Fully annotated reference manual - version 1.8.12
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Namespaces | |
| namespace | CommodityAveragePriceOptionMomementMatching |
| namespace | CrossAssetAnalytics |
| namespace | CrossAssetModelTypes |
| namespace | DateUtilities |
| namespace | detail |
| namespace | tag |
| namespace | ZeroInflation |
Classes | |
| class | AccrualBondRepoEngine |
| Accrual Bond Repo Engine. More... | |
| class | AdjustedDefaultCurve |
| class | AmcCalculator |
| class | AmendedCalendar |
| Amended calendar. More... | |
| class | AnalyticBarrierEngine |
| Wrapper engine for the QuantLib engine to take settlement delay into account. More... | |
| class | AnalyticCashSettledEuropeanEngine |
| Pricing engine for cash settled European vanilla options using analytical formulae. More... | |
| class | AnalyticCcLgmFxOptionEngine |
| Analytic cc lgm fx option engine. More... | |
| class | AnalyticDigitalAmericanEngine |
| Analytic pricing engine for American vanilla options with digital payoff. More... | |
| class | AnalyticDigitalAmericanKOEngine |
| Analytic pricing engine for American Knock-out options with digital payoff. More... | |
| class | AnalyticDkCpiCapFloorEngine |
| Analytic dk cpi cap floor engine. More... | |
| class | AnalyticDoubleBarrierBinaryEngine |
| Analytic pricing engine for double barrier binary options. More... | |
| class | AnalyticDoubleBarrierEngine |
| Wrapper engine for the QuantLib engine to take settlement delay into account. More... | |
| class | AnalyticEuropeanEngine |
| Pricing engine for European vanilla options using analytical formulae. More... | |
| class | AnalyticEuropeanEngineDeltaGamma |
| Pricing engine for European vanilla options using analytical formulae. More... | |
| class | AnalyticEuropeanForwardEngine |
| Pricing engine for European vanilla forward options using analytical formulae. More... | |
| class | AnalyticJyCpiCapFloorEngine |
| class | AnalyticJyYoYCapFloorEngine |
| class | AnalyticLgmCdsOptionEngine |
| class | AnalyticLgmSwaptionEngine |
| Analytic LGM swaption engine for european exercise. More... | |
| class | AnalyticOutperformanceOptionEngine |
| Pricing engine for European outperformance options using analytical formulae. More... | |
| class | AnalyticXAssetLgmEquityOptionEngine |
| Analytic cross-asset lgm equity option engine. More... | |
| class | AnnuityMapping |
| class | AnnuityMappingBuilder |
| class | ApoFutureSurface |
| Average future price option (APO) surface derived from a future option surface. More... | |
| class | Ascot |
| ascot More... | |
| class | AtmAdjustedSmileSection |
| class | Austria |
| class | AverageFuturePriceHelper |
| class | AverageFXLinked |
| class | AverageFXLinkedCashFlow |
| Average FX Linked cash-flow. More... | |
| class | AverageOffPeakPowerHelper |
| class | AverageOIS |
| Average overnight index swap. More... | |
| class | AverageOISRateHelper |
| Average OIS Rate Helper. More... | |
| class | AverageONIndexedCoupon |
| average overnight coupon More... | |
| class | AverageONIndexedCouponPricer |
| Pricer for average overnight indexed coupons. More... | |
| class | AverageONLeg |
| helper class building a sequence of overnight coupons More... | |
| class | AverageSpotPriceHelper |
| class | BachelierCPICashFlowPricer |
| Bachelier CPI CashFlow Pricer. More... | |
| class | BachelierCPICouponPricer |
| class | BachelierSwaptionEngineDeltaGamma |
| Normal Bachelier-formula swaption engine. More... | |
| class | BalanceGuaranteedSwap |
| Balance Guaranteed Swap. More... | |
| class | BaroneAdesiWhaleyApproximationEngine |
| class | BaseCorrelationQuote |
| market element whose value depends on two other market element More... | |
| class | BaseCorrelationTermStructure |
| class | BasicCpuFramework |
| class | BasisTwoSwapHelper |
| Basis Two Swap Helper. More... | |
| class | Basket |
| class | BEHICP |
| Belgium HICP index. More... | |
| class | Belgium |
| class | BelgiumRegion |
| Belgium as geographical/economic region. More... | |
| class | BicubicFlat |
| BiCubicSpline-interpolation and flat extrapolation factory More... | |
| class | BilinearFlat |
| BiLinear-interpolation and flat extrapolation factory More... | |
| class | BinomialConvertibleEngine |
| Binomial Tsiveriotis-Fernandes engine for convertible bonds. More... | |
| class | BlackAverageBMACouponPricer |
| class | BlackAverageONIndexedCouponPricer |
| Black averaged overnight coupon pricer. More... | |
| class | BlackBondOptionEngine |
| Black-formula bond option engine. More... | |
| class | BlackCdsOptionEngine |
| class | BlackCPICashFlowPricer |
| Black CPI CashFlow Pricer. More... | |
| class | BlackCPICouponPricer |
| class | BlackIborQuantoCouponPricer |
| class | BlackIndexCdsOptionEngine |
| class | BlackInvertedVolTermStructure |
| Black volatility surface that inverts an existing surface. More... | |
| class | BlackMonotoneVarVolTermStructure |
| Black volatility surface that monotonises the variance in an existing surface. More... | |
| class | BlackMultiLegOptionEngine |
| class | BlackMultiLegOptionEngineBase |
| class | BlackNonstandardSwaptionFromMultilegOptionEngine |
| class | BlackOvernightIndexedCouponPricer |
| Black compounded overnight coupon pricer. More... | |
| class | BlackScholesModelWrapper |
| class | BlackSwaptionEngineDeltaGamma |
| Shifted Lognormal Black-formula swaption engine. More... | |
| class | BlackSwaptionFromMultilegOptionEngine |
| class | BlackTriangulationATMVolTermStructure |
| Black volatility surface that implies an ATM vol based on triangulation. More... | |
| class | BlackVarianceCurve3 |
| Black volatility curve modeled as variance curve. More... | |
| class | BlackVarianceSurfaceMoneyness |
| Abstract Black volatility surface based on moneyness (moneyness defined in subclasses) More... | |
| class | BlackVarianceSurfaceMoneynessForward |
| class | BlackVarianceSurfaceMoneynessSpot |
| class | BlackVarianceSurfaceSparse |
| class | BlackVarianceSurfaceStdDevs |
| class | BlackVolatilityConstantSpread |
| Cube that combines an ATM matrix and vol spreads from a cube. More... | |
| class | BlackVolatilitySurfaceAbsolute |
| class | BlackVolatilitySurfaceBFRR |
| class | BlackVolatilitySurfaceDelta |
| class | BlackVolatilitySurfaceProxy |
| Wrapper class for a BlackVolTermStructure that allows us to proxy one equity vol surface off another. More... | |
| class | BlackVolatilityWithATM |
| Wrapper class for a BlackVolTermStructure that easily exposes ATM vols. More... | |
| class | BlackVolFromCreditVolWrapper |
| class | BMAIndexWrapper |
| class | BOEBaseRateIndex |
| Bank of England Base Rate index. More... | |
| class | BondBasket |
| Bond Basket. More... | |
| class | BondFuturesIndex |
| Bond Futures Index. More... | |
| class | BondIndex |
| Bond Index. More... | |
| class | BondOption |
| Bond option class. More... | |
| class | BondRepo |
| Bond repo instrument. More... | |
| class | BondTRS |
| Bond TRS class. More... | |
| class | BondTRSCashFlow |
| bond trs cashflow More... | |
| class | BondTRSLeg |
| helper class building a sequence of bond trs cashflows More... | |
| class | BondYieldShiftedCurveTermStructure |
| class | BRLCdi |
| BRL-CDI index. More... | |
| class | BRLCdiCouponPricer |
| BRL CDI coupon pricer. More... | |
| class | BRLCdiRateHelper |
| class | BRLCdiSwap |
| Standard BRL CDI swap. More... | |
| class | BucketedDistribution |
| Represents a bucketed probability distibution. More... | |
| class | Bucketing |
| class | CACPI |
| Canadian CPI index. More... | |
| class | CanadaRegion |
| Canada as geographical/economic region. More... | |
| class | CapFlooredAverageBMACouponPricer |
| capped floored averaged indexed coupon pricer base class More... | |
| class | CapFlooredAverageONIndexedCouponPricer |
| capped floored averaged indexed coupon pricer base class More... | |
| class | CapFloorHelper |
| class | CapFloorTermVolCurve |
| class | CapFloorTermVolSurface |
| Cap/floor term-volatility surface. More... | |
| class | CapFloorTermVolSurfaceExact |
| Cap/floor smile volatility surface. More... | |
| class | CapFloorTermVolSurfaceSparse |
| Cap/floor smile volatility surface sparse. More... | |
| struct | CapFloorVolatilityEUR |
| class | CappedFlooredAverageBMACoupon |
| class | CappedFlooredAverageONIndexedCoupon |
| capped floored overnight indexed coupon More... | |
| class | CappedFlooredCPICashFlow |
| Capped or floored CPI cashflow. More... | |
| class | CappedFlooredCPICoupon |
| Capped or floored CPI coupon. More... | |
| class | CappedFlooredCPICouponPricer |
| class | CappedFlooredOvernightIndexedCoupon |
| capped floored overnight indexed coupon More... | |
| class | CappedFlooredOvernightIndexedCouponPricer |
| capped floored overnight indexed coupon pricer base class More... | |
| class | CappedFlooredYoYInflationCoupon |
| class | CarrMadanMarginalProbability |
| class | CarrMadanMarginalProbabilitySafeStrikes |
| class | CarrMadanSurface |
| class | Cash |
| struct | CashFlowResults |
| class | CashflowRow |
| Class representing the row of a cashflow table. More... | |
| class | CashFlows |
| cashflow-analysis functions in addition to those in QuantLib More... | |
| class | CashflowTable |
| Class representing the contents of a cashflow table. More... | |
| class | CashSettledEuropeanOption |
| class | CBO |
| class | CdsOption |
| CDS option. More... | |
| class | CdsOptionHelper |
| CDS option helper. More... | |
| class | CHFSaron |
| CHF SARON rate More... | |
| class | CHFTois |
| CHF TOIS rate More... | |
| class | CirppConstantParametrization |
| CIR++ Constant Parametrization. More... | |
| class | CirppConstantWithFellerParametrization |
| CIR++ Constant Parametrization. More... | |
| class | CirppImpliedDefaultTermStructure |
| class | CirppParametrization |
| CIR++ Parametrization. More... | |
| class | CliquetOption |
| struct | CloseEnoughComparator |
| class | CLPCamara |
| class | CmbCoupon |
| CMB coupon class. More... | |
| class | CmbCouponPricer |
| Base pricer for vanilla CMB coupons. More... | |
| class | CmbLeg |
| helper class building a sequence of capped/floored cmb coupons More... | |
| class | CME |
| class | CmsCapHelper |
| class | CmsSpreadCouponPricer2 |
| base pricer for vanilla CMS spread coupons with a correlation surface More... | |
| class | CNHHibor |
| CNH-HIBOR index. More... | |
| class | CNHShibor |
| CNH-SHIBOR index. More... | |
| class | CNYRepoFix |
| CNY-CNREPOFIX=CFXS-Reuters index. More... | |
| class | CommodityAverageBasisPriceCurve |
| Commodity average basis price curve. More... | |
| class | CommodityAveragePriceOption |
| Commodity Average Price Option. More... | |
| class | CommodityAveragePriceOptionAnalyticalEngine |
| class | CommodityAveragePriceOptionBaseEngine |
| class | CommodityAveragePriceOptionMonteCarloEngine |
| class | CommodityBasisFutureIndex |
| Commodity Basis Future Index. More... | |
| class | CommodityBasisPriceCurve |
| Commodity basis price curve. More... | |
| class | CommodityBasisPriceCurveWrapper |
| class | CommodityBasisPriceTermStructure |
| class | CommodityCashFlow |
| class | CommodityForward |
| class | CommodityFuturesIndex |
| class | CommodityIndex |
| Commodity Index. More... | |
| class | CommodityIndexedAverageCashFlow |
| class | CommodityIndexedAverageLeg |
| Helper class building a sequence of commodity indexed average cashflows. More... | |
| class | CommodityIndexedCashFlow |
| Cash flow dependent on a single commodity spot price or futures settlement price on a given pricing date. More... | |
| class | CommodityIndexedLeg |
| Helper class building a sequence of commodity indexed cashflows. More... | |
| class | CommodityModel |
| class | CommodityOptionSurfaceStripper |
| class | CommoditySchwartzFutureOptionEngine |
| Commodity options on prompt future (with maturity=expiry) priced in the Schwartz model. More... | |
| class | CommoditySchwartzModel |
| class | CommoditySchwartzParametrization |
| COM Schwartz parametrization. More... | |
| class | CommoditySchwartzStateProcess |
| COM Schwartz model one-factor state process. More... | |
| class | CommoditySpotIndex |
| class | CommoditySpreadOption |
| Commodity Spread Option. More... | |
| class | CommoditySpreadOptionAnalyticalEngine |
| class | CommoditySwaptionBaseEngine |
| Commodity Swaption Engine base class. More... | |
| class | CommoditySwaptionEngine |
| Commodity Swaption Analytical Engine. More... | |
| class | CommoditySwaptionMonteCarloEngine |
| Commodity Swaption Monte Carlo Engine. More... | |
| class | CompiledFormula |
| helper class representing a formula with variables given by an id v More... | |
| class | CompoEquityIndex |
| class | CompositeIndex |
| class | CompositeVectorQuote |
| class | ComputationGraph |
| class | ComputeContext |
| class | ComputeEnvironment |
| class | ComputeFramework |
| class | ComputeFrameworkRegistry |
| class | ConfigurableCurrency |
| Configurable currency class. More... | |
| class | Constant |
| Constant-interpolation factory and traits More... | |
| class | ConstantCPIVolatility |
| class | ConstantInterpolation |
| Constant interpolation More... | |
| class | ConstantLossLatentmodel |
| class | ConstantLossModel |
| class | ConstantMaturityBondIndex |
| Constant Maturity Bond Index. More... | |
| class | ConstantSmileSection |
| class | ConstantSpreadSmileSection |
| class | ConvertibleBond |
| convertible bond More... | |
| class | ConvertibleBond2 |
| class | COPIbr |
| COP-IBR index. More... | |
| class | CORRA |
| CORRA rate More... | |
| class | CORRATerm |
| class | CorrelationTermStructure |
| Correlation term structure. More... | |
| class | CorrelationValue |
| Wrapper class that extracts a value at a given time from the term structure. More... | |
| struct | CovarianceSalvage |
| class | CPIBachelierCapFloorEngine |
| class | CPIBlackCapFloorEngine |
| class | CPICapFloorEngine |
| Basse Class for Black / Bachelier CPI cap floor pricing engines. More... | |
| class | CpiCapFloorHelper |
| CPI cap floor helper. More... | |
| class | CPICoupon |
| class | CPILeg |
| Helper class building a sequence of capped/floored CPI coupons. More... | |
| class | CPIPriceVolatilitySurface |
| Stripped zero inflation volatility structure. More... | |
| struct | CPIPriceVolatilitySurfaceDefaultValues |
| class | CPIVolatilitySurface |
| class | CrCirpp |
| Cox-Ingersoll-Ross ++ credit model class. More... | |
| class | CrCirppStateProcess |
| CIR++ Model State Process. More... | |
| class | CreditCurve |
| class | CreditLinkedSwap |
| class | CreditVolCurve |
| class | CreditVolCurveWrapper |
| class | CrossAssetModel |
| Cross Asset Model. More... | |
| class | CrossAssetModelImpliedEqVolTermStructure |
| Cross Asset Model Implied EQ Term Structure. More... | |
| class | CrossAssetModelImpliedFxVolTermStructure |
| Cross Asset Model Implied FX Term Structure. More... | |
| class | CrossAssetStateProcess |
| Cross Asset Model State Process. More... | |
| class | CrossCcyBasisMtMResetSwap |
| Cross currency basis MtM resettable swap. More... | |
| class | CrossCcyBasisMtMResetSwapHelper |
| Cross Ccy Basis MtM Reset Swap Rate Helper. More... | |
| class | CrossCcyBasisSwap |
| Cross currency basis swap. More... | |
| class | CrossCcyBasisSwapHelper |
| Cross Ccy Basis Swap Rate Helper. More... | |
| class | CrossCcyFixFloatMtMResetSwap |
| Cross currency fix float MtM resettable swap. More... | |
| class | CrossCcyFixFloatMtMResetSwapHelper |
| Cross Ccy Fix Float MtM Reset Swap Rate Helper. More... | |
| class | CrossCcyFixFloatSwap |
| class | CrossCcyFixFloatSwapHelper |
| Cross currency fix vs. float swap helper. More... | |
| class | CrossCcySwap |
| Cross currency swap. More... | |
| class | CrossCcySwapEngine |
| Cross currency swap engine. More... | |
| class | CrossCurrencyPriceTermStructure |
| Cross currency price term structure. More... | |
| class | CrossCurrencySwap |
| Cross currency swap. More... | |
| class | CrStateParametrization |
| Credit State Parametrization. More... | |
| class | CubicFlat |
| Cubic interpolation and flat extrapolation factory and traits. More... | |
| struct | CurrencyComparator |
| class | CurrencySwap |
| Currency Interest Rate Swap More... | |
| class | Cyprus |
| Cyprus Calendar. More... | |
| class | CZKPribor |
| CZK-PRIBOR index. More... | |
| class | DatedBRLCdiRateHelper |
| class | DatedOISRateHelper |
| Rate helper for bootstrapping using Overnight Indexed Swaps. More... | |
| class | DatedStrippedOptionlet |
| Stripped Optionlet Surface. More... | |
| class | DatedStrippedOptionletAdapter |
| Adapter class for turning a DatedStrippedOptionletBase object into an OptionletVolatilityStructure. More... | |
| class | DatedStrippedOptionletBase |
| Stripped Optionlet base class interface. More... | |
| class | DECPI |
| German CPI index. More... | |
| class | DefaultableEquityJumpDiffusionModel |
| class | DefaultableEquityJumpDiffusionModelBuilder |
| class | DefaultLatentModel |
| Default event Latent Model. More... | |
| class | DefaultLossModel |
| class | DEMLibor |
| DEM-LIBOR index. More... | |
| class | DenmarkRegion |
| Denmark as geographical/economic region. More... | |
| class | Deposit |
| Deposit Instrument. More... | |
| class | DepositEngine |
| class | DerivedPriceQuote |
| Helper class so that the spot price can be pulled from the price curve each time the spot price is requested. More... | |
| class | DifferentialEvolution_MT |
| class | DiscountingBondRepoEngine |
| Discounting Bond Repo Engine. More... | |
| class | DiscountingBondTRSEngine |
| Discounting Bond TRS Engine. More... | |
| class | DiscountingCommodityForwardEngine |
| Discounting commodity forward engine. More... | |
| class | DiscountingCreditLinkedSwapEngine |
| class | DiscountingCurrencySwapEngine |
| Discounting CurrencySwap Engine More... | |
| class | DiscountingCurrencySwapEngineDeltaGamma |
| Discounting currency swap engine providing analytical deltas and gammas. More... | |
| class | DiscountingEquityForwardEngine |
| Discounting Equity Forward Engine. More... | |
| class | DiscountingForwardBondEngine |
| Discounting Forward Bond Engine. More... | |
| class | DiscountingFxForwardEngine |
| Discounting FX Forward Engine. More... | |
| class | DiscountingFxForwardEngineDeltaGamma |
| Discounting FX Forward Engine providing analytical deltas and gammas. More... | |
| class | DiscountingRiskyBondEngine |
| Discounting Risky Bond Engine. More... | |
| class | DiscountingRiskyBondEngineMultiState |
| class | DiscountingSwapEngineDeltaGamma |
| Discounting swap engine providing analytical deltas and gammas. More... | |
| class | DiscountingSwapEngineMultiCurve |
| Discounting Swap Engine - Multi Curve. More... | |
| class | DiscountRatioModifiedCurve |
| class | DiscreteDistribution |
| Discrete Distribution. More... | |
| class | DiscretizedConvertible |
| class | Distributionpair |
| Distributionpair is a helper class for DiscretDistribution. More... | |
| struct | Dividend |
| class | DividendManager |
| global repository for past dividends More... | |
| class | DKCPI |
| DK CPI index. More... | |
| class | DkImpliedYoYInflationTermStructure |
| class | DkImpliedZeroInflationTermStructure |
| class | DKKCibor |
| DKK-CIBOR index. More... | |
| class | DKKCita |
| DKK CITA More... | |
| class | DKKOis |
| DKK OIS More... | |
| class | DurationAdjustedCmsCoupon |
| class | DurationAdjustedCmsCouponTsrPricer |
| class | DurationAdjustedCmsLeg |
| class | DynamicBlackVolTermStructure |
| Takes a BlackVolTermStructure with fixed reference date and turns it into a floating reference date term structure. More... | |
| class | DynamicCPIVolatilitySurface |
| Converts a CPIVolatilityStructure with fixed reference date into a floating reference date term structure. More... | |
| class | DynamicOptionletVolatilityStructure |
| Converts OptionletVolatilityStructure with fixed reference date into a floating reference date term structure. More... | |
| class | DynamicSwaptionVolatilityMatrix |
| Takes a SwaptionVolatilityMatrix with fixed reference date and turns it into a floating reference date term. More... | |
| class | DynamicYoYOptionletVolatilitySurface |
| Converts YoYOptionletVolatilitySurface with fixed reference date into a floating reference date term structure. More... | |
| class | EqBsConstantParametrization |
| EQ Black Scholes parametrization. More... | |
| class | EqBsParametrization |
| EQ Black Scholes parametrizations. More... | |
| class | EqBsPiecewiseConstantParametrization |
| EQ Black Scholes constant parametrization. More... | |
| class | EqFxIndexBase |
| Equity Index. More... | |
| class | EquityCoupon |
| equity coupon More... | |
| class | EquityCouponPricer |
| Pricer for equity coupons. More... | |
| class | EquityForward |
| class | EquityForwardCurveStripper |
| class | EquityIndex2 |
| Equity Index. More... | |
| class | EquityLeg |
| helper class building a sequence of equity coupons More... | |
| class | EquityMarginCoupon |
| equity coupon More... | |
| class | EquityMarginCouponPricer |
| Pricer for equity margin coupons. More... | |
| class | EquityMarginLeg |
| helper class building a sequence of equity margin coupons More... | |
| class | EquityOptionSurfaceStripper |
| class | ESCPI |
| Spain CPI index. More... | |
| class | ExceptionQuote |
| A dummy quote class that throws an exception when value is called. More... | |
| class | ExtendedConstantLossLatentModel |
| class | ExtendedConstantLossModel |
| class | ExternalRandomVariable |
| class | FallbackIborIndex |
| class | FallbackOvernightIndex |
| class | FdConvertibleBondEvents |
| class | FdDefaultableEquityJumpDiffusionConvertibleBondEngine |
| class | FdmBlackScholesMesher |
| class | FdmBlackScholesOp |
| class | FdmDefaultableEquityJumpDiffusionFokkerPlanckOp |
| class | FdmDefaultableEquityJumpDiffusionOp |
| class | FdmLgmOp |
| class | FdmQuantoHelper |
| struct | Filter |
| class | FixedBMASwap |
| swap paying a fixed rate against BMA coupons More... | |
| class | FixedRateFXLinkedNotionalCoupon |
| class | FlatCorrelation |
| Flat correlation structure. More... | |
| class | FlatExtrapolation |
| Flat extrapolation given a base interpolation. More... | |
| class | FlatForwardDividendCurve |
| class | FlexiSwap |
| Flexi-Swap with global notional bounds. More... | |
| class | FloatingAnnuityCoupon |
| floating annuity coupon More... | |
| class | FloatingAnnuityNominal |
| class | FloatingRateFXLinkedNotionalCoupon |
| class | FormulaBasedCoupon |
| formula based coupon class More... | |
| class | FormulaBasedCouponPricer |
| base pricer for formula based coupons More... | |
| class | FormulaBasedIndex |
| formula based index class More... | |
| class | FormulaBasedLeg |
| helper class building a sequence of formula based coupons More... | |
| class | ForwardBond |
| Forward Bond class. More... | |
| class | ForwardBondTypePayoff |
| Class for forward type payoffs. More... | |
| class | France |
| class | FRCPI |
| French CPI index. More... | |
| class | FutureExpiryCalculator |
| Base class for classes that perform date calculations for future contracts. More... | |
| class | FutureOptionHelper |
| Future Option Helper. More... | |
| class | FuturePriceHelper |
| class | FxBlackVannaVolgaVolatilitySurface |
| Fx Black vanna volga volatility surface. More... | |
| class | FxBlackVolatilitySurface |
| Fx Black volatility surface. More... | |
| class | FxBsConstantParametrization |
| FX Black Scholes parametrization. More... | |
| class | FxBsModel |
| class | FxBsParametrization |
| FX Black Scholes parametrizations. More... | |
| class | FxBsPiecewiseConstantParametrization |
| FX Black Scholes constant parametrization. More... | |
| class | FxEqOptionHelper |
| FxEq Option Helper. More... | |
| class | FxForward |
| FX Forward More... | |
| class | FxIndex |
| FX Index. More... | |
| class | FXLinked |
| Base class for FX Linked cashflows. More... | |
| class | FXLinkedCashFlow |
| FX Linked cash-flow. More... | |
| class | FxModel |
| class | FxRateQuote |
| class | FxSmileSection |
| class | FxSpotQuote |
| class | Gaussian1dCrossAssetAdaptor |
| Gaussian 1d Cross Asset adaptor. More... | |
| class | GaussianLHPLossModel |
| class | GeneralisedReplicatingVarianceSwapEngine |
| class | GeneratorDefaultProbabilityTermStructure |
| Default probability term structure implied from a transition matrix. More... | |
| class | GenericIborIndex |
| Generic Ibor Index. More... | |
| class | GenericIndex |
| Generic Index. More... | |
| class | GenericSwaption |
| Swaption class with QuantLib::Swap underlying More... | |
| class | GermanyRegion |
| Germany as geographical/economic region. More... | |
| class | Greece |
| Greece Calendar. More... | |
| class | HazardSpreadedDefaultTermStructure |
| Hazard Spreaded Default Term Structure. More... | |
| class | HermiteFlat |
| Hermite interpolation and flat extrapolation factory and traits. More... | |
| class | HKDHibor |
| HKD-HIBOR index. More... | |
| class | HKDHonia |
| HKD-HONIA index. More... | |
| class | HomogeneousPoolLossModel |
| Default loss distribution convolution for finite homogeneous pool. More... | |
| class | HUFBubor |
| HUF-BUBOR index. More... | |
| class | HullWhiteBucketing |
| class | HwConstantParametrization |
| HW nF Parametrization with m driving Brownian motions and constant reversion, vol. More... | |
| class | HwModel |
| class | HwParametrization |
| HW nF Parametrization with m driving Brownian motions. More... | |
| class | IborFallbackCurve |
| class | IborFraCoupon |
| Coupon paying a Forward rate aggreement payoff with and ibor-type index underlying More... | |
| class | IborIndexWithFixingOverride |
| wrapper for ibor index wit individiual trade level fixings More... | |
| class | ICE |
| class | IDRIdrfix |
| IDR-IDRFIX index. More... | |
| class | IDRJibor |
| IDR-JIBOR index. More... | |
| class | ILSTelbor |
| ILS-TELBOR index. More... | |
| class | ImmFraRateHelper |
| class | ImpliedDefaultTermStructure |
| class | IndexCdsOption |
| Index CDS option instrument. More... | |
| class | IndexCdsOptionBaseEngine |
| class | IndexCdsTrancheEngine |
| class | IndexCreditDefaultSwap |
| class | IndexedCoupon |
| indexed coupon More... | |
| class | IndexedCouponLeg |
| indexed coupon leg More... | |
| class | IndexWrappedCashFlow |
| indexed cashflow More... | |
| class | InfDkVectorised |
| class | InfJyParameterization |
| class | InflationCashFlowPricer |
| Base class for CPI CashFLow and Coupon pricers. More... | |
| class | InflationIndexObserver |
| Inflation Index observer. More... | |
| class | InhomogeneousPoolLossModel |
| Default loss distribution convolution for finite non homogeneous pool. More... | |
| class | INRMiborOis |
| INR-MIBOROIS index. More... | |
| class | INRMifor |
| INR-MIFOR index. More... | |
| class | InterpolatedBaseCorrelationTermStructure |
| class | InterpolatedCapFloorTermVolCurve |
| Interpolated cap floor term volatility curve. More... | |
| class | InterpolatedCorrelationCurve |
| CorrelationTermStructure based on interpolation of correlations. More... | |
| class | InterpolatedCPIVolatilitySurface |
| Interpolated zero inflation volatility structure. More... | |
| class | InterpolatedDiscountCurve |
| InterpolatedDiscountCurve based on loglinear interpolation of DiscountFactors. More... | |
| class | InterpolatedDiscountCurve2 |
| InterpolatedDiscountCurve2 as in QuantLib, but with floating discount quotes and floating reference date. More... | |
| class | InterpolatedHazardRateCurve |
| DefaultProbabilityTermStructure based on interpolation of hazard rates. More... | |
| class | InterpolatedOptionletCurve |
| class | InterpolatedPriceCurve |
| Interpolated price curve. More... | |
| class | InterpolatedSmileSection |
| class | InterpolatedSurvivalProbabilityCurve |
| DefaultProbabilityTermStructure based on interpolation of survival probabilities. More... | |
| class | InterpolatedYoYCapFloorTermPriceSurface |
| Interpolated YoY Inflation Cap floor term price surface. More... | |
| class | InterpolatingCPICapFloorEngine |
| class | InterpolatingCreditVolCurve |
| class | IntrinsicAscotEngine |
| Intrinsic engine for Ascots. More... | |
| class | Ireland |
| Ireland Calendars. More... | |
| class | IrHwStateProcess |
| Ir HW State Process. More... | |
| class | IrLgm1fStateProcess |
| Ir Lgm 1f State Process. More... | |
| class | IrModel |
| class | IslamicWeekendsOnly |
| Islamic Weekends-only calendar. More... | |
| class | Israel |
| Israel calendar. More... | |
| class | IterativeBootstrap |
| class | JPYEYTIBOR |
| JPY Euroyen TIBOR index More... | |
| class | JyImpliedYoYInflationTermStructure |
| class | JyImpliedZeroInflationTermStructure |
| class | JyYoYInflationCouponPricer |
| JY pricer for YoY inflation coupons. More... | |
| class | KienitzLawsonSwayneSabrPdeDensity |
| class | KInterpolatedYoYOptionletVolatilitySurface |
| K-interpolated YoY optionlet volatility. More... | |
| class | KRWCd |
| KRW-CD index. More... | |
| class | KRWKoribor |
| KRW-KORIBOR index. More... | |
| class | Lgm1fConstantParametrization |
| LGM 1F Constant Parametrization. More... | |
| class | Lgm1fParametrization |
| LGM 1F Parametrization. More... | |
| class | Lgm1fPiecewiseConstantHullWhiteAdaptor |
| LGM 1f Piecewise Constant Hull White Adaptor. More... | |
| class | Lgm1fPiecewiseConstantParametrization |
| LGM 1F Piecewise Constant Parametrization. More... | |
| class | Lgm1fPiecewiseLinearParametrization |
| Lgm 1f Piecewise Linear Parametrization. More... | |
| class | LgmBackwardSolver |
| Interface for LGM1F backward solver. More... | |
| struct | LgmCalibrationData |
| struct | LgmCalibrationInfo |
| class | LgmConvolutionSolver |
| Numerical convolution solver for the LGM model. More... | |
| class | LgmConvolutionSolver2 |
| Numerical convolution solver for the LGM model. More... | |
| class | LgmFdSolver |
| Numerical FD solver for the LGM model. More... | |
| class | LgmImpliedDefaultTermStructure |
| Lgm Implied Default Term Structure. More... | |
| class | LgmImpliedYieldTermStructure |
| Lgm Implied Yield Term Structure. More... | |
| class | LgmImpliedYtsFwdFwdCorrected |
| Lgm Implied Yts Fwd Corrected. More... | |
| class | LgmImpliedYtsSpotCorrected |
| Lgm Implied Yts Spot Corrected. More... | |
| class | LgmVectorised |
| class | LinearAnnuityMapping |
| class | LinearAnnuityMappingBuilder |
| class | LinearFlat |
| Linear-interpolation and flat extrapolation factory and traits More... | |
| class | LinearGaussMarkovModel |
| Linear Gauss Morkov Model. More... | |
| class | LinkableCalibratedModel |
| Calibrated model class with linkable parameters. More... | |
| class | LogLinearFlat |
| Linear-interpolation and flat extrapolation factory and traits More... | |
| class | LognormalCmsSpreadPricer |
| CMS spread - coupon pricer. More... | |
| class | LogQuadratic |
| log-quadratic interpolation factory and traits More... | |
| class | LogQuadraticInterpolation |
| log-quadratic interpolation between discrete points More... | |
| class | LogQuote |
| Class for storing logs of quotes for log-linear interpolation. More... | |
| class | LossModelConditionalDist |
| class | Luxembourg |
| class | MakeAverageOIS |
| helper class More... | |
| class | MakeCreditDefaultSwap |
| helper class More... | |
| class | MakeFixedBMASwap |
| class | MakeOISCapFloor |
| class | MakeSubPeriodsSwap |
| class | MarketObserver |
| Observer class for Model Builders. More... | |
| class | Mauritius |
| Mauritius calendar. More... | |
| class | McCamCurrencySwapEngine |
| class | McCamFxForwardEngine |
| class | McCamFxOptionEngine |
| struct | McEngineStats |
| class | MCGaussianFormulaBasedCouponPricer |
| Formula based coupon pricer. More... | |
| class | McLgmNonstandardSwaptionEngine |
| class | McLgmSwapEngine |
| class | McLgmSwaptionEngine |
| class | McMultiLegBaseEngine |
| class | McMultiLegOptionEngine |
| class | MDD |
| Modify Distrete Distribution. More... | |
| class | MidPointCDOEngine |
| CDO base engine taking schedule steps. More... | |
| class | MidPointCdsEngineMultiState |
| class | MidPointIndexCdsEngine |
| class | ModelBuilder |
| class | ModelImpliedPriceTermStructure |
| COM Implied Price Term Structure. More... | |
| class | ModelImpliedYieldTermStructure |
| IR Implied Yield Term Structure. More... | |
| class | ModelImpliedYtsFwdFwdCorrected |
| Model Implied Yts Fwd Corrected. More... | |
| class | ModelImpliedYtsSpotCorrected |
| Lgm Implied Yts Spot Corrected. More... | |
| class | MonteCarloCBOEngine |
| CBO engine, Monte Carlo for the sample payoff. More... | |
| class | MultiCcyCompositeInstrument |
| Composite instrument More... | |
| class | MultiLegOption |
| class | MultiPathGeneratorBase |
| Multi Path Generator Base. More... | |
| class | MultiPathGeneratorBurley2020Sobol |
| Instantiation of MultiPathGenerator with standard LowDiscrepancy traits. More... | |
| class | MultiPathGeneratorBurley2020SobolBrownianBridge |
| Instantiation using Burley2020SobolBrownianGenerator from models/marketmodels/browniangenerators. More... | |
| class | MultiPathGeneratorFactory |
| Standard implementation for path generator factory. More... | |
| class | MultiPathGeneratorMersenneTwister |
| Instantiation of MultiPathGenerator with standard PseudoRandom traits. More... | |
| class | MultiPathGeneratorMersenneTwisterAntithetic |
| class | MultiPathGeneratorSobol |
| Instantiation of MultiPathGenerator with standard LowDiscrepancy traits. More... | |
| class | MultiPathGeneratorSobolBrownianBridge |
| Instantiation using SobolBrownianGenerator from models/marketmodels/browniangenerators. More... | |
| class | MultiPathGeneratorSobolBrownianBridgeBase |
| Base class for instantiations using brownian generators from models/marketmodels/browniangenerators. More... | |
| class | MultiPathVariateGeneratorBase |
| class | MultiPathVariateGeneratorBurley2020Sobol |
| class | MultiPathVariateGeneratorBurley2020SobolBrownianBridge |
| class | MultiPathVariateGeneratorMersenneTwister |
| class | MultiPathVariateGeneratorMersenneTwisterAntithetic |
| class | MultiPathVariateGeneratorSobol |
| class | MultiPathVariateGeneratorSobolBrownianBridge |
| class | MultiPathVariateGeneratorSobolBrownianBridgeBase |
| class | MultiSectionDefaultCurve |
| multi section default ts More... | |
| class | MXNTiie |
| MXN-TIIE index. More... | |
| class | MYRKlibor |
| MYR-KLIBOR index. More... | |
| class | NadarayaWatson |
| Nadaraya Watson regression. More... | |
| class | NegativeCorrelationTermStructure |
| Wrapper class that inverts the correlation. More... | |
| class | Netherlands |
| struct | NoCovarianceSalvage |
| Implementation that does not change the input matrix. More... | |
| class | NOKNibor |
| NOK-NIBOR index. More... | |
| class | NonStandardBachelierYoYInflationCouponPricer |
| Bachelier-formula pricer for capped/floored yoy inflation coupons. More... | |
| class | NonStandardBlackYoYInflationCouponPricer |
| Black-formula pricer for capped/floored yoy inflation coupons. More... | |
| class | NonStandardCappedFlooredYoYInflationCoupon |
| Capped or floored inflation coupon. More... | |
| class | NonStandardUnitDisplacedBlackYoYInflationCouponPricer |
| Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons. More... | |
| class | NonStandardYoYInflationCoupon |
| Coupon paying a YoY-inflation type index More... | |
| class | NonStandardYoYInflationCouponPricer |
| base pricer for capped/floored YoY inflation coupons More... | |
| class | NonStandardYoYInflationLeg |
| class | NormalSABR |
| SABR interpolation factory and traits More... | |
| class | NormalSABRInterpolation |
| SABR smile interpolation between discrete volatility points. More... | |
| class | NormalSabrSmileSection |
| class | Nowa |
| class | NullInstrument |
| class | NumericalIntegrationIndexCdsOptionEngine |
| class | NumericLgmBgsFlexiSwapEngine |
| Numerical engine for balance guaranteed swaps using a flexi swap proxy in the LGM model. More... | |
| class | NumericLgmFlexiSwapEngine |
| class | NumericLgmFlexiSwapEngineBase |
| Numerical engine for flexi swaps in the LGM model. More... | |
| class | NumericLgmMultiLegOptionEngine |
| class | NumericLgmMultiLegOptionEngineBase |
| class | NumericLgmNonstandardSwaptionEngine |
| class | NumericLgmSwaptionEngine |
| class | NZDBKBM |
| NZD-BKBM index. More... | |
| class | OffPeakPowerIndex |
| Off peak power index. More... | |
| class | OICCBSHelper |
| Rate helper for bootstrapping over Overnight Indexed CC Basis Swap Spreads. More... | |
| class | OISCapFloorHelper |
| class | OISRateHelper |
| Rate helper for bootstrapping using Overnight Indexed Swaps. More... | |
| class | OpenClFramework |
| class | OptimizationMethod_MT |
| Abstract class for constrained optimization method. More... | |
| class | OptionInterpolator2d |
| class | OptionInterpolatorBase |
| Option surface interpolator base. More... | |
| class | OptionletStripper |
| class | OptionletStripper1 |
| class | OptionletStripper2 |
| class | OptionletStripperWithAtm |
| struct | OptionletTraits |
| Traits class that is needed for Bootstrap classes to work More... | |
| class | OptionPriceSurface |
| class | OptionSurfaceStripper |
| Abstract base class for the option stripper. More... | |
| class | OutperformanceOption |
| Outperformance option. More... | |
| class | OvernightFallbackCurve |
| class | OvernightIndexedCoupon |
| overnight coupon More... | |
| class | OvernightIndexedCouponPricer |
| OvernightIndexedCoupon pricer. More... | |
| class | OvernightIndexedCrossCcyBasisSwap |
| Basis swap: compounded overnight rate in ccy 1 vs. compounded overnight rate in ccy 2. More... | |
| class | OvernightIndexedCrossCcyBasisSwapEngine |
| class | OvernightIndexWithFixingOverride |
| class | OvernightLeg |
| helper class building a sequence of overnight coupons More... | |
| class | PairwiseVarianceSwap |
| Pairwise Variance swap. More... | |
| class | PairwiseVarianceSwapEngine |
| class | ParametricVolatility |
| class | ParametricVolatilitySmileSection |
| class | Parametrization |
| Parametrization. More... | |
| class | PathGeneratorFactory |
| Base class for path generator factories. More... | |
| class | Payment |
| Payment Instrument. More... | |
| class | PaymentDiscountingEngine |
| Payment discounting engine. More... | |
| class | Peru |
| class | Philippines |
| class | PHPPhiref |
| PHP-PHIREF index. More... | |
| class | PiecewiseAtmOptionletCurve |
| class | PiecewiseConstantHelper1 |
| Piecewise Constant Helper 1. More... | |
| class | PiecewiseConstantHelper11 |
| Piecewise Constant Helper 11. More... | |
| class | PiecewiseConstantHelper2 |
| Piecewise Constant Helper2. More... | |
| class | PiecewiseConstantHelper3 |
| Piecewise Constant Helper 3. More... | |
| class | PiecewiseOptionletCurve |
| class | PiecewiseOptionletStripper |
| class | PiecewisePriceCurve |
| Piecewise price term structure. More... | |
| class | PiecewiseZeroInflationCurve |
| Piecewise zero-inflation term structure. More... | |
| class | PLNPolonia |
| PLN-POLONIA index. More... | |
| class | PoolLossModel |
| class | PriceTermStructure |
| Price term structure. More... | |
| class | PriceTermStructureAdapter |
| Adapter class for turning a PriceTermStructure in to a YieldTermStructure. More... | |
| struct | PriceTraits |
| Traits class that is needed for Bootstrap classes to work. More... | |
| class | PrimeIndex |
| USD-Prime index. More... | |
| class | Problem_MT |
| Constrained optimization problem. More... | |
| class | ProjectedBufferedMultiPathGenerator |
| class | ProjectedBufferedMultiPathGeneratorFactory |
| class | ProjectedVariateMultiPathGenerator |
| class | ProjectedVariatePathGeneratorFactory |
| class | ProxyCreditVolCurve |
| class | ProxyOptionletVolatility |
| class | ProxySwaptionVolatility |
| class | PseudoParameter |
| Parameter that accesses CalibratedModel. More... | |
| class | Quadratic |
| Quadratic-interpolation factory and traits More... | |
| class | QuadraticInterpolation |
| Quadratic interpolation between discrete points More... | |
| struct | RandomVariable |
| class | randomvariable_output_pattern |
| class | randomvariable_output_size |
| class | RandomVariableLsmBasisSystem |
| struct | RandomVariableOpCode |
| struct | RandomVariableStats |
| class | RebatedExercise |
| Rebated exercise with exercise dates != notification dates and arbitrary period. More... | |
| class | RepresentativeFxOptionMatcher |
| class | RepresentativeSwaptionMatcher |
| class | RiskParticipationAgreement |
| class | RiskParticipationAgreementTLock |
| class | RUBKeyRate |
| RUB-KEYRATE index. More... | |
| class | RussiaModified |
| Russian calendars. More... | |
| class | SabrParametricVolatility |
| class | SabrStrippedOptionletAdapter |
| class | SAibor |
| SAR-SAIBOR index. More... | |
| class | SavedObservableSettings |
| class | ScaledCashFlow |
| scalable cashflow More... | |
| class | ScaledCoupon |
| scalable coupon More... | |
| class | SECPI |
| SE CPI index. More... | |
| class | SEKSior |
| SEK SIOR More... | |
| class | SEKStibor |
| SEK-STIBOR index. More... | |
| class | SEKStina |
| SEK STINA More... | |
| class | SGDSibor |
| SGD-SIBOR index. More... | |
| class | SGDSor |
| SGD-SOR index. More... | |
| class | SKKBribor |
| SKK-BRIBOR index. More... | |
| class | SofrTerm |
| Sofr term index, see https://www.cmegroup.com/market-data/cme-group-benchmark-administration/term-sofr.html# More... | |
| class | SoftCallability |
| callability leaving to the holder the possibility to convert More... | |
| struct | Solver1DOptions |
| class | SoniaTerm |
| Sonia term index, see https://www.bankofengland.co.uk/-/media/boe/files/markets/benchmarks/rfr/rfrwg-term-sonia-reference-rate-summary.pdf# More... | |
| class | Sora |
| SGD SORA rate More... | |
| class | Spain |
| class | SpainRegion |
| Spain as geographical/economic region. More... | |
| struct | SpectralCovarianceSalvage |
| Implementation that uses the spectral method. More... | |
| class | SpreadedBaseCorrelationCurve |
| Spreaded Base Correlation Curve. More... | |
| class | SpreadedBlackVolatilityCurve |
| Spreaded Black volatility curve modeled as variance curve. More... | |
| class | SpreadedBlackVolatilitySurfaceLogMoneynessForward |
| Black volatility surface based on forward log moneyness. More... | |
| class | SpreadedBlackVolatilitySurfaceLogMoneynessSpot |
| Spreaded Black volatility surface based on spot log moneyness. More... | |
| class | SpreadedBlackVolatilitySurfaceMoneyness |
| Abstract Spreaded Black volatility surface based on moneyness (moneyness defined in subclasses) More... | |
| class | SpreadedBlackVolatilitySurfaceMoneynessForward |
| Black volatility surface based on forward moneyness. More... | |
| class | SpreadedBlackVolatilitySurfaceMoneynessForwardAbsolute |
| Spreaded Black volatility surface based on absolute forward moneyness. More... | |
| class | SpreadedBlackVolatilitySurfaceMoneynessSpot |
| Spreaded Black volatility surface based on spot moneyness. More... | |
| class | SpreadedBlackVolatilitySurfaceMoneynessSpotAbsolute |
| Spreaded Black volatility surface based on absolute spot moneyness. More... | |
| class | SpreadedBlackVolatilitySurfaceStdDevs |
| Black volatility surface based on std devs (standardised log moneyness) More... | |
| class | SpreadedCorrelationCurve |
| Spreaded Correlation Curve. More... | |
| class | SpreadedCPIVolatilitySurface |
| class | SpreadedCreditVolCurve |
| class | SpreadedDiscountCurve |
| class | SpreadedOptionletVolatility |
| class | SpreadedOptionletVolatility2 |
| class | SpreadedPriceTermStructure |
| Spreaded Price term structure. More... | |
| class | SpreadedSmileSection |
| class | SpreadedSmileSection2 |
| class | SpreadedSurvivalProbabilityTermStructure |
| Spreaded Default Term Structure, the spread is given in terms of loglinearly interpolated survival probabilities. More... | |
| class | SpreadedSwaptionVolatility |
| class | SpreadedYoYInflationCurve |
| class | SpreadedYoYVolatilitySurface |
| class | SpreadedZeroInflationCurve |
| class | StabilisedGLLS |
| Numerically stabilised general linear least squares. More... | |
| class | StaticallyCorrectedYieldTermStructure |
| Statically Corrected Yield Term Structure. More... | |
| class | Stats |
| helper class for the MonteCarloCBOEngine More... | |
| class | StrippedCappedFlooredCPICashFlow |
| Stripped capped or floored CPI cashflow. More... | |
| class | StrippedCappedFlooredCPICoupon |
| class | StrippedCappedFlooredCPICouponLeg |
| class | StrippedCappedFlooredYoYInflationCoupon |
| class | StrippedCappedFlooredYoYInflationCouponLeg |
| class | StrippedCPIVolatilitySurface |
| Stripped zero inflation volatility structure. More... | |
| struct | StrippedCPIVolSurfaceDefaultValues |
| class | StrippedOptionletAdapter |
| class | StrippedOptionletAdapter2 |
| class | StrippedYoYInflationOptionletVol |
| class | SubPeriodsCoupon1 |
| Sub-periods coupon. More... | |
| class | SubPeriodsCouponPricer1 |
| Pricer for sub-period coupons. More... | |
| class | SubPeriodsLeg1 |
| helper class building a sequence of sub-period coupons More... | |
| class | SubPeriodsSwap |
| Single currency sub periods swap. More... | |
| class | SubPeriodsSwapHelper |
| Rate helper for bootstrapping using Sub Periods Swaps. More... | |
| struct | SurvivalProbability |
| Survival probability curve traits. More... | |
| class | SurvivalProbabilityCurve |
| DefaultProbabilityTermStructure based on interpolation of survival probability quotes. More... | |
| class | SwapConventions |
| struct | SwaptionConventionsEUR |
| struct | SwaptionData |
| class | SwaptionSabrCube |
| class | SwaptionVolatilityConstantSpread |
| Swaption cube that combines an ATM matrix and vol spreads from a cube. More... | |
| class | SwaptionVolatilityConverter |
| Class that converts a supplied SwaptionVolatilityStructure to one of another type with possibly different shifts. More... | |
| struct | SwaptionVolatilityEUR |
| class | SwaptionVolCube2 |
| class | SwaptionVolCubeWithATM |
| Wrapper class for a SwaptionVolatilityCube that easily and efficiently exposes ATM vols. More... | |
| class | SwedenRegion |
| Sweden as geographical/economic region. More... | |
| class | Switzerland |
| Swiss calendar. More... | |
| class | SyntheticCDO |
| Synthetic Collateralized Debt Obligation. More... | |
| class | TenorBasisSwap |
| Single currency tenor basis swap. More... | |
| class | TenorBasisSwapHelper |
| Rate helper for bootstrapping using Libor tenor basis swaps. More... | |
| class | TermInterpolatedDefaultCurve |
| class | TermRateIndex |
| class | THBBibor |
| THB-BIBOR index/. More... | |
| class | THBThor |
| THB-THOR index. More... | |
| class | Tonar |
| JPY TONAR rate More... | |
| class | TonarTerm |
| struct | Tranche |
| Collateralized Bond Obligation, Cash Flow CBO. More... | |
| class | TRSCashFlow |
| bond trs cashflow More... | |
| class | TRSLeg |
| helper class building a sequence of trs cashflows More... | |
| class | TsiveriotisFernandesLattice |
| Binomial lattice approximating the Tsiveriotis-Fernandes model. More... | |
| class | TWDTaibor |
| TWD-TAIBOR index. More... | |
| class | UnitedArabEmirates |
| Islamic Weekends-only calendar. More... | |
| class | USDAmbor |
| USD-AMBOR index. More... | |
| class | USDAmeribor |
| AMERIBOR overnight rate. More... | |
| class | VanillaCrossCurrencySwap |
| Vanilla cross currency interest rate swap. More... | |
| class | VanillaForwardOption |
| Vanilla Forward option on a single asset. More... | |
| class | VannaVolgaSmileSection |
| struct | Variances |
| class | VarianceSwap2 |
| Variance swap. More... | |
| class | VolatilityFromVarianceSwapEngine |
| class | WeightedYieldTermStructure |
| weighted yield term structure More... | |
| class | Wmr |
| class | XAGCurrency |
| Troy ounce of Silver. More... | |
| class | XAUCurrency |
| Troy ounce of Gold. More... | |
| class | XPDCurrency |
| Troy ounce of Palladium. More... | |
| class | XPTCurrency |
| Troy ounce of Platinum. More... | |
| class | YearCounter |
| Year counter for when we want a whole number year fraction. More... | |
| struct | YieldCurveEUR |
| class | YieldPlusDefaultYieldTermStructure |
| yield plus default yield term structure More... | |
| class | YoYCapFloorHelper |
| class | YoYInflationBachelierCapFloorEngine |
| Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More... | |
| class | YoYInflationBlackCapFloorEngine |
| Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More... | |
| class | YoYInflationCapFloorEngine |
| Base YoY inflation cap/floor engine. More... | |
| class | YoYInflationCoupon |
| class | YoYInflationCurveObserverMoving |
| Inflation term structure based on the interpolation of zero rates. More... | |
| class | YoYInflationCurveObserverStatic |
| Inflation term structure based on the interpolation of zero rates. More... | |
| class | YoYInflationIndexWrapper |
| Wrapper that creates a yoy from a zc index. More... | |
| class | yoyInflationLeg |
| class | YoYInflationModelTermStructure |
| class | YoYInflationOptionletVolStripper |
| class | YoYInflationUnitDisplacedBlackCapFloorEngine |
| Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More... | |
| class | YoYSwapHelper |
| class | ZeroFixedCoupon |
| class | ZeroInflationCurveObserverMoving |
| Inflation term structure based on the interpolation of zero rates, with floating reference date. More... | |
| class | ZeroInflationCurveObserverStatic |
| Inflation term structure based on the interpolation of zero rates. More... | |
| class | ZeroInflationIndexWrapper |
| Wrapper that changes the interpolation of an underlying ZC inflation index. More... | |
| class | ZeroInflationModelTermStructure |
| class | ZeroInflationTraits |
| Bootstrap traits to use for PiecewiseZeroInflationCurve. More... | |
Enumerations | |
| enum class | CommodityQuantityFrequency { PerCalculationPeriod , PerCalendarDay , PerPricingDay , PerHour , PerHourAndCalendarDay } |
| Enumeration indicating the frequency associated with a commodity quantity. More... | |
| enum class | EquityReturnType { Price , Total , Absolute , Dividend } |
| enum class | RandomVariableRegressionMethod { QR , SVD } |
| enum | SequenceType { MersenneTwister , MersenneTwisterAntithetic , Sobol , Burley2020Sobol , SobolBrownianBridge , Burley2020SobolBrownianBridge } |
| enum | Stickyness { StickyStrike , StickyLogMoneyness , StickyAbsoluteMoneyness } |
| Stickiness. More... | |
| enum | ReactionToTimeDecay { ConstantVariance , ForwardForwardVariance } |
| Reaction to Time Decay. More... | |
| enum | YieldCurveRollDown { ConstantDiscounts , ForwardForward } |
| Yield Curve Roll Down. More... | |
| enum | PriceQuotePreference { Cap , Floor , CapFloor } |
Functions | |
| template<class T > | |
| void | backwardDerivatives (const ComputationGraph &g, std::vector< T > &values, std::vector< T > &derivatives, const std::vector< std::function< std::vector< T >(const std::vector< const T * > &, const T *)> > &grad, std::function< void(T &)> deleter={}, const std::vector< bool > &keepNodes={}, const std::vector< std::function< T(const std::vector< const T * > &)> > &fwdOps={}, const std::vector< std::function< std::pair< std::vector< bool >, bool >(const std::size_t)> > &fwdOpRequiresNodesForDerivatives={}, const std::vector< bool > &fwdKeepNodes={}, const std::size_t conditionalExpectationOpId=0, const std::function< T(const std::vector< const T * > &)> &conditionalExpectation={}) |
| std::size_t | cg_const (ComputationGraph &g, const double value) |
| std::size_t | cg_insert (ComputationGraph &g, const std::string &label) |
| std::size_t | cg_var (ComputationGraph &g, const std::string &name, const ComputationGraph::VarDoesntExist v) |
| std::size_t | cg_add (ComputationGraph &g, const std::size_t a, const std::size_t b, const std::string &label) |
| std::size_t | cg_subtract (ComputationGraph &g, const std::size_t a, const std::size_t b, const std::string &label) |
| std::size_t | cg_negative (ComputationGraph &g, const std::size_t a, const std::string &label) |
| std::size_t | cg_mult (ComputationGraph &g, const std::size_t a, const std::size_t b, const std::string &label) |
| std::size_t | cg_div (ComputationGraph &g, const std::size_t a, const std::size_t b, const std::string &label) |
| std::size_t | cg_conditionalExpectation (ComputationGraph &g, const std::size_t regressand, const std::vector< std::size_t > ®ressor, const std::size_t filter, const std::string &label) |
| std::size_t | cg_indicatorEq (ComputationGraph &g, const std::size_t a, const std::size_t b, const std::string &label) |
| std::size_t | cg_indicatorGt (ComputationGraph &g, const std::size_t a, const std::size_t b, const std::string &label) |
| std::size_t | cg_indicatorGeq (ComputationGraph &g, const std::size_t a, const std::size_t b, const std::string &label) |
| std::size_t | cg_min (ComputationGraph &g, const std::size_t a, const std::size_t b, const std::string &label) |
| std::size_t | cg_max (ComputationGraph &g, const std::size_t a, const std::size_t b, const std::string &label) |
| std::size_t | cg_abs (ComputationGraph &g, const std::size_t a, const std::string &label) |
| std::size_t | cg_exp (ComputationGraph &g, const std::size_t a, const std::string &label) |
| std::size_t | cg_sqrt (ComputationGraph &g, const std::size_t a, const std::string &label) |
| std::size_t | cg_log (ComputationGraph &g, const std::size_t a, const std::string &label) |
| std::size_t | cg_pow (ComputationGraph &g, const std::size_t a, const std::size_t b, const std::string &label) |
| std::size_t | cg_normalCdf (ComputationGraph &g, const std::size_t a, const std::string &label) |
| std::size_t | cg_normalPdf (ComputationGraph &g, const std::size_t a, const std::string &label) |
| std::vector< ExternalRandomVariableOp > | getExternalRandomVariableOps () |
| std::vector< ExternalRandomVariableGrad > | getExternalRandomVariableGradients () |
| bool | isDeterministicAndZero (const ExternalRandomVariable &x) |
| template<class T > | |
| void | forwardDerivatives (const ComputationGraph &g, const std::vector< T > &values, std::vector< T > &derivatives, const std::vector< std::function< std::vector< T >(const std::vector< const T * > &, const T *)> > &grad, std::function< void(T &)> deleter={}, const std::vector< bool > &keepNodes={}, const std::size_t conditionalExpectationOpId=0, const std::function< T(const std::vector< const T * > &)> &conditionalExpectation={}) |
| template<class T > | |
| void | forwardEvaluation (const ComputationGraph &g, std::vector< T > &values, const std::vector< std::function< T(const std::vector< const T * > &)> > &ops, std::function< void(T &)> deleter={}, bool keepValuesForDerivatives=true, const std::vector< std::function< std::pair< std::vector< bool >, bool >(const std::size_t)> > &opRequiresNodesForDerivatives={}, const std::vector< bool > &keepNodes={}, const std::size_t startNode=0, const std::size_t endNode=ComputationGraph::nan, const bool redBlockReconstruction=false) |
| template<class T > | |
| std::string | ssaForm (const ComputationGraph &g, const std::vector< std::string > &opCodeLabels, const std::vector< T > &values, const std::vector< T > &values2) |
| template std::string | ssaForm (const ComputationGraph &g, const std::vector< std::string > &opCodeLabels, const std::vector< double > &values, const std::vector< double > &values2) |
| template std::string | ssaForm (const ComputationGraph &g, const std::vector< std::string > &opCodeLabels, const std::vector< RandomVariable > &values, const std::vector< RandomVariable > &values2) |
| set< Date > | pricingDates (const Date &s, const Date &e, const Calendar &pricingCalendar, bool excludeStart, bool includeEnd, bool useBusinessDays) |
| bool | isPricingDate (const Date &d, const Calendar &pricingCalendar, bool useBusinessDays) |
| std::set< QuantLib::Date > | pricingDates (const QuantLib::Date &start, const QuantLib::Date &end, const QuantLib::Calendar &pricingCalendar, bool excludeStart, bool includeEnd, bool useBusinessDays=true) |
| Get the set of valid pricing dates in a period. More... | |
| bool | isPricingDate (const QuantLib::Date &d, const QuantLib::Calendar &pricingCalendar, bool useBusinessDays=true) |
| Check if a date is a pricing date. More... | |
| void | setCouponPricer (const Leg &leg, const QuantLib::ext::shared_ptr< FloatingRateCouponPricer > &) |
| Set Coupon Pricer. More... | |
| void | setCouponPricers (const Leg &leg, const std::vector< QuantLib::ext::shared_ptr< FloatingRateCouponPricer > > &) |
| Set Coupon Pricers. More... | |
| std::ostream & | operator<< (std::ostream &out, EquityReturnType t) |
| EquityReturnType | parseEquityReturnType (const std::string &str) |
| Leg | makeFloatingAnnuityNominalLeg (const Leg &floatingAnnuityLeg) |
| QuantLib::ext::shared_ptr< CashFlow > | unpackIndexedCouponOrCashFlow (const QuantLib::ext::shared_ptr< CashFlow > &c) |
| QuantLib::ext::shared_ptr< Coupon > | unpackIndexedCoupon (const QuantLib::ext::shared_ptr< Coupon > &c) |
| QuantLib::ext::shared_ptr< CashFlow > | unpackIndexWrappedCashFlow (const QuantLib::ext::shared_ptr< CashFlow > &c) |
| Real | getIndexedCouponOrCashFlowMultiplier (const QuantLib::ext::shared_ptr< CashFlow > &c) |
| std::vector< std::tuple< Date, QuantLib::ext::shared_ptr< Index >, Real > > | getIndexedCouponOrCashFlowFixingDetails (const QuantLib::ext::shared_ptr< CashFlow > &c) |
| Real | jyExpectedIndexRatio (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, Size index, Time S, Time T, bool indexIsInterpolated) |
| QuantLib::Real | jyExpectedIndexRatio (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, QuantLib::Size index, QuantLib::Time S, QuantLib::Time T, bool indexIsInterpolated) |
| std::ostream & | operator<< (std::ostream &os, ConfigurableCurrency::Type ccytype) |
| bool | isMetal (const Currency ¤cy) |
| bool | isMetal (const QuantLib::Currency ¤cy) |
Check if a given currency is a metal. More... | |
| void | applyDividends (const std::set< Dividend > ÷nds) |
| Utility to write a set of dividends in the dividend manager's history. More... | |
| bool | operator< (const Dividend &d1, const Dividend &d2) |
| bool | operator== (const Dividend &d1, const Dividend &d) |
| Compare dividends. More... | |
| std::ostream & | operator<< (std::ostream &out, Dividend dividend) |
| Real | sum (const Cash &c, const Cash &d) |
| Real | sumDiscounted (const Cash &c, const Cash &d) |
| std::ostream & | operator<< (std::ostream &out, const CashFlowResults &t) |
| CashFlowResults | standardCashFlowResults (const QuantLib::ext::shared_ptr< CashFlow > &c, const Real multiplier, const std::string &type, const Size legNo, const Currency ¤cy, const Handle< YieldTermStructure > &discountCurve) |
| CashFlowResults | populateCashFlowResultsFromCashflow (const QuantLib::ext::shared_ptr< QuantLib::CashFlow > &c, const QuantLib::Real multiplier, const QuantLib::Size legNo, const QuantLib::Currency ¤cy) |
| CashFlowResults | standardCashFlowResults (const QuantLib::ext::shared_ptr< QuantLib::CashFlow > &c, const QuantLib::Real multiplier=1.0, const std::string &type="Unspecified", const QuantLib::Size legNo=0, const QuantLib::Currency ¤cy=QuantLib::Currency(), const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=QuantLib::Handle< QuantLib::YieldTermStructure >()) |
| MakeCreditDefaultSwap::operator QuantLib::ext::shared_ptr< QuantExt::CreditDefaultSwap > () const | |
| Leg | getOisCapFloorUnderlying (const Leg &oisCapFloor) |
| get the underlying ON coupons from an OIS cf More... | |
| std::vector< std::pair< Real, Real > > | getOisCapFloorStrikes (const Leg &oisCapFloor) |
| get the (cap, floor) - strikes from an OIS cf More... | |
| QuantLib::SparseMatrix | inverse (QuantLib::SparseMatrix m) |
| Matrix | blockMatrixInverse (const Matrix &A, const std::vector< Size > &blockIndices) |
| QuantLib::SparseMatrix | blockMatrixInverse (const QuantLib::SparseMatrix &A, const std::vector< Size > &blockIndices) |
| Real | modifiedMaxNorm (const QuantLib::SparseMatrix &A) |
| QuantLib::Matrix | blockMatrixInverse (const QuantLib::Matrix &A, const std::vector< QuantLib::Size > &blockIndices) |
| QuantLib::SparseMatrix | blockMatrixInverse (const QuantLib::SparseMatrix &A, const std::vector< QuantLib::Size > &blockIndices) |
| BucketedDistribution | operator+ (const BucketedDistribution &lhs, const BucketedDistribution &rhs) |
| Sum probabilities in two bucketed distributions with equal buckets. More... | |
| BucketedDistribution | operator* (Real factor, const BucketedDistribution &rhs) |
| BucketedDistribution | operator* (const BucketedDistribution &lhs, QuantLib::Real factor) |
| BucketedDistribution | operator* (QuantLib::Real factor, const BucketedDistribution &rhs) |
Multiply probabilities in bucketed distribution by factor. More... | |
| CompiledFormula | operator+ (CompiledFormula x, const CompiledFormula &y) |
| CompiledFormula | operator- (CompiledFormula x, const CompiledFormula &y) |
| CompiledFormula | operator* (CompiledFormula x, const CompiledFormula &y) |
| CompiledFormula | operator/ (CompiledFormula x, const CompiledFormula &y) |
| CompiledFormula | unaryOp (CompiledFormula x, CompiledFormula::Operator op) |
| CompiledFormula | binaryOp (CompiledFormula x, const CompiledFormula &y, CompiledFormula::Operator op) |
| CompiledFormula | gtZero (CompiledFormula x) |
| CompiledFormula | geqZero (CompiledFormula x) |
| CompiledFormula | abs (CompiledFormula x) |
| CompiledFormula | exp (CompiledFormula x) |
| CompiledFormula | log (CompiledFormula x) |
| CompiledFormula | max (CompiledFormula x, const CompiledFormula &y) |
| CompiledFormula | min (CompiledFormula x, const CompiledFormula &y) |
| CompiledFormula | pow (CompiledFormula x, const CompiledFormula &y) |
| template<class T > | |
| T * | createComputeFrameworkCreator () |
| Real | deltaVar (const Matrix &omega, const Array &delta, const Real p, const CovarianceSalvage &sal=NoCovarianceSalvage()) |
| function that computes a delta VaR More... | |
| Real | deltaGammaVarNormal (const Matrix &omega, const Array &delta, const Matrix &gamma, const Real p, const CovarianceSalvage &sal=NoCovarianceSalvage()) |
| function that computes a delta-gamma normal VaR More... | |
| Real | deltaGammaVarCornishFisher (const Matrix &omega, const Array &delta, const Matrix &gamma, const Real p, const CovarianceSalvage &sal) |
| Real | deltaGammaVarSaddlepoint (const Matrix &omega, const Array &delta, const Matrix &gamma, const Real p, const CovarianceSalvage &sal) |
| template<class RNG > | |
| Real | deltaGammaVarMc (const Matrix &omega, const Array &delta, const Matrix &gamma, const Real p, const Size paths, const Size seed, const CovarianceSalvage &sal=NoCovarianceSalvage()) |
| function that computes a delta-gamma VaR using Monte Carlo (single quantile) More... | |
| template<class RNG > | |
| std::vector< Real > | deltaGammaVarMc (const Matrix &omega, const Array &delta, const Matrix &gamma, const std::vector< Real > &p, const Size paths, const Size seed, const CovarianceSalvage &sal=NoCovarianceSalvage()) |
| function that computes a delta-gamma VaR using Monte Carlo (multiple quantiles) More... | |
| bool | operator< (const Distributionpair &p1, const Distributionpair &p2) |
| bool | operator> (const Distributionpair &p1, const Distributionpair &p2) |
| void | fillIncompleteMatrix (Matrix &mat, bool interpRows, Real blank) |
| function that fills a matrix More... | |
| template<class I1 , class I2 > | |
| Real | kendallRankCorrelation (I1 begin1, I1 end1, I2 begin2) |
| bool | supports_Logm () |
| bool | supports_Expm () |
| QuantLib::Matrix | Logm (const QuantLib::Matrix &m) |
| QuantLib::Matrix | Expm (const QuantLib::Matrix &m) |
| bool | operator== (const Filter &a, const Filter &b) |
| bool | operator!= (const Filter &a, const Filter &b) |
| Filter | operator&& (Filter x, const Filter &y) |
| Filter | operator|| (Filter x, const Filter &y) |
| Filter | equal (Filter x, const Filter &y) |
| Filter | operator! (Filter x) |
| void | checkTimeConsistency (const RandomVariable &x, const RandomVariable &y) |
| bool | operator== (const RandomVariable &a, const RandomVariable &b) |
| bool | operator!= (const RandomVariable &a, const RandomVariable b) |
| RandomVariable | operator+ (RandomVariable x, const RandomVariable &y) |
| RandomVariable | operator- (RandomVariable x, const RandomVariable &y) |
