QuantLib 0.3.3 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Supported platforms Version history Todo list Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Namespace List Class Hierarchy Compound List File List Namespace Members Compound Members File Members Unstable Features Deprecated List

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< 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) 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) 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

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