QuantLib 0.3.3
User manual
Introduction to QuantLib
QuantLib components
Reference manual
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- Member BoxMullerGaussianRng (long seed=0)
- initialize with a random number generator instead.
- Member CLGaussianRng (long seed=0)
- initialize with a random number generator instead.
- Class CliquetOptionPathPricer_old
- use CliquetOptionPathPricer instead
- Class EuropeanOption
- use VanillaOption with EuropeanAnalyticEngine
- Member ICGaussianRng (long seed=0)
- initialize with a random number generator instead.
- Class McEuropean
- use VanillaOption with McEuropeanEngine
- Class MultivariateAccumulator
- use SequenceStatistics instead
- Class PathGenerator_old
- use PathGenerator instead
- Class PathPricer_old
- use PathPricer instead
- Class RandomArrayGenerator
- use RandomSequenceGenerator instead.
- Class RiskMeasures
- use Statistics instead
- Class RiskStatistics_old
- use IncrementalGaussianStatistics or Statistics instead
- Member 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="")
- use the constructor taking two Schedulers
- Member 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)
- use the version taking a Scheduler instead
- Member 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())
- use the version taking a Scheduler instead.
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