| RandomVariable | operator* (RandomVariable x, const RandomVariable &y) |
| RandomVariable | operator/ (RandomVariable x, const RandomVariable &y) |
| RandomVariable | max (RandomVariable x, const RandomVariable &y) |
| RandomVariable | min (RandomVariable x, const RandomVariable &y) |
| RandomVariable | pow (RandomVariable x, const RandomVariable &y) |
| RandomVariable | operator- (RandomVariable x) |
| RandomVariable | abs (RandomVariable x) |
| RandomVariable | exp (RandomVariable x) |
| RandomVariable | log (RandomVariable x) |
| RandomVariable | sqrt (RandomVariable x) |
| RandomVariable | sin (RandomVariable x) |
| RandomVariable | cos (RandomVariable x) |
| RandomVariable | normalCdf (RandomVariable x) |
| RandomVariable | normalPdf (RandomVariable x) |
| Filter | close_enough (const RandomVariable &x, const RandomVariable &y) |
| bool | close_enough_all (const RandomVariable &x, const RandomVariable &y) |
| RandomVariable | conditionalResult (const Filter &f, RandomVariable x, const RandomVariable &y) |
| RandomVariable | indicatorEq (RandomVariable x, const RandomVariable &y, const Real trueVal, const Real falseVal) |
| RandomVariable | indicatorGt (RandomVariable x, const RandomVariable &y, const Real trueVal, const Real falseVal, const Real eps) |
| RandomVariable | indicatorGeq (RandomVariable x, const RandomVariable &y, const Real trueVal, const Real falseVal, const Real eps) |
| Filter | operator< (const RandomVariable &x, const RandomVariable &y) |
| Filter | operator<= (const RandomVariable &x, const RandomVariable &y) |
| Filter | operator> (const RandomVariable &x, const RandomVariable &y) |
| Filter | operator>= (const RandomVariable &x, const RandomVariable &y) |
| RandomVariable | applyFilter (RandomVariable x, const Filter &f) |
| RandomVariable | applyInverseFilter (RandomVariable x, const Filter &f) |
| Matrix | pcaCoordinateTransform (const std::vector< const RandomVariable * > ®ressor, const Real varianceCutoff) |
| std::vector< RandomVariable > | applyCoordinateTransform (const std::vector< const RandomVariable * > ®ressor, const Matrix &transform) |
| std::vector< const RandomVariable * > | vec2vecptr (const std::vector< RandomVariable > &values) |
| Array | regressionCoefficients (RandomVariable r, std::vector< const RandomVariable * > regressor, const std::vector< std::function< RandomVariable(const std::vector< const RandomVariable * > &)> > &basisFn, const Filter &filter, const RandomVariableRegressionMethod regressionMethod, const std::string &debugLabel) |
| RandomVariable | conditionalExpectation (const std::vector< const RandomVariable * > ®ressor, const std::vector< std::function< RandomVariable(const std::vector< const RandomVariable * > &)> > &basisFn, const Array &coefficients) |
| RandomVariable | conditionalExpectation (const RandomVariable &r, const std::vector< const RandomVariable * > ®ressor, const std::vector< std::function< RandomVariable(const std::vector< const RandomVariable * > &)> > &basisFn, const Filter &filter, const RandomVariableRegressionMethod regressionMethod) |
| RandomVariable | expectation (const RandomVariable &r) |
| RandomVariable | variance (const RandomVariable &r) |
| RandomVariable | covariance (const RandomVariable &r, const RandomVariable &s) |
| RandomVariable | black (const RandomVariable &omega, const RandomVariable &t, const RandomVariable &strike, const RandomVariable &forward, const RandomVariable &impliedVol) |
| RandomVariable | indicatorDerivative (const RandomVariable &x, const double eps) |
| std::vector< std::function< RandomVariable(const std::vector< const RandomVariable * > &)> > | multiPathBasisSystem (Size dim, Size order, QuantLib::LsmBasisSystem::PolynomialType type, Size basisSystemSizeBound) |
| bool | operator!= (const RandomVariable &a, const RandomVariable &b) |
| bool | isDeterministicAndZero (const RandomVariable &x) |
| std::ostream & | operator<< (std::ostream &out, const randomvariable_output_size &r) |
| std::ostream & | operator<< (std::ostream &out, const randomvariable_output_pattern &p) |
| std::ostream & | operator<< (std::ostream &out, const Filter &f) |
| std::ostream & | operator<< (std::ostream &out, const RandomVariable &r) |
| std::vector< std::string > | getRandomVariableOpLabels () |
| std::vector< RandomVariableOp > | getRandomVariableOps (const Size size, const Size regressionOrder, QuantLib::LsmBasisSystem::PolynomialType polynomType, const double eps, QuantLib::Real regressionVarianceCutoff) |
| std::vector< RandomVariableGrad > | getRandomVariableGradients (const Size size, const Size regressionOrder, const QuantLib::LsmBasisSystem::PolynomialType polynomType, const double eps, const Real regressionVarianceCutoff) |
| std::vector< RandomVariableOpNodeRequirements > | getRandomVariableOpNodeRequirements () |
| std::vector< RandomVariableGrad > | getRandomVariableGradients (const Size size, const Size regressionOrder=2, const QuantLib::LsmBasisSystem::PolynomialType polynomType=QuantLib::LsmBasisSystem::Monomial, const double eps=0.2, QuantLib::Real regressionVarianceCutoff=Null< Real >()) |
| std::vector< Size > | stopLightBoundsTabulated (const std::vector< Real > &stopLightP, const Size observations, const Size numberOfDays, const Real p) |
| std::vector< Size > | stopLightBounds (const std::vector< Real > &stopLightP, const Size observations, const Size numberOfDays, const Real p, const Size numberOfPortfolios, const Matrix &correlation, const Size samples, const Size seed, const SalvagingAlgorithm::Type salvaging, const Size exceptions, Real *cumProb) |
| std::vector< Size > | stopLightBounds (const std::vector< Real > &stopLightP, const Size observations, const Real p, const Size exceptions, Real *cumProb) |
| std::vector< std::pair< Size, std::vector< Size > > > | generateStopLightBoundTable (const std::vector< Size > &observations, const std::vector< Real > &stopLightP, const Size samples, const Size seed, const Size numberOfDays, const Real p) |
| Real | Trace (const Matrix &m) |
| void | interpolateVariatesWithBrownianBridge (const std::vector< QuantLib::Real > ×, std::vector< std::vector< QuantExt::RandomVariable > > &variates, const Size seed) |
| QuantLib::ext::shared_ptr< MultiPathGeneratorBase > | makeMultiPathGenerator (const SequenceType s, const QuantLib::ext::shared_ptr< StochasticProcess > &process, const TimeGrid &timeGrid, const BigNatural seed, const SobolBrownianGenerator::Ordering ordering=SobolBrownianGenerator::Steps, const SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7) |
| Make function for path generators. More... | |
| std::ostream & | operator<< (std::ostream &out, const SequenceType s) |
| Output function. More... | |
| QuantLib::ext::shared_ptr< MultiPathVariateGeneratorBase > | makeMultiPathVariateGenerator (const SequenceType s, const Size dimension, const Size timeSteps, const BigNatural seed, const SobolBrownianGenerator::Ordering ordering, const SobolRsg::DirectionIntegers directionIntegers) |
| template<class CarrMadanMarginalProbabilityClass > | |
| std::string | arbitrageAsString (const CarrMadanMarginalProbabilityClass &cm) |
| template std::string | arbitrageAsString (const CarrMadanMarginalProbability &cm) |
| template std::string | arbitrageAsString (const CarrMadanMarginalProbabilitySafeStrikes &cm) |
| std::string | arbitrageAsString (const CarrMadanSurface &cm) |
| std::ostream & | operator<< (std::ostream &out, const CrossAssetModel::AssetType &type) |
| Handle< ZeroInflationTermStructure > | inflationTermStructure (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, Size index) |
| QuantLib::Handle< QuantLib::ZeroInflationTermStructure > | inflationTermStructure (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, QuantLib::Size index) |
| Utility function to return a handle to the inflation term structure given the inflation index. More... | |
| Real | exactBachelierImpliedVolatility (Option::Type optionType, Real strike, Real forward, Real tte, Real bachelierPrice, Real discount) |
| Real | inflationGrowth (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, Size index, Time S, Time T, Real irState, Real rrState, bool indexIsInterpolated) |
| QuantLib::Real | inflationGrowth (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, QuantLib::Size index, QuantLib::Time S, QuantLib::Time T, QuantLib::Real irState, QuantLib::Real rrState, bool indexIsInterpolated) |
| std::map< std::string, boost::any > | getAdditionalResultsMap (const LgmCalibrationInfo &info) |
| Real | normalSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real nu, Real rho) |
| Real | normalSabrAlphaFromAtmVol (Rate forward, Time expiryTime, Real atmVol, Real nu, Real rho) |
| Real | normalFreeBoundarySabrPrice (Rate strike, Rate forward, Time expiryTime, Real alpha, Real nu, Real rho) |
| Real | normalFreeBoundarySabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real nu, Real rho) |
| QuantLib::ext::shared_ptr< CrossAssetModel > | getProjectedCrossAssetModel (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, const std::vector< std::pair< CrossAssetModel::AssetType, Size > > &selectedComponents, std::vector< Size > &projectedStateProcessIndices) |
| std::vector< Size > | getStateProcessProjection (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, const QuantLib::ext::shared_ptr< CrossAssetModel > &projectedModel) |
| void | sanitiseTransitionMatrix (Matrix &m) |
| void | checkTransitionMatrix (const Matrix &t) |
| check if the matrix is a transition matrix, i.e. row sums are 1 and entries are non-negative More... | |
| void | checkGeneratorMatrix (const Matrix &g) |
| check if the matrix is a generator matirx, i.e. row sums are 0 and non-diagonal elements are non-negative More... | |
| Matrix | generator (const Matrix &t, const Real horizon) |
| template<class I > | |
| std::vector< Real > | creditStateBoundaries (const I &begin, const I &end) |
| compute N(0,1) credit state boundaries More... | |
| void | print (Distribution &dist, std::string fileName) |
| Real | getCallPriceAmount (const FdConvertibleBondEvents::CallData &cd, Real notional, Real accruals) |
| Real | interpolateValueFromPlanes (const Real conversionRatio, const std::vector< Array > &value, const std::vector< Real > &stochasticConversionRatios, const Size j) |
| RandomVariable | getRebatePv (const LgmVectorised &lgm, const Real t, const RandomVariable &x, const Handle< YieldTermStructure > &discountCurve, const QuantLib::ext::shared_ptr< RebatedExercise > &exercise, const Date &d) |
| Real | getStrikeFromDelta (Option::Type optionType, Real delta, DeltaVolQuote::DeltaType dt, Real spot, Real domDiscount, Real forDiscount, QuantLib::ext::shared_ptr< BlackVolTermStructure > vol, Real t, Real accuracy, Size maxIterations) |
| Real | getAtmStrike (DeltaVolQuote::DeltaType dt, DeltaVolQuote::AtmType at, Real spot, Real domDiscount, Real forDiscount, QuantLib::ext::shared_ptr< BlackVolTermStructure > vol, Real t, Real accuracy, Size maxIterations) |
| ostream & | operator<< (std::ostream &out, CapFloorHelper::Type type) |
| In order to convert CapFloorHelper::Type to string. More... | |
| ostream & | operator<< (std::ostream &out, CapFloorHelper::QuoteType type) |
| In order to convert CapFloorHelper::QuoteType to string. More... | |
| ostream & | operator<< (std::ostream &out, CapFloorTermVolSurfaceExact::InterpolationMethod method) |
| In order to convert CapFloorTermVolSurface::InterpolationMethod to string. More... | |
| std::ostream & | operator<< (std::ostream &out, const Stickyness &t) |
| std::ostream & | operator<< (std::ostream &out, const ReactionToTimeDecay &t) |
| std::ostream & | operator<< (std::ostream &out, const YieldCurveRollDown &t) |
| Date | getImmDate (Date asof, Size i) |
| bool | operator< (const ParametricVolatility::MarketSmile &s, const ParametricVolatility::MarketSmile &t) |
| Real | getOisAtmLevel (const QuantLib::ext::shared_ptr< OvernightIndex > &on, const Date &fixingDate, const Period &rateComputationPeriod) |
| Real | getBMAAtmLevel (const QuantLib::ext::shared_ptr< BMAIndex > &bma, const Date &fixingDate, const Period &rateComputationPeriod) |
| QuantLib::ext::shared_ptr< CashFlow > | makeCommodityCashflowForBasisFuture (const QuantLib::Date &start, const QuantLib::Date &end, const QuantLib::ext::shared_ptr< CommodityIndex > &baseIndex, const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &baseFec, bool baseIsAveraging, const QuantLib::Date &paymentDate) |
| Make a commodity indexed cashflow. More... | |
| Time | inflationTime (const Date &date, const QuantLib::ext::shared_ptr< InflationTermStructure > &inflationTs, bool indexIsInterpolated, const DayCounter &dayCounter) |
| Real | inflationGrowth (const Handle< ZeroInflationTermStructure > &ts, Time t, const DayCounter &dc, bool indexIsInterpolated) |
| Real | inflationGrowth (const Handle< ZeroInflationTermStructure > &ts, Time t, bool indexIsInterpolated) |
| Real | inflationLinkedBondQuoteFactor (const QuantLib::ext::shared_ptr< QuantLib::Bond > &bond) |
| void | addInflationIndexToMap (std::map< std::tuple< std::string, QuantLib::CPI::InterpolationType, QuantLib::Frequency, QuantLib::Period >, QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > > &inflationIndices, const QuantLib::ext::shared_ptr< QuantLib::Index > &index, QuantLib::CPI::InterpolationType interpolation, Frequency couponFrequency, Period observationLag) |
| std::map< std::tuple< std::string, QuantLib::CPI::InterpolationType, QuantLib::Frequency, QuantLib::Period >, QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > > | extractAllInflationUnderlyingFromBond (const QuantLib::ext::shared_ptr< QuantLib::Bond > &bond) |
| QuantLib::Time | inflationTime (const QuantLib::Date &date, const QuantLib::ext::shared_ptr< QuantLib::InflationTermStructure > &inflationTs, bool indexIsInterpolated, const QuantLib::DayCounter &dayCounter=QuantLib::DayCounter()) |
| QuantLib::Real | inflationGrowth (const QuantLib::Handle< QuantLib::ZeroInflationTermStructure > &ts, QuantLib::Time t, const QuantLib::DayCounter &dc, bool indexIsInterpolated) |
| QuantLib::Real | inflationGrowth (const QuantLib::Handle< QuantLib::ZeroInflationTermStructure > &ts, QuantLib::Time t, bool indexIsInterpolated) |
| template<typename T > | |
| std::tuple< Size, Size, Real > | interpolationIndices (const T &x, const Real v) |
| Real | periodToTime (const Period &p) |
| QuantLib::Period | implyIndexTerm (const Date &startDate, const Date &endDate) |
| QuantLib::Date | lowerDate (const Real t, const QuantLib::Date &refDate, const QuantLib::DayCounter &dc) |
| QuantLib::Period | tenorFromLength (const QuantLib::Real length) |
| QuantLib::Integer | daylightSavingCorrection (const std::string &location, const QuantLib::Date &start, const QuantLib::Date &end) |
| QuantLib::Real | periodToTime (const QuantLib::Period &p) |
| QuantLib::Period | implyIndexTerm (const QuantLib::Date &startDate, const QuantLib::Date &endDate) |
| QuantLib::Date | lowerDate (const QuantLib::Real t, const QuantLib::Date &refDate, const QuantLib::DayCounter &dc) |
| using ExternalRandomVariableOp = std::function<ExternalRandomVariable(const std::vector<const ExternalRandomVariable*>&)> |
Definition at line 54 of file external_randomvariable_ops.hpp.
| using ExternalRandomVariableGrad = std::function<std::vector<ExternalRandomVariable>( const std::vector<const ExternalRandomVariable*>&, const ExternalRandomVariable*)> |
Definition at line 59 of file external_randomvariable_ops.hpp.
| using RandomVariableOp = std::function<RandomVariable(const std::vector<const RandomVariable*>&)> |
Definition at line 36 of file randomvariable_ops.hpp.
| using RandomVariableGrad = std::function<std::vector<RandomVariable>(const std::vector<const RandomVariable*>&, const RandomVariable*)> |
Definition at line 46 of file randomvariable_ops.hpp.
| using RandomVariableOpNodeRequirements = std::function<std::pair<std::vector<bool>, bool>(const std::size_t)> |
Definition at line 57 of file randomvariable_ops.hpp.
| typedef CirppConstantWithFellerParametrization<YieldTermStructure> IrCirppConstantWithFellerParametrization |
Definition at line 159 of file cirppconstantfellerparametrization.hpp.
