QuantLib Namespace Reference


Detailed Description

a.k.a. the QuantLib Foundation

See sect. Core classes


Compounds

class  Arguments
 base class for generic argument groups More...

class  Results
 base class for generic result groups More...

class  OptionValue
 option pricing results More...

class  OptionGreeks
 option pricing results More...

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

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

class  CalendarImpl
 abstract base class for calendar implementations More...

class  Calendar
 calendar class More...

class  Calendar.WesternImpl
class  CapFlatVolatilityStructure
 Cap/floor flat volatility structure. More...

class  CapletForwardVolatilityStructure
 Caplet/floorlet forward volatility structure. More...

class  CashFlow
 Base class for cash flows. More...

class  IntegerFormatter
 Formats integers for output. More...

class  DoubleFormatter
 Formats doubles for output. More...

class  ArrayFormatter
 Formats arrays for output. More...

class  EuroFormatter
 Formats amounts in Euro for output. More...

class  RateFormatter
 Formats rates for output. More...

class  DateFormatter
 Formats dates for output. More...

class  CurrencyFormatter
 Formats currencies for output. More...

class  StringFormatter
 Formats strings as lower- or uppercase. More...

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

class  Date
 Concrete date class. More...

class  DayCounterImpl
 abstract base class for day counter implementations More...

class  DayCounter
 day counter class More...

class  DiffusionProcess
 Diffusion process class. More...

class  BlackScholesProcess
 Black-Scholes diffusion process class. More...

class  OrnsteinUhlenbeckProcess
 Ornstein-Uhlenbeck process class. More...

class  SquareRootProcess
 Square-root process class. More...

class  DiscretizedAsset
 Discretized asset class used by numerical methods. More...

class  DiscretizedDiscountBond
 Useful discretized discount bond asset. More...

class  DiscretizedOption
 Discretized option on another asset. More...

class  Disposable
 generic disposable object with move semantics More...

class  Error
 Base error class. More...

class  AssertionFailedError
 Specialized error. More...

class  PreconditionNotSatisfiedError
 Specialized error. More...

class  PostconditionNotSatisfiedError
 Specialized error. More...

class  IndexError
 Specialized error. More...

class  IllegalArgumentError
 Specialized error. More...

class  IllegalResultError
 Specialized error. More...

class  OutOfMemoryError
 Specialized error. More...

class  Exercise
 Exercise class (American, Bermudan or European). More...

class  AmericanExercise
 American exercise class. More...

class  BermudanExercise
 Bermudan exercise class. More...

class  EuropeanExercise
 European exercise class. More...

class  TimeGrid
 time grid class More...

class  Handle
 Reference-counted pointer. More...

class  History
 Container for historical data. More...

class  History.Entry
 single datum in history More...

class  History.const_iterator
 random access iterator on history entries More...

class  Index
 purely virtual base class for indexes More...

class  Instrument
 Abstract instrument class. More...

class  MarketElement
 purely virtual base class for market observables More...

class  SimpleMarketElement
 market element returning a stored value More...

class  DerivedMarketElement
 market element whose value depends on another market element More...

class  CompositeMarketElement
 market element whose value depends on two other market element More...

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

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

class  Option
 base option class More...

class  Payoff
 Option payoff base class. More...

class  StrikedTypePayoff
class  PlainVanillaPayoff
class  CashOrNothingPayoff
 Binary Cash-Or-Nothing option payoff. More...

class  AssetOrNothingPayoff
 Binary Asset-Or-Nothing option payoff. More...

class  SupersharePayoff
 Binary supershare option payoff. More...

class  PricingEngine
 base class for pricing engines More...

class  Link
 Relinkable access to a Handle. More...

class  RelinkableHandle
 Globally accessible relinkable pointer. More...

class  RiskStatistics_old
 Risk analysis tool. More...

class  Scheduler
 Date scheduler More...

class  Solver1D
 Base class for 1-D solvers. More...

class  SwaptionVolatilityStructure
 Swaption volatility structure. More...

class  TermStructure
 Term structure. More...

class  ZeroYieldStructure
 Zero yield term structure. More...

class  DiscountStructure
 Discount factor term structure. More...

class  ForwardRateStructure
 Forward rate term structure. More...

class  BlackVolTermStructure
 Black Volatility Term structure. More...

class  BlackVolatilityTermStructure
 Black Volatility term structure. More...

class  BlackVarianceTermStructure
 Black Variance term structure. More...

class  LocalVolTermStructure
 Local Volatility Term structure. More...


Typedefs

typedef int Day
 Day number.

typedef int Year
 Year number.

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.


Enumerations

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

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. More...

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< Arrayoperator+ (const Array &v)
Disposable< Arrayoperator- (const Array &v)
Disposable< Arrayoperator+ (const Array &v1, const Array &v2)
Disposable< Arrayoperator+ (const Array &v1, double a)
Disposable< Arrayoperator+ (double a, const Array &v2)
Disposable< Arrayoperator- (const Array &v1, const Array &v2)
Disposable< Arrayoperator- (const Array &v1, double a)
Disposable< Arrayoperator- (double a, const Array &v2)
Disposable< Arrayoperator * (const Array &v1, const Array &v2)
Disposable< Arrayoperator * (const Array &v1, double a)
Disposable< Arrayoperator * (double a, const Array &v2)
Disposable< Arrayoperator/ (const Array &v1, const Array &v2)
Disposable< Arrayoperator/ (const Array &v1, double a)
Disposable< Arrayoperator/ (double a, const Array &v2)
Disposable< ArrayAbs (const Array &v)
Disposable< ArraySqrt (const Array &v)
Disposable< ArrayLog (const Array &v)
Disposable< ArrayExp (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< ArrayCenteredGrid (double center, double dx, Size steps)
Disposable< ArrayBoundedGrid (double xMin, double xMax, Size steps)


Enumeration Type Documentation

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

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.
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.

enum Weekday
 

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


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen