erence

12.428.1 Detailed Description

discount factor structure with detailed compound-forward calculation

#include <ql/TermStructures/discountcurve.hpp>
#include <map>
Include dependency graph for extendeddiscountcurve.hpp:

ql/termstructure.hpp ql/DayCounters/actual365.hpp ql/Math/loglinearinterpolation.hpp

ql/TermStructures/discountcurve.hpp map

extendeddiscountcurve.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1118 QuantLib File Documentation

12.429 ql/TermStructures/flatforward.hpp File Reference

12.429.1 Detailed Description

flat forward rate term structure

#include <ql/termstructure.hpp>
Include dependency graph for flatforward.hpp:

ql/Patterns/bridge.hpp ql/date.hpp ql/Math/matrix.hpp ql/currency.hpp ql/relinkablehandle.hpp

ql/daycounter.hpp ql/calendar.hpp ql/dataformatters.hpp ql/marketelement.hpp vector

ql/termstructure.hpp

flatforward.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.430 ql/TermStructures/forwardspreadedtermstructure.hpp File Reference 1119

12.430 ql/TermStructures/forwardspreadedtermstructure.hpp
File Reference

12.430.1 Detailed Description

Forward spreaded term structure.

#include <ql/termstructure.hpp>
Include dependency graph for forwardspreadedtermstructure.hpp:

ql/Patterns/bridge.hpp ql/date.hpp ql/Math/matrix.hpp ql/currency.hpp ql/relinkablehandle.hpp

ql/daycounter.hpp ql/calendar.hpp ql/dataformatters.hpp ql/marketelement.hpp vector

ql/termstructure.hpp

forwardspreadedtermstructure.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1120 QuantLib File Documentation

12.431 ql/TermStructures/impliedtermstructure.hpp File Refer-

ence

12.431.1 Detailed Description

Implied term structure.

#include <ql/termstructure.hpp>
Include dependency graph for impliedtermstructure.hpp:

ql/Patterns/bridge.hpp ql/date.hpp ql/Math/matrix.hpp ql/currency.hpp ql/relinkablehandle.hpp

ql/daycounter.hpp ql/calendar.hpp ql/dataformatters.hpp ql/marketelement.hpp vector

ql/termstructure.hpp

impliedtermstructure.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.432 ql/TermStructures/piecewiseflatforward.cpp File Reference 1121

12.432 ql/TermStructures/piecewiseflatforward.cpp File Refer-

ence

12.432.1 Detailed Description

piecewise flat forward term structure

#include <ql/TermStructures/piecewiseflatforward.hpp>
#include <ql/Solvers1D/brent.hpp>
Include dependency graph for piecewiseflatforward.cpp:

ql/Instruments/simpleswap.hpp ql/null.hpp ql/dataformatters.hpp ql/Patterns/curiouslyrecurring.hpp

ql/TermStructures/ratehelpers.hpp ql/solver1d.hpp

ql/TermStructures/piecewiseflatforward.hpp ql/Solvers1D/brent.hpp

piecewiseflatforward.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1122 QuantLib File Documentation

12.433 ql/TermStructures/piecewiseflatforward.hpp File Refer-

ence

12.433.1 Detailed Description

piecewise flat forward term structure

#include <ql/TermStructures/ratehelpers.hpp>
#include <ql/solver1d.hpp>
Include dependency graph for piecewiseflatforward.hpp:

ql/Instruments/simpleswap.hpp ql/null.hpp ql/dataformatters.hpp ql/Patterns/curiouslyrecurring.hpp

ql/TermStructures/ratehelpers.hpp ql/solver1d.hpp

piecewiseflatforward.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.434 ql/TermStructures/quantotermstructure.hpp File Reference 1123

12.434 ql/TermStructures/quantotermstructure.hpp File Refer-

ence

12.434.1 Detailed Description

Quanto term structure.

#include <ql/termstructure.hpp>
#include <ql/voltermstructure.hpp>
Include dependency graph for quantotermstructure.hpp:

ql/termstructure.hpp ql/voltermstructure.hpp

quantotermstructure.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1124 QuantLib File Documentation

12.435 ql/TermStructures/ratehelpers.cpp File Reference

12.435.1 Detailed Description

rate helpers base class

#include <ql/TermStructures/ratehelpers.hpp>
Include dependency graph for ratehelpers.cpp:

ql/Instruments/swap.hpp ql/Indexes/xibor.hpp ql/scheduler.hpp

ql/Instruments/simpleswap.hpp

ql/TermStructures/ratehelpers.hpp

ratehelpers.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.436 ql/TermStructures/ratehelpers.hpp File Reference 1125

12.436 ql/TermStructures/ratehelpers.hpp File Reference

12.436.1 Detailed Description

rate helpers base class

#include <ql/Instruments/simpleswap.hpp>
Include dependency graph for ratehelpers.hpp:

ql/Instruments/swap.hpp ql/Indexes/xibor.hpp ql/scheduler.hpp

ql/Instruments/simpleswap.hpp

ratehelpers.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1126 QuantLib File Documentation

12.437 ql/TermStructures/zerocurve.cpp File Reference

12.437.1 Detailed Description

Term structure based on linear interpolation of zero yields.

#include <ql/TermStructures/zerocurve.hpp>
Include dependency graph for zerocurve.cpp:

ql/termstructure.hpp ql/DayCounters/actual365.hpp ql/Math/linearinterpolation.hpp

ql/TermStructures/zerocurve.hpp

zerocurve.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.438 ql/TermStructures/zerocurve.hpp File Reference 1127

12.438 ql/TermStructures/zerocurve.hpp File Reference

12.438.1 Detailed Description

pre-bootstrapped zero curve structure

#include <ql/termstructure.hpp>
#include <ql/DayCounters/actual365.hpp>
#include <ql/Math/linearinterpolation.hpp>
Include dependency graph for zerocurve.hpp:

ql/termstructure.hpp ql/DayCounters/actual365.hpp ql/Math/linearinterpolation.hpp

zerocurve.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1128 QuantLib File Documentation

12.439 ql/TermStructures/zerospreadedtermstructure.hpp File

Reference

12.439.1 Detailed Description

Zero spreaded term structure.

#include <ql/termstructure.hpp>
Include dependency graph for zerospreadedtermstructure.hpp:

ql/Patterns/bridge.hpp ql/date.hpp ql/Math/matrix.hpp ql/currency.hpp ql/relinkablehandle.hpp

ql/daycounter.hpp ql/calendar.hpp ql/dataformatters.hpp ql/marketelement.hpp vector

ql/termstructure.hpp

zerospreadedtermstructure.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::TermStructures

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.440 ql/types.hpp File Reference 1129

12.440 ql/types.hpp File Reference

12.440.1 Detailed Description

Custom types.
#include <ql/qldefines.hpp>
Include dependency graph for types.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

ql/qldefines.hpp

types.hpp

Namespaces
• namespace QuantLib

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1130 QuantLib File Documentation

12.441 ql/Utilities/combiningiterator.hpp File Reference

12.441.1 Detailed Description

Iterator mapping a function to a set of underlying sequences.

#include <iterator>
Include dependency graph for combiningiterator.hpp:

iterator

combiningiterator.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Utilities

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

12.442 ql/Utilities/couplingiterator.hpp File Reference 1131

12.442 ql/Utilities/couplingiterator.hpp File Reference

12.442.1 Detailed Description

Iterator mapping a function to a pair of underlying sequences.

#include <ql/Utilities/iteratorcategories.hpp>
Include dependency graph for couplingiterator.hpp:

iterator

ql/Utilities/iteratorcategories.hpp

couplingiterator.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Utilities

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1132 QuantLib File Documentation

12.443 ql/Utilities/filteringiterator.hpp File Reference

12.443.1 Detailed Description

Iterator filtering undesired data.

#include <iterator>
Include dependency graph for filteringiterator.hpp:

iterator

filteringiterator.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Utilities

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12.444 ql/Utilities/iteratorcategories.hpp File Reference 1133

12.444 ql/Utilities/iteratorcategories.hpp File Reference

12.444.1 Detailed Description

Lowest common denominator between two iterator categories.

#include <iterator>
Include dependency graph for iteratorcategories.hpp:

iterator

iteratorcategories.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Utilities

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1134 QuantLib File Documentation

12.445 ql/Utilities/processingiterator.hpp File Reference

12.445.1 Detailed Description

Iterator mapping a unary function to an underlying sequence.

#include <iterator>
Include dependency graph for processingiterator.hpp:

iterator

processingiterator.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Utilities

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12.446 ql/Utilities/steppingiterator.hpp File Reference 1135

12.446 ql/Utilities/steppingiterator.hpp File Reference

12.446.1 Detailed Description

Iterator advancing in constant steps.

#include <iterator>
Include dependency graph for steppingiterator.hpp:

iterator

steppingiterator.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Utilities

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1136 QuantLib File Documentation

12.447 ql/Volatilities/blackconstantvol.hpp File Reference

12.447.1 Detailed Description

Black constant volatility, no time dependence, no strike dependence.

#include <ql/voltermstructure.hpp>
#include <ql/DayCounters/actual365.hpp>
#include <ql/dataformatters.hpp>
Include dependency graph for blackconstantvol.hpp:

ql/voltermstructure.hpp ql/DayCounters/actual365.hpp ql/dataformatters.hpp

blackconstantvol.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::VolTermStructures

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12.448 ql/Volatilities/blackvariancecurve.cpp File Reference 1137

12.448 ql/Volatilities/blackvariancecurve.cpp File Reference

12.448.1 Detailed Description

Black volatility curve modelled as variance curve.

#include <ql/Volatilities/blackvariancecurve.hpp>
#include <ql/Math/interpolationtraits.hpp>
#include <ql/dataformatters.hpp>
Include dependency graph for blackvariancecurve.cpp:

ql/Volatilities/blackvariancecurve.hpp ql/Math/interpolationtraits.hpp ql/dataformatters.hpp

blackvariancecurve.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::VolTermStructures

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1138 QuantLib File Documentation

12.449 ql/Volatilities/blackvariancecurve.hpp File Reference

12.449.1 Detailed Description

Black volatility curve modelled as variance curve.

#include <ql/voltermstructure.hpp>
#include <ql/Math/interpolation.hpp>
#include <ql/DayCounters/actual365.hpp>
Include dependency graph for blackvariancecurve.hpp:

ql/voltermstructure.hpp ql/Math/interpolation.hpp ql/DayCounters/actual365.hpp

blackvariancecurve.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::VolTermStructures

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12.450 ql/Volatilities/blackvariancesurface.cpp File Reference 1139

12.450 ql/Volatilities/blackvariancesurface.cpp File Reference

12.450.1 Detailed Description

Black volatility surface modelled as variance surface.

#include <ql/Volatilities/blackvariancesurface.hpp>
#include <ql/Math/interpolationtraits.hpp>
#include <ql/dataformatters.hpp>
Include dependency graph for blackvariancesurface.cpp:

ql/Volatilities/blackvariancesurface.hpp ql/Math/interpolationtraits.hpp ql/dataformatters.hpp

blackvariancesurface.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::VolTermStructures

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1140 QuantLib File Documentation

12.451 ql/Volatilities/blackvariancesurface.hpp File Reference

12.451.1 Detailed Description

Black volatility surface modelled as variance surface.

#include <ql/voltermstructure.hpp>
#include <ql/Math/matrix.hpp>
#include <ql/Math/interpolation2D.hpp>
#include <ql/DayCounters/actual365.hpp>
Include dependency graph for blackvariancesurface.hpp:

ql/voltermstructure.hpp ql/Math/matrix.hpp ql/Math/interpolation2D.hpp ql/DayCounters/actual365.hpp

blackvariancesurface.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::VolTermStructures

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12.452 ql/Volatilities/capflatvolvector.hpp File Reference 1141

12.452 ql/Volatilities/capflatvolvector.hpp File Reference

12.452.1 Detailed Description

Cap/floor at-the-money flat volatility vector.

#include "ql/capvolstructures.hpp"
#include "ql/Math/interpolationtraits.hpp"
#include <vector>
Include dependency graph for capflatvolvector.hpp:

ql/capvolstructures.hpp ql/Math/interpolationtraits.hpp vector

capflatvolvector.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Volatilities

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1142 QuantLib File Documentation

12.453 ql/Volatilities/impliedvoltermstructure.hpp File Refer-

ence

12.453.1 Detailed Description

Implied Black Vol Term Structure.

#include <ql/voltermstructure.hpp>
Include dependency graph for impliedvoltermstructure.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

string exception ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

list ql/handle.hpp ql/date.hpp

ql/Patterns/observable.hpp ql/Patterns/bridge.hpp ql/Patterns/visitor.hpp

ql/relinkablehandle.hpp ql/daycounter.hpp ql/calendar.hpp

ql/marketelement.hpp vector

ql/voltermstructure.hpp

impliedvoltermstructure.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::VolTermStructures

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12.454 ql/Volatilities/localconstantvol.hpp File Reference 1143

12.454 ql/Volatilities/localconstantvol.hpp File Reference

12.454.1 Detailed Description

Local constant volatility, no time dependence, no asset dependence.

#include <ql/Volatilities/blackconstantvol.hpp>
Include dependency graph for localconstantvol.hpp:

ql/voltermstructure.hpp ql/DayCounters/actual365.hpp ql/dataformatters.hpp

ql/Volatilities/blackconstantvol.hpp

localconstantvol.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::VolTermStructures

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1144 QuantLib File Documentation

12.455 ql/Volatilities/localvolcurve.hpp File Reference

12.455.1 Detailed Description

Local volatility curve derived from a Black curve.

#include <ql/Volatilities/blackvariancecurve.hpp>
Include dependency graph for localvolcurve.hpp:

ql/voltermstructure.hpp ql/Math/interpolation.hpp ql/DayCounters/actual365.hpp

ql/Volatilities/blackvariancecurve.hpp

localvolcurve.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::VolTermStructures

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12.456 ql/Volatilities/localvolsurface.cpp File Reference 1145

12.456 ql/Volatilities/localvolsurface.cpp File Reference

12.456.1 Detailed Description

Local volatility surface derived from a Black vol surface.

#include <ql/Volatilities/localvolsurface.hpp>
Include dependency graph for localvolsurface.cpp:

ql/voltermstructure.hpp ql/termstructure.hpp

ql/Volatilities/localvolsurface.hpp

localvolsurface.cpp

Namespaces
• namespace QuantLib
• namespace QuantLib::VolTermStructures

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1146 QuantLib File Documentation

12.457 ql/Volatilities/localvolsurface.hpp File Reference

12.457.1 Detailed Description

Local volatility surface derived from a Black vol surface.

#include <ql/voltermstructure.hpp>
#include <ql/termstructure.hpp>
Include dependency graph for localvolsurface.hpp:

ql/voltermstructure.hpp ql/termstructure.hpp

localvolsurface.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::VolTermStructures

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12.458 ql/Volatilities/swaptionvolmatrix.hpp File Reference 1147

12.458 ql/Volatilities/swaptionvolmatrix.hpp File Reference

12.458.1 Detailed Description

Swaption at-the-money volatility matrix.

#include "ql/swaptionvolstructure.hpp"
#include "ql/Math/matrix.hpp"
#include "ql/Math/interpolationtraits.hpp"
#include <vector>
Include dependency graph for swaptionvolmatrix.hpp:

ql/swaptionvolstructure.hpp ql/Math/matrix.hpp ql/Math/interpolationtraits.hpp vector

swaptionvolmatrix.hpp

Namespaces
• namespace QuantLib
• namespace QuantLib::Volatilities

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1148 QuantLib File Documentation

12.459 ql/voltermstructure.cpp File Reference

12.459.1 Detailed Description

Volatility term structures.

#include <ql/voltermstructure.hpp>
Include dependency graph for voltermstructure.cpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

string exception ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

list ql/handle.hpp ql/date.hpp

ql/Patterns/observable.hpp ql/Patterns/bridge.hpp ql/Patterns/visitor.hpp

ql/relinkablehandle.hpp ql/daycounter.hpp ql/calendar.hpp

ql/marketelement.hpp vector

ql/voltermstructure.hpp

voltermstructure.cpp

Namespaces
• namespace QuantLib

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12.460 ql/voltermstructure.hpp File Reference 1149

12.460 ql/voltermstructure.hpp File Reference

12.460.1 Detailed Description

Volatility term structures.

#include <ql/calendar.hpp>
#include <ql/daycounter.hpp>
#include <ql/marketelement.hpp>
#include <ql/Patterns/visitor.hpp>
#include <vector>
Include dependency graph for voltermstructure.hpp:

ql/config.bcc.hpp cmath limits ctime cctype algorithm iterator

string exception ql/qldefines.hpp

typeinfo ql/errors.hpp ql/types.hpp utility functional

list ql/handle.hpp ql/date.hpp

ql/Patterns/observable.hpp ql/Patterns/bridge.hpp ql/Patterns/visitor.hpp

ql/relinkablehandle.hpp ql/daycounter.hpp ql/calendar.hpp

ql/marketelement.hpp vector

voltermstructure.hpp

Namespaces
• namespace QuantLib::VolTermStructures
• namespace QuantLib

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1150 QuantLib File Documentation

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

Chapter 13

QuantLib Example Documentation

13.1 AmericanOption.cpp

This example calculates American options using different methods

#include <ql/quantlib.hpp>

using namespace QuantLib;

using namespace QuantLib::PricingEngines;
using namespace QuantLib::Math;
using namespace QuantLib::MonteCarlo;
using namespace QuantLib::RandomNumbers;
using namespace QuantLib::Pricers;
using namespace QuantLib::TermStructures;
using namespace QuantLib::VolTermStructures;

int main(int argc, char* argv[])

{
try {
QL_IO_INIT

std::cout << "Using " << QL_VERSION << std::endl << std::endl;

// our option
Option::Type type(Option::Put);
double underlying = 36;
double strike = 40;
Spread dividendYield = 0.00;
Rate riskFreeRate = 0.06;
double volatility = 0.20;

Date todaysDate(15, May, 1998);

Date settlementDate(17, May, 1998);
Date exerciseDate(17, May, 1999);
DayCounter rateDayCounter = DayCounters::Actual365();
Time maturity = rateDayCounter.yearFraction(settlementDate,
exerciseDate);

std::cout << "Time to maturity = " << maturity

<< std::endl;
std::cout << "Underlying price = " << underlying
<< std::endl;
std::cout << "Strike = " << strike
<< std::endl;
std::cout << "Risk-free interest rate = " << riskFreeRate
1152 QuantLib Example Documentation

<< std::endl;
std::cout << "dividend yield = " << dividendYield
<< std::endl;
std::cout << "Volatility = " << volatility
<< std::endl;
std::cout << std::endl;

std::string method;

double value, discrepancy, rightValue, relativeDiscrepancy;

rightValue = (type == Option::Put ? 4.4867 : 2.1737);

std::cout << std::endl ;

// write column headings

std::cout << "Method\t\tValue\tEstimatedError\tDiscrepancy"
"\tRel. Discr." << std::endl;

Date midlifeDate(19, November, 1998);

std::vector<Date> exDates(2);
exDates[0]=midlifeDate;
exDates[1]=exerciseDate;

EuropeanExercise exercise(exerciseDate);
AmericanExercise amExercise(settlementDate, exerciseDate);
BermudanExercise berExercise(exDates);

RelinkableHandle<MarketElement> underlyingH(
Handle<MarketElement>(new SimpleMarketElement(underlying)));

// bootstrap the yield/dividend/vol curves

RelinkableHandle<TermStructure> flatTermStructure(
Handle<TermStructure>(
new FlatForward(todaysDate, settlementDate,
riskFreeRate, rateDayCounter)));
RelinkableHandle<TermStructure> flatDividendTS(
Handle<TermStructure>(
new FlatForward(todaysDate, settlementDate,
dividendYield, rateDayCounter)));
RelinkableHandle<BlackVolTermStructure> flatVolTS(
Handle<BlackVolTermStructure>(
new BlackConstantVol(settlementDate, volatility)));

std::vector<Date> dates(4);
dates[0] = settlementDate.plusMonths(1);
dates[1] = exerciseDate;
dates[2] = exerciseDate.plusMonths(6);
dates[3] = exerciseDate.plusMonths(12);
std::vector<double> strikes(4);
strikes[0] = underlying*0.9;
strikes[1] = underlying;
strikes[2] = underlying*1.1;
strikes[3] = underlying*1.2;

Matrix vols(4,4);
vols[0][0] = volatility*1.1; vols[0][1] = volatility;
vols[0][2] = volatility*0.9; vols[0][3] = volatility*0.8;
vols[1][0] = volatility*1.1; vols[1][1] = volatility;
vols[1][2] = volatility*0.9; vols[1][3] = volatility*0.8;
vols[2][0] = volatility*1.1; vols[2][1] = volatility;
vols[2][2] = volatility*0.9; vols[2][3] = volatility*0.8;
vols[3][0] = volatility*1.1; vols[3][1] = volatility;
vols[3][2] = volatility*0.9; vols[3][3] = volatility*0.8;
RelinkableHandle<BlackVolTermStructure> blackSurface(
Handle<BlackVolTermStructure>(
new BlackVarianceSurface(settlementDate, dates, strikes, vols)));

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13.1 AmericanOption.cpp 1153

// European option
Instruments::VanillaOption euroOption(
type,
underlyingH,
strike,
flatDividendTS,
flatTermStructure,
exercise,
flatVolTS,
Handle<PricingEngine>(new AnalyticEuropeanEngine()));

// method: Black Scholes Engine

method = "european ";
value = euroOption.NPV();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

// American option
Instruments::VanillaOption option(
type,
underlyingH,
strike,
flatDividendTS,
flatTermStructure,
amExercise,
flatVolTS);

Size timeSteps = 800;

// Binomial Method (JR)

method = "Binomial (JR)";
option.setPricingEngine(Handle<PricingEngine>(
new BinomialVanillaEngine(
BinomialVanillaEngine::JarrowRudd, timeSteps)));
value = option.NPV();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

// Binomial Method (CRR)

method = "Binomial (CRR)";
option.setPricingEngine(Handle<PricingEngine>(
new BinomialVanillaEngine(
BinomialVanillaEngine::CoxRossRubinstein, timeSteps)));
value = option.NPV();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

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1154 QuantLib Example Documentation

// Equal Probability Additive Binomial Tree (EQP)

method = "Additive (EQP)";
option.setPricingEngine(Handle<PricingEngine>(
new BinomialVanillaEngine(
BinomialVanillaEngine::EQP, timeSteps)));
value = option.NPV();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

// Equal Jumps Additive Binomial Tree (Trigeorgis)

method = "Bin. Trigeorgis";
option.setPricingEngine(Handle<PricingEngine>(
new BinomialVanillaEngine(
BinomialVanillaEngine::Trigeorgis, timeSteps)));
value = option.NPV();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

// Tian Binomial Tree (third moment matching)

method = "Binomial Tian";
option.setPricingEngine(Handle<PricingEngine>(
new BinomialVanillaEngine(
BinomialVanillaEngine::Tian, timeSteps)));
value = option.NPV();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

// Least Squares Monte Carlo: Longstaff Schwartz

method = "LSMC (monomial)";
Size mcSeed = 12345;
Size nSamples = 5000;
timeSteps = 100;
option.setPricingEngine(Handle<PricingEngine>(
new AmericanMCVanillaEngine(nSamples, timeSteps, mcSeed)));
value = option.NPV();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

return 0;
} catch (std::exception& e) {
std::cout << e.what() << std::endl;
return 1;
} catch (...) {

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13.1 AmericanOption.cpp 1155

std::cout << "unknown error" << std::endl;

return 1;
}
}

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1156 QuantLib Example Documentation

13.2 BermudanSwaption.cpp

This is an example of using the QuantLib short rate models.

#include <ql/quantlib.hpp>

using namespace QuantLib;

using namespace QuantLib::DayCounters;
using namespace QuantLib::Indexes;
using namespace QuantLib::Instruments;
using namespace QuantLib::Pricers;
using namespace QuantLib::ShortRateModels;
using namespace QuantLib::TermStructures;

using CalibrationHelpers::CapHelper;
using CalibrationHelpers::SwaptionHelper;

//Number of swaptions to be calibrated to...

Size numRows = 5;
Size numCols = 10;

unsigned int swaptionLengths[] = {1,2,3,4,5,7,10,15,20,25,30};

double swaptionVols[] = {
23.92, 22.80, 19.8, 18.1, 16.0, 14.26, 13.56, 12.79, 12.3, 11.09,
21.85, 21.50, 19.5, 17.2, 14.7, 13.23, 12.59, 12.29, 11.1, 10.30,
19.46, 19.40, 17.9, 15.9, 13.9, 12.69, 12.15, 11.83, 10.8, 10.00,
17.97, 17.80, 16.7, 14.9, 13.4, 12.28, 11.89, 11.48, 10.5, 9.80,
16.29, 16.40, 15.1, 14.0, 12.9, 12.01, 11.46, 11.08, 10.4, 9.77,
14.71, 14.90, 14.3, 13.2, 12.3, 11.49, 11.12, 10.70, 10.1, 9.57,
12.93, 13.30, 12.8, 12.2, 11.6, 10.82, 10.47, 10.21, 9.8, 9.51,
12.70, 12.10, 11.9, 11.2, 10.8, 10.40, 10.20, 10.00, 9.5, 9.00,
12.30, 11.60, 11.6, 10.9, 10.5, 10.30, 10.00, 9.80, 9.3, 8.80,
12.00, 11.40, 11.5, 10.8, 10.3, 10.00, 9.80, 9.60, 9.5, 9.10,
11.50, 11.20, 11.3, 10.6, 10.2, 10.10, 9.70, 9.50, 9.4, 8.60};

void calibrateModel(const Handle<Model>& model,

CalibrationSet& calibs,
double lambda) {

Optimization::Simplex om(lambda, 1e-9);

om.setEndCriteria(Optimization::EndCriteria(10000, 1e-7));
model->calibrate(calibs, om);

#if defined(QL_PATCH_DARWIN)
// to be investigated
return;
#endif

//Output the implied Black volatilities

Size i;
for (i=0; i<numRows; i++) {
std::cout << IntegerFormatter::toString(swaptionLengths[i],2) << "y|";
for (Size j=0; j<numCols; j++) {
Size k = i*numCols + j;
double npv = calibs[k]->modelValue();
double implied = calibs[k]->impliedVolatility(npv, 1e-4,
1000, 0.05, 0.50)*100.0;
std::cout << DoubleFormatter::toString(implied,1,4) << " (";
k = i*10 + j;
double diff = implied - swaptionVols[k];
std::cout << DoubleFormatter::toString(diff,1,4)
<< ")|";
}
std::cout << std::endl;

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13.2 BermudanSwaption.cpp 1157

}
}

int main(int argc, char* argv[])

{
try {
QL_IO_INIT

Date todaysDate(15, February, 2002);

Calendar calendar = Calendars::TARGET();

// Date settlementDate = calendar.advance(todaysDate,

// settlementDays, Days);
Date settlementDate(19, February, 2002);

//Instruments used to bootstrap the yield curve:

std::vector<Handle<RateHelper> > instruments;

//Deposit rates
DayCounter depositDayCounter = Thirty360();
int settlementDays = 2;

Rate weekRates[3] = {3.295, 3.3, 3.3};

Size i;
for (i=0; i<3; i++) {
RelinkableHandle<MarketElement> depositRate(
Handle<MarketElement>(
new SimpleMarketElement(weekRates[i]*0.01)));
Handle<RateHelper> depositHelper(new DepositRateHelper(
depositRate, i+1, Weeks, settlementDays, calendar,
ModifiedFollowing, depositDayCounter));
instruments.push_back(depositHelper);
}

Rate depositRates[12] = {
3.31, 3.32, 3.29, 3.35, 3.315, 3.33,
3.395, 3.41, 3.41, 3.49, 3.54, 3.53};

for (i=0; i<11; i++) {

RelinkableHandle<MarketElement> depositRate(
Handle<MarketElement>(
new SimpleMarketElement(depositRates[i]*0.01)));
Handle<RateHelper> depositHelper(new DepositRateHelper(
depositRate, i+1, Months, settlementDays, calendar,
ModifiedFollowing, depositDayCounter));
instruments.push_back(depositHelper);
}

//Swap rates
Rate swapRates[13] = {
3.6425, 4.0875, 4.38, 4.5815, 4.74325, 4.87375,
4.9775, 5.07, 5.13, 5.1825, 5.36, 5.45125, 5.43875};
int swapYears[13] = {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 30};

int swFixedLegFrequency = 1;
bool swFixedLegIsAdjusted = false;
DayCounter swFixedLegDayCounter = Thirty360(Thirty360::European);
int swFloatingLegFrequency = 2;

for (i=0; i<13; i++) {

Handle<MarketElement> swapRate(
new SimpleMarketElement(swapRates[i]*0.01));
Handle<RateHelper> swapHelper(new SwapRateHelper(
RelinkableHandle<MarketElement>(swapRate),
swapYears[i], Years, settlementDays,
calendar, ModifiedFollowing,
swFixedLegFrequency,

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1158 QuantLib Example Documentation

swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));
instruments.push_back(swapHelper);
}

// bootstrapping the yield curve

Handle<PiecewiseFlatForward> myTermStructure(new
PiecewiseFlatForward(todaysDate, settlementDate, instruments,
depositDayCounter));

RelinkableHandle<TermStructure> rhTermStructure;
rhTermStructure.linkTo(myTermStructure);

//Define the ATM/OTM/ITM swaps

int fixedLegFrequency = 1;
bool fixedLegIsAdjusted = false;
RollingConvention roll = ModifiedFollowing;
DayCounter fixedLegDayCounter = Thirty360(Thirty360::European);
int floatingLegFrequency = 2;
bool payFixedRate = true;
int fixingDays = 2;
Rate dummyFixedRate = 0.03;
Handle<Xibor> indexSixMonths(new Euribor(6, Months, rhTermStructure));

Handle<SimpleSwap> swap(new SimpleSwap(

payFixedRate, settlementDate.plusYears(1), 5, Years,
calendar, roll, 1000.0, fixedLegFrequency, dummyFixedRate,
fixedLegIsAdjusted, fixedLegDayCounter, floatingLegFrequency,
indexSixMonths, fixingDays, 0.0, rhTermStructure));
Rate fixedATMRate = swap->fairRate();

Handle<SimpleSwap> atmSwap(new SimpleSwap(

payFixedRate, settlementDate.plusYears(1), 5, Years,
calendar, roll, 1000.0, fixedLegFrequency, fixedATMRate,
fixedLegIsAdjusted, fixedLegDayCounter, floatingLegFrequency,
indexSixMonths, fixingDays, 0.0, rhTermStructure));
Handle<SimpleSwap> otmSwap(new SimpleSwap(
payFixedRate, settlementDate.plusYears(1), 5, Years,
calendar, roll, 1000.0, fixedLegFrequency, fixedATMRate * 1.2,
fixedLegIsAdjusted, fixedLegDayCounter, floatingLegFrequency,
indexSixMonths, fixingDays, 0.0, rhTermStructure));
Handle<SimpleSwap> itmSwap(new SimpleSwap(
payFixedRate, settlementDate.plusYears(1), 5, Years,
calendar, roll, 1000.0, fixedLegFrequency, fixedATMRate * 0.8,
fixedLegIsAdjusted, fixedLegDayCounter, floatingLegFrequency,
indexSixMonths, fixingDays, 0.0, rhTermStructure));

std::vector<Period> swaptionMaturities;
swaptionMaturities.push_back(Period(1, Months));
swaptionMaturities.push_back(Period(3, Months));
swaptionMaturities.push_back(Period(6, Months));
swaptionMaturities.push_back(Period(1, Years));
swaptionMaturities.push_back(Period(2, Years));
swaptionMaturities.push_back(Period(3, Years));
swaptionMaturities.push_back(Period(4, Years));
swaptionMaturities.push_back(Period(5, Years));
swaptionMaturities.push_back(Period(7, Years));
swaptionMaturities.push_back(Period(10, Years));

CalibrationSet swaptions;

//List of times that have to be included in the timegrid

std::list<Time> times;

for (i=0; i<numRows; i++) {

for (unsigned int j=0; j<numCols; j++) {

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13.2 BermudanSwaption.cpp 1159

unsigned int k = i*10 + j;

Handle<MarketElement> vol(
new SimpleMarketElement(swaptionVols[k]*0.01));
swaptions.push_back(Handle<CalibrationHelper>(
new SwaptionHelper(swaptionMaturities[j],
Period(swaptionLengths[i], Years),
RelinkableHandle<MarketElement>(vol),
indexSixMonths,
rhTermStructure)));
swaptions.back()->addTimesTo(times);
}
}
const std::vector<Time> termTimes = myTermStructure->times();
for (i=0; i<termTimes.size(); i++)
times.push_back(termTimes[i]);
// Building time-grid
TimeGrid grid(times.begin(), times.end(), 30);

Handle<Model> modelHW(new HullWhite(rhTermStructure));

Handle<Model> modelHW2(new HullWhite(rhTermStructure));
Handle<Model> modelBK(new BlackKarasinski(rhTermStructure));

std::cout << "Calibrating to swaptions" << std::endl;

std::cout << "Hull-White (analytic formulae):" << std::endl;

swaptions.setPricingEngine(
Handle<PricingEngine>(new JamshidianSwaption(modelHW)));

calibrateModel(modelHW, swaptions, 0.05);

std::cout << "calibrated to "
<< modelHW->params()
<< std::endl
<< std::endl;

std::cout << "Hull-White (numerical calibration):" << std::endl;

swaptions.setPricingEngine(
Handle<PricingEngine>(new TreeSwaption(modelHW2, grid)));

calibrateModel(modelHW2, swaptions, 0.05);

std::cout << "calibrated to "
<< modelHW2->params()
<< std::endl
<< std::endl;

std::cout << "Black-Karasinski: " << std::endl;

swaptions.setPricingEngine(
Handle<PricingEngine>(new TreeSwaption(modelBK, grid)));
calibrateModel(modelBK, swaptions, 0.05);
std::cout << "calibrated to "
<< modelBK->params()
<< std::endl
<< std::endl;

std::cout << "Pricing an ATM bermudan swaption" << std::endl;

//Define the bermudan swaption

std::vector<Date> bermudanDates;
const std::vector<Handle<CashFlow> >& leg = swap->floatingLeg();
for (i=0; i<leg.size(); i++) {
Handle<CashFlows::Coupon> coupon = leg[i];
bermudanDates.push_back(coupon->accrualStartDate());
}

Instruments::Swaption bermudanSwaption(atmSwap,
BermudanExercise(bermudanDates), rhTermStructure,

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1160 QuantLib Example Documentation

Handle<PricingEngine>(new TreeSwaption(modelHW, 100)));

//Do the pricing for each model

bermudanSwaption.setPricingEngine(
Handle<PricingEngine>(new TreeSwaption(modelHW, 100)));
std::cout << "HW: " << bermudanSwaption.NPV() << std::endl;

bermudanSwaption.setPricingEngine(
Handle<PricingEngine>(new TreeSwaption(modelHW2, 100)));
std::cout << "HW (num): " << bermudanSwaption.NPV() << std::endl;

bermudanSwaption.setPricingEngine(
Handle<PricingEngine>(new TreeSwaption(modelBK, 100)));
std::cout << "BK: " << bermudanSwaption.NPV() << std::endl;

std::cout << "Pricing an OTM bermudan swaption" << std::endl;

Instruments::Swaption otmBermudanSwaption(otmSwap,
BermudanExercise(bermudanDates), rhTermStructure,
Handle<PricingEngine>(new TreeSwaption(modelHW, 100)));

//Do the pricing for each model

otmBermudanSwaption.setPricingEngine(
Handle<PricingEngine>(new TreeSwaption(modelHW, 100)));
std::cout << "HW: " << otmBermudanSwaption.NPV() << std::endl;

otmBermudanSwaption.setPricingEngine(
Handle<PricingEngine>(new TreeSwaption(modelHW2, 100)));
std::cout << "HW (num): " << otmBermudanSwaption.NPV() << std::endl;

otmBermudanSwaption.setPricingEngine(
Handle<PricingEngine>(new TreeSwaption(modelBK, 100)));
std::cout << "BK: " << otmBermudanSwaption.NPV() << std::endl;

std::cout << "Pricing an ITM bermudan swaption" << std::endl;

Instruments::Swaption itmBermudanSwaption(itmSwap,
BermudanExercise(bermudanDates), rhTermStructure,
Handle<PricingEngine>(new TreeSwaption(modelHW, 100)));

//Do the pricing for each model

itmBermudanSwaption.setPricingEngine(
Handle<PricingEngine>(new TreeSwaption(modelHW, 100)));
std::cout << "HW: " << itmBermudanSwaption.NPV() << std::endl;
itmBermudanSwaption.setPricingEngine(
Handle<PricingEngine>(new TreeSwaption(modelHW2, 100)));
std::cout << "HW (num): " << itmBermudanSwaption.NPV() << std::endl;
itmBermudanSwaption.setPricingEngine(
Handle<PricingEngine>(new TreeSwaption(modelBK, 100)));
std::cout << "BK: " << itmBermudanSwaption.NPV() << std::endl;

return 0;
} catch (std::exception& e) {
std::cout << e.what() << std::endl;
return 1;
} catch (...) {
std::cout << "unknown error" << std::endl;
return 1;
}
}

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13.3 DiscreteHedging.cpp 1161

13.3 DiscreteHedging.cpp

This is an example of using the QuantLib Monte Carlo framework.

/* This example computes profit and loss of a discrete interval hedging

strategy and compares with the results of Derman & Kamal’s (Goldman Sachs
Equity Derivatives Research) Research Note: "When You Cannot Hedge
Continuously: The Corrections to Black-Scholes"
(http://www.gs.com/qs/doc/when_you_cannot_hedge.pdf)

Suppose an option hedger sells an European option and receives the

Black-Scholes value as the options premium.
Then he follows a Black-Scholes hedging strategy, rehedging at discrete,
evenly spaced time intervals as the underlying stock changes. At
expiration, the hedger delivers the option payoff to the option holder,
and unwinds the hedge. We are interested in understanding the final
profit or loss of this strategy.

If the hedger had followed the exact Black-Scholes replication strategy,

re-hedging continuously as the underlying stock evolved towards its final
value at expiration, then, no matter what path the stock took, the final
P&L would be exactly zero. When the replication strategy deviates from
the exact Black-Scholes method, the final P&L may deviate from zero. This
deviation is called the replication error. When the hedger rebalances at
discrete rather than continuous intervals, the hedge is imperfect and the
replication is inexact. The more often hedging occurs, the smaller the
replication error.

We examine the range of possibilities, computing the replication error.

*/

// the only header you need to use QuantLib

#include <ql/quantlib.hpp>

// introducing the players ....

// Rate and Time are just double, but having their own types allows for
// a stronger check at compile time
using QuantLib::Rate;
using QuantLib::Time;

// PlainVanillaPayoff is a helper class that calculates option payoff

using QuantLib::PlainVanillaPayoff;

// Option is a helper class that holds the enumeration {Call, Put, Straddle}
using QuantLib::Option;

// Handle is the QuantLib way to have reference-counted objects

using QuantLib::Handle;

// the classic Black Scholes analytic solution for European Option

using QuantLib::Pricers::EuropeanOption;

// class for statisticsal analysis

using QuantLib::Math::Statistics;

// single Path of a random variable

// It contains the list of variations
using QuantLib::MonteCarlo::Path;

// the pricer computes final portfolio’s value for each random variable path
using QuantLib::MonteCarlo::PathPricer_old;

// the path generator

using QuantLib::MonteCarlo::GaussianPathGenerator_old;

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1162 QuantLib Example Documentation

// the Montecarlo pricing model for option on a single asset

using QuantLib::MonteCarlo::OneFactorMonteCarloOption_old;

// to format the output of doubles

using QuantLib::DoubleFormatter;

/* The ReplicationError class carries out Monte Carlo simulations to evaluate

the outcome (the replication error) of the discrete hedging strategy over
different, randomly generated scenarios of future stock price evolution.
*/
class ReplicationError
{
public:
ReplicationError(Option::Type type,
Time maturity,
double strike,
double s0,
double sigma,
Rate r)
: maturity_(maturity), payoff_(type, strike), s0_(s0),
sigma_(sigma), r_(r) {

// value of the option

EuropeanOption option = EuropeanOption(type, s0_, strike, 0.0, r_,
maturity_, sigma_);
std::cout << "Option value: " << option.value() << std::endl;

// store option’s vega, since Derman and Kamal’s formula needs it

vega_ = option.vega();

std::cout << std::endl;

std::cout <<
" | | P&L \t| P&L | Derman&Kamal | P&L"
" \t| P&L" << std::endl;

std::cout <<
"samples | trades | Mean \t| Std Dev | Formula |"
" skewness \t| kurt." << std::endl;

std::cout << "---------------------------------"

"----------------------------------------------" << std::endl;
}

// the actual replication error computation

void compute(int nTimeSteps, int nSamples);
private:
Time maturity_;
PlainVanillaPayoff payoff_;
double s0_;
double sigma_;
Rate r_;
double vega_;
};

// The key for the MonteCarlo simulation is to have a PathPricer_old that

// implements a value(const Path& path) method.
// This method prices the portfolio for each Path of the random variable
class ReplicationPathPricer : public PathPricer_old<Path>
{
public:
// real constructor
ReplicationPathPricer(Option::Type type,
double underlying,
double strike,
Rate r,
Time maturity,

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13.3 DiscreteHedging.cpp 1163

double sigma)
: PathPricer_old<Path>(1.0, false), type_(type), underlying_(underlying),
strike_(strike), r_(r), maturity_(maturity), sigma_(sigma) {
QL_REQUIRE(strike_ > 0.0,
"ReplicationPathPricer: strike must be positive");
QL_REQUIRE(underlying_ > 0.0,
"ReplicationPathPricer: underlying must be positive");
QL_REQUIRE(r_ >= 0.0,
"ReplicationPathPricer: risk free rate (r) must"
" be positive or zero");
QL_REQUIRE(maturity_ > 0.0,
"ReplicationPathPricer: maturity must be positive");
QL_REQUIRE(sigma_ >= 0.0,
"ReplicationPathPricer: volatility (sigma)"
" must be positive or zero");

}
// The value() method encapsulates the pricing code
double operator()(const Path& path) const;

private:
Option::Type type_;
double underlying_, strike_;
Rate r_;
Time maturity_;
double sigma_;
};

// Compute Replication Error as in the Derman and Kamal’s research note

int main(int argc, char* argv[])
{
try {
QL_IO_INIT

Time maturity = 1./12.; // 1 month

double strike = 100;
double underlying = 100;
double volatility = 0.20; // 20%
Rate riskFreeRate = 0.05; // 5%
ReplicationError rp(Option::Call, maturity, strike, underlying,
volatility, riskFreeRate);

int scenarios = 50000;

int hedgesNum;

hedgesNum = 21;
rp.compute(hedgesNum, scenarios);

hedgesNum = 84;
rp.compute(hedgesNum, scenarios);

return 0;
} catch (std::exception& e) {
std::cout << e.what() << std::endl;
return 1;
} catch (...) {
std::cout << "unknown error" << std::endl;
return 1;
}
}

/* The actual computation of the Profit&Loss for each single path.

In each scenario N rehedging trades spaced evenly in time over

the life of the option are carried out, using the Black-Scholes

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1164 QuantLib Example Documentation

hedge ratio.
*/
double ReplicationPathPricer::operator()(const Path& path) const
{

// path is an instance of QuantLib::MonteCarlo::Path

// It contains the list of variations.
// It can be used as an array: it has a size() method
int n = path.size();
QL_REQUIRE(n>0,
"ReplicationPathPricer: the path cannot be empty");

// discrete hedging interval

Time dt = maturity_/n;

// For simplicity, we assume the stock pays no dividends.

double stockDividendYield = 0.0;

// let’s start
Time t = 0;

// stock value at t=0

double stock = underlying_;
double stockLogGrowth = 0.0;

// money account at t=0

double money_account = 0.0;

/************************/
/*** the initial deal ***/
/************************/
// option fair price (Black-Scholes) at t=0
EuropeanOption option = EuropeanOption(type_, stock, strike_,
stockDividendYield, r_, maturity_, sigma_);
// sell the option, cash in its premium
money_account += option.value();
// compute delta
double delta = option.delta();
// delta-hedge the option buying stock
double stockAmount = delta;
money_account -= stockAmount*stock;

/**********************************/
/*** hedging during option life ***/
/**********************************/
for(int step = 0; step < n-1; step++){

// time flows
t += dt;

// accruing on the money account

money_account *= QL_EXP( r_*dt );

// stock growth:
// path contains the list of Gaussian variations
// and path[n] is the n-th variation
stockLogGrowth += path[step];
stock = underlying_*QL_EXP(stockLogGrowth);

// recalculate option value at the current stock value,

// and the current time to maturity
EuropeanOption option = EuropeanOption(type_, stock, strike_,
stockDividendYield, r_, maturity_-t, sigma_);

// recalculate delta
delta = option.delta();

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13.3 DiscreteHedging.cpp 1165

// re-hedging
money_account -= (delta - stockAmount)*stock;
stockAmount = delta;
}

/*************************/
/*** option expiration ***/
/*************************/
// last accrual on my money account
money_account *= QL_EXP( r_*dt );
// last stock growth
stockLogGrowth += path[n-1];
stock = underlying_*QL_EXP(stockLogGrowth);

// the hedger delivers the option payoff to the option holder

double optionPayoff = PlainVanillaPayoff(type_, strike_)(stock);
money_account -= optionPayoff;

// and unwinds the hedge selling his stock position

money_account += stockAmount*stock;

// final Profit&Loss
return money_account;
}

// The computation over nSamples paths of the P&L distribution

void ReplicationError::compute(int nTimeSteps, int nSamples)
{
QL_REQUIRE(nTimeSteps>0,
"ReplicationError::compute : the number of steps must be > 0");

// hedging interval
// double tau = maturity_ / nTimeSteps;

/* Black-Scholes framework: the underlying stock price evolves

lognormally with a fixed known volatility that stays constant
throughout time.
*/
double drift = r_ - 0.5*sigma_*sigma_;

// Black Scholes equation rules the path generator:

// at each step the log of the stock
// will have drift and sigma^2 variance
Handle<GaussianPathGenerator_old> myPathGenerator(
new GaussianPathGenerator_old(drift, sigma_*sigma_,
maturity_, nTimeSteps));

// The replication strategy’s Profit&Loss is computed for each path

// of the stock. The path pricer knows how to price a path using its
// value() method
Handle<PathPricer_old<Path> > myPathPricer =
Handle<PathPricer_old<Path> >(new
ReplicationPathPricer(payoff_.optionType(), s0_,
payoff_.strike(), r_, maturity_, sigma_));

// a statistics accumulator for the path-dependant Profit&Loss values

Statistics statisticsAccumulator;

// The OneFactorMontecarloModel generates paths using myPathGenerator

// each path is priced using myPathPricer
// prices will be accumulated into statisticsAccumulator
OneFactorMonteCarloOption_old MCSimulation(myPathGenerator,
myPathPricer, statisticsAccumulator, false);

// the model simulates nSamples paths

MCSimulation.addSamples(nSamples);

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1166 QuantLib Example Documentation

// the sampleAccumulator method of OneFactorMonteCarloOption_old

// gives access to all the methods of statisticsAccumulator
double PLMean = MCSimulation.sampleAccumulator().mean();
double PLStDev = MCSimulation.sampleAccumulator().standardDeviation();
double PLSkew = MCSimulation.sampleAccumulator().skewness();
double PLKurt = MCSimulation.sampleAccumulator().kurtosis();

// Derman and Kamal’s formula

double theorStD = QL_SQRT(M_PI/4/nTimeSteps)*vega_*sigma_;

std::cout << nSamples << "\t| "

<< nTimeSteps << "\t | "
<< DoubleFormatter::toString(PLMean, 3) << " \t| "
<< DoubleFormatter::toString(PLStDev, 2) << " \t | "
<< DoubleFormatter::toString(theorStD, 2) << " \t | "
<< DoubleFormatter::toString(PLSkew, 2) << " \t| "
<< DoubleFormatter::toString(PLKurt, 2) << std::endl;
}

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13.4 EuropeanOption.cpp 1167

13.4 EuropeanOption.cpp

This example calculates European options using different methods while testing call-put parity.

#include <ql/quantlib.hpp>

using namespace QuantLib;

using namespace QuantLib::Instruments;
using namespace QuantLib::PricingEngines;
using namespace QuantLib::Math;
using namespace QuantLib::MonteCarlo;
using namespace QuantLib::RandomNumbers;
using namespace QuantLib::Pricers;
using namespace QuantLib::TermStructures;
using namespace QuantLib::VolTermStructures;

// This will be included in the library after a bit of redesign

class WeightedPayoff {
public:
WeightedPayoff(Option::Type type,
Time maturity,
double strike,
double s0,
double sigma,
Rate r,
Rate q)
: type_(type), maturity_(maturity),
strike_(strike),
s0_(s0),
sigma_(sigma),r_(r), q_(q){}

double operator()(double x) const {

double nuT = (r_-q_-0.5*sigma_*sigma_)*maturity_;
return QL_EXP(-r_*maturity_)
*PlainVanillaPayoff(type_, strike_)(s0_*QL_EXP(x))
*QL_EXP(-(x - nuT)*(x -nuT)/(2*sigma_*sigma_*maturity_))
/QL_SQRT(2.0*M_PI*sigma_*sigma_*maturity_);
}
private:
Option::Type type_;
Time maturity_;
double strike_;
double s0_;
double sigma_;
Rate r_,q_;
};

int main(int argc, char* argv[])

{
try {
QL_IO_INIT

std::cout << "Using " << QL_VERSION << std::endl << std::endl;

// our option
Option::Type type(Option::Call);
double underlying = 7;
double strike = 8;
Spread dividendYield = 0.05;
Rate riskFreeRate = 0.05;

Date todaysDate(15, May, 1998);

Date settlementDate(17, May, 1998);
Date exerciseDate(17, May, 1999);
DayCounter rateDayCounter = DayCounters::Actual365();

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1168 QuantLib Example Documentation

Time maturity = rateDayCounter.yearFraction(settlementDate,

exerciseDate);

double volatility = 0.10;

std::cout << "Time to maturity = " << maturity
<< std::endl;
std::cout << "Underlying price = " << underlying
<< std::endl;
std::cout << "Strike = " << strike
<< std::endl;
std::cout << "Risk-free interest rate = " << riskFreeRate
<< std::endl;
std::cout << "dividend yield = " << dividendYield
<< std::endl;
std::cout << "Volatility = " << volatility
<< std::endl;
std::cout << std::endl;

std::string method;
double value, discrepancy, rightValue, relativeDiscrepancy;

std::cout << std::endl << std::endl ;

// write column headings

std::cout << "Method\t\tValue\tEstimatedError\tDiscrepancy"
"\tRel. Discr." << std::endl;

// first method: Black Scholes analytic solution

method ="Black Scholes";
value = EuropeanOption(type, underlying, strike,
dividendYield, riskFreeRate, maturity, volatility).value();
double estimatedError = 0.0;
discrepancy = 0.0;
relativeDiscrepancy = 0.0;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< DoubleFormatter::toString(estimatedError, 4) << "\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

// store the Black Scholes value as the correct one

rightValue = value;

// second method: Call-Put parity

method ="Call-Put parity";
Option::Type reverseType =
(type==Option::Call ? Option::Put : Option::Call);
double coefficient =
(type==Option::Call ? 1.0 : -1.0);
value = EuropeanOption(reverseType, underlying, strike,
dividendYield, riskFreeRate, maturity, volatility).value()
+ coefficient * (underlying*QL_EXP(-dividendYield*maturity)
- strike*QL_EXP(- riskFreeRate*maturity));
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"

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13.4 EuropeanOption.cpp 1169

<< discrepancy << "\t"

<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

// third method: Integral

method ="Integral";
using QuantLib::Math::SegmentIntegral;
WeightedPayoff po(type, maturity, strike, underlying, volatility, riskFreeRate,
dividendYield);
SegmentIntegral integrator(5000);

double nuT = (riskFreeRate - dividendYield

+ 0.5*volatility*volatility)*maturity;
double infinity = 10.0*volatility*QL_SQRT(maturity);

value = integrator(po, nuT-infinity, nuT+infinity);

discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

// fourth method: Finite Differences

method ="Finite Diff.";
Size grid = 100;
value = FdEuropean(type, underlying, strike,
dividendYield, riskFreeRate, maturity, volatility, grid).value();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

// fifth method: Monte Carlo (crude)

method ="MC (crude)";
Size mcSeed = 12345;
bool antitheticVariance = false;
McEuropean mcEur(type, underlying, strike, dividendYield,
riskFreeRate, maturity, volatility, antitheticVariance, mcSeed);
// let’s require a tolerance of 0.002%
value = mcEur.value(0.02);
estimatedError = mcEur.errorEstimate();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< DoubleFormatter::toString(estimatedError, 4) << "\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

// sixth method: Monte Carlo with antithetic variance reduction

method ="MC (antithetic)";
// let’s use the same number of samples as in the crude Monte Carlo

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1170 QuantLib Example Documentation

Size nSamples = mcEur.sampleAccumulator().samples();

antitheticVariance = true;
McEuropean mcEur2(type, underlying, strike, dividendYield,
riskFreeRate, maturity, volatility, antitheticVariance, mcSeed);
value = mcEur2.valueWithSamples(nSamples);
estimatedError = mcEur2.errorEstimate();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< DoubleFormatter::toString(estimatedError, 4) << "\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

/************************************/

// New option pricing framework

std::cout << "\nNew Pricing engine framework" << std::endl;

Date midlifeDate(19, November, 1998);

std::vector<Date> exDates(2);
exDates[0]=midlifeDate;
exDates[1]=exerciseDate;

EuropeanExercise exercise(exerciseDate);
AmericanExercise amExercise(settlementDate, exerciseDate);
BermudanExercise berExercise(exDates);

RelinkableHandle<MarketElement> underlyingH(
Handle<MarketElement>(new SimpleMarketElement(underlying)));

// bootstrap the yield/dividend/vol curves

RelinkableHandle<TermStructure> flatTermStructure(
Handle<TermStructure>(
new FlatForward(todaysDate, settlementDate,
riskFreeRate, rateDayCounter)));
RelinkableHandle<TermStructure> flatDividendTS(
Handle<TermStructure>(
new FlatForward(todaysDate, settlementDate,
dividendYield, rateDayCounter)));
RelinkableHandle<BlackVolTermStructure> flatVolTS(
Handle<BlackVolTermStructure>(
new BlackConstantVol(settlementDate, volatility)));

std::vector<Date> dates(4);
dates[0] = settlementDate.plusMonths(1);
dates[1] = exerciseDate;
dates[2] = exerciseDate.plusMonths(6);
dates[3] = exerciseDate.plusMonths(12);
std::vector<double> strikes(4);
strikes[0] = underlying*0.9;
strikes[1] = underlying;
strikes[2] = underlying*1.1;
strikes[3] = underlying*1.2;

Matrix vols(4,4);
vols[0][0] = volatility*1.1; vols[0][1] = volatility; vols[0][2] = volatility*0.9; vols[0][3] = volatility*0.8;
vols[1][0] = volatility*1.1; vols[1][1] = volatility; vols[1][2] = volatility*0.9; vols[1][3] = volatility*0.8;
vols[2][0] = volatility*1.1; vols[2][1] = volatility; vols[2][2] = volatility*0.9; vols[2][3] = volatility*0.8;
vols[3][0] = volatility*1.1; vols[3][1] = volatility; vols[3][2] = volatility*0.9; vols[3][3] = volatility*0.8;

RelinkableHandle<BlackVolTermStructure> blackSurface(
Handle<BlackVolTermStructure>(
new BlackVarianceSurface(settlementDate, dates, strikes, vols)));

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

13.4 EuropeanOption.cpp 1171

Instruments::VanillaOption option(
type,
underlyingH,
strike,
flatDividendTS,
flatTermStructure,
exercise,
flatVolTS,
// blackSurface,
Handle<PricingEngine>(new AnalyticEuropeanEngine()));

// method: Black Scholes Engine

method = "Black Scholes";
option.setPricingEngine(Handle<PricingEngine>(
new AnalyticEuropeanEngine()));
value = option.NPV();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

// method: Integral
method = "Integral";
option.setPricingEngine(Handle<PricingEngine>(
new IntegralEngine()));
value = option.NPV();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

/*
// method: Integral
method = "Binary Cash";
option.setPricingEngine(Handle<PricingEngine>(
new IntegralCashOrNothingEngine(1.0)));
value = option.NPV();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

// method: Integral
method = "Binary Asset";
option.setPricingEngine(Handle<PricingEngine>(
new IntegralAssetOrNothingEngine()));
value = option.NPV();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"

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1172 QuantLib Example Documentation

<< DoubleFormatter::toString(discrepancy, 6) << "\t"

<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

*/
Size timeSteps=800;

// Binomial Method (JR)

method = "Binomial (JR)";
option.setPricingEngine(Handle<PricingEngine>(
new BinomialVanillaEngine(
BinomialVanillaEngine::JarrowRudd, timeSteps)));
value = option.NPV();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

// Binomial Method (CRR)

method = "Binomial (CRR)";
option.setPricingEngine(Handle<PricingEngine>(
new BinomialVanillaEngine(
BinomialVanillaEngine::CoxRossRubinstein, timeSteps)));
value = option.NPV();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

// Equal Probability Additive Binomial Tree (EQP)

method = "Additive (EQP)";
option.setPricingEngine(Handle<PricingEngine>(
new BinomialVanillaEngine(
BinomialVanillaEngine::EQP, timeSteps)));
value = option.NPV();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

// Equal Jumps Additive Binomial Tree (Trigeorgis)

method = "Bin. Trigeorgis";
option.setPricingEngine(Handle<PricingEngine>(
new BinomialVanillaEngine(
BinomialVanillaEngine::Trigeorgis, timeSteps)));
value = option.NPV();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

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13.4 EuropeanOption.cpp 1173

// Tian Binomial Tree (third moment matching)

method = "Binomial Tian";
option.setPricingEngine(Handle<PricingEngine>(
new BinomialVanillaEngine(
BinomialVanillaEngine::Tian, timeSteps)));
value = option.NPV();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

// Finite Differences Method: not implemented

/*method = "Finite Diff.";

option.setPricingEngine(Handle<PricingEngine>(
new FDVanillaEngine()));
value = option.NPV();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;*/

// Monte Carlo Method

timeSteps = 365;
TimeGrid timeGrid(maturity, timeSteps);
method = "MC (crude)";
Handle<PricingEngine> mcengine1(
#if defined(QL_PATCH_MICROSOFT)
/* the #else branch used to work--now Visual C++ needs this.
We cannot go and see what’s wrong because the other branch
does work in debug mode...
*/
new MCEuropeanEngine<PseudoRandom>(timeSteps, false, false,
Null<int>(), 0.02,
Null<int>(), mcSeed)
#else
MakeMCEuropeanEngine<PseudoRandom>().withStepsPerYear(timeSteps)
.withTolerance(0.02)
.withSeed(mcSeed)
#endif
);
option.setPricingEngine(mcengine1);

value = option.NPV();
double errorEstimate = option.errorEstimate();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< DoubleFormatter::toString(errorEstimate, 4) << "\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

method = "MC (Sobol)";

Handle<PricingEngine> mcengine2(

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1174 QuantLib Example Documentation

#if defined(QL_PATCH_MICROSOFT)
/* See above. */
new MCEuropeanEngine<LowDiscrepancy>(timeSteps, false, false,
nSamples, Null<double>(),
Null<int>())
#else
MakeMCEuropeanEngine<LowDiscrepancy>().withStepsPerYear(timeSteps)
.withSamples(nSamples)
#endif
);
option.setPricingEngine(mcengine2);

value = option.NPV();
discrepancy = QL_FABS(value-rightValue);
relativeDiscrepancy = discrepancy/rightValue;
std::cout << method << "\t"
<< DoubleFormatter::toString(value, 4) << "\t"
<< "N/A\t\t"
<< DoubleFormatter::toString(discrepancy, 6) << "\t"
<< DoubleFormatter::toString(relativeDiscrepancy, 6)
<< std::endl;

// quanto and all that

Handle<AnalyticEuropeanEngine> baseEngine(new
AnalyticEuropeanEngine);

Handle<QuantoEngine<VanillaOption::arguments,
VanillaOption::results> >
quantoEngine(new QuantoEngine<VanillaOption::arguments,
VanillaOption::results>(baseEngine));

double correlation = 0.0;

Instruments::QuantoVanillaOption quantoOption(
type,
underlyingH,
strike,
flatDividendTS,
flatTermStructure,
exercise,
flatVolTS,
quantoEngine,
flatTermStructure,
flatVolTS,
RelinkableHandle<MarketElement>(
Handle<MarketElement>(new SimpleMarketElement(correlation))));

value = quantoOption.NPV();
double delta = quantoOption.delta();
double gamma = quantoOption.gamma();
double theta = quantoOption.theta();
double vega = quantoOption.vega();
double rho = quantoOption.rho();
double divRho = quantoOption.dividendRho();
double qvega = quantoOption.qvega();
double qrho = quantoOption.qrho();
double qlambda = quantoOption.qlambda();
std::cout << std::endl << std::endl << "quanto: "
<< DoubleFormatter::toString(value, 4)
<< std::endl;
std::cout << "quanto delta: "
<< DoubleFormatter::toString(delta, 4)
<< std::endl;
std::cout << "quanto gamma: "
<< DoubleFormatter::toString(gamma, 4)

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13.4 EuropeanOption.cpp 1175

<< std::endl;
std::cout << "quanto theta: "
<< DoubleFormatter::toString(theta, 4)
<< std::endl;
std::cout << "quanto vega: "
<< DoubleFormatter::toString(vega, 4)
<< std::endl;
std::cout << "quanto rho: "
<< DoubleFormatter::toString(rho, 4)
<< std::endl;
std::cout << "quanto divRho: "
<< DoubleFormatter::toString(divRho, 4)
<< std::endl;
std::cout << "quanto qvega: "
<< DoubleFormatter::toString(qvega, 4)
<< std::endl;
std::cout << "quanto qrho: "
<< DoubleFormatter::toString(qrho, 4)
<< std::endl;
std::cout << "quanto qlambda: "
<< DoubleFormatter::toString(qlambda, 4)
<< std::endl;

Handle<ForwardEngine<VanillaOption::arguments,
VanillaOption::results> >
forwardEngine(new ForwardEngine<VanillaOption::arguments,
VanillaOption::results>(baseEngine));

Instruments::ForwardVanillaOption forwardOption(
type,
underlyingH,
flatDividendTS,
flatTermStructure,
exercise,
flatVolTS,
forwardEngine,
1.1, // moneyness
settlementDate.plusMonths(1) // reset Date
);

value = forwardOption.NPV();
delta = forwardOption.delta();
gamma = forwardOption.gamma();
theta = forwardOption.theta();
vega = forwardOption.vega();
rho = forwardOption.rho();
divRho = forwardOption.dividendRho();
std::cout << std::endl << std::endl << "forward: "
<< DoubleFormatter::toString(value, 4)
<< std::endl;
std::cout << "forward delta: "
<< DoubleFormatter::toString(delta, 4)
<< std::endl;
std::cout << "forward gamma: "
<< DoubleFormatter::toString(gamma, 4)
<< std::endl;
std::cout << "forward theta: "
<< DoubleFormatter::toString(theta, 4)
<< std::endl;
std::cout << "forward vega: "
<< DoubleFormatter::toString(vega, 4)
<< std::endl;
std::cout << "forward rho: "
<< DoubleFormatter::toString(rho, 4)
<< std::endl;
std::cout << "forward divRho: "

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1176 QuantLib Example Documentation

<< DoubleFormatter::toString(divRho, 4)
<< std::endl;

Handle<ForwardPerformanceEngine<VanillaOption::arguments,
VanillaOption::results> >
forwardPerformanceEngine(
new ForwardPerformanceEngine<VanillaOption::arguments,
VanillaOption::results>(
baseEngine));

forwardOption.setPricingEngine(forwardPerformanceEngine);

value = forwardOption.NPV();
delta = forwardOption.delta();
gamma = forwardOption.gamma();
theta = forwardOption.theta();
vega = forwardOption.vega();
rho = forwardOption.rho();
divRho = forwardOption.dividendRho();
std::cout << std::endl << std::endl << "forward performance: "
<< DoubleFormatter::toString(value, 4)
<< std::endl;
std::cout << "forward performance delta: "
<< DoubleFormatter::toString(delta, 4)
<< std::endl;
std::cout << "forward performance gamma: "
<< DoubleFormatter::toString(gamma, 4)
<< std::endl;
std::cout << "forward performance theta: "
<< DoubleFormatter::toString(theta, 4)
<< std::endl;
std::cout << "forward performance vega: "
<< DoubleFormatter::toString(vega, 4)
<< std::endl;
std::cout << "forward performance rho: "
<< DoubleFormatter::toString(rho, 4)
<< std::endl;
std::cout << "forward performance divRho: "
<< DoubleFormatter::toString(divRho, 4)
<< std::endl;