| typedef CirppConstantWithFellerParametrization<DefaultProbabilityTermStructure> CrCirppConstantWithFellerParametrization |
Definition at line 160 of file cirppconstantfellerparametrization.hpp.
| typedef CirppConstantParametrization<YieldTermStructure> IrCirppConstantParametrization |
Definition at line 116 of file cirppconstantparametrization.hpp.
| typedef CirppConstantParametrization<DefaultProbabilityTermStructure> CrCirppConstantParametrization |
Definition at line 117 of file cirppconstantparametrization.hpp.
| typedef CirppParametrization<DefaultProbabilityTermStructure> CrCirppParametrization |
Definition at line 61 of file cirppparametrization.hpp.
| typedef CirppParametrization<YieldTermStructure> IrCirppParametrization |
Definition at line 62 of file cirppparametrization.hpp.
| typedef ConstantLossLatentmodel<GaussianCopulaPolicy> GaussianConstantLossLM |
Definition at line 83 of file constantlosslatentmodel.hpp.
| typedef ConstantLossLatentmodel<TCopulaPolicy> TConstantLossLM |
Definition at line 84 of file constantlosslatentmodel.hpp.
| typedef Lgm1fParametrization<DefaultProbabilityTermStructure> CrLgm1fParametrization |
Definition at line 39 of file crlgm1fparametrization.hpp.
| typedef Lgm1fConstantParametrization<DefaultProbabilityTermStructure> CrLgm1fConstantParametrization |
Definition at line 41 of file crlgm1fparametrization.hpp.
| typedef Lgm1fPiecewiseConstantHullWhiteAdaptor<DefaultProbabilityTermStructure> CrLgm1fPiecewiseConstantHullWhiteADaptor |
Definition at line 44 of file crlgm1fparametrization.hpp.
| typedef Lgm1fPiecewiseConstantParametrization<DefaultProbabilityTermStructure> CrLgm1fPiecewiseConstantParametrization |
Definition at line 46 of file crlgm1fparametrization.hpp.
| typedef Lgm1fPiecewiseLinearParametrization<DefaultProbabilityTermStructure> CrLgm1fPiecewiseLinearParametrization |
Definition at line 48 of file crlgm1fparametrization.hpp.
| typedef DefaultLatentModel<GaussianCopulaPolicy> GaussianDefProbLM |
Definition at line 285 of file defaultprobabilitylatentmodel.hpp.
| typedef DefaultLatentModel<TCopulaPolicy> TDefProbLM |
Definition at line 286 of file defaultprobabilitylatentmodel.hpp.
| typedef ExtendedConstantLossLatentModel<GaussianCopulaPolicy> ExtendedGaussianConstantLossLM |
Definition at line 111 of file extendedconstantlosslatentmodel.hpp.
| typedef HomogeneousPoolLossModel<GaussianCopulaPolicy> HomogGaussPoolLossModel |
Definition at line 113 of file homogeneouspooldef.hpp.
| typedef HomogeneousPoolLossModel<TCopulaPolicy> HomogTPoolLossModel |
Definition at line 114 of file homogeneouspooldef.hpp.
| typedef HwConstantParametrization<YieldTermStructure> IrHwConstantParametrization |
Definition at line 102 of file hwconstantparametrization.hpp.
| typedef HwParametrization<YieldTermStructure> IrHwParametrization |
Definition at line 91 of file hwparametrization.hpp.
| typedef Lgm1fParametrization<ZeroInflationTermStructure> InfDkParametrization |
Definition at line 38 of file infdkparametrization.hpp.
| typedef Lgm1fConstantParametrization<ZeroInflationTermStructure> InfDkConstantParametrization |
Definition at line 40 of file infdkparametrization.hpp.
| typedef Lgm1fPiecewiseConstantHullWhiteAdaptor<ZeroInflationTermStructure> InfDkPiecewiseConstantHullWhiteAdaptor |
Definition at line 42 of file infdkparametrization.hpp.
| typedef Lgm1fPiecewiseConstantParametrization<ZeroInflationTermStructure> InfDkPiecewiseConstantParametrization |
Definition at line 44 of file infdkparametrization.hpp.
| typedef Lgm1fPiecewiseLinearParametrization<ZeroInflationTermStructure> InfDkPiecewiseLinearParametrization |
Definition at line 46 of file infdkparametrization.hpp.
| typedef InhomogeneousPoolLossModel<GaussianCopulaPolicy> IHGaussPoolLossModel |
Definition at line 121 of file inhomogeneouspooldef.hpp.
| typedef InhomogeneousPoolLossModel<TCopulaPolicy> IHStudentPoolLossModel |
Definition at line 122 of file inhomogeneouspooldef.hpp.
| typedef Lgm1fConstantParametrization<YieldTermStructure> IrLgm1fConstantParametrization |
Definition at line 116 of file irlgm1fconstantparametrization.hpp.
| typedef Lgm1fParametrization<YieldTermStructure> IrLgm1fParametrization |
Definition at line 137 of file irlgm1fparametrization.hpp.
| typedef Lgm1fPiecewiseConstantHullWhiteAdaptor<YieldTermStructure> IrLgm1fPiecewiseConstantHullWhiteAdaptor |
Definition at line 179 of file irlgm1fpiecewiseconstanthullwhiteadaptor.hpp.
| typedef Lgm1fPiecewiseConstantParametrization<YieldTermStructure> IrLgm1fPiecewiseConstantParametrization |
Definition at line 172 of file irlgm1fpiecewiseconstantparametrization.hpp.
| typedef Lgm1fPiecewiseLinearParametrization<YieldTermStructure> IrLgm1fPiecewiseLinearParametrization |
Definition at line 177 of file irlgm1fpiecewiselinearparametrization.hpp.
| typedef LinearGaussMarkovModel LGM |
| typedef PoolLossModel<GaussianCopulaPolicy> GaussPoolLossModel |
Definition at line 105 of file poollossmodel.hpp.
| typedef PoolLossModel<TCopulaPolicy> StudentPoolLossModel |
Definition at line 106 of file poollossmodel.hpp.
| typedef QuantLib::BootstrapHelper< PriceTermStructure > PriceHelper |
Definition at line 34 of file averagefuturepricehelper.hpp.
| typedef InterpolatedBaseCorrelationTermStructure<QuantLib::Bilinear> BilinearBaseCorrelationCurve |
Definition at line 178 of file basecorrelationstructure.hpp.
| typedef RelativeDateBootstrapHelper<YieldTermStructure> RelativeDateRateHelper |
Definition at line 34 of file immfraratehelper.hpp.
| typedef InterpolatedCorrelationCurve<BackwardFlat> BackwardFlatCorrelationCurve |
Definition at line 141 of file interpolatedcorrelationcurve.hpp.
| typedef InterpolatedCorrelationCurve<Linear> PiecewiseLinearCorrelationCurve |
Definition at line 142 of file interpolatedcorrelationcurve.hpp.
| typedef std::vector<std::vector<QuantLib::ext::shared_ptr<QuantLib::CapFloor> > > CapFloorMatrix |
Definition at line 37 of file optionletstripper1.hpp.
|
strong |
Enumeration indicating the frequency associated with a commodity quantity.
| Enumerator | |
|---|---|
| PerCalculationPeriod | |
| PerCalendarDay | |
| PerPricingDay | |
| PerHour | |
| PerHourAndCalendarDay | |
Definition at line 39 of file commoditycashflow.hpp.
|
strong |
| Enumerator | |
|---|---|
| Price | |
| Total | |
| Absolute | |
| Dividend | |
Definition at line 44 of file equitycoupon.hpp.
|
strong |
| Enumerator | |
|---|---|
| QR | |
| SVD | |
Definition at line 304 of file randomvariable.hpp.
| enum SequenceType |
| Enumerator | |
|---|---|
| MersenneTwister | |
| MersenneTwisterAntithetic | |
| Sobol | |
| Burley2020Sobol | |
| SobolBrownianBridge | |
| Burley2020SobolBrownianBridge | |
Definition at line 37 of file multipathgeneratorbase.hpp.
| enum PriceQuotePreference |
| void backwardDerivatives | ( | const ComputationGraph & | g, |
| std::vector< T > & | values, | ||
| std::vector< T > & | derivatives, | ||
| const std::vector< std::function< std::vector< T >(const std::vector< const T * > &, const T *)> | , | ||
| & | grad, | ||
| std::function< void(T &)> | deleter = {}, |
||
| const std::vector< bool > & | keepNodes = {}, |
||
| const std::vector< std::function< T(const std::vector< const T * > &)> | , | ||
| & | fwdOps = {}, |
||
| const std::vector< std::function< std::pair< std::vector< bool >, bool >(const std::size_t)> > & | fwdOpRequiresNodesForDerivatives = {}, |
||
| const std::vector< bool > & | fwdKeepNodes = {}, |
||
| const std::size_t | conditionalExpectationOpId = 0, |
||
| const std::function< T(const std::vector< const T * > &)> & | conditionalExpectation = {} |
||
| ) |
Definition at line 34 of file backwardderivatives.hpp.
Here is the caller graph for this function:| std::size_t cg_const | ( | ComputationGraph & | g, |
| const double | value | ||
| ) |
Definition at line 187 of file computationgraph.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| std::size_t cg_insert | ( | ComputationGraph & | g, |
| const std::string & | label | ||
| ) |
Definition at line 189 of file computationgraph.cpp.
Here is the call graph for this function:| std::size_t cg_var | ( | ComputationGraph & | g, |
| const std::string & | name, | ||
| const ComputationGraph::VarDoesntExist | v | ||
| ) |
Definition at line 191 of file computationgraph.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| std::size_t cg_add | ( | ComputationGraph & | g, |
| const std::size_t | a, | ||
| const std::size_t | b, | ||
| const std::string & | label | ||
| ) |
Definition at line 195 of file computationgraph.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| std::size_t cg_subtract | ( | ComputationGraph & | g, |
| const std::size_t | a, | ||
| const std::size_t | b, | ||
| const std::string & | label | ||
| ) |
Definition at line 205 of file computationgraph.cpp.
Here is the call graph for this function:| std::size_t cg_negative | ( | ComputationGraph & | g, |
| const std::size_t | a, | ||
| const std::string & | label | ||
| ) |
Definition at line 217 of file computationgraph.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| std::size_t cg_mult | ( | ComputationGraph & | g, |
| const std::size_t | a, | ||
| const std::size_t | b, | ||
| const std::string & | label | ||
| ) |
Definition at line 223 of file computationgraph.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| std::size_t cg_div | ( | ComputationGraph & | g, |
| const std::size_t | a, | ||
| const std::size_t | b, | ||
| const std::string & | label | ||
| ) |
Definition at line 236 of file computationgraph.cpp.
Here is the call graph for this function:| std::size_t cg_conditionalExpectation | ( | ComputationGraph & | g, |
| const std::size_t | regressand, | ||
| const std::vector< std::size_t > & | regressor, | ||
| const std::size_t | filter, | ||
| const std::string & | label | ||
| ) |
Definition at line 248 of file computationgraph.cpp.
Here is the call graph for this function:| std::size_t cg_indicatorEq | ( | ComputationGraph & | g, |
| const std::size_t | a, | ||
| const std::size_t | b, | ||
| const std::string & | label | ||
| ) |
Definition at line 260 of file computationgraph.cpp.
Here is the call graph for this function:| std::size_t cg_indicatorGt | ( | ComputationGraph & | g, |
| const std::size_t | a, | ||
| const std::size_t | b, | ||
| const std::string & | label | ||
| ) |
Definition at line 266 of file computationgraph.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| std::size_t cg_indicatorGeq | ( | ComputationGraph & | g, |
| const std::size_t | a, | ||
| const std::size_t | b, | ||
| const std::string & | label | ||
| ) |
Definition at line 275 of file computationgraph.cpp.
Here is the call graph for this function:| std::size_t cg_min | ( | ComputationGraph & | g, |
| const std::size_t | a, | ||
| const std::size_t | b, | ||
| const std::string & | label | ||
| ) |
Definition at line 284 of file computationgraph.cpp.
Here is the call graph for this function:| std::size_t cg_max | ( | ComputationGraph & | g, |
| const std::size_t | a, | ||
| const std::size_t | b, | ||
| const std::string & | label | ||
| ) |
Definition at line 290 of file computationgraph.cpp.
Here is the call graph for this function:| std::size_t cg_abs | ( | ComputationGraph & | g, |
| const std::size_t | a, | ||
| const std::string & | label | ||
| ) |
Definition at line 296 of file computationgraph.cpp.
Here is the call graph for this function:| std::size_t cg_exp | ( | ComputationGraph & | g, |
| const std::size_t | a, | ||
| const std::string & | label | ||
| ) |
Definition at line 302 of file computationgraph.cpp.
Here is the call graph for this function:| std::size_t cg_sqrt | ( | ComputationGraph & | g, |
| const std::size_t | a, | ||
| const std::string & | label | ||
| ) |
Definition at line 308 of file computationgraph.cpp.
Here is the call graph for this function:| std::size_t cg_log | ( | ComputationGraph & | g, |
| const std::size_t | a, | ||
| const std::string & | label | ||
| ) |
Definition at line 314 of file computationgraph.cpp.
Here is the call graph for this function:| std::size_t cg_pow | ( | ComputationGraph & | g, |
| const std::size_t | a, | ||
| const std::size_t | b, | ||
| const std::string & | label | ||
| ) |
Definition at line 320 of file computationgraph.cpp.
Here is the call graph for this function:| std::size_t cg_normalCdf | ( | ComputationGraph & | g, |
| const std::size_t | a, | ||
| const std::string & | label | ||
| ) |
Definition at line 326 of file computationgraph.cpp.
Here is the call graph for this function:| std::size_t cg_normalPdf | ( | ComputationGraph & | g, |
| const std::size_t | a, | ||
| const std::string & | label | ||
| ) |
Definition at line 333 of file computationgraph.cpp.
Here is the call graph for this function:| std::vector< ExternalRandomVariableOp > getExternalRandomVariableOps | ( | ) |
Definition at line 58 of file external_randomvariable_ops.cpp.
| std::vector< ExternalRandomVariableGrad > getExternalRandomVariableGradients | ( | ) |
Definition at line 159 of file external_randomvariable_ops.cpp.
| bool isDeterministicAndZero | ( | const ExternalRandomVariable & | x | ) |
Definition at line 50 of file external_randomvariable_ops.hpp.
| void forwardDerivatives | ( | const ComputationGraph & | g, |
| const std::vector< T > & | values, | ||
| std::vector< T > & | derivatives, | ||
| const std::vector< std::function< std::vector< T >(const std::vector< const T * > &, const T *)> | , | ||
| & | grad, | ||
| std::function< void(T &)> | deleter = {}, |
||
| const std::vector< bool > & | keepNodes = {}, |
||
| const std::size_t | conditionalExpectationOpId = 0, |
||
| const std::function< T(const std::vector< const T * > &)> & | conditionalExpectation = {} |
||
| ) |
Definition at line 35 of file forwardderivatives.hpp.
Here is the caller graph for this function:| void forwardEvaluation | ( | const ComputationGraph & | g, |
| std::vector< T > & | values, | ||
| const std::vector< std::function< T(const std::vector< const T * > &)> | , | ||
| & | ops, | ||
| std::function< void(T &)> | deleter = {}, |
||
| bool | keepValuesForDerivatives = true, |
||
| const std::vector< std::function< std::pair< std::vector< bool >, bool >(const std::size_t)> > & | opRequiresNodesForDerivatives = {}, |
||
| const std::vector< bool > & | keepNodes = {}, |
||
| const std::size_t | startNode = 0, |
||
| const std::size_t | endNode = ComputationGraph::nan, |
||
| const bool | redBlockReconstruction = false |
||
| ) |
Definition at line 32 of file forwardevaluation.hpp.
Here is the caller graph for this function:| std::string ssaForm | ( | const ComputationGraph & | g, |
| const std::vector< std::string > & | opCodeLabels, | ||
| const std::vector< T > & | values, | ||
| const std::vector< T > & | values2 | ||
| ) |
Definition at line 43 of file ssaform.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| template std::string ssaForm | ( | const ComputationGraph & | g, |
| const std::vector< std::string > & | opCodeLabels, | ||
| const std::vector< double > & | values, | ||
| const std::vector< double > & | values2 | ||
| ) |
| template std::string ssaForm | ( | const ComputationGraph & | g, |
| const std::vector< std::string > & | opCodeLabels, | ||
| const std::vector< RandomVariable > & | values, | ||
| const std::vector< RandomVariable > & | values2 | ||
| ) |
| set< Date > pricingDates | ( | const Date & | s, |
| const Date & | e, | ||
| const Calendar & | pricingCalendar, | ||
| bool | excludeStart, | ||
| bool | includeEnd, | ||
| bool | useBusinessDays | ||
| ) |
Definition at line 48 of file commoditycashflow.cpp.
Here is the call graph for this function: Here is the caller graph for this function:Definition at line 88 of file commoditycashflow.cpp.
Here is the caller graph for this function:| std::set< QuantLib::Date > pricingDates | ( | const QuantLib::Date & | start, |
| const QuantLib::Date & | end, | ||
| const QuantLib::Calendar & | pricingCalendar, | ||
| bool | excludeStart, | ||
| bool | includeEnd, | ||
| bool | useBusinessDays = true |
||
| ) |
Get the set of valid pricing dates in a period.
| start | The start date of the period. |
| end | The end date of the period. |
| pricingCalendar | The pricing calendar used to determine valid dates |
| excludeStart | Set to true if the start date should be excluded from the set of pricing dates and to false if the start date should be included. |
| includeEnd | set to true if the end date should be included in the set of pricing dates and to false if the end date should be excluded. |
| useBusinessDays | Set to true if pricingCalendar business dates are to be considered valid pricing dates and false if pricingCalendar holidays are to be considered valid pricing dates. The latter case is unusual but is useful for some electricity futures e.g. ICE PW2 contract which averages over weekends and non-NERC business days. |
| bool isPricingDate | ( | const QuantLib::Date & | d, |
| const QuantLib::Calendar & | pricingCalendar, | ||
| bool | useBusinessDays = true |
||
| ) |
Check if a date is a pricing date.
| d | The date that we wish to check. |
| pricingCalendar | The pricing calendar used to determine valid dates |
| useBusinessDays | Set to true if pricingCalendar business dates are to be considered valid pricing dates and false if pricingCalendar holidays are to be considered valid pricing dates. The latter case is unusual but is useful for some electricity futures e.g. ICE PW2 contract which averages over weekends and non-NERC business days. |
true if d is a pricing date and false otherwise. | std::ostream & operator<< | ( | std::ostream & | out, |
| EquityReturnType | t | ||
| ) |
Definition at line 30 of file equitycoupon.cpp.
Here is the caller graph for this function:| EquityReturnType parseEquityReturnType | ( | const std::string & | str | ) |
Definition at line 45 of file equitycoupon.cpp.
| Leg makeFloatingAnnuityNominalLeg | ( | const Leg & | floatingAnnuityLeg | ) |
Definition at line 23 of file floatingannuitynominal.cpp.
| QuantLib::ext::shared_ptr< CashFlow > unpackIndexedCouponOrCashFlow | ( | const QuantLib::ext::shared_ptr< CashFlow > & | c | ) |
Definition at line 224 of file indexedcoupon.cpp.
Here is the call graph for this function:| QuantLib::ext::shared_ptr< Coupon > unpackIndexedCoupon | ( | const QuantLib::ext::shared_ptr< Coupon > & | c | ) |
Definition at line 231 of file indexedcoupon.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| QuantLib::ext::shared_ptr< CashFlow > unpackIndexWrappedCashFlow | ( | const QuantLib::ext::shared_ptr< CashFlow > & | c | ) |
Definition at line 239 of file indexedcoupon.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| Real getIndexedCouponOrCashFlowMultiplier | ( | const QuantLib::ext::shared_ptr< CashFlow > & | c | ) |
Definition at line 247 of file indexedcoupon.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| std::vector< std::tuple< Date, QuantLib::ext::shared_ptr< Index >, Real > > getIndexedCouponOrCashFlowFixingDetails | ( | const QuantLib::ext::shared_ptr< CashFlow > & | c | ) |
Definition at line 258 of file indexedcoupon.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| Real jyExpectedIndexRatio | ( | const QuantLib::ext::shared_ptr< CrossAssetModel > & | model, |
| Size | index, | ||
| Time | S, | ||
| Time | T, | ||
| bool | indexIsInterpolated | ||
| ) |
Definition at line 77 of file jyyoyinflationcouponpricer.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| QuantLib::Real jyExpectedIndexRatio | ( | const QuantLib::ext::shared_ptr< CrossAssetModel > & | model, |
| QuantLib::Size | index, | ||
| QuantLib::Time | S, | ||
| QuantLib::Time | T, | ||
| bool | indexIsInterpolated | ||
| ) |
Return the expected value of the inflation index ratio \(I(T)/I(S)\) under Jarrow Yildrim where \( 0 < S < T \). The value is given in Section 13 of Modern Derivatives Pricing and Credit Exposure Analysis, 2015 by the following:
\[ \frac{P_r(0,T)}{P_n(0,T)} \frac{P_n(0,S)}{P_r(0,S)} e^{C(S,T)} \]
| std::ostream & operator<< | ( | std::ostream & | os, |
| ConfigurableCurrency::Type | ccytype | ||
| ) |
Definition at line 38 of file configurablecurrency.cpp.
| bool isMetal | ( | const Currency & | currency | ) |
Definition at line 55 of file metals.cpp.
| bool isMetal | ( | const QuantLib::Currency & | currency | ) |
Check if a given currency is a metal.
| void applyDividends | ( | const set< Dividend > & | dividends | ) |
Utility to write a set of dividends in the dividend manager's history.
Definition at line 30 of file dividendmanager.cpp.
Definition at line 45 of file dividendmanager.cpp.
| std::ostream & operator<< | ( | std::ostream & | out, |
| Dividend | dividend | ||
| ) |
Definition at line 55 of file dividendmanager.cpp.
Definition at line 107 of file bondbasket.cpp.
Here is the caller graph for this function:Definition at line 111 of file bondbasket.cpp.
| std::ostream & operator<< | ( | std::ostream & | out, |
| const CashFlowResults & | t | ||
| ) |
Definition at line 31 of file cashflowresults.cpp.
| CashFlowResults standardCashFlowResults | ( | const QuantLib::ext::shared_ptr< CashFlow > & | c, |
| const Real | multiplier, | ||
| const std::string & | type, | ||
| const Size | legNo, | ||
| const Currency & | currency, | ||
| const Handle< YieldTermStructure > & | discountCurve | ||
| ) |
Definition at line 42 of file cashflowresults.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| CashFlowResults populateCashFlowResultsFromCashflow | ( | const QuantLib::ext::shared_ptr< QuantLib::CashFlow > & | c, |
| const QuantLib::Real | multiplier, | ||
| const QuantLib::Size | legNo, | ||
| const QuantLib::Currency & | currency | ||
| ) |
Definition at line 59 of file cashflowresults.cpp.
Here is the caller graph for this function:| CashFlowResults standardCashFlowResults | ( | const QuantLib::ext::shared_ptr< QuantLib::CashFlow > & | c, |
| const QuantLib::Real | multiplier = 1.0, |
||
| const std::string & | type = "Unspecified", |
||
| const QuantLib::Size | legNo = 0, |
||
| const QuantLib::Currency & | currency = QuantLib::Currency(), |
||
| const QuantLib::Handle< QuantLib::YieldTermStructure > & | discountCurve = QuantLib::Handle< QuantLib::YieldTermStructure >() |
||
| ) |
| MakeCreditDefaultSwap::operator QuantLib::ext::shared_ptr< QuantExt::CreditDefaultSwap > | ( | ) | const |
Definition at line 64 of file makecds.cpp.
| Leg getOisCapFloorUnderlying | ( | const Leg & | oisCapFloor | ) |
get the underlying ON coupons from an OIS cf
Definition at line 138 of file makeoiscapfloor.cpp.
Here is the caller graph for this function:| std::vector< std::pair< Real, Real > > getOisCapFloorStrikes | ( | const Leg & | oisCapFloor | ) |
get the (cap, floor) - strikes from an OIS cf
Definition at line 148 of file makeoiscapfloor.cpp.
Here is the caller graph for this function:| QuantLib::SparseMatrix inverse | ( | QuantLib::SparseMatrix | m | ) |
Definition at line 49 of file blockmatrixinverse.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| Matrix blockMatrixInverse | ( | const Matrix & | A, |
| const std::vector< Size > & | blockIndices | ||
| ) |
Definition at line 61 of file blockmatrixinverse.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| QuantLib::SparseMatrix blockMatrixInverse | ( | const QuantLib::SparseMatrix & | A, |
| const std::vector< Size > & | blockIndices | ||
| ) |
Definition at line 137 of file blockmatrixinverse.cpp.
Here is the call graph for this function:| QuantLib::Real modifiedMaxNorm | ( | const QuantLib::SparseMatrix & | A | ) |
modified max norm of a sparse matrix, i.e. std::sqrt(row * columns) * max_i,j abs(a_i,j)
Definition at line 208 of file blockmatrixinverse.cpp.
| QuantLib::Matrix blockMatrixInverse | ( | const QuantLib::Matrix & | A, |
| const std::vector< QuantLib::Size > & | blockIndices | ||
| ) |
| QuantLib::SparseMatrix blockMatrixInverse | ( | const QuantLib::SparseMatrix & | A, |
| const std::vector< QuantLib::Size > & | blockIndices | ||
| ) |
| BucketedDistribution operator+ | ( | const BucketedDistribution & | lhs, |
| const BucketedDistribution & | rhs | ||
| ) |
Sum probabilities in two bucketed distributions with equal buckets.
Definition at line 278 of file bucketeddistribution.cpp.
| BucketedDistribution operator* | ( | Real | factor, |
| const BucketedDistribution & | rhs | ||
| ) |
Definition at line 285 of file bucketeddistribution.cpp.
Here is the call graph for this function:| BucketedDistribution operator* | ( | const BucketedDistribution & | lhs, |
| QuantLib::Real | factor | ||
| ) |
Definition at line 294 of file bucketeddistribution.cpp.
| BucketedDistribution operator* | ( | QuantLib::Real | factor, |
| const BucketedDistribution & | rhs | ||
| ) |
Multiply probabilities in bucketed distribution by factor.
| CompiledFormula operator+ | ( | CompiledFormula | x, |
| const CompiledFormula & | y | ||
| ) |
Definition at line 98 of file compiledformula.cpp.
| CompiledFormula operator- | ( | CompiledFormula | x, |
| const CompiledFormula & | y | ||
| ) |
Definition at line 103 of file compiledformula.cpp.
| CompiledFormula operator* | ( | CompiledFormula | x, |
| const CompiledFormula & | y | ||
| ) |
Definition at line 108 of file compiledformula.cpp.
| CompiledFormula operator/ | ( | CompiledFormula | x, |
| const CompiledFormula & | y | ||
| ) |
Definition at line 113 of file compiledformula.cpp.
| CompiledFormula unaryOp | ( | CompiledFormula | x, |
| CompiledFormula::Operator | op | ||
| ) |
Definition at line 118 of file compiledformula.cpp.
| CompiledFormula binaryOp | ( | CompiledFormula | x, |
| const CompiledFormula & | y, | ||
| CompiledFormula::Operator | op | ||
| ) |
| CompiledFormula gtZero | ( | CompiledFormula | x | ) |
Definition at line 142 of file compiledformula.cpp.
| CompiledFormula geqZero | ( | CompiledFormula | x | ) |
Definition at line 145 of file compiledformula.cpp.
| CompiledFormula abs | ( | CompiledFormula | x | ) |
| CompiledFormula exp | ( | CompiledFormula | x | ) |
| CompiledFormula log | ( | CompiledFormula | x | ) |
| CompiledFormula max | ( | CompiledFormula | x, |
| const CompiledFormula & | y | ||
| ) |
Definition at line 159 of file compiledformula.cpp.
Here is the caller graph for this function:| CompiledFormula min | ( | CompiledFormula | x, |
| const CompiledFormula & | y | ||
| ) |
| CompiledFormula pow | ( | CompiledFormula | x, |
| const CompiledFormula & | y | ||
| ) |
| T * createComputeFrameworkCreator | ( | ) |
Definition at line 118 of file computeenvironment.hpp.
| Real deltaVar | ( | const Matrix & | omega, |
| const Array & | delta, | ||
| const Real | p, | ||
| const CovarianceSalvage & | sal = NoCovarianceSalvage() |
||
| ) |
function that computes a delta VaR
For a given covariance matrix and a delta vector this function computes a parametric var w.r.t. a given confidence level for multivariate normal risk factors.
Definition at line 305 of file deltagammavar.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| Real deltaGammaVarNormal | ( | const Matrix & | omega, |
| const Array & | delta, | ||
| const Matrix & | gamma, | ||
| const Real | p, | ||
| const CovarianceSalvage & | sal = NoCovarianceSalvage() |
||
| ) |
function that computes a delta-gamma normal VaR
For a given a covariance matrix, a delta vector and a gamma matrix this function computes a parametric var w.r.t. a given confidence level. The gamma matrix is taken into account when computing the variance of the PL distribution, but the PL distribution is still assumed to be normal.
Definition at line 316 of file deltagammavar.cpp.
Here is the call graph for this function:| Real deltaGammaVarCornishFisher | ( | const Matrix & | omega, |
| const Array & | delta, | ||
| const Matrix & | gamma, | ||
| const Real | p, | ||
| const CovarianceSalvage & | sal | ||
| ) |
Definition at line 328 of file deltagammavar.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| Real deltaGammaVarSaddlepoint | ( | const Matrix & | omega, |
| const Array & | delta, | ||
| const Matrix & | gamma, | ||
| const Real | p, | ||
| const CovarianceSalvage & | sal | ||
| ) |
Definition at line 342 of file deltagammavar.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| Real deltaGammaVarMc | ( | const Matrix & | omega, |
| const Array & | delta, | ||
| const Matrix & | gamma, | ||
| const Real | p, | ||
| const Size | paths, | ||
| const Size | seed, | ||
| const CovarianceSalvage & | sal = NoCovarianceSalvage() |
||
| ) |
function that computes a delta-gamma VaR using Monte Carlo (single quantile)
For a given a covariance matrix, a delta vector and a gamma matrix this function computes a parametric var w.r.t. a given confidence level. The var quantile is estimated from Monte-Carlo realisations of a second order sensitivity based PL.
Definition at line 138 of file deltagammavar.hpp.
| std::vector< Real > deltaGammaVarMc | ( | const Matrix & | omega, |
| const Array & | delta, | ||
| const Matrix & | gamma, | ||
| const std::vector< Real > & | p, | ||
| const Size | paths, | ||
| const Size | seed, | ||
| const CovarianceSalvage & | sal = NoCovarianceSalvage() |
||
| ) |
function that computes a delta-gamma VaR using Monte Carlo (multiple quantiles)
For a given a covariance matrix, a delta vector and a gamma matrix this function computes a parametric var w.r.t. a vector of given confidence levels. The var quantile is estimated from Monte-Carlo realisations of a second order sensitivity based PL.
Definition at line 95 of file deltagammavar.hpp.
Here is the call graph for this function:| bool operator< | ( | const Distributionpair & | p1, |
| const Distributionpair & | p2 | ||
| ) |
Definition at line 49 of file discretedistribution.hpp.
| bool operator> | ( | const Distributionpair & | p1, |
| const Distributionpair & | p2 | ||
| ) |
Definition at line 51 of file discretedistribution.hpp.
| void fillIncompleteMatrix | ( | Matrix & | mat, |
| bool | interpRows, | ||
| Real | blank | ||
| ) |
function that fills a matrix
This function fills a matrix that is not completely populated by linear interpolation across the desired axis.
Definition at line 87 of file fillemptymatrix.cpp.
Here is the caller graph for this function:| Real kendallRankCorrelation | ( | I1 | begin1, |
| I1 | end1, | ||
| I2 | begin2 | ||
| ) |
Definition at line 30 of file kendallrankcorrelation.hpp.
Here is the call graph for this function:| bool supports_Logm | ( | ) |
Definition at line 78 of file matrixfunctions.cpp.
Here is the caller graph for this function:| bool supports_Expm | ( | ) |
Definition at line 79 of file matrixfunctions.cpp.
Here is the caller graph for this function:| QuantLib::Matrix Logm | ( | const QuantLib::Matrix & | m | ) |
Definition at line 81 of file matrixfunctions.cpp.
Here is the caller graph for this function:| QuantLib::Matrix Expm | ( | const QuantLib::Matrix & | m | ) |
Definition at line 85 of file matrixfunctions.cpp.
Here is the caller graph for this function:Definition at line 213 of file randomvariable.cpp.
Definition at line 230 of file randomvariable.cpp.
Definition at line 232 of file randomvariable.cpp.
Definition at line 278 of file randomvariable.cpp.
Here is the caller graph for this function:Definition at line 297 of file randomvariable.cpp.
| void checkTimeConsistency | ( | const RandomVariable & | x, |
| const RandomVariable & | y | ||
| ) |
| bool operator== | ( | const RandomVariable & | a, |
| const RandomVariable & | b | ||
| ) |
Definition at line 515 of file randomvariable.cpp.
| bool operator!= | ( | const RandomVariable & | a, |
| const RandomVariable | b | ||
| ) |
Definition at line 531 of file randomvariable.cpp.
| RandomVariable operator+ | ( | RandomVariable | x, |
| const RandomVariable & | y | ||
| ) |
Definition at line 629 of file randomvariable.cpp.
| RandomVariable operator- | ( | RandomVariable | x, |
| const RandomVariable & | y | ||
| ) |
Definition at line 636 of file randomvariable.cpp.
| RandomVariable operator* | ( | RandomVariable | x, |
| const RandomVariable & | y | ||
| ) |
Definition at line 643 of file randomvariable.cpp.
| RandomVariable operator/ | ( | RandomVariable | x, |
| const RandomVariable & | y | ||
| ) |
Definition at line 650 of file randomvariable.cpp.
| RandomVariable max | ( | RandomVariable | x, |
| const RandomVariable & | y | ||
| ) |
Definition at line 657 of file randomvariable.cpp.
| RandomVariable min | ( | RandomVariable | x, |
| const RandomVariable & | y | ||
| ) |
| RandomVariable pow | ( | RandomVariable | x, |
| const RandomVariable & | y | ||
| ) |
| RandomVariable operator- | ( | RandomVariable | x | ) |
Definition at line 719 of file randomvariable.cpp.
| RandomVariable abs | ( | RandomVariable | x | ) |
Definition at line 732 of file randomvariable.cpp.
| RandomVariable exp | ( | RandomVariable | x | ) |
Definition at line 745 of file randomvariable.cpp.
| RandomVariable log | ( | RandomVariable | x | ) |
Definition at line 758 of file randomvariable.cpp.
| RandomVariable sqrt | ( | RandomVariable | x | ) |
Definition at line 771 of file randomvariable.cpp.