Handle<QuantoEngine<ForwardVanillaOption::arguments,
ForwardVanillaOption::results> >
quantoForwardEngine(
new QuantoEngine<ForwardVanillaOption::arguments,
ForwardVanillaOption::results>(forwardEngine));

Instruments::QuantoForwardVanillaOption quantoForwardOption(
type,
underlyingH,
strike,
flatDividendTS,
flatTermStructure,
exercise,
flatVolTS,
quantoForwardEngine,
flatTermStructure,
flatVolTS,
RelinkableHandle<MarketElement>(
Handle<MarketElement>(new SimpleMarketElement(correlation))),
1.1, // moneyness
settlementDate.plusMonths(1) // reset Date
);

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13.4 EuropeanOption.cpp 1177

value = quantoForwardOption.NPV();
delta = quantoForwardOption.delta();
gamma = quantoForwardOption.gamma();
theta = quantoForwardOption.theta();
vega = quantoForwardOption.vega();
rho = quantoForwardOption.rho();
divRho = quantoForwardOption.dividendRho();
qvega = quantoForwardOption.qvega();
qrho = quantoForwardOption.qrho();
qlambda = quantoForwardOption.qlambda();

std::cout << std::endl << std::endl << "quanto forward: "

<< DoubleFormatter::toString(value, 4)
<< std::endl;
std::cout << "quanto forward delta: "
<< DoubleFormatter::toString(delta, 4)
<< std::endl;
std::cout << "quanto forward gamma: "
<< DoubleFormatter::toString(gamma, 4)
<< std::endl;
std::cout << "quanto forward theta: "
<< DoubleFormatter::toString(theta, 4)
<< std::endl;
std::cout << "quanto forward vega: "
<< DoubleFormatter::toString(vega, 4)
<< std::endl;
std::cout << "quanto forward rho: "
<< DoubleFormatter::toString(rho, 4)
<< std::endl;
std::cout << "quanto forward divRho: "
<< DoubleFormatter::toString(divRho, 4)
<< std::endl;
std::cout << "quanto forward qvega: "
<< DoubleFormatter::toString(qvega, 4)
<< std::endl;
std::cout << "quanto forward qrho: "
<< DoubleFormatter::toString(qrho, 4)
<< std::endl;
std::cout << "quanto forward qlambda: "
<< DoubleFormatter::toString(qlambda, 4)
<< std::endl;

Handle<QuantoEngine<ForwardVanillaOption::arguments,
ForwardVanillaOption::results> >
quantoForwardPerformanceEngine(
new QuantoEngine<ForwardVanillaOption::arguments,
ForwardVanillaOption::results>(
forwardPerformanceEngine));
quantoForwardOption.setPricingEngine(quantoForwardPerformanceEngine);

value = quantoForwardOption.NPV();
delta = quantoForwardOption.delta();
gamma = quantoForwardOption.gamma();
theta = quantoForwardOption.theta();
vega = quantoForwardOption.vega();
rho = quantoForwardOption.rho();
divRho = quantoForwardOption.dividendRho();
qvega = quantoForwardOption.qvega();
qrho = quantoForwardOption.qrho();
qlambda = quantoForwardOption.qlambda();

std::cout << std::endl << std::endl << "quanto forward performance: "
<< DoubleFormatter::toString(value, 4)
<< std::endl;
std::cout << "quanto forward performance delta: "
<< DoubleFormatter::toString(delta, 4)

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1178 QuantLib Example Documentation

<< std::endl;
std::cout << "quanto forward performance gamma: "
<< DoubleFormatter::toString(gamma, 4)
<< std::endl;
std::cout << "quanto forward performance theta: "
<< DoubleFormatter::toString(theta, 4)
<< std::endl;
std::cout << "quanto forward performance vega: "
<< DoubleFormatter::toString(vega, 4)
<< std::endl;
std::cout << "quanto forward performance rho: "
<< DoubleFormatter::toString(rho, 4)
<< std::endl;
std::cout << "quanto forward performance divRho: "
<< DoubleFormatter::toString(divRho, 4)
<< std::endl;
std::cout << "quanto forward performance qvega: "
<< DoubleFormatter::toString(qvega, 4)
<< std::endl;
std::cout << "quanto forward performance qrho: "
<< DoubleFormatter::toString(qrho, 4)
<< std::endl;
std::cout << "quanto forward performance qlambda: "
<< DoubleFormatter::toString(qlambda, 4)
<< std::endl;

return 0;
} catch (std::exception& e) {
std::cout << e.what() << std::endl;
return 1;
} catch (...) {
std::cout << "unknown error" << std::endl;
return 1;
}
}

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13.5 history_iterators.cpp 1179

13.5 history_iterators.cpp
This code exemplifies how to use History iterators to perform gaussianstatistics analyses on
historical data.

// initialize a History
History h(...);

// print out the mean value and its standard deviation.

GaussianStatistics s;
s.addSequence(h.vdbegin(),h.vdend());
cout << "Historical mean: " << s.mean() << endl;
cout << "Std. deviation: " << s.standardDeviation() << endl;

// Another possibility: print out the maximum value.

History::const_valid_iterator max = h.vbegin(), i=max, end = h.vend();

for (i++; i!=end; i++)
if (i->value() > max->value())
max = i;
cout << "Maximum value: " << max->value()
<< " assumed " << DateFormatter::toString(max->date()) << endl;

// or the minimum, this time the STL way:

bool lessthan(const History::Entry& i, const History::Entry& j) {

return i.value() < j.value();
}

History::const_valid_iterator min =
std::min_element(h.vbegin(),h.vend(),lessthan);
cout << "Minimum value: " << min->value()
<< " assumed " << DateFormatter::toString(min->date()) << endl;

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1180 QuantLib Example Documentation

13.6 swapvaluation.cpp

This is an example of using the QuantLib Term Structure for pricing a simple swap.

/* This example shows how to set up a Term Structure and then price a simple
swap.
*/

// the only header you need to use QuantLib

#include <ql/quantlib.hpp>

using namespace QuantLib;

using Calendars::TARGET;
using DayCounters::ActualActual;
using DayCounters::Actual360;
using DayCounters::Thirty360;
using Indexes::Xibor;
using Indexes::Euribor;
using Instruments::SimpleSwap;
using TermStructures::PiecewiseFlatForward;
using TermStructures::FlatForward;
using TermStructures::RateHelper;
using TermStructures::DepositRateHelper;
using TermStructures::FraRateHelper;
using TermStructures::FuturesRateHelper;
using TermStructures::SwapRateHelper;

int main(int argc, char* argv[])

{
try {
QL_IO_INIT

/*********************
*** MARKET DATA ***
*********************/

Calendar calendar = TARGET();

Date todaysDate(6, November, 2001);
Date settlementDate(8, November, 2001);

// deposits
double d1wQuote=0.0382;
double d1mQuote=0.0372;
double d3mQuote=0.0363;
double d6mQuote=0.0353;
double d9mQuote=0.0348;
double d1yQuote=0.0345;
// FRAs
double fra3x6Quote=0.037125;
double fra6x9Quote=0.037125;
double fra6x12Quote=0.037125;
// futures
double fut1Quote=96.2875;
double fut2Quote=96.7875;
double fut3Quote=96.9875;
double fut4Quote=96.6875;
double fut5Quote=96.4875;
double fut6Quote=96.3875;
double fut7Quote=96.2875;
double fut8Quote=96.0875;
// swaps
double s2yQuote=0.037125;
double s3yQuote=0.0398;
double s5yQuote=0.0443;

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13.6 swapvaluation.cpp 1181

double s10yQuote=0.05165;
double s15yQuote=0.055175;

/*********************
*** RATE HELPERS ***
*********************/

// RateHelpers are built from the above quotes together with other
// instrument dependant infos.

// setup deposits
DayCounter depositDayCounter = Actual360();
int settlementDays = 2;

Handle<RateHelper> d1w(new DepositRateHelper(

d1wQuote, 1, Weeks, settlementDays,
calendar, ModifiedFollowing, depositDayCounter));
Handle<RateHelper> d1m(new DepositRateHelper(
d1mQuote, 1, Months, settlementDays,
calendar, ModifiedFollowing, depositDayCounter));
Handle<RateHelper> d3m(new DepositRateHelper(
d3mQuote, 3, Months, settlementDays,
calendar, ModifiedFollowing, depositDayCounter));
Handle<RateHelper> d6m(new DepositRateHelper(
d6mQuote, 6, Months, settlementDays,
calendar, ModifiedFollowing, depositDayCounter));
Handle<RateHelper> d9m(new DepositRateHelper(
d9mQuote, 9, Months, settlementDays,
calendar, ModifiedFollowing, depositDayCounter));
Handle<RateHelper> d1y(new DepositRateHelper(
d1yQuote, 1, Years, settlementDays,
calendar, ModifiedFollowing, depositDayCounter));

// setup swaps
int swFixedLegFrequency = 1;
bool swFixedLegIsAdjusted = false;
DayCounter swFixedLegDayCounter = Thirty360(Thirty360::European);
int swFloatingLegFrequency = 2;

Handle<RateHelper> s2y(new SwapRateHelper(

s2yQuote, 2, Years, settlementDays,
calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));
Handle<RateHelper> s3y(new SwapRateHelper(
s3yQuote, 3, Years, settlementDays,
calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));
Handle<RateHelper> s5y(new SwapRateHelper(
s5yQuote, 5, Years, settlementDays,
calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));
Handle<RateHelper> s10y(new SwapRateHelper(
s10yQuote, 10, Years, settlementDays,
calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));
Handle<RateHelper> s15y(new SwapRateHelper(
s15yQuote, 15, Years, settlementDays,
calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));

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1182 QuantLib Example Documentation

/*********************
** CURVE BUILDING **
*********************/

// Any DayCounter would be fine.

// ActualActual::ISDA ensures that 30 years is 30.0
DayCounter termStructureDayCounter =
ActualActual(ActualActual::ISDA);

// A depo-swap curve
std::vector<Handle<RateHelper> > depoSwapInstruments;
depoSwapInstruments.push_back(d1w);
depoSwapInstruments.push_back(d1m);
depoSwapInstruments.push_back(d3m);
depoSwapInstruments.push_back(d6m);
depoSwapInstruments.push_back(d9m);
depoSwapInstruments.push_back(d1y);
depoSwapInstruments.push_back(s2y);
depoSwapInstruments.push_back(s3y);
depoSwapInstruments.push_back(s5y);
depoSwapInstruments.push_back(s10y);
depoSwapInstruments.push_back(s15y);
Handle<TermStructure> depoSwapTermStructure(new
PiecewiseFlatForward(todaysDate, settlementDate,
depoSwapInstruments, termStructureDayCounter));

/*********************
* SWAPS TO BE PRICED *
**********************/

// Term structures that will be used for pricing:

// the one used for discounting cash flows
RelinkableHandle<TermStructure> discountingTermStructure;
// the one used for forward rate forecasting
RelinkableHandle<TermStructure> forecastingTermStructure;

// constant nominal 1,000,000 Euro

double nominal = 1000000.0;
// fixed leg
int fixedLegFrequency = 1; // annual
bool fixedLegIsAdjusted = false;
RollingConvention roll = ModifiedFollowing;
DayCounter fixedLegDayCounter = Thirty360(Thirty360::European);
int fixingDays = 2;
Rate fixedRate = 0.04;

// floating leg
int floatingLegFrequency = 2;
Handle<Xibor> euriborIndex(new Euribor(6, Months,
forecastingTermStructure)); // using the forecasting curve
Spread spread = 0.0;

int lenghtInYears = 5;
bool payFixedRate = true;
SimpleSwap spot5YearSwap(payFixedRate, settlementDate, lenghtInYears,
Years, calendar, roll, nominal, fixedLegFrequency, fixedRate,
fixedLegIsAdjusted, fixedLegDayCounter, floatingLegFrequency,
euriborIndex, fixingDays, spread,
discountingTermStructure); // using the discounting curve
SimpleSwap oneYearForward5YearSwap(payFixedRate,
calendar.advance(settlementDate, 1, Years, ModifiedFollowing),
lenghtInYears, Years,
calendar, roll, nominal, fixedLegFrequency, fixedRate,

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13.6 swapvaluation.cpp 1183

fixedLegIsAdjusted, fixedLegDayCounter, floatingLegFrequency,

euriborIndex, fixingDays, spread,
discountingTermStructure); // using the discounting curve

/***************
* SWAP PRICING *
****************/

std::cout << "*** 5Y swap at 4.43%" << std::endl;

// let’s price in term of NPV, fixed rate, and spread

double NPV;
Rate fairFixedRate;
Spread fairFloatingSpread;

// Of course, you’re not forced to really use different curves

forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
std::cout << "*** using Depo-Swap term structure:" << std::endl;

NPV = spot5YearSwap.NPV();
std::cout << "5Y "
<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;
fairFloatingSpread = spot5YearSwap.fairSpread();
std::cout << "5Y "
<< RateFormatter::toString(fixedRate,2)
<< " fair spread: "
<< RateFormatter::toString(fairFloatingSpread,4)
<< std::endl;
fairFixedRate = spot5YearSwap.fairRate();
std::cout << "5Y fair fixed rate: "
<< RateFormatter::toString(fairFixedRate,4)
<< std::endl;
// let’s check that the 5 years swap has been correctly re-priced
QL_REQUIRE(QL_FABS(fairFixedRate-s5yQuote)<1e-8,
"5 years swap mispriced!");

// now let’s price the 1Y forward 5Y swap

NPV = oneYearForward5YearSwap.NPV();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;
fairFloatingSpread = oneYearForward5YearSwap.fairSpread();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " fair spread: "
<< RateFormatter::toString(fairFloatingSpread,4)
<< std::endl;
fairFixedRate = oneYearForward5YearSwap.fairRate();
std::cout << "1Yx5Y fair fixed rate: "
<< RateFormatter::toString(fairFixedRate,4)
<< std::endl;

// now, let’s get serious

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1184 QuantLib Example Documentation

/*********************
*** MARKET DATA ***
*********************/

// market elements are containers for quotes.

// SimpleMarketElement stores a value which can be manually changed;
// other MarketElement subclasses could read the value from a
// database or some kind of data feed.

// deposits
Handle<MarketElement> d1wRate(new SimpleMarketElement(d1wQuote));
Handle<MarketElement> d1mRate(new SimpleMarketElement(d1mQuote));
Handle<MarketElement> d3mRate(new SimpleMarketElement(d3mQuote));
Handle<MarketElement> d6mRate(new SimpleMarketElement(d6mQuote));
Handle<MarketElement> d9mRate(new SimpleMarketElement(d9mQuote));
Handle<MarketElement> d1yRate(new SimpleMarketElement(d1yQuote));
// FRAs
Handle<MarketElement> fra3x6Rate(new SimpleMarketElement(fra3x6Quote));
Handle<MarketElement> fra6x9Rate(new SimpleMarketElement(fra6x9Quote));
Handle<MarketElement> fra6x12Rate(new SimpleMarketElement(fra6x12Quote));
// futures
Handle<MarketElement> fut1Price(new SimpleMarketElement(fut1Quote));
Handle<MarketElement> fut2Price(new SimpleMarketElement(fut2Quote));
Handle<MarketElement> fut3Price(new SimpleMarketElement(fut3Quote));
Handle<MarketElement> fut4Price(new SimpleMarketElement(fut4Quote));
Handle<MarketElement> fut5Price(new SimpleMarketElement(fut5Quote));
Handle<MarketElement> fut6Price(new SimpleMarketElement(fut6Quote));
Handle<MarketElement> fut7Price(new SimpleMarketElement(fut7Quote));
Handle<MarketElement> fut8Price(new SimpleMarketElement(fut8Quote));
// swaps
Handle<MarketElement> s2yRate(new SimpleMarketElement(s2yQuote));
Handle<MarketElement> s3yRate(new SimpleMarketElement(s3yQuote));
Handle<MarketElement> s5yRate(new SimpleMarketElement(s5yQuote));
Handle<MarketElement> s10yRate(new SimpleMarketElement(s10yQuote));
Handle<MarketElement> s15yRate(new SimpleMarketElement(s15yQuote));

/*********************
*** RATE HELPERS ***
*********************/

// RateHelpers are built from the above quotes together with other
// instrument dependant infos.
// This time quotes are passed in relinkable
// handles which could be relinked to some other data source later.

// setup deposits
d1w =Handle<RateHelper>(new DepositRateHelper(
RelinkableHandle<MarketElement>(d1wRate),
1, Weeks, settlementDays,
calendar, ModifiedFollowing, depositDayCounter));
d1m=Handle<RateHelper>(new DepositRateHelper(
RelinkableHandle<MarketElement>(d1mRate),
1, Months, settlementDays,
calendar, ModifiedFollowing, depositDayCounter));
d3m=Handle<RateHelper>(new DepositRateHelper(
RelinkableHandle<MarketElement>(d3mRate),
3, Months, settlementDays,
calendar, ModifiedFollowing, depositDayCounter));
d6m=Handle<RateHelper>(new DepositRateHelper(
RelinkableHandle<MarketElement>(d6mRate),
6, Months, settlementDays,

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13.6 swapvaluation.cpp 1185

calendar, ModifiedFollowing, depositDayCounter));

d9m=Handle<RateHelper>(new DepositRateHelper(
RelinkableHandle<MarketElement>(d9mRate),
9, Months, settlementDays,
calendar, ModifiedFollowing, depositDayCounter));
d1y=Handle<RateHelper>(new DepositRateHelper(
RelinkableHandle<MarketElement>(d1yRate),
1, Years, settlementDays,
calendar, ModifiedFollowing, depositDayCounter));

// setup swaps
s2y=Handle<RateHelper>(new SwapRateHelper(
RelinkableHandle<MarketElement>(s2yRate),
2, Years, settlementDays,
calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));
s3y=Handle<RateHelper>(new SwapRateHelper(
RelinkableHandle<MarketElement>(s3yRate),
3, Years, settlementDays,
calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));
s5y=Handle<RateHelper>(new SwapRateHelper(
RelinkableHandle<MarketElement>(s5yRate),
5, Years, settlementDays,
calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));
s10y=Handle<RateHelper>(new SwapRateHelper(
RelinkableHandle<MarketElement>(s10yRate),
10, Years, settlementDays,
calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));
s15y=Handle<RateHelper>(new SwapRateHelper(
RelinkableHandle<MarketElement>(s15yRate),
15, Years, settlementDays,
calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));

// let’s add FRA and futures

// setup FRAs
Handle<RateHelper> fra3x6(new FraRateHelper(
RelinkableHandle<MarketElement>(fra3x6Rate),
3, 6, settlementDays, calendar, ModifiedFollowing,
depositDayCounter));
Handle<RateHelper> fra6x9(new FraRateHelper(
RelinkableHandle<MarketElement>(fra6x9Rate),
6, 9, settlementDays, calendar, ModifiedFollowing,
depositDayCounter));
Handle<RateHelper> fra6x12(new FraRateHelper(
RelinkableHandle<MarketElement>(fra6x12Rate),
6, 12, settlementDays, calendar, ModifiedFollowing,
depositDayCounter));

// setup futures
int futMonths = 3;
Handle<RateHelper> fut1(new FuturesRateHelper(
RelinkableHandle<MarketElement>(fut1Price),
Date(19, December, 2001),
futMonths, calendar, ModifiedFollowing,
depositDayCounter));
Handle<RateHelper> fut2(new FuturesRateHelper(

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1186 QuantLib Example Documentation

RelinkableHandle<MarketElement>(fut1Price),
Date(20, March, 2002),
futMonths, calendar, ModifiedFollowing,
depositDayCounter));
Handle<RateHelper> fut3(new FuturesRateHelper(
RelinkableHandle<MarketElement>(fut1Price),
Date(19, June, 2002),
futMonths, calendar, ModifiedFollowing,
depositDayCounter));
Handle<RateHelper> fut4(new FuturesRateHelper(
RelinkableHandle<MarketElement>(fut1Price),
Date(18, September, 2002),
futMonths, calendar, ModifiedFollowing,
depositDayCounter));
Handle<RateHelper> fut5(new FuturesRateHelper(
RelinkableHandle<MarketElement>(fut1Price),
Date(18, December, 2002),
futMonths, calendar, ModifiedFollowing,
depositDayCounter));
Handle<RateHelper> fut6(new FuturesRateHelper(
RelinkableHandle<MarketElement>(fut1Price),
Date(19, March, 2003),
futMonths, calendar, ModifiedFollowing,
depositDayCounter));
Handle<RateHelper> fut7(new FuturesRateHelper(
RelinkableHandle<MarketElement>(fut1Price),
Date(18, June, 2003),
futMonths, calendar, ModifiedFollowing,
depositDayCounter));
Handle<RateHelper> fut8(new FuturesRateHelper(
RelinkableHandle<MarketElement>(fut1Price),
Date(17, September, 2003),
futMonths, calendar, ModifiedFollowing,
depositDayCounter));

/*********************
** CURVE BUILDING **
*********************/

// A depo-futures-swap curve
std::vector<Handle<RateHelper> > depoFutSwapInstruments;
depoFutSwapInstruments.push_back(d1w);
depoFutSwapInstruments.push_back(d1m);
depoFutSwapInstruments.push_back(fut1);
depoFutSwapInstruments.push_back(fut2);
depoFutSwapInstruments.push_back(fut3);
depoFutSwapInstruments.push_back(fut4);
depoFutSwapInstruments.push_back(fut5);
depoFutSwapInstruments.push_back(fut6);
depoFutSwapInstruments.push_back(fut7);
depoFutSwapInstruments.push_back(fut8);
depoFutSwapInstruments.push_back(s3y);
depoFutSwapInstruments.push_back(s5y);
depoFutSwapInstruments.push_back(s10y);
depoFutSwapInstruments.push_back(s15y);
Handle<TermStructure> depoFutSwapTermStructure(new
PiecewiseFlatForward(todaysDate, settlementDate,
depoFutSwapInstruments, termStructureDayCounter));

// A depo-FRA-swap curve

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13.6 swapvaluation.cpp 1187

std::vector<Handle<RateHelper> > depoFRASwapInstruments;

depoFRASwapInstruments.push_back(d1w);
depoFRASwapInstruments.push_back(d1m);
depoFRASwapInstruments.push_back(d3m);
depoFRASwapInstruments.push_back(fra3x6);
depoFRASwapInstruments.push_back(fra6x9);
depoFRASwapInstruments.push_back(fra6x12);
depoFRASwapInstruments.push_back(s2y);
depoFRASwapInstruments.push_back(s3y);
depoFRASwapInstruments.push_back(s5y);
depoFRASwapInstruments.push_back(s10y);
depoFRASwapInstruments.push_back(s15y);
Handle<TermStructure> depoFRASwapTermStructure(new
PiecewiseFlatForward(todaysDate, settlementDate,
depoFRASwapInstruments, termStructureDayCounter));

/***************
* SWAP PRICING *
****************/

// switch the curve used by the swaps to be priced

forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
std::cout << "*** using Depo-Fut-Swap term structure:" << std::endl;

NPV = spot5YearSwap.NPV();
std::cout << "5Y "
<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;
fairFloatingSpread = spot5YearSwap.fairSpread();
std::cout << "5Y "
<< RateFormatter::toString(fixedRate,2)
<< " fair spread: "
<< RateFormatter::toString(fairFloatingSpread,4)
<< std::endl;
fairFixedRate = spot5YearSwap.fairRate();
std::cout << "5Y fair fixed rate: "
<< RateFormatter::toString(fairFixedRate,4)
<< std::endl;
// let’s check that the 5 years swap has been correctly re-priced
QL_REQUIRE(QL_FABS(fairFixedRate-s5yQuote)<1e-8,
"5 years swap mispriced!");

// now let’s price the 1Y forward 5Y swap

NPV = oneYearForward5YearSwap.NPV();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;
fairFloatingSpread = oneYearForward5YearSwap.fairSpread();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " fair spread: "
<< RateFormatter::toString(fairFloatingSpread,4)
<< std::endl;
fairFixedRate = oneYearForward5YearSwap.fairRate();
std::cout << "1Yx5Y fair fixed rate: "
<< RateFormatter::toString(fairFixedRate,4)

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1188 QuantLib Example Documentation

<< std::endl;

// switch the curve used by the swaps to be priced

forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
std::cout << "*** using Depo-FRA-Swap term structure:" << std::endl;

NPV = spot5YearSwap.NPV();
std::cout << "5Y "
<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;
fairFloatingSpread = spot5YearSwap.fairSpread();
std::cout << "5Y "
<< RateFormatter::toString(fixedRate,2)
<< " fair spread: "
<< RateFormatter::toString(fairFloatingSpread,4)
<< std::endl;
fairFixedRate = spot5YearSwap.fairRate();
std::cout << "5Y fair fixed rate: "
<< RateFormatter::toString(fairFixedRate,4)
<< std::endl;
// let’s check that the 5 years swap has been correctly re-priced
QL_REQUIRE(QL_FABS(fairFixedRate-s5yRate->value())<1e-8,
"5 years swap mispriced!");

// now let’s price the 1Y forward 5Y swap

NPV = oneYearForward5YearSwap.NPV();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;
fairFloatingSpread = oneYearForward5YearSwap.fairSpread();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " fair spread: "
<< RateFormatter::toString(fairFloatingSpread,4)
<< std::endl;
fairFixedRate = oneYearForward5YearSwap.fairRate();
std::cout << "1Yx5Y fair fixed rate: "
<< RateFormatter::toString(fairFixedRate,4)
<< std::endl;

// now let’s say that the 5-years swap rate goes up to 4.60%.
// A smarter market element--say, connected to a data source-- would
// notice the change itself. Since we’re using SimpleMarketElements,
// we’ll have to change the value manually--which forces us to
// downcast the handle and use the SimpleMarketElement
// interface. In any case, the point here is that a change in the
// value contained in the MarketElement triggers a new bootstrapping
// of the curve and a repricing of the swap.

Handle<SimpleMarketElement> fiveYearsRate = s5yRate;

fiveYearsRate->setValue(0.0460);
std::cout << std::endl << "*** 5Y swap goes up to 4.60%" << std::endl;

// now get the updated results

forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
std::cout << "*** using Depo-Fut-Swap term structure:" << std::endl;

NPV = spot5YearSwap.NPV();

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13.6 swapvaluation.cpp 1189

std::cout << "5Y "

<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;
fairFloatingSpread = spot5YearSwap.fairSpread();
std::cout << "5Y "
<< RateFormatter::toString(fixedRate,2)
<< " fair spread: "
<< RateFormatter::toString(fairFloatingSpread,4)
<< std::endl;
fairFixedRate = spot5YearSwap.fairRate();
std::cout << "5Y fair fixed rate: "
<< RateFormatter::toString(fairFixedRate,4)
<< std::endl;
// let’s check that the 5 years swap has been correctly re-priced
QL_REQUIRE(QL_FABS(fairFixedRate-s5yRate->value())<1e-8,
"5 years swap mispriced!");

NPV = oneYearForward5YearSwap.NPV();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;
fairFloatingSpread = oneYearForward5YearSwap.fairSpread();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " fair spread: "
<< RateFormatter::toString(fairFloatingSpread,4)
<< std::endl;
fairFixedRate = oneYearForward5YearSwap.fairRate();
std::cout << "1Yx5Y fair fixed rate: "
<< RateFormatter::toString(fairFixedRate,4)
<< std::endl;

forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
std::cout << "*** using Depo-FRA-Swap term structure:" << std::endl;

NPV = spot5YearSwap.NPV();
std::cout << "5Y "
<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;
fairFloatingSpread = spot5YearSwap.fairSpread();
std::cout << "5Y "
<< RateFormatter::toString(fixedRate,2)
<< " fair spread: "
<< RateFormatter::toString(fairFloatingSpread,4)
<< std::endl;
fairFixedRate = spot5YearSwap.fairRate();
std::cout << "5Y fair fixed rate: "
<< RateFormatter::toString(fairFixedRate,4)
<< std::endl;
// let’s check that the 5 years swap has been correctly re-priced
QL_REQUIRE(QL_FABS(fairFixedRate-s5yRate->value())<1e-8,
"5 years swap mispriced!");

NPV = oneYearForward5YearSwap.NPV();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;

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1190 QuantLib Example Documentation

fairFloatingSpread = oneYearForward5YearSwap.fairSpread();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " fair spread: "
<< RateFormatter::toString(fairFloatingSpread,4)
<< std::endl;
fairFixedRate = oneYearForward5YearSwap.fairRate();
std::cout << "1Yx5Y fair fixed rate: "
<< RateFormatter::toString(fairFixedRate,4)
<< std::endl;

return 0;

} catch (std::exception& e) {
std::cout << e.what() << std::endl;
return 1;
} catch (...) {
std::cout << "unknown error" << std::endl;
return 1;
}
}

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Chapter 14

Unstable features

Class AmericanMCVanillaEngine(p. 163) This engine is known not to work for deeply out-of-
the-money options. More problems might surface.

Class CoxIngersollRoss(p. 278) This class was not tested enough to guarantee its functionality.

Class ExtendedCoxIngersollRoss(p. 336) This class was not tested enough to guarantee its func-
tionality.

Class G2(p. 371) This class was not tested enough to guarantee its functionality.

Member sensitivity(p. 622)(int basis=2) const This method was not tested enough to guarantee
its functionality.
1192 Unstable features

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Chapter 15

Deprecated List

Class BarrierOption(p. 184) use Instruments::BarrierOption instead.

Class BinaryOption(p. 199) use Instruments::BarrierOption instead.

Member BoxMullerGaussianRng(p. 227)(long seed=0) initialize with a random number gen-

erator instead.

Member CLGaussianRng(p. 256)(long seed=0) initialize with a random number generator in-
stead.

Class CliquetOptionPathPricer_old(p. 262) use CliquetOptionPathPricer instead

Class EuropeanOption(p. 330) use VanillaOption with EuropeanAnalyticEngine

Member ICGaussianRng(p. 404)(long seed=0) initialize with a random number generator in-
stead.

Class McEuropean(p. 483) use VanillaOption with McEuropeanEngine

Class MultivariateAccumulator(p. 509) use SequenceStatistics instead

Class PathGenerator_old(p. 545) use PathGenerator instead

Class PathPricer_old(p. 547) use PathPricer instead

Class RandomArrayGenerator(p. 574) use RandomSequenceGenerator instead.

1194 Deprecated List

Class RiskMeasures(p. 583) use Statistics instead

Class RiskStatistics_old(p. 585) use IncrementalGaussianStatistics or Statistics instead

Member SimpleSwap(p. 600)(bool payFixedRate, const Date &startDate, const Date &maturity, const Calendar &
use the constructor taking two Schedules

Member Scheduler(p. 114) use Schedule instead

Member MakeScheduler(p. 114) use MakeSchedule instead

Member FixedRateCouponVector(p. 121)(const std::vector< double > &nominals, const std::vector< Rate > &cou
use the version taking a Schedule as first argument instead

Member FixedRateCouponVector(p. 121)(const std::vector< double > &nominals, const std::vector< Rate > &cou
use the version taking a Schedule as first argument instead

Member FixedRateCouponVector(p. 122)(const std::vector< double > &nominals, const std::vector< Rate > &cou
use the version taking a Schedule as first argument instead

Member FloatingRateCouponVector(p. 122)(const std::vector< double > &nominals, const Date &startDate, cons
use the version taking a Schedule as first argument instead

Member FloatingRateCouponVector(p. 122)(const std::vector< double > &nominals, const Handle< Indexes::Xib
use the version taking a Schedule as first argument instead

Member FloatingRateCouponVector(p. 123)(const std::vector< double > &nominals, const std::vector< Spread >
use the version taking a Schedule as first argument instead

Member IndexedCouponVector(p. 123)(const std::vector< double > &nominals, const Date &startDate, const Dat
use the version taking a Schedule instead

Member VanillaCapFloor(p. 130) use CapFloor instead

Member VanillaCap(p. 130) use Cap instead

Member VanillaFloor(p. 130) use Floor instead

Member VanillaCollar(p. 130) use Collar instead

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Index

add blackVarianceImpl
QuantLib::Math::GeneralStatistics, 380 QuantLib::BlackVolatilityTerm-
QuantLib::Math::IncrementalStatistics, Structure, 221
416 blackVolImpl
QuantLib::RiskStatistics_old, 586 QuantLib::BlackVarianceTerm-
advance Structure, 220
QuantLib::Calendar, 237 BoxMullerGaussianRng
amount QuantLib::RandomNumbers::Box-
QuantLib::CashFlow, 252 MullerGaussianRng, 227
QuantLib::CashFlows::FixedRate- BRL
Coupon, 354 QuantLib, 115
QuantLib::CashFlows::Indexed- BYB
Coupon, 420 QuantLib, 115
QuantLib::CashFlows::ParCoupon, 542
QuantLib::CashFlows::Short, 593 CAD
QuantLib::CashFlows::SimpleCash- QuantLib, 115
Flow, 596 calculate
applyAfterApplying QuantLib::Instrument, 423
QuantLib::FiniteDifferences::Boundary- QuantLib::Patterns::LazyObject, 444
Condition, 224 Calendar
applyAfterSolving QuantLib::Calendar, 236
QuantLib::FiniteDifferences::Boundary- calibrate
Condition, 224 QuantLib::ShortRateModels::Model,
applyBeforeApplying 503
QuantLib::FiniteDifferences::Boundary- Character functions, 101
Condition, 224 CHF
applyBeforeSolving QuantLib, 115
QuantLib::FiniteDifferences::Boundary- CLGaussianRng
Condition, 224 QuantLib::Random-
ARS Numbers::CLGaussianRng, 256
QuantLib, 115 CLP
ATS QuantLib, 115
QuantLib, 115 CNY
AUD QuantLib, 115
QuantLib, 115 compoundForwardImpl
averageShortfall QuantLib::DiscountStructure, 303
QuantLib::Math::GenericRiskStatistics, QuantLib::ForwardRateStructure, 361
385 QuantLib::TermStructures::Extended-
DiscountCurve, 341
BDT QuantLib::ZeroYieldStructure, 683
QuantLib, 115 COP
BEF QuantLib, 115
QuantLib, 115 Coupon
BGL QuantLib::CashFlows::Coupon, 277
QuantLib, 115 Currency
1196 INDEX

QuantLib, 115 QuantLib::CashFlows, 121

CYP fixing
QuantLib, 115 QuantLib::Index, 417
CZK QuantLib::Indexes::Xibor, 676
QuantLib, 115 FloatingRateCouponVector
QuantLib::CashFlows, 122
DayCounter Following
QuantLib::DayCounter, 293 QuantLib, 115
DEFINE_SEQUENCE_STAT_CONST_- formula
METHOD_DOUBLE QuantLib::BlackModel, 211
sequencestatistics.hpp, 888 forwardImpl
DEFINE_SEQUENCE_STAT_CONST_- QuantLib::DiscountStructure, 303
METHOD_VOID QuantLib::TermStructures::Zero-
sequencestatistics.hpp, 888 SpreadedTermStructure, 682
DEM QuantLib::ZeroYieldStructure, 683
QuantLib, 115 freeze
discountImpl QuantLib::Patterns::LazyObject, 444
QuantLib::ForwardRateStructure, 361
QuantLib::ZeroYieldStructure, 683 gaussianDownsideDeviation
DKK QuantLib::Math::GaussianStatistics,
QuantLib, 115 375
downsideDeviation gaussianDownsideVariance
QuantLib::Math::GenericRiskStatistics, QuantLib::Math::GaussianStatistics,
384 375
QuantLib::Math::IncrementalStatistics, gaussianExpectedShortfall
415 QuantLib::Math::GaussianStatistics,
downsideVariance 376
QuantLib::Math::GenericRiskStatistics, QuantLib::Math::RiskMeasures, 584
383 gaussianPercentile
QuantLib::Math::IncrementalStatistics, QuantLib::Math::GaussianStatistics,
415 376
EEK QuantLib::Math::RiskMeasures, 583
QuantLib, 115 gaussianPotentialUpside
errorEstimate QuantLib::Math::GaussianStatistics,
QuantLib::Math::GeneralStatistics, 379 376
QuantLib::Math::IncrementalStatistics, QuantLib::Math::RiskMeasures, 583
415 gaussianRegret
errors.hpp QuantLib::Math::GaussianStatistics,
QL_ASSERT, 769 375
QL_ENSURE, 770 gaussianValueAtRisk
QL_REQUIRE, 769 QuantLib::Math::GaussianStatistics,
EUR 376
QuantLib, 115 QuantLib::Math::RiskMeasures, 584
expectation GBP
QuantLib::DiffusionProcess, 298 QuantLib, 115
QuantLib::OrnsteinUhlenbeckProcess, getCovariance
534 QuantLib::MonteCarlo, 137
expectationValue Global QuantLib macros, 95
QuantLib::Math::GeneralStatistics, 380 GRD
expectedShortfall QuantLib, 115
QuantLib::Math::GenericRiskStatistics,
384 Handle
QuantLib::Handle, 391
FixedRateCouponVector History

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

INDEX 1197

QuantLib::History, 395 KnuthUniformRng

HKD QuantLib::RandomNumbers::Knuth-
QuantLib, 115 UniformRng, 437
HUF KRW
QuantLib, 116 QuantLib, 116
hypot kurtosis
QuantLib::Math, 134 QuantLib::Math::GeneralStatistics, 379
QuantLib::Math::IncrementalStatistics,
ICGaussianRng 416
QuantLib::Random- KWD
Numbers::ICGaussianRng, 404 QuantLib, 116
ILS
QuantLib, 116
impliedVolatility LecuyerUniformRng
QuantLib::Instruments::VanillaOption, QuantLib::RandomNumbers::Lecuyer-
665 UniformRng, 448
QuantLib::Pricers::SingleAssetOption, limitMacros
606 QL_EPSILON, 98
IndexedCouponVector QL_MAX_DOUBLE, 98
QuantLib::CashFlows, 123 QL_MAX_INT, 98
Input/output functions, 102 QL_MIN_DOUBLE, 98
INR QL_MIN_INT, 98
QuantLib, 116 QL_MIN_POSITIVE_DOUBLE, 98
IQD Link
QuantLib, 116 QuantLib::Link, 455
IRR linkTo
QuantLib, 116 QuantLib::Link, 455
isBusinessDay QuantLib::RelinkableHandle, 579
QuantLib::Calendar, 236 localVolImpl
isEndOfMonth QuantLib::VolTermStructures::Local-
QuantLib::Calendar, 236 VolCurve, 460
isHoliday LTL
QuantLib::Calendar, 237 QuantLib, 116
ISK LVL
QuantLib, 116 QuantLib, 116
Iterator support, 106
iteratorMacros
macros
QL_FULL_ITERATOR_SUPPORT, 106
QL_DUMMY_RETURN, 95
QL_ITERATOR, 106
QL_ITERATOR_TRAITS, 106 QL_IO_INIT, 96
QL_REVERSE_ITERATOR, 106 MakeScheduler
QL_SPECIALIZE_ITERATOR_TRAITS, QuantLib, 114
106 Math functions, 97
ITL matrixSqrt
QuantLib, 116 QuantLib::Math::Matrix, 473
max
JoinBusinessDays QuantLib::Math::GeneralStatistics, 380
QuantLib::Calendars, 118 QuantLib::Math::IncrementalStatistics,
JoinHolidays 416
QuantLib::Calendars, 118 mean
JointCalendarRule QuantLib::Math::GeneralStatistics, 379
QuantLib::Calendars, 118 QuantLib::Math::IncrementalStatistics,
JPY 415
QuantLib, 116 MersenneTwisterUniformRng

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1198 INDEX

QuantLib::Random- QuantLib::Math::LogLinear-
Numbers::MersenneTwister- Interpolation, 466
UniformRng, 496 operator+=
min QuantLib::Math::Matrix, 473
QuantLib::Math::GeneralStatistics, 379 operator==
QuantLib::Math::IncrementalStatistics, QuantLib::Calendar, 237
416 QuantLib::DayCounter, 293
Min and max functions, 103
ModifiedFollowing PathGenerator_old
QuantLib, 115 QuantLib::MonteCarlo::Path-
ModifiedPreceding Generator_old, 545
QuantLib, 115 percentile
MonthEndReference QuantLib::Math::GeneralStatistics, 380
QuantLib, 115 QuantLib::Math::RiskMeasures, 583
MTL performCalculations
QuantLib, 116 QuantLib::Instrument, 424
MXP QuantLib::Instruments::BarrierOption,
QuantLib, 116 183
QuantLib::Instruments::BinaryOption,
198
name
QuantLib::Instruments::Forward-
QuantLib::Calendar, 236
VanillaOption, 366
QuantLib::DayCounter, 293
QuantLib::Instruments::QuantoVanilla-
QuantLib::Index, 417
Option, 573
QuantLib::Indexes::Xibor, 676
QuantLib::Instruments::Stock, 615
next
QuantLib::Instruments::Swap, 622
QuantLib::RandomNumbers::Knuth-
QuantLib::Instruments::Swaption, 625
UniformRng, 437
QuantLib::Instruments::VanillaOption,
QuantLib::RandomNumbers::Lecuyer-
666
UniformRng, 448
QuantLib::Patterns::LazyObject, 444
QuantLib::Random-
PiecewiseFlatForward
Numbers::MersenneTwister-
QuantLib::TermStructures::Piecewise-
UniformRng, 496
FlatForward, 554
NOK
PKR
QuantLib, 116 QuantLib, 116
notifyObservers PLN
QuantLib::Patterns::Observable, 524 QuantLib, 116
NPR postAdjustValues
QuantLib, 116 QuantLib::DiscretizedAsset, 308
Numeric limits, 98 QuantLib::DiscretizedOption, 311
NZD potentialUpside
QuantLib, 116 QuantLib::Math::GenericRiskStatistics,
384
operator() QuantLib::Math::RiskMeasures, 583
QuantLib::Math::BicubicSpline- preAdjustValues
Interpolation, 191 QuantLib::DiscretizedAsset, 308
QuantLib::Math::BilinearInterpolation, Preceding
193 QuantLib, 115
QuantLib::Math::CubicSpline- pseudoSqrt
Interpolation, 284 QuantLib::Math::Matrix, 473
QuantLib::Math::Interpolation, 428
QuantLib::Math::Interpolation2D, 430 ql/argsandresults.hpp, 687
QuantLib::Math::LinearInterpolation, ql/array.hpp, 688
452 ql/blackmodel.hpp, 689

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

INDEX 1199

ql/calendar.cpp, 690 ql/CashFlows/shortfloatingcoupon.hpp, 742

ql/calendar.hpp, 691 ql/CashFlows/shortindexedcoupon.hpp, 743
ql/Calendars/budapest.cpp, 692 ql/CashFlows/simplecashflow.hpp, 744
ql/Calendars/budapest.hpp, 693 ql/CashFlows/timebasket.cpp, 745
ql/Calendars/frankfurt.cpp, 694 ql/CashFlows/timebasket.hpp, 746
ql/Calendars/frankfurt.hpp, 695 ql/CashFlows/upfrontindexedcoupon.hpp,
ql/Calendars/helsinki.cpp, 696 747
ql/Calendars/helsinki.hpp, 697 ql/currency.hpp, 748
ql/Calendars/johannesburg.cpp, 698 ql/dataformatters.cpp, 749
ql/Calendars/johannesburg.hpp, 699 ql/dataformatters.hpp, 750
ql/Calendars/jointcalendar.cpp, 700 ql/dataparsers.cpp, 751
ql/Calendars/jointcalendar.hpp, 701 ql/dataparsers.hpp, 752
ql/Calendars/london.cpp, 702 ql/date.cpp, 753
ql/Calendars/london.hpp, 703 ql/date.hpp, 754
ql/Calendars/milan.cpp, 704 ql/daycounter.hpp, 755
ql/Calendars/milan.hpp, 705 ql/DayCounters/actual360.hpp, 756
ql/Calendars/newyork.cpp, 706 ql/DayCounters/actual365.hpp, 757
ql/Calendars/newyork.hpp, 707 ql/DayCounters/actualactual.cpp, 758
ql/Calendars/nullcalendar.hpp, 708 ql/DayCounters/actualactual.hpp, 759
ql/Calendars/oslo.cpp, 709 ql/DayCounters/simpledaycounter.cpp, 760
ql/Calendars/oslo.hpp, 710 ql/DayCounters/simpledaycounter.hpp, 761
ql/Calendars/stockholm.cpp, 711 ql/DayCounters/thirty360.cpp, 762
ql/Calendars/stockholm.hpp, 712 ql/DayCounters/thirty360.hpp, 763
ql/Calendars/sydney.cpp, 713 ql/diffusionprocess.cpp, 764
ql/Calendars/sydney.hpp, 714 ql/diffusionprocess.hpp, 765
ql/Calendars/target.cpp, 715 ql/discretizedasset.cpp, 766
ql/Calendars/target.hpp, 716 ql/discretizedasset.hpp, 767
ql/Calendars/tokyo.cpp, 717 ql/disposable.hpp, 768
ql/Calendars/tokyo.hpp, 718 ql/errors.hpp, 769
ql/Calendars/toronto.cpp, 719 ql/exercise.cpp, 771
ql/Calendars/toronto.hpp, 720 ql/exercise.hpp, 772
ql/Calendars/warsaw.cpp, 721 ql/FiniteDifferences/americancondition.hpp,
ql/Calendars/warsaw.hpp, 722 773
ql/Calendars/wellington.cpp, 723 ql/FiniteDifferences/boundarycondition.cpp,
ql/Calendars/wellington.hpp, 724 774
ql/Calendars/zurich.cpp, 725 ql/FiniteDifferences/boundarycondition.hpp,
ql/Calendars/zurich.hpp, 726 775
ql/capvolstructures.hpp, 727 ql/FiniteDifferences/bsmoperator.cpp, 776
ql/cashflow.hpp, 728 ql/FiniteDifferences/bsmoperator.hpp, 777
ql/CashFlows/basispointsensitivity.cpp, 729 ql/FiniteDifferences/cranknicolson.hpp, 778
ql/CashFlows/basispointsensitivity.hpp, 730 ql/FiniteDifferences/dminus.hpp, 779
ql/CashFlows/cashflowvectors.cpp, 731 ql/FiniteDifferences/dplus.hpp, 780
ql/CashFlows/cashflowvectors.hpp, 732 ql/FiniteDifferences/dplusdminus.hpp, 781
ql/CashFlows/coupon.hpp, 733 ql/FiniteDifferences/dzero.hpp, 782
ql/CashFlows/fixedratecoupon.hpp, 734 ql/FiniteDifferences/expliciteuler.hpp, 783
ql/CashFlows/floatingratecoupon.hpp, 735 ql/FiniteDifferences/fdtypedefs.hpp, 784
ql/CashFlows/inarrearindexedcoupon.hpp, ql/FiniteDifferences/finitedifferencemodel.hpp,
736 785
ql/CashFlows/indexcashflowvectors.hpp, ql/FiniteDifferences/impliciteuler.hpp, 786
737 ql/FiniteDifferences/mixedscheme.hpp, 787
ql/CashFlows/indexedcoupon.hpp, 738 ql/FiniteDifferences/onefactoroperator.cpp,
ql/CashFlows/parcoupon.cpp, 739 788
ql/CashFlows/parcoupon.hpp, 740 ql/FiniteDifferences/onefactoroperator.hpp,
ql/CashFlows/shortfloatingcoupon.cpp, 741 789

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1200 INDEX

ql/FiniteDifferences/shoutcondition.hpp, ql/Instruments/stock.hpp, 835

790 ql/Instruments/swap.cpp, 836
ql/FiniteDifferences/stepcondition.hpp, 791 ql/Instruments/swap.hpp, 837
ql/FiniteDifferences/tridiagonaloperator.cpp, ql/Instruments/swaption.cpp, 838
792 ql/Instruments/swaption.hpp, 839
ql/FiniteDifferences/tridiagonaloperator.hpp, ql/Instruments/vanillaoption.cpp, 840
793 ql/Instruments/vanillaoption.hpp, 841
ql/FiniteDifferences/valueatcenter.cpp, 794 ql/Lattices/binomialtree.cpp, 842
ql/FiniteDifferences/valueatcenter.hpp, 795 ql/Lattices/binomialtree.hpp, 843
ql/functions/daycounters.cpp, 796 ql/Lattices/bsmlattice.cpp, 844
ql/functions/daycounters.hpp, 797 ql/Lattices/bsmlattice.hpp, 845
ql/functions/mathf.cpp, 798 ql/Lattices/lattice.cpp, 846
ql/functions/mathf.hpp, 799 ql/Lattices/lattice.hpp, 847
ql/functions/vols.cpp, 800 ql/Lattices/lattice2d.cpp, 848
ql/functions/vols.hpp, 801 ql/Lattices/lattice2d.hpp, 849
ql/grid.cpp, 802 ql/Lattices/tree.hpp, 850
ql/grid.hpp, 803 ql/Lattices/trinomialtree.cpp, 851
ql/handle.hpp, 804 ql/Lattices/trinomialtree.hpp, 852
ql/history.hpp, 805 ql/marketelement.hpp, 853
ql/index.hpp, 806 ql/Math/bicubicsplineinterpolation.hpp, 854
ql/Indexes/audlibor.hpp, 807 ql/Math/bilinearinterpolation.hpp, 855
ql/Indexes/cadlibor.hpp, 808 ql/Math/chisquaredistribution.cpp, 856
ql/Indexes/chflibor.hpp, 809 ql/Math/chisquaredistribution.hpp, 857
ql/Indexes/euribor.hpp, 810 ql/Math/cubicspline.hpp, 858
ql/Indexes/gbplibor.hpp, 811 ql/Math/discrepancystatistics.cpp, 859
ql/Indexes/jpylibor.hpp, 812 ql/Math/discrepancystatistics.hpp, 860
ql/Indexes/usdlibor.hpp, 813 ql/Math/errorfunction.cpp, 861
ql/Indexes/xibor.cpp, 814 ql/Math/errorfunction.hpp, 862
ql/Indexes/xibor.hpp, 815 ql/Math/functional.hpp, 863
ql/Indexes/xibormanager.cpp, 816 ql/Math/gammadistribution.cpp, 864
ql/Indexes/xibormanager.hpp, 817 ql/Math/gammadistribution.hpp, 865
ql/Indexes/zarlibor.hpp, 818 ql/Math/gaussianstatistics.hpp, 866
ql/instrument.hpp, 819 ql/Math/generalstatistics.cpp, 867
ql/Instruments/barrieroption.cpp, 820 ql/Math/generalstatistics.hpp, 868
ql/Instruments/barrieroption.hpp, 821 ql/Math/incrementalstatistics.cpp, 869
ql/Instruments/binaryoption.cpp, 822 ql/Math/incrementalstatistics.hpp, 870
ql/Instruments/binaryoption.hpp, 823 ql/Math/interpolation.hpp, 871
ql/Instruments/capfloor.cpp, 824 ql/Math/interpolation2D.hpp, 872
ql/Instruments/capfloor.hpp, 825 ql/Math/interpolationtraits.hpp, 873
ql/Instruments/forwardvanillaoption.cpp, ql/Math/kronrodintegral.hpp, 874
826 ql/Math/lexicographicalview.hpp, 875
ql/Instruments/forwardvanillaoption.hpp, ql/Math/linearinterpolation.hpp, 876
827 ql/Math/loglinearinterpolation.hpp, 877
ql/Instruments/quantoforwardvanillaoption.cpp, ql/Math/matrix.cpp, 878
828 ql/Math/matrix.hpp, 879
ql/Instruments/quantoforwardvanillaoption.hpp, ql/Math/multivariateaccumulator.cpp, 880
829 ql/Math/multivariateaccumulator.hpp, 881
ql/Instruments/quantovanillaoption.cpp, ql/Math/normaldistribution.cpp, 882
830 ql/Math/normaldistribution.hpp, 883
ql/Instruments/quantovanillaoption.hpp, ql/Math/primenumbers.cpp, 884
831 ql/Math/primenumbers.hpp, 885
ql/Instruments/simpleswap.cpp, 832 ql/Math/riskmeasures.hpp, 886
ql/Instruments/simpleswap.hpp, 833 ql/Math/segmentintegral.hpp, 887
ql/Instruments/stock.cpp, 834 ql/Math/sequencestatistics.hpp, 888

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

INDEX 1201

ql/Math/statistics.hpp, 890 ql/MonteCarlo/path.hpp, 930

ql/Math/svd.cpp, 891 ql/MonteCarlo/pathgenerator.hpp, 931
ql/Math/svd.hpp, 892 ql/MonteCarlo/pathpricer.hpp, 932
ql/Math/symmetriceigenvalues.hpp, 893 ql/MonteCarlo/performanceoptionpathpricer.cpp,
ql/Math/symmetricschurdecomposition.cpp, 933
894 ql/MonteCarlo/performanceoptionpathpricer.hpp,
ql/Math/symmetricschurdecomposition.hpp, 934
895 ql/MonteCarlo/sample.hpp, 935
ql/Math/trapezoidintegral.hpp, 896 ql/null.hpp, 936
ql/MonteCarlo/arithmeticapopathpricer.cpp, ql/numericalmethod.hpp, 937
897 ql/Optimization/armijo.cpp, 938
ql/MonteCarlo/arithmeticapopathpricer.hpp, ql/Optimization/armijo.hpp, 939
898 ql/Optimization/conjugategradient.cpp, 940
ql/MonteCarlo/arithmeticasopathpricer.cpp, ql/Optimization/conjugategradient.hpp, 941
899 ql/Optimization/constraint.hpp, 942
ql/MonteCarlo/arithmeticasopathpricer.hpp, ql/Optimization/costfunction.hpp, 943
900 ql/Optimization/criteria.hpp, 944
ql/MonteCarlo/barrierpathpricer.cpp, 901 ql/Optimization/leastsquare.hpp, 945
ql/MonteCarlo/barrierpathpricer.hpp, 902 ql/Optimization/linesearch.hpp, 946
ql/MonteCarlo/basketpathpricer.cpp, 903 ql/Optimization/method.hpp, 947
ql/MonteCarlo/basketpathpricer.hpp, 904 ql/Optimization/problem.hpp, 948
ql/MonteCarlo/binarypathpricer.cpp, 905 ql/Optimization/simplex.cpp, 949
ql/MonteCarlo/binarypathpricer.hpp, 906 ql/Optimization/simplex.hpp, 950
ql/MonteCarlo/brownianbridge.hpp, 907 ql/Optimization/steepestdescent.cpp, 951
ql/MonteCarlo/cliquetoptionpathpricer.cpp, ql/Optimization/steepestdescent.hpp, 952
908 ql/option.hpp, 953
ql/MonteCarlo/cliquetoptionpathpricer.hpp, ql/Patterns/bridge.hpp, 954
909 ql/Patterns/curiouslyrecurring.hpp, 955
ql/MonteCarlo/europeanpathpricer.cpp, 910 ql/Patterns/lazyobject.hpp, 956
ql/MonteCarlo/europeanpathpricer.hpp, 911 ql/Patterns/observable.hpp, 957
ql/MonteCarlo/everestpathpricer.cpp, 912 ql/Patterns/visitor.hpp, 958
ql/MonteCarlo/everestpathpricer.hpp, 913 ql/payoff.hpp, 959
ql/MonteCarlo/geometricapopathpricer.cpp, ql/Pricers/analyticalcapfloor.cpp, 960
914 ql/Pricers/analyticalcapfloor.hpp, 961
ql/MonteCarlo/geometricapopathpricer.hpp, ql/Pricers/barrieroptionpricer.cpp, 962
915 ql/Pricers/barrieroptionpricer.hpp, 963
ql/MonteCarlo/geometricasopathpricer.cpp, ql/Pricers/binaryoptionpricer.cpp, 964
916 ql/Pricers/binaryoptionpricer.hpp, 965
ql/MonteCarlo/geometricasopathpricer.hpp, ql/Pricers/blackcapfloor.cpp, 966
917 ql/Pricers/blackcapfloor.hpp, 967
ql/MonteCarlo/getcovariance.hpp, 918 ql/Pricers/blackswaption.cpp, 968
ql/MonteCarlo/himalayapathpricer.cpp, 919 ql/Pricers/blackswaption.hpp, 969
ql/MonteCarlo/himalayapathpricer.hpp, 920 ql/Pricers/capfloorpricer.cpp, 970
ql/MonteCarlo/maxbasketpathpricer.cpp, ql/Pricers/capfloorpricer.hpp, 971
921 ql/Pricers/cliquetoption.cpp, 972
ql/MonteCarlo/maxbasketpathpricer.hpp, ql/Pricers/continuousgeometricapo.hpp, 973
922 ql/Pricers/discretegeometricapo.cpp, 974
ql/MonteCarlo/mctraits.hpp, 923 ql/Pricers/discretegeometricapo.hpp, 975
ql/MonteCarlo/mctypedefs.hpp, 924 ql/Pricers/discretegeometricaso.cpp, 976
ql/MonteCarlo/montecarlomodel.hpp, 925 ql/Pricers/discretegeometricaso.hpp, 977
ql/MonteCarlo/multipath.hpp, 926 ql/Pricers/europeanoption.cpp, 978
ql/MonteCarlo/multipathgenerator.hpp, 927 ql/Pricers/europeanoption.hpp, 979
ql/MonteCarlo/pagodapathpricer.cpp, 928 ql/Pricers/fdamericanoption.hpp, 980
ql/MonteCarlo/pagodapathpricer.hpp, 929 ql/Pricers/fdbermudanoption.cpp, 981

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1202 INDEX

ql/Pricers/fdbermudanoption.hpp, 982 ql/Pricers/swaptionpricer.hpp, 1028

ql/Pricers/fdbsmoption.cpp, 983 ql/Pricers/treecapfloor.cpp, 1029
ql/Pricers/fdbsmoption.hpp, 984 ql/Pricers/treecapfloor.hpp, 1030
ql/Pricers/fddividendamericanoption.cpp, ql/Pricers/treeswaption.cpp, 1031
985 ql/Pricers/treeswaption.hpp, 1032
ql/Pricers/fddividendamericanoption.hpp, ql/pricingengine.hpp, 1033
986 ql/PricingEngines/americanmcengines.cpp,
ql/Pricers/fddividendeuropeanoption.cpp, 1034
987 ql/PricingEngines/americanmcengines.hpp,
ql/Pricers/fddividendeuropeanoption.hpp, 1035
988 ql/PricingEngines/analyticamericanbinaryengine.cpp,
ql/Pricers/fddividendoption.cpp, 989 1036
ql/Pricers/fddividendoption.hpp, 990 ql/PricingEngines/analyticeuropeanbinaryengine.cpp,
ql/Pricers/fddividendshoutoption.cpp, 991 1037
ql/Pricers/fddividendshoutoption.hpp, 992 ql/PricingEngines/analyticeuropeanengine.cpp,
ql/Pricers/fdeuropean.cpp, 993 1038
ql/Pricers/fdeuropean.hpp, 994 ql/PricingEngines/barrierengines.hpp, 1039
ql/Pricers/fdmultiperiodoption.cpp, 995 ql/PricingEngines/binaryengines.hpp, 1040
ql/Pricers/fdmultiperiodoption.hpp, 996 ql/PricingEngines/binomialvanillaengine.cpp,
ql/Pricers/fdshoutoption.hpp, 997 1041
ql/Pricers/fdstepconditionoption.cpp, 998 ql/PricingEngines/cliquetengines.hpp, 1042
ql/Pricers/fdstepconditionoption.hpp, 999
ql/PricingEngines/discretizedvanillaoption.cpp,
ql/Pricers/jamshidianswaption.cpp, 1000
1043
ql/Pricers/jamshidianswaption.hpp, 1001
ql/PricingEngines/discretizedvanillaoption.hpp,
ql/Pricers/mcbasket.cpp, 1002
1044
ql/Pricers/mcbasket.hpp, 1003
ql/PricingEngines/forwardengines.hpp,
ql/Pricers/mccliquetoption.cpp, 1004
1045
ql/Pricers/mccliquetoption.hpp, 1005
ql/PricingEngines/genericengine.hpp, 1046
ql/Pricers/mcdiscretearithmeticapo.cpp,
ql/PricingEngines/integralengines.cpp, 1047
1006
ql/Pricers/mcdiscretearithmeticapo.hpp, ql/PricingEngines/latticeshortratemodelengine.hpp,
1007 1048
ql/Pricers/mcdiscretearithmeticaso.cpp, ql/PricingEngines/mcengine.hpp, 1049
1008 ql/PricingEngines/quantoengines.hpp, 1050
ql/Pricers/mcdiscretearithmeticaso.hpp, ql/PricingEngines/vanillaengines.hpp, 1051
1009 ql/qldefines.hpp, 1052
ql/Pricers/mceuropean.cpp, 1010 ql/RandomNumbers/boxmullergaussianrng.hpp,
ql/Pricers/mceuropean.hpp, 1011 1054
ql/Pricers/mceverest.cpp, 1012 ql/RandomNumbers/centrallimitgaussianrng.hpp,
ql/Pricers/mceverest.hpp, 1013 1055
ql/Pricers/mchimalaya.cpp, 1014 ql/RandomNumbers/haltonrsg.cpp, 1056
ql/Pricers/mchimalaya.hpp, 1015 ql/RandomNumbers/haltonrsg.hpp, 1057
ql/Pricers/mcmaxbasket.cpp, 1016 ql/RandomNumbers/inversecumgaussianrng.hpp,
ql/Pricers/mcmaxbasket.hpp, 1017 1058
ql/Pricers/mcpagoda.cpp, 1018 ql/RandomNumbers/inversecumgaussianrsg.hpp,
ql/Pricers/mcpagoda.hpp, 1019 1059
ql/Pricers/mcperformanceoption.cpp, 1020 ql/RandomNumbers/knuthuniformrng.cpp,
ql/Pricers/mcperformanceoption.hpp, 1021 1060
ql/Pricers/mcpricer.hpp, 1022 ql/RandomNumbers/knuthuniformrng.hpp,
ql/Pricers/performanceoption.cpp, 1023 1061
ql/Pricers/performanceoption.hpp, 1024 ql/RandomNumbers/lecuyeruniformrng.cpp,
ql/Pricers/singleassetoption.cpp, 1025 1062
ql/Pricers/singleassetoption.hpp, 1026 ql/RandomNumbers/lecuyeruniformrng.hpp,
ql/Pricers/swaptionpricer.cpp, 1027 1063

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

INDEX 1203

ql/RandomNumbers/mt19937uniformrng.cpp, ql/ShortRateModels/twofactormodel.cpp,
1064 1095
ql/RandomNumbers/mt19937uniformrng.hpp, ql/ShortRateModels/twofactormodel.hpp,
1065 1096
ql/RandomNumbers/randomarraygenerator.hpp, ql/ShortRateModels/TwoFactorModels/g2.cpp,
1066 1097
ql/RandomNumbers/randomsequencegenerator.hpp, ql/ShortRateModels/TwoFactorModels/g2.hpp,
1067 1098
ql/RandomNumbers/rngtypedefs.hpp, 1068 ql/solver1d.hpp, 1099
ql/RandomNumbers/sobolrsg.cpp, 1069 ql/Solvers1D/bisection.hpp, 1100
ql/RandomNumbers/sobolrsg.hpp, 1070 ql/Solvers1D/brent.hpp, 1101
ql/relinkablehandle.hpp, 1071 ql/Solvers1D/falseposition.hpp, 1102
ql/scheduler.cpp, 1072 ql/Solvers1D/newton.hpp, 1103
ql/scheduler.hpp, 1073 ql/Solvers1D/newtonsafe.hpp, 1104
ql/ShortRateModels/calibrationhelper.cpp, ql/Solvers1D/ridder.hpp, 1105
1074 ql/Solvers1D/secant.hpp, 1106
ql/ShortRateModels/calibrationhelper.hpp, ql/swaptionvolstructure.hpp, 1107
1075 ql/termstructure.hpp, 1108
ql/TermStructures/affinetermstructure.cpp,
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp,
1076 1109
ql/TermStructures/affinetermstructure.hpp,
ql/ShortRateModels/CalibrationHelpers/caphelper.hpp,
1110
1077
ql/TermStructures/compoundforward.cpp,
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp,
1111
1078
ql/TermStructures/compoundforward.hpp,
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp,
1112
1079
ql/TermStructures/discountcurve.cpp, 1113
ql/ShortRateModels/model.cpp, 1080
ql/TermStructures/discountcurve.hpp, 1114
ql/ShortRateModels/model.hpp, 1081
ql/TermStructures/drifttermstructure.hpp,
ql/ShortRateModels/onefactormodel.cpp, 1115
1082 ql/TermStructures/extendeddiscountcurve.cpp,
ql/ShortRateModels/onefactormodel.hpp, 1116
1083 ql/TermStructures/extendeddiscountcurve.hpp,
ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp, 1117
1084 ql/TermStructures/flatforward.hpp, 1118
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp,
ql/TermStructures/forwardspreadedtermstructure.hpp,
1085 1119
ql/ShortRateModels/OneFactorModels/coxingersollross.cpp,
ql/TermStructures/impliedtermstructure.hpp,
1086 1120
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp,
ql/TermStructures/piecewiseflatforward.cpp,
1087 1121
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp,
ql/TermStructures/piecewiseflatforward.hpp,
1088 1122
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp,
ql/TermStructures/quantotermstructure.hpp,
1089 1123
ql/ShortRateModels/OneFactorModels/hullwhite.cpp,ql/TermStructures/ratehelpers.cpp, 1124
1090 ql/TermStructures/ratehelpers.hpp, 1125
ql/ShortRateModels/OneFactorModels/hullwhite.hpp,ql/TermStructures/zerocurve.cpp, 1126
1091 ql/TermStructures/zerocurve.hpp, 1127
ql/ShortRateModels/OneFactorModels/vasicek.cpp, ql/TermStructures/zerospreadedtermstructure.hpp,
1092 1128
ql/ShortRateModels/OneFactorModels/vasicek.hpp, ql/types.hpp, 1129
1093 ql/Utilities/combiningiterator.hpp, 1130
ql/ShortRateModels/parameter.hpp, 1094 ql/Utilities/couplingiterator.hpp, 1131

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1204 INDEX

ql/Utilities/filteringiterator.hpp, 1132 errors.hpp, 769

ql/Utilities/iteratorcategories.hpp, 1133 QL_REVERSE_ITERATOR
ql/Utilities/processingiterator.hpp, 1134 iteratorMacros, 106
ql/Utilities/steppingiterator.hpp, 1135 QL_SPECIALIZE_ITERATOR_TRAITS
ql/Volatilities/blackconstantvol.hpp, 1136 iteratorMacros, 106
ql/Volatilities/blackvariancecurve.cpp, 1137 QL_TEMPLATE_-
ql/Volatilities/blackvariancecurve.hpp, 1138 METAPROGRAMMING_WORKS
ql/Volatilities/blackvariancesurface.cpp, templateMacros, 104
1139 QL_TYPENAME
ql/Volatilities/blackvariancesurface.hpp, templateMacros, 104
1140 QuantLib, 107
ql/Volatilities/capflatvolvector.hpp, 1141 ARS, 115
ql/Volatilities/impliedvoltermstructure.hpp, ATS, 115
1142 AUD, 115
ql/Volatilities/localconstantvol.hpp, 1143 BDT, 115
ql/Volatilities/localvolcurve.hpp, 1144 BEF, 115
ql/Volatilities/localvolsurface.cpp, 1145 BGL, 115
ql/Volatilities/localvolsurface.hpp, 1146 BRL, 115
ql/Volatilities/swaptionvolmatrix.hpp, 1147 BYB, 115
ql/voltermstructure.cpp, 1148 CAD, 115
ql/voltermstructure.hpp, 1149 CHF, 115
QL_ALLOW_TEMPLATE_METHOD_- CLP, 115
CALLS CNY, 115
templateMacros, 104 COP, 115
QL_ASSERT CYP, 115
errors.hpp, 769 CZK, 115
QL_DECLARE_TEMPLATE_- DEM, 115
SPECIALIZATIONS DKK, 115
templateMacros, 104 EEK, 115
QL_DUMMY_RETURN EUR, 115
macros, 95 Following, 115
QL_ENSURE GBP, 115
errors.hpp, 770 GRD, 115
QL_EPSILON HKD, 115
limitMacros, 98 HUF, 116
QL_FULL_ITERATOR_SUPPORT ILS, 116
iteratorMacros, 106 INR, 116
QL_IO_INIT IQD, 116
macros, 96 IRR, 116
QL_ITERATOR ISK, 116
iteratorMacros, 106 ITL, 116
QL_ITERATOR_TRAITS JPY, 116
iteratorMacros, 106 KRW, 116
QL_MAX_DOUBLE KWD, 116
limitMacros, 98 LTL, 116
QL_MAX_INT LVL, 116
limitMacros, 98 ModifiedFollowing, 115
QL_MIN_DOUBLE ModifiedPreceding, 115
limitMacros, 98 MonthEndReference, 115
QL_MIN_INT MTL, 116
limitMacros, 98 MXP, 116
QL_MIN_POSITIVE_DOUBLE NOK, 116
limitMacros, 98 NPR, 116
QL_REQUIRE NZD, 116

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

INDEX 1205

PKR, 116 QuantLib::CalendarImpl, 239

PLN, 116 QuantLib::Calendars, 117
Preceding, 115 JoinBusinessDays, 118
ROL, 116 JoinHolidays, 118
SAR, 116 QuantLib::Calendars
SEK, 116 JointCalendarRule, 118
SGD, 116 QuantLib::Calendars::Budapest, 233
SIT, 116 QuantLib::Calendars::Frankfurt, 367
SKK, 116 QuantLib::Calendars::Helsinki, 392
THB, 116 QuantLib::Calendars::Johannesburg, 434
TRL, 116 QuantLib::Calendars::JointCalendar, 435
TTD, 116 QuantLib::Calendars::London, 467
TWD, 116 QuantLib::Calendars::Milan, 499
USD, 116 QuantLib::Calendars::NewYork, 514
VEB, 116 QuantLib::Calendars::NullCalendar, 520
ZAR, 116 QuantLib::Calendars::Oslo, 536
QuantLib QuantLib::Calendars::Stockholm, 616
Currency, 115 QuantLib::Calendars::Sydney, 631
MakeScheduler, 114 QuantLib::Calendars::TARGET, 633
RollingConvention, 115 QuantLib::Calendars::Tokyo, 643
Scheduler, 114 QuantLib::Calendars::Toronto, 645
Weekday, 116 QuantLib::Calendars::Warsaw, 673
QuantLib::AmericanExercise, 162 QuantLib::Calendars::Wellington, 674
QuantLib::Arguments, 169 QuantLib::Calendars::Zurich, 685
QuantLib::Array, 173 QuantLib::CapFlatVolatilityStructure, 244
QuantLib::ArrayFormatter, 176 QuantLib::CapletForwardVolatilityStructure,
QuantLib::AssertionFailedError, 177 251
QuantLib::AssetOrNothingPayoff, 178 QuantLib::CashFlow, 252
QuantLib::Barrier, 180 QuantLib::CashFlow
QuantLib::BermudanExercise, 189 amount, 252
QuantLib::Binary, 195 QuantLib::CashFlows, 119
QuantLib::BlackModel, 211 QuantLib::CashFlows
QuantLib::BlackModel FixedRateCouponVector, 121
formula, 211 FloatingRateCouponVector, 122
update, 211 IndexedCouponVector, 123
QuantLib::BlackScholesProcess, 214 QuantLib::CashFlows::BPSCalculator, 228
QuantLib::BlackVarianceTermStructure, 220 QuantLib::CashFlows::Coupon, 276
QuantLib::BlackVarianceTermStructure QuantLib::CashFlows::Coupon
blackVolImpl, 220 Coupon, 277
QuantLib::BlackVolatilityTermStructure, 221 QuantLib::CashFlows::FixedRateCoupon,
QuantLib::BlackVolatilityTermStructure 353
blackVarianceImpl, 221 QuantLib::CashFlows::FixedRateCoupon
QuantLib::BlackVolTermStructure, 222 amount, 354
QuantLib::Calendar, 235 QuantLib::CashFlows::FloatingRateCoupon,
QuantLib::Calendar 355
advance, 237 QuantLib::CashFlows::InArrearIndexedCoupon,
Calendar, 236 413
isBusinessDay, 236 QuantLib::CashFlows::IndexedCoupon, 419
isEndOfMonth, 236 QuantLib::CashFlows::IndexedCoupon
isHoliday, 237 amount, 420
name, 236 update, 420
operator==, 237 QuantLib::CashFlows::ParCoupon, 541
roll, 237 QuantLib::CashFlows::ParCoupon
QuantLib::Calendar::WesternImpl, 238 amount, 542

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1206 INDEX

update, 542 QuantLib::DoubleFormatter, 315

QuantLib::CashFlows::Short, 593 QuantLib::Error, 325
QuantLib::CashFlows::Short QuantLib::EuroFormatter, 328
amount, 593 QuantLib::EuropeanExercise, 329
QuantLib::CashFlows::ShortFloatingRateCoupon, QuantLib::Exercise, 334
594 QuantLib::FiniteDifferences, 125
QuantLib::CashFlows::SimpleCashFlow, QuantLib::FiniteDifferences::AmericanCondition,
596 161
QuantLib::CashFlows::SimpleCashFlow QuantLib::FiniteDifferences::BoundaryCondition,
amount, 596 224
QuantLib::CashFlows::TimeBasket, 641 QuantLib::FiniteDifferences::Boundary-
QuantLib::CashFlows::UpFrontIndexedCoupon, Condition
660 applyAfterApplying, 224
QuantLib::CashOrNothingPayoff, 254 applyAfterSolving, 224
QuantLib::CompositeMarketElement, 267 applyBeforeApplying, 224
QuantLib::CompositeMarketElement applyBeforeSolving, 224
update, 267 setTime, 225
QuantLib::CurrencyFormatter, 287 Side, 224
QuantLib::Date, 288 QuantLib::FiniteDifferences::BSMOperator,
QuantLib::DateFormatter, 291 232
QuantLib::DayCounter, 292 QuantLib::FiniteDifferences::CrankNicolson,
QuantLib::DayCounter 282
DayCounter, 293 QuantLib::FiniteDifferences::DirichletBC,
name, 293 300
operator==, 293 QuantLib::FiniteDifferences::DirichletBC
QuantLib::DayCounterImpl, 294 setTime, 300
QuantLib::DayCounters, 124 QuantLib::FiniteDifferences::DMinus, 314
QuantLib::DayCounters::Actual360, 153 QuantLib::FiniteDifferences::DPlus, 316
QuantLib::DayCounters::Actual365, 154 QuantLib::FiniteDifferences::DPlusDMinus,
QuantLib::DayCounters::ActualActual, 155 317
QuantLib::DayCounters::SimpleDayCounter, QuantLib::FiniteDifferences::DZero, 320
597 QuantLib::FiniteDifferences::ExplicitEuler,
QuantLib::DayCounters::Thirty360, 639 335
QuantLib::DerivedMarketElement, 297 QuantLib::FiniteDifferences::FiniteDifferenceModel,
QuantLib::DerivedMarketElement 352
update, 297 QuantLib::FiniteDifferences::Finite-
QuantLib::DiffusionProcess, 298 DifferenceModel
QuantLib::DiffusionProcess rollback, 352
expectation, 298 QuantLib::FiniteDifferences::ImplicitEuler,
variance, 298 408
QuantLib::DiscountStructure, 303 QuantLib::FiniteDifferences::MixedScheme,
QuantLib::DiscountStructure 500
compoundForwardImpl, 303 QuantLib::FiniteDifferences::NeumannBC,
forwardImpl, 303 511
zeroYieldImpl, 303 QuantLib::FiniteDifferences::NeumannBC
QuantLib::DiscretizedAsset, 308 setTime, 511
QuantLib::DiscretizedAsset QuantLib::FiniteDifferences::OneFactorOperator,
postAdjustValues, 308 532
preAdjustValues, 308 QuantLib::FiniteDifferences::ShoutCondition,
QuantLib::DiscretizedDiscountBond, 310 595
QuantLib::DiscretizedOption, 311 QuantLib::FiniteDifferences::StepCondition,
QuantLib::DiscretizedOption 612
postAdjustValues, 311 QuantLib::FiniteDifferences::TridiagonalOperator,
QuantLib::Disposable, 313 651

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

INDEX 1207

setupArguments, 183
QuantLib::FiniteDifferences::TridiagonalOperator::TimeSetter,
653 setupExpired, 183
QuantLib::ForwardRateStructure, 361 QuantLib::Instruments::BarrierOption::arguments,
QuantLib::ForwardRateStructure 185
compoundForwardImpl, 361 QuantLib::Instruments::BarrierOption::results,
discountImpl, 361 186
zeroYieldImpl, 361 QuantLib::Instruments::BinaryOption, 197
QuantLib::Greeks, 388 QuantLib::Instruments::BinaryOption
QuantLib::Handle, 390 performCalculations, 198
QuantLib::Handle setupArguments, 198
Handle, 391 setupExpired, 198
QuantLib::History, 394 QuantLib::Instruments::BinaryOption::arguments,
QuantLib::History 200
History, 395 QuantLib::Instruments::BinaryOption::results,
QuantLib::History::const_iterator, 397 201
QuantLib::History::Entry, 399 QuantLib::Instruments::Cap, 243
QuantLib::IllegalArgumentError, 406 QuantLib::Instruments::CapFloor, 247
QuantLib::IllegalResultError, 407 QuantLib::Instruments::CapFloor
QuantLib::Index, 417 setupArguments, 248
QuantLib::Index QuantLib::Instruments::CapFloor::arguments,
fixing, 417 249
name, 417 QuantLib::Instruments::CapFloor::results,
QuantLib::IndexError, 421 250
QuantLib::Indexes, 127 QuantLib::Instruments::CliquetOption, 258
QuantLib::Indexes::AUDLibor, 179 QuantLib::Instruments::CliquetOption::arguments,
QuantLib::Indexes::CADLibor, 234 260
QuantLib::Indexes::CHFLibor, 255 QuantLib::Instruments::Collar, 263
QuantLib::Indexes::Euribor, 327 QuantLib::Instruments::Floor, 357
QuantLib::Indexes::GBPLibor, 377 QuantLib::Instruments::ForwardOptionArguments,
QuantLib::Indexes::JPYLibor, 436 359
QuantLib::Indexes::USDLibor, 661 QuantLib::Instruments::ForwardVanillaOption,
QuantLib::Indexes::Xibor, 675 365
QuantLib::Indexes::Xibor QuantLib::Instruments::ForwardVanilla-
fixing, 676 Option
name, 676 performCalculations, 366
update, 676 setupArguments, 366
QuantLib::Indexes::XiborManager, 677 QuantLib::Instruments::QuantoForwardVanillaOption,
QuantLib::Indexes::ZARLibor, 678 566
QuantLib::Instrument, 422 QuantLib::Instruments::QuantoForward-
QuantLib::Instrument VanillaOption
calculate, 423 setupArguments, 567
performCalculations, 424 QuantLib::Instruments::QuantoOptionArguments,
setPricingEngine, 423 568
setupArguments, 423 QuantLib::Instruments::QuantoOptionResults,
setupExpired, 423 569
QuantLib::Instruments, 128 QuantLib::Instruments::QuantoVanillaOption,
QuantLib::Instruments 572
VanillaCap, 130 QuantLib::Instruments::QuantoVanilla-
VanillaCapFloor, 130 Option
VanillaCollar, 130 performCalculations, 573
VanillaFloor, 130 setupArguments, 573
QuantLib::Instruments::BarrierOption, 182 setupExpired, 573
QuantLib::Instruments::BarrierOption QuantLib::Instruments::SimpleSwap, 599
performCalculations, 183 QuantLib::Instruments::SimpleSwap

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1208 INDEX

setupArguments, 600 QuantLib::Link

SimpleSwap, 600 Link, 455
QuantLib::Instruments::SimpleSwap::arguments, linkTo, 455
601 QuantLib::LocalVolTermStructure, 463
QuantLib::Instruments::SimpleSwap::results, QuantLib::MakeSchedule, 469
602 QuantLib::MarketElement, 470
QuantLib::Instruments::Stock, 615 QuantLib::Math, 131
QuantLib::Instruments::Stock QuantLib::Math
performCalculations, 615 hypot, 134
QuantLib::Instruments::Swap, 621 QuantLib::Math::BicubicSplineInterpolation,
QuantLib::Instruments::Swap 191
performCalculations, 622 QuantLib::Math::BicubicSplineInterpolation
sensitivity, 622 operator(), 191
setupExpired, 622 QuantLib::Math::BilinearInterpolation, 193
QuantLib::Instruments::Swaption, 625 QuantLib::Math::BilinearInterpolation
QuantLib::Instruments::Swaption operator(), 193
performCalculations, 625 QuantLib::Math::CubicSpline, 283
setupArguments, 625 QuantLib::Math::CubicSplineInterpolation,
QuantLib::Instruments::Swaption::arguments, 284
627 QuantLib::Math::CubicSplineInterpolation
QuantLib::Instruments::Swaption::results, operator(), 284
628 QuantLib::Math::CumulativeNormalDistribution,
QuantLib::Instruments::VanillaOption, 664 285
QuantLib::Instruments::VanillaOption QuantLib::Math::DiscrepancyStatistics, 305
impliedVolatility, 665 QuantLib::Math::ErrorFunction, 326
performCalculations, 666 QuantLib::Math::GammaFunction, 374
setupArguments, 665 QuantLib::Math::GaussianStatistics, 375
setupExpired, 665 QuantLib::Math::GaussianStatistics
QuantLib::Instruments::VanillaOption::arguments, gaussianDownsideDeviation, 375
667 gaussianDownsideVariance, 375
QuantLib::Instruments::VanillaOption::results, gaussianExpectedShortfall, 376
668 gaussianPercentile, 376
QuantLib::IntegerFormatter, 425 gaussianPotentialUpside, 376
QuantLib::Lattices::AdditiveEQPBinomialTree, gaussianRegret, 375
157 gaussianValueAtRisk, 376
QuantLib::Lattices::BinomialTree, 203 QuantLib::Math::GeneralStatistics, 378
QuantLib::Lattices::BlackScholesLattice, 213 QuantLib::Math::GeneralStatistics
QuantLib::Lattices::CoxRossRubinstein, 281 add, 380
QuantLib::Lattices::EqualJumpsBinomialTree, errorEstimate, 379
323 expectationValue, 380
QuantLib::Lattices::EqualProbabilitiesBinomialTree, kurtosis, 379
324 max, 380
QuantLib::Lattices::JarrowRudd, 433 mean, 379
QuantLib::Lattices::Lattice, 439 min, 379
QuantLib::Lattices::Lattice percentile, 380
rollAlmostBack, 440 skewness, 379
rollback, 440 standardDeviation, 379
QuantLib::Lattices::Lattice2D, 441 topPercentile, 380
QuantLib::Lattices::Tian, 640 variance, 379
QuantLib::Lattices::Tree, 648 QuantLib::Math::GenericRiskStatistics, 383
QuantLib::Lattices::Trigeorgis, 654 QuantLib::Math::GenericRiskStatistics
QuantLib::Lattices::TrinomialBranching, 655 averageShortfall, 385
QuantLib::Lattices::TrinomialTree, 656 downsideDeviation, 384
QuantLib::Link, 455 downsideVariance, 383

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

INDEX 1209

expectedShortfall, 384 gaussianPotentialUpside, 583

potentialUpside, 384 gaussianValueAtRisk, 584
regret, 384 percentile, 583
semiDeviation, 383 potentialUpside, 583
semiVariance, 383 valueAtRisk, 583
shortfall, 384 QuantLib::Math::SegmentIntegral, 590
valueAtRisk, 384 QuantLib::Math::SequenceStatistics, 591
QuantLib::Math::IncrementalStatistics, 414 QuantLib::Math::SimpsonIntegral, 604
QuantLib::Math::IncrementalStatistics QuantLib::Math::SVD, 620
add, 416 QuantLib::Math::SymmetricSchurDecomposition,
downsideDeviation, 415 632
downsideVariance, 415 QuantLib::Math::TrapezoidIntegral, 646
errorEstimate, 415 QuantLib::MonteCarlo, 135
kurtosis, 416 QuantLib::MonteCarlo
max, 416 getCovariance, 137
mean, 415 QuantLib::MonteCarlo::ArithmeticAPOPathPricer_-
min, 416 old, 170
skewness, 416 QuantLib::MonteCarlo::ArithmeticASOPathPricer_-
standardDeviation, 415 old, 171
variance, 415 QuantLib::MonteCarlo::BarrierPathPricer,
QuantLib::Math::Interpolation, 427 187
QuantLib::Math::Interpolation QuantLib::MonteCarlo::BasketPathPricer_-
operator(), 428 old, 188
QuantLib::Math::Interpolation2D, 429 QuantLib::MonteCarlo::BiasedBarrierPathPricer,
QuantLib::Math::Interpolation2D 190
operator(), 430 QuantLib::MonteCarlo::BinaryPathPricer,
QuantLib::Math::InverseCumulativeNormal, 202
431 QuantLib::MonteCarlo::BrownianBridge,
QuantLib::Math::KronrodIntegral, 438 231
QuantLib::Math::LexicographicalView, 449 QuantLib::MonteCarlo::CliquetOptionPathPricer,
QuantLib::Math::Linear, 451 261
QuantLib::Math::LinearInterpolation, 452 QuantLib::MonteCarlo::CliquetOptionPathPricer_-
QuantLib::Math::LinearInterpolation old, 262
operator(), 452 QuantLib::MonteCarlo::EuropeanPathPricer,
QuantLib::Math::LogLinear, 465 331
QuantLib::Math::LogLinearInterpolation, QuantLib::MonteCarlo::EuropeanPathPricer_-
466 old, 332
QuantLib::Math::LogLinearInterpolation QuantLib::MonteCarlo::EverestPathPricer_-
operator(), 466 old, 333
QuantLib::Math::Matrix, 471 QuantLib::MonteCarlo::GeometricAPOPathPricer_-
QuantLib::Math::Matrix old, 386
matrixSqrt, 473 QuantLib::MonteCarlo::GeometricASOPathPricer_-
operator+=, 473 old, 387
pseudoSqrt, 473 QuantLib::MonteCarlo::HimalayaPathPricer_-
QuantLib::Math::MoroInverseCumulativeNormal, old, 393
505 QuantLib::MonteCarlo::MaxBasketPathPricer_-
QuantLib::Math::MultivariateAccumulator, old, 474
509 QuantLib::MonteCarlo::MonteCarloModel,
QuantLib::Math::NormalDistribution, 518 504
QuantLib::Math::PrimeNumbers, 560 QuantLib::MonteCarlo::MultiPath, 506
QuantLib::Math::RiskMeasures, 583 QuantLib::MonteCarlo::MultiPathGenerator,
QuantLib::Math::RiskMeasures 507
gaussianExpectedShortfall, 584 QuantLib::MonteCarlo::MultiPathGenerator_-
gaussianPercentile, 583 old, 508

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1210 INDEX

QuantLib::MonteCarlo::PagodaPathPricer_- QuantLib::Patterns, 138

old, 538 QuantLib::Patterns::AcyclicVisitor, 156
QuantLib::MonteCarlo::Path, 543 QuantLib::Patterns::Bridge, 230
QuantLib::MonteCarlo::PathGenerator, 544 QuantLib::Patterns::CuriouslyRecurringTemplate,
QuantLib::MonteCarlo::PathGenerator_old, 286
545 QuantLib::Patterns::LazyObject, 443
QuantLib::MonteCarlo::PathGenerator_old QuantLib::Patterns::LazyObject
PathGenerator_old, 545 calculate, 444
QuantLib::MonteCarlo::PathPricer, 546 freeze, 444
QuantLib::MonteCarlo::PathPricer_old, 547 performCalculations, 444
QuantLib::MonteCarlo::PerformanceOptionPathPricer_- recalculate, 444
old, 550 unfreeze, 444
QuantLib::MonteCarlo::Sample, 587 update, 444
QuantLib::Null, 519 QuantLib::Patterns::Observable, 523
QuantLib::NumericalMethod, 522 QuantLib::Patterns::Observable
QuantLib::Optimization::ArmijoLineSearch, notifyObservers, 524
172 QuantLib::Patterns::Observer, 525
QuantLib::Optimization::BoundaryConstraint, QuantLib::Patterns::Observer
226 update, 527
QuantLib::Optimization::CompositeConstraint, QuantLib::Patterns::Visitor, 672
266 QuantLib::Payoff, 548
QuantLib::Optimization::ConjugateGradient, QuantLib::Period, 551
268 QuantLib::PlainVanillaPayoff, 555
QuantLib::Optimization::Constraint, 270 QuantLib::PostconditionNotSatisfiedError,
QuantLib::Optimization::ConstraintImpl, 557
271 QuantLib::PreconditionNotSatisfiedError,
QuantLib::Optimization::CostFunction, 273 558
QuantLib::Optimization::EndCriteria, 321 QuantLib::Pricers, 139
QuantLib::Optimization::LeastSquareFunction, QuantLib::Pricers::AnalyticalCapFloor, 164
446 QuantLib::Pricers::BarrierOption, 184
QuantLib::Optimization::LeastSquareProblem, QuantLib::Pricers::BinaryOption, 199
447 QuantLib::Pricers::BlackCapFloor, 206
QuantLib::Optimization::LeastSquare- QuantLib::Pricers::BlackSwaption, 215
Problem QuantLib::Pricers::CliquetOption, 259
targetValueAndGradient, 447 QuantLib::Pricers::ContinuousGeometricAPO,
QuantLib::Optimization::LineSearch, 453 272
QuantLib::Optimization::Method, 497 QuantLib::Pricers::DiscreteGeometricAPO,
QuantLib::Optimization::NoConstraint, 515 306
QuantLib::Optimization::NonLinearLeastSquare, QuantLib::Pricers::DiscreteGeometricASO,
516 307
QuantLib::Optimization::PositiveConstraint, QuantLib::Pricers::EuropeanOption, 330
556 QuantLib::Pricers::FdAmericanOption, 343
QuantLib::Optimization::Problem, 561 QuantLib::Pricers::FdBermudanOption, 344
QuantLib::Optimization::Simplex, 603 QuantLib::Pricers::FdBsmOption, 345
QuantLib::Optimization::Simplex QuantLib::Pricers::FdDividendEuropeanOption,
Simplex, 603 347
QuantLib::Optimization::SteepestDescent, QuantLib::Pricers::FdDividendShoutOption,
611 348
QuantLib::Option, 533 QuantLib::Pricers::FdEuropean, 349
QuantLib::OrnsteinUhlenbeckProcess, 534 QuantLib::Pricers::FdStepConditionOption,
QuantLib::OrnsteinUhlenbeckProcess 350
expectation, 534 QuantLib::Pricers::JamshidianSwaption, 432
variance, 534 QuantLib::Pricers::McBasket, 477
QuantLib::OutOfMemoryError, 537 QuantLib::Pricers::McCliquetOption, 480

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

INDEX 1211

QuantLib::Pricers::McDiscreteArithmeticAPO, update, 442

481 QuantLib::PricingEngines::MCBarrierEngine,
QuantLib::Pricers::McDiscreteArithmeticASO, 475
482 QuantLib::PricingEngines::MCBinaryEngine,
QuantLib::Pricers::McEuropean, 483 478
QuantLib::Pricers::McEverest, 485 QuantLib::PricingEngines::MCEuropeanEngine,
QuantLib::Pricers::McHimalaya, 486 484
QuantLib::Pricers::McMaxBasket, 487 QuantLib::PricingEngines::McSimulation,
QuantLib::Pricers::McPagoda, 488 492
QuantLib::Pricers::McPerformanceOption, QuantLib::PricingEngines::MCVanillaEngine,
489 494
QuantLib::Pricers::McPricer, 490 QuantLib::PricingEngines::QuantoEngine,
QuantLib::Pricers::PerformanceOption, 549 565
QuantLib::Pricers::SingleAssetOption, 605 QuantLib::PricingEngines::VanillaEngine,
QuantLib::Pricers::SingleAssetOption 663
impliedVolatility, 606 QuantLib::RandomNumbers, 142
QuantLib::Pricers::TreeCapFloor, 649 QuantLib::RandomNumbers::BoxMullerGaussianRng,
QuantLib::Pricers::TreeSwaption, 650 227
QuantLib::PricingEngine, 559 QuantLib::RandomNumbers::BoxMuller-
QuantLib::PricingEngines::AmericanMCVanillaEngine, GaussianRng
163 BoxMullerGaussianRng, 227
QuantLib::PricingEngines::AnalyticAmericanBinaryEngine,
QuantLib::RandomNumbers::CLGaussianRng,
165 256
QuantLib::PricingEngines::AnalyticBarrierEngine,
QuantLib::RandomNumbers::CLGaussian-
166
Rng
QuantLib::PricingEngines::AnalyticEuropeanBinaryEngine,
CLGaussianRng, 256
167
QuantLib::RandomNumbers::HaltonRsg,
QuantLib::PricingEngines::AnalyticEuropeanEngine,
389
168
QuantLib::RandomNumbers::ICGaussianRng,
QuantLib::PricingEngines::BarrierEngine,
404
181
QuantLib::RandomNumbers::ICGaussian-
QuantLib::PricingEngines::BinaryEngine,
Rng
196
ICGaussianRng, 404
QuantLib::PricingEngines::BinomialVanillaEngine,
204 QuantLib::RandomNumbers::ICGaussianRsg,
QuantLib::PricingEngines::CliquetEngine, 405
257 QuantLib::RandomNumbers::KnuthUniformRng,
QuantLib::PricingEngines::ForwardEngine, 437
358 QuantLib::RandomNumbers::Knuth-
QuantLib::PricingEngines::ForwardPerformanceEngine, UniformRng
360 KnuthUniformRng, 437
QuantLib::PricingEngines::GenericEngine, next, 437
381 QuantLib::RandomNumbers::LecuyerUniformRng,
QuantLib::PricingEngines::GenericModelEngine, 448
382 QuantLib::RandomNumbers::Lecuyer-
QuantLib::PricingEngines::GenericModel- UniformRng
Engine LecuyerUniformRng, 448
update, 382 next, 448
QuantLib::PricingEngines::IntegralEngine, QuantLib::RandomNumbers::MersenneTwisterUniformRng,
426 496
QuantLib::RandomNumbers::Mersenne-
QuantLib::PricingEngines::LatticeShortRateModelEngine,
442 TwisterUniformRng
QuantLib::PricingEngines::LatticeShort- MersenneTwisterUniformRng, 496
RateModelEngine next, 496

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1212 INDEX

QuantLib::RandomNumbers::RandomArrayGenerator, QuantLib::ShortRateModels::NullParameter,
574 521
QuantLib::RandomNumbers::RandomSequenceGenerator,QuantLib::ShortRateModels::OneFactorAffineModel,
575 528
QuantLib::RandomNumbers::SobolRsg, 607 QuantLib::ShortRateModels::OneFactorModel,
QuantLib::RateFormatter, 576 529
QuantLib::RelinkableHandle, 579 QuantLib::ShortRateModels::OneFactorModel::ShortRateDynam
QuantLib::RelinkableHandle 530
linkTo, 579 QuantLib::ShortRateModels::OneFactorModel::ShortRateTree,
RelinkableHandle, 579 531
QuantLib::Results, 581 QuantLib::ShortRateModels::Parameter, 539
QuantLib::RiskStatistics_old, 585 QuantLib::ShortRateModels::ParameterImpl,
QuantLib::RiskStatistics_old 540
add, 586 QuantLib::ShortRateModels::PiecewiseConstantParameter,
QuantLib::Schedule, 588 552
QuantLib::ShortRateModels, 144 QuantLib::ShortRateModels::TermStructureConsistentModel,
QuantLib::ShortRateModels::AffineModel, 637
158 QuantLib::ShortRateModels::TermStructureFittingParameter,
QuantLib::ShortRateModels::BlackKarasinski, 638
209 QuantLib::ShortRateModels::TwoFactorModel,
QuantLib::ShortRateModels::BlackKarasinski::Dynamics, 657
210 QuantLib::ShortRateModels::TwoFactorModel::ShortRateDynam
QuantLib::ShortRateModels::CalibrationHelper, 658
240 QuantLib::ShortRateModels::TwoFactorModel::ShortRateTree,
QuantLib::ShortRateModels::Calibration- 659
Helper QuantLib::ShortRateModels::Vasicek, 669
update, 241 QuantLib::ShortRateModels::Vasicek::Dynamics,
QuantLib::ShortRateModels::CalibrationSet, 671
242 QuantLib::SimpleMarketElement, 598
QuantLib::ShortRateModels::ConstantParameter,
QuantLib::Solver1D, 608
269
QuantLib::Solver1D
QuantLib::ShortRateModels::CoxIngersollRoss,
setMaxEvaluations, 609
278
solve, 609
QuantLib::ShortRateModels::CoxIngersollRoss::Dynamics,
QuantLib::Solvers1D, 147
280
QuantLib::Solvers1D::Bisection, 205
QuantLib::ShortRateModels::ExtendedCoxIngersollRoss,
336 QuantLib::Solvers1D::Brent, 229
QuantLib::Solvers1D::FalsePosition, 342
QuantLib::ShortRateModels::ExtendedCoxIngersollRoss::Dynamics,
338 QuantLib::Solvers1D::Newton, 512
QuantLib::Solvers1D::NewtonSafe, 513
QuantLib::ShortRateModels::ExtendedCoxIngersollRoss::FittingParameter,
339 QuantLib::Solvers1D::Ridder, 582
QuantLib::ShortRateModels::G2, 371 QuantLib::Solvers1D::Secant, 589
QuantLib::ShortRateModels::G2::FittingParameter, QuantLib::SquareRootProcess, 610
373 QuantLib::StrikedTypePayoff, 617
QuantLib::ShortRateModels::HullWhite, QuantLib::StringFormatter, 618
400 QuantLib::SupersharePayoff, 619
QuantLib::ShortRateModels::HullWhite::Dynamics, QuantLib::SwaptionVolatilityStructure, 630
402 QuantLib::TermStructure, 634
QuantLib::TermStructures, 148
QuantLib::ShortRateModels::HullWhite::FittingParameter,
403 QuantLib::TermStructures::AffineTermStructure,
QuantLib::ShortRateModels::Model, 502 159
QuantLib::ShortRateModels::Model QuantLib::TermStructures::AffineTerm-
calibrate, 503 Structure
update, 503 update, 160

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

INDEX 1213

QuantLib::TermStructures::DepositRateHelper, QuantLib::TermStructures::ZeroCurve, 679

295 QuantLib::TermStructures::ZeroSpreadedTermStructure,
QuantLib::TermStructures::DepositRate- 681
Helper QuantLib::TermStructures::ZeroSpreaded-
setTermStructure, 295 TermStructure
QuantLib::TermStructures::DiscountCurve, forwardImpl, 682
301 update, 682
QuantLib::TermStructures::DriftTermStructure, QuantLib::TimeGrid, 642
318 QuantLib::TimeGrid
QuantLib::TermStructures::DriftTerm- TimeGrid, 642
Structure QuantLib::Utilities, 150
update, 319 QuantLib::Utilities::combining_iterator, 264
QuantLib::TermStructures::ExtendedDiscountCurve,QuantLib::Utilities::coupling_iterator, 274
340 QuantLib::Utilities::filtering_iterator, 351
QuantLib::TermStructures::Extended- QuantLib::Utilities::lowest_category_-
DiscountCurve iterator, 468
compoundForwardImpl, 341 QuantLib::Utilities::processing_iterator, 563
update, 341 QuantLib::Utilities::stepping_iterator, 613
QuantLib::Value, 662
QuantLib::TermStructures::ForwardSpreadedTermStructure,
363 QuantLib::Volatilities::CapFlatVolatilityVector,
QuantLib::TermStructures::Forward- 246
SpreadedTermStructure QuantLib::Volatilities::SwaptionVolatilityMatrix,
update, 364 629
zeroYieldImpl, 364 QuantLib::VolTermStructures, 151
QuantLib::TermStructures::FraRateHelper, QuantLib::VolTermStructures::BlackConstantVol,
368 207
QuantLib::TermStructures::FraRateHelper QuantLib::VolTermStructures::Black-
setTermStructure, 368 ConstantVol
QuantLib::TermStructures::FuturesRateHelper, update, 208
370 QuantLib::VolTermStructures::BlackVarianceCurve,
QuantLib::TermStructures::ImpliedTermStructure, 216
409 QuantLib::VolTermStructures::Black-
QuantLib::TermStructures::ImpliedTerm- VarianceCurve
Structure update, 217
update, 410 QuantLib::VolTermStructures::BlackVarianceSurface,
QuantLib::TermStructures::PiecewiseFlatForward, 218
553 QuantLib::VolTermStructures::Black-
QuantLib::TermStructures::PiecewiseFlat- VarianceSurface
Forward update, 219
PiecewiseFlatForward, 554 QuantLib::VolTermStructures::ImpliedVolTermStructure,
QuantLib::TermStructures::QuantoTermStructure, 411
570 QuantLib::VolTermStructures::ImpliedVol-
QuantLib::TermStructures::QuantoTerm- TermStructure
Structure update, 412
update, 571 QuantLib::VolTermStructures::LocalConstantVol,
QuantLib::TermStructures::RateHelper, 577 457
QuantLib::TermStructures::RateHelper QuantLib::VolTermStructures::Local-
setTermStructure, 578 ConstantVol
update, 578 update, 458
QuantLib::TermStructures::SwapRateHelper, QuantLib::VolTermStructures::LocalVolCurve,
623 459
QuantLib::TermStructures::SwapRate- QuantLib::VolTermStructures::LocalVol-
Helper Curve
setTermStructure, 624 localVolImpl, 460

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1214 INDEX

update, 460 QuantLib::Instrument, 423

QuantLib::VolTermStructures::LocalVolSurface, setTermStructure
461 QuantLib::TermStructures::Deposit-
QuantLib::VolTermStructures::LocalVol- RateHelper, 295
Surface QuantLib::TermStructures::FraRate-
update, 462 Helper, 368
QuantLib::ZeroYieldStructure, 683 QuantLib::TermStructures::RateHelper,
QuantLib::ZeroYieldStructure 578
compoundForwardImpl, 683 QuantLib::TermStructures::SwapRate-
discountImpl, 683 Helper, 624
forwardImpl, 683 setTime
QuantLib::FiniteDifferences::Boundary-
recalculate Condition, 225
QuantLib::Patterns::LazyObject, 444 QuantLib::FiniteDifferences::Dirichlet-
regret BC, 300
QuantLib::Math::GenericRiskStatistics, QuantLib::Finite-
384 Differences::NeumannBC, 511
RelinkableHandle setupArguments
QuantLib::RelinkableHandle, 579 QuantLib::Instrument, 423
ROL QuantLib::Instruments::BarrierOption,
QuantLib, 116 183
roll QuantLib::Instruments::BinaryOption,
QuantLib::Calendar, 237 198
rollAlmostBack QuantLib::Instruments::CapFloor, 248
QuantLib::Lattices::Lattice, 440 QuantLib::Instruments::Forward-
rollback VanillaOption, 366
QuantLib::FiniteDifferences::Finite- QuantLib::Instruments::Quanto-
DifferenceModel, 352 ForwardVanillaOption, 567
QuantLib::Lattices::Lattice, 440 QuantLib::Instruments::QuantoVanilla-
RollingConvention Option, 573
QuantLib, 115 QuantLib::Instruments::SimpleSwap,
600
SAR QuantLib::Instruments::Swaption, 625
QuantLib, 116 QuantLib::Instruments::VanillaOption,
Scheduler 665
QuantLib, 114 setupExpired
SEK QuantLib::Instrument, 423
QuantLib, 116 QuantLib::Instruments::BarrierOption,
semiDeviation 183
QuantLib::Math::GenericRiskStatistics, QuantLib::Instruments::BinaryOption,
383 198
semiVariance QuantLib::Instruments::QuantoVanilla-
QuantLib::Math::GenericRiskStatistics, Option, 573
383 QuantLib::Instruments::Swap, 622
sensitivity QuantLib::Instruments::VanillaOption,
QuantLib::Instruments::Swap, 622 665
sequencestatistics.hpp SGD
DEFINE_SEQUENCE_STAT_CONST_- QuantLib, 116
METHOD_DOUBLE, 888 shortfall
DEFINE_SEQUENCE_STAT_CONST_- QuantLib::Math::GenericRiskStatistics,
METHOD_VOID, 888 384
setMaxEvaluations Side
QuantLib::Solver1D, 609 QuantLib::FiniteDifferences::Boundary-
setPricingEngine Condition, 224

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

INDEX 1215

SimpleSwap QuantLib::CashFlows::ParCoupon, 542

QuantLib::Instruments::SimpleSwap, QuantLib::CompositeMarketElement,
600 267
Simplex QuantLib::DerivedMarketElement, 297
QuantLib::Optimization::Simplex, 603 QuantLib::Indexes::Xibor, 676
SIT QuantLib::Patterns::LazyObject, 444
QuantLib, 116 QuantLib::Patterns::Observer, 527
skewness QuantLib::PricingEngines::Generic-
QuantLib::Math::GeneralStatistics, 379 ModelEngine, 382
QuantLib::Math::IncrementalStatistics, QuantLib::PricingEngines::Lattice-
416 ShortRateModelEngine, 442
SKK QuantLib::ShortRate-
QuantLib, 116 Models::CalibrationHelper, 241
solve QuantLib::ShortRateModels::Model,
QuantLib::Solver1D, 609 503
standardDeviation QuantLib::TermStructures::AffineTerm-
QuantLib::Math::GeneralStatistics, 379 Structure, 160
QuantLib::Math::IncrementalStatistics, QuantLib::TermStructures::DriftTerm-
415 Structure, 319
String functions, 100 QuantLib::TermStructures::Extended-
DiscountCurve, 341
targetValueAndGradient QuantLib::TermStructures::Forward-
QuantLib::Optimization::LeastSquare- SpreadedTermStructure, 364
Problem, 447 QuantLib::TermStructures::Implied-
Template capabilities, 104 TermStructure, 410
templateMacros QuantLib::TermStructures::Quanto-
QL_ALLOW_TEMPLATE_METHOD_- TermStructure, 571
CALLS, 104 QuantLib::TermStructures::RateHelper,
QL_DECLARE_TEMPLATE_- 578
SPECIALIZATIONS, 104 QuantLib::TermStructures::Zero-
QL_TEMPLATE_- SpreadedTermStructure, 682
METAPROGRAMMING_WORKS, QuantLib::VolTermStructures::Black-
104 ConstantVol, 208
QL_TYPENAME, 104 QuantLib::VolTermStructures::Black-
THB VarianceCurve, 217
QuantLib, 116 QuantLib::VolTermStructures::Black-
Time functions, 99 VarianceSurface, 219
TimeGrid QuantLib::VolTermStructures::Implied-
QuantLib::TimeGrid, 642 VolTermStructure, 412
topPercentile QuantLib::VolTermStructures::Local-
QuantLib::Math::GeneralStatistics, 380 ConstantVol, 458
TRL QuantLib::VolTermStructures::Local-
QuantLib, 116 VolCurve, 460
TTD QuantLib::VolTermStructures::Local-
QuantLib, 116 VolSurface, 462
TWD USD
QuantLib, 116 QuantLib, 116

unfreeze valueAtRisk
QuantLib::Patterns::LazyObject, 444 QuantLib::Math::GenericRiskStatistics,
update 384
QuantLib::BlackModel, 211 QuantLib::Math::RiskMeasures, 583
QuantLib::CashFlows::Indexed- VanillaCap
Coupon, 420 QuantLib::Instruments, 130

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen

1216 INDEX

VanillaCapFloor
QuantLib::Instruments, 130
VanillaCollar
QuantLib::Instruments, 130
VanillaFloor
QuantLib::Instruments, 130
variance
QuantLib::DiffusionProcess, 298
QuantLib::Math::GeneralStatistics, 379
QuantLib::Math::IncrementalStatistics,
415
QuantLib::OrnsteinUhlenbeckProcess,
534
VEB
QuantLib, 116

Weekday
QuantLib, 116

ZAR
QuantLib, 116
zeroYieldImpl
QuantLib::DiscountStructure, 303
QuantLib::ForwardRateStructure, 361
QuantLib::TermStructures::Forward-
SpreadedTermStructure, 364

Generated on Tue Nov 18 15:29:23 2003 for QuantLib by Doxygen