Here is the caller graph for this function:| RandomVariable sin | ( | RandomVariable | x | ) |
Definition at line 784 of file randomvariable.cpp.
Here is the caller graph for this function:| RandomVariable cos | ( | RandomVariable | x | ) |
Definition at line 797 of file randomvariable.cpp.
| RandomVariable normalCdf | ( | RandomVariable | x | ) |
Definition at line 810 of file randomvariable.cpp.
Here is the caller graph for this function:| RandomVariable normalPdf | ( | RandomVariable | x | ) |
Definition at line 824 of file randomvariable.cpp.
Here is the caller graph for this function:| Filter close_enough | ( | const RandomVariable & | x, |
| const RandomVariable & | y | ||
| ) |
Definition at line 838 of file randomvariable.cpp.
Here is the caller graph for this function:| bool close_enough_all | ( | const RandomVariable & | x, |
| const RandomVariable & | y | ||
| ) |
Definition at line 856 of file randomvariable.cpp.
Here is the caller graph for this function:| RandomVariable conditionalResult | ( | const Filter & | f, |
| RandomVariable | x, | ||
| const RandomVariable & | y | ||
| ) |
Definition at line 872 of file randomvariable.cpp.
Here is the caller graph for this function:| RandomVariable indicatorEq | ( | RandomVariable | x, |
| const RandomVariable & | y, | ||
| const Real | trueVal, | ||
| const Real | falseVal | ||
| ) |
Definition at line 892 of file randomvariable.cpp.
Here is the caller graph for this function:| RandomVariable indicatorGt | ( | RandomVariable | x, |
| const RandomVariable & | y, | ||
| const Real | trueVal, | ||
| const Real | falseVal, | ||
| const Real | eps | ||
| ) |
Definition at line 912 of file randomvariable.cpp.
Here is the caller graph for this function:| RandomVariable indicatorGeq | ( | RandomVariable | x, |
| const RandomVariable & | y, | ||
| const Real | trueVal, | ||
| const Real | falseVal, | ||
| const Real | eps | ||
| ) |
Definition at line 950 of file randomvariable.cpp.
Here is the caller graph for this function:| Filter operator< | ( | const RandomVariable & | x, |
| const RandomVariable & | y | ||
| ) |
Definition at line 988 of file randomvariable.cpp.
| Filter operator<= | ( | const RandomVariable & | x, |
| const RandomVariable & | y | ||
| ) |
Definition at line 1007 of file randomvariable.cpp.
| Filter operator> | ( | const RandomVariable & | x, |
| const RandomVariable & | y | ||
| ) |
Definition at line 1026 of file randomvariable.cpp.
| Filter operator>= | ( | const RandomVariable & | x, |
| const RandomVariable & | y | ||
| ) |
Definition at line 1043 of file randomvariable.cpp.
| RandomVariable applyFilter | ( | RandomVariable | x, |
| const Filter & | f | ||
| ) |
Definition at line 1062 of file randomvariable.cpp.
Here is the caller graph for this function:| RandomVariable applyInverseFilter | ( | RandomVariable | x, |
| const Filter & | f | ||
| ) |
Definition at line 1087 of file randomvariable.cpp.
Here is the caller graph for this function:| Matrix pcaCoordinateTransform | ( | const std::vector< const RandomVariable * > & | regressor, |
| const Real | varianceCutoff | ||
| ) |
Definition at line 1112 of file randomvariable.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| std::vector< RandomVariable > applyCoordinateTransform | ( | const std::vector< const RandomVariable * > & | regressor, |
| const Matrix & | transform | ||
| ) |
Definition at line 1140 of file randomvariable.cpp.
Here is the caller graph for this function:| std::vector< const RandomVariable * > vec2vecptr | ( | const std::vector< RandomVariable > & | values | ) |
Definition at line 1157 of file randomvariable.cpp.
Here is the caller graph for this function:| Array regressionCoefficients | ( | RandomVariable | r, |
| std::vector< const RandomVariable * > | regressor, | ||
| const std::vector< std::function< RandomVariable(const std::vector< const RandomVariable * > &)> | , | ||
| & | basisFn, | ||
| const Filter & | filter, | ||
| const RandomVariableRegressionMethod | regressionMethod, | ||
| const std::string & | debugLabel | ||
| ) |
Definition at line 1163 of file randomvariable.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| RandomVariable conditionalExpectation | ( | const std::vector< const RandomVariable * > & | regressor, |
| const std::vector< std::function< RandomVariable(const std::vector< const RandomVariable * > &)> | , | ||
| & | basisFn, | ||
| const Array & | coefficients | ||
| ) |
Definition at line 1241 of file randomvariable.cpp.
Here is the caller graph for this function:| RandomVariable conditionalExpectation | ( | const RandomVariable & | r, |
| const std::vector< const RandomVariable * > & | regressor, | ||
| const std::vector< std::function< RandomVariable(const std::vector< const RandomVariable * > &)> | , | ||
| & | basisFn, | ||
| const Filter & | filter, | ||
| const RandomVariableRegressionMethod | regressionMethod | ||
| ) |
Definition at line 1261 of file randomvariable.cpp.
Here is the call graph for this function:| RandomVariable expectation | ( | const RandomVariable & | r | ) |
Definition at line 1271 of file randomvariable.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| RandomVariable variance | ( | const RandomVariable & | r | ) |
Definition at line 1281 of file randomvariable.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| RandomVariable covariance | ( | const RandomVariable & | r, |
| const RandomVariable & | s | ||
| ) |
Definition at line 1293 of file randomvariable.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| RandomVariable black | ( | const RandomVariable & | omega, |
| const RandomVariable & | t, | ||
| const RandomVariable & | strike, | ||
| const RandomVariable & | forward, | ||
| const RandomVariable & | impliedVol | ||
| ) |
Definition at line 1310 of file randomvariable.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| RandomVariable indicatorDerivative | ( | const RandomVariable & | x, |
| const double | eps | ||
| ) |
Definition at line 1321 of file randomvariable.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| std::vector< std::function< RandomVariable(const std::vector< const RandomVariable * > &)> > multiPathBasisSystem | ( | Size | dim, |
| Size | order, | ||
| QuantLib::LsmBasisSystem::PolynomialType | type, | ||
| Size | basisSystemSizeBound = Null< Size >() |
||
| ) |
helper function that returns a LSM basis system with size restriction: the order is reduced until the size of the basis system is not greater than the given bound (if this is not null) or the order is 1
Definition at line 1360 of file randomvariable.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| bool operator!= | ( | const RandomVariable & | a, |
| const RandomVariable & | b | ||
| ) |
Here is the call graph for this function:| bool isDeterministicAndZero | ( | const RandomVariable & | x | ) |
| std::ostream & operator<< | ( | std::ostream & | out, |
| const randomvariable_output_size & | r | ||
| ) |
Definition at line 38 of file randomvariable_io.cpp.
Here is the call graph for this function:| std::ostream & operator<< | ( | std::ostream & | out, |
| const randomvariable_output_pattern & | p | ||
| ) |
Definition at line 43 of file randomvariable_io.cpp.
Here is the call graph for this function:| std::ostream & operator<< | ( | std::ostream & | out, |
| const Filter & | f | ||
| ) |
Definition at line 108 of file randomvariable_io.cpp.
| std::ostream & operator<< | ( | std::ostream & | out, |
| const RandomVariable & | r | ||
| ) |
Definition at line 110 of file randomvariable_io.cpp.
Here is the call graph for this function:| std::vector< std::string > getRandomVariableOpLabels | ( | ) |
Definition at line 50 of file randomvariable_opcodes.hpp.
Here is the caller graph for this function:| std::vector< RandomVariableOp > getRandomVariableOps | ( | const Size | size, |
| const Size | regressionOrder, | ||
| QuantLib::LsmBasisSystem::PolynomialType | polynomType, | ||
| const double | eps, | ||
| QuantLib::Real | regressionVarianceCutoff | ||
| ) |
Definition at line 27 of file randomvariable_ops.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| std::vector< RandomVariableGrad > getRandomVariableGradients | ( | const Size | size, |
| const Size | regressionOrder, | ||
| const QuantLib::LsmBasisSystem::PolynomialType | polynomType, | ||
| const double | eps, | ||
| const Real | regressionVarianceCutoff | ||
| ) |
Definition at line 130 of file randomvariable_ops.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| std::vector< RandomVariableOpNodeRequirements > getRandomVariableOpNodeRequirements | ( | ) |
Definition at line 249 of file randomvariable_ops.cpp.
Here is the caller graph for this function:| std::vector< RandomVariableGrad > getRandomVariableGradients | ( | const Size | size, |
| const Size | regressionOrder = 2, |
||
| const QuantLib::LsmBasisSystem::PolynomialType | polynomType = QuantLib::LsmBasisSystem::Monomial, |
||
| const double | eps = 0.2, |
||
| QuantLib::Real | regressionVarianceCutoff = Null< Real >() |
||
| ) |
| std::vector< Size > stopLightBoundsTabulated | ( | const std::vector< Real > & | stopLightP, |
| const Size | observations, | ||
| const Size | numberOfDays, | ||
| const Real | p | ||
| ) |
Definition at line 153 of file stoplightbounds.cpp.
Here is the caller graph for this function:| std::vector< Size > stopLightBounds | ( | const std::vector< Real > & | stopLightP, |
| const Size | observations, | ||
| const Size | numberOfDays = 10, |
||
| const Real | p = 0.99, |
||
| const Size | numberOfPortfolios = 1, |
||
| const Matrix & | correlation = Matrix(1, 1, 1.0), |
||
| const Size | samples = 1500000, |
||
| const Size | seed = 42, |
||
| const SalvagingAlgorithm::Type | salvaging = SalvagingAlgorithm::Spectral, |
||
| const Size | exceptions = Null< Size >(), |
||
| Real * | cumProb = nullptr |
||
| ) |
Computes the maximum number of exceptions n such that the probability of having less or equal to n exceptions is less than p for a given vector of stop light levels (0.95 = green, 0.9999 = red in the Basel approach). An overlapping PL over a given period is considered, possibly also several portfolios with correlated PL. If the parameter exceptions m is not null, cumProb is set to the probability of having less of equal to m exceptions (this is not affecting the return value).
Definition at line 171 of file stoplightbounds.cpp.
Here is the caller graph for this function:| std::vector< Size > stopLightBounds | ( | const std::vector< Real > & | stopLightP, |
| const Size | observations, | ||
| const Real | p, | ||
| const Size | exceptions, | ||
| Real * | cumProb | ||
| ) |
Definition at line 236 of file stoplightbounds.cpp.
| std::vector< std::pair< Size, std::vector< Size > > > generateStopLightBoundTable | ( | const std::vector< Size > & | observations, |
| const std::vector< Real > & | stopLightP, | ||
| const Size | samples, | ||
| const Size | seed, | ||
| const Size | numberOfDays, | ||
| const Real | p | ||
| ) |
Definition at line 256 of file stoplightbounds.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| Real Trace | ( | const Matrix & | m | ) |
| void interpolateVariatesWithBrownianBridge | ( | const std::vector< QuantLib::Real > & | times, |
| std::vector< std::vector< QuantExt::RandomVariable > > & | variates, | ||
| const Size | seed | ||
| ) |
Input is
Here, the outer vector of the input variable variates refers to the times and the inner vector contains d random variables. The components of the random variables correspond to the monte carlo pathts. For times where initially no variates are given, the inner vector should be empty.
After the function call, the variates vector contains N(0,1) variates for all times. These variates can be used to evolve the same stochastic process, but on the full time grid. The missing variates are interpolated using a brownian bridge.
Definition at line 40 of file brownianbridgepathinterpolator.cpp.
Here is the call graph for this function:| QuantLib::ext::shared_ptr< MultiPathGeneratorBase > makeMultiPathGenerator | ( | const SequenceType | s, |
| const QuantLib::ext::shared_ptr< StochasticProcess > & | process, | ||
| const TimeGrid & | timeGrid, | ||
| const BigNatural | seed, | ||
| const SobolBrownianGenerator::Ordering | ordering, | ||
| const SobolRsg::DirectionIntegers | directionIntegers | ||
| ) |
Make function for path generators.
Definition at line 190 of file multipathgeneratorbase.cpp.
Here is the caller graph for this function:| std::ostream & operator<< | ( | std::ostream & | out, |
| const SequenceType | s | ||
| ) |
Output function.
Definition at line 214 of file multipathgeneratorbase.cpp.
| QuantLib::ext::shared_ptr< MultiPathVariateGeneratorBase > makeMultiPathVariateGenerator | ( | const SequenceType | s, |
| const Size | dimension, | ||
| const Size | timeSteps, | ||
| const BigNatural | seed, | ||
| const SobolBrownianGenerator::Ordering | ordering, | ||
| const SobolRsg::DirectionIntegers | directionIntegers | ||
| ) |
Definition at line 153 of file multipathvariategenerator.cpp.
| std::string arbitrageAsString | ( | const CarrMadanMarginalProbabilityClass & | cm | ) |
Definition at line 164 of file carrmadanarbitragecheck.cpp.
| template std::string arbitrageAsString | ( | const CarrMadanMarginalProbability & | cm | ) |
| template std::string arbitrageAsString | ( | const CarrMadanMarginalProbabilitySafeStrikes & | cm | ) |
| std::string arbitrageAsString | ( | const CarrMadanSurface & | cm | ) |
Definition at line 256 of file carrmadanarbitragecheck.cpp.
Here is the call graph for this function:| std::ostream & operator<< | ( | std::ostream & | out, |
| const CrossAssetModel::AssetType & | type | ||
| ) |
Definition at line 36 of file crossassetmodel.cpp.
| Handle< ZeroInflationTermStructure > inflationTermStructure | ( | const QuantLib::ext::shared_ptr< CrossAssetModel > & | model, |
| Size | index | ||
| ) |
Definition at line 1034 of file crossassetmodel.cpp.
| QuantLib::Handle< QuantLib::ZeroInflationTermStructure > inflationTermStructure | ( | const QuantLib::ext::shared_ptr< CrossAssetModel > & | model, |
| QuantLib::Size | index | ||
| ) |
Utility function to return a handle to the inflation term structure given the inflation index.
| Real exactBachelierImpliedVolatility | ( | Option::Type | optionType, |
| Real | strike, | ||
| Real | forward, | ||
| Real | tte, | ||
| Real | bachelierPrice, | ||
| Real | discount | ||
| ) |
Definition at line 59 of file exactbachelierimpliedvolatility.cpp.
Here is the caller graph for this function:| Real inflationGrowth | ( | const QuantLib::ext::shared_ptr< CrossAssetModel > & | model, |
| Size | index, | ||
| Time | S, | ||
| Time | T, | ||
| Real | irState, | ||
| Real | rrState, | ||
| bool | indexIsInterpolated | ||
| ) |
Definition at line 61 of file jyimpliedzeroinflationtermstructure.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| QuantLib::Real inflationGrowth | ( | const QuantLib::ext::shared_ptr< CrossAssetModel > & | model, |
| QuantLib::Size | index, | ||
| QuantLib::Time | S, | ||
| QuantLib::Time | T, | ||
| QuantLib::Real | irState, | ||
| QuantLib::Real | rrState, | ||
| bool | indexIsInterpolated | ||
| ) |
Calculation of inflation growth between two times given the Jarrow Yildrim (JY) real rate state, rrState, and the nominal interest rate state, irState.
| std::map< std::string, boost::any > getAdditionalResultsMap | ( | const LgmCalibrationInfo & | info | ) |
Definition at line 23 of file lgmcalibrationinfo.cpp.
Here is the caller graph for this function:| Real normalSabrVolatility | ( | Rate | strike, |
| Rate | forward, | ||
| Time | expiryTime, | ||
| Real | alpha, | ||
| Real | nu, | ||
| Real | rho | ||
| ) |
Definition at line 28 of file normalsabr.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| Real normalSabrAlphaFromAtmVol | ( | Rate | forward, |
| Time | expiryTime, | ||
| Real | atmVol, | ||
| Real | nu, | ||
| Real | rho | ||
| ) |
Definition at line 50 of file normalsabr.cpp.
Here is the caller graph for this function:| Real normalFreeBoundarySabrPrice | ( | Rate | strike, |
| Rate | forward, | ||
| Time | expiryTime, | ||
| Real | alpha, | ||
| Real | nu, | ||
| Real | rho | ||
| ) |
Definition at line 81 of file normalsabr.cpp.
Here is the caller graph for this function:| Real normalFreeBoundarySabrVolatility | ( | Rate | strike, |
| Rate | forward, | ||
| Time | expiryTime, | ||
| Real | alpha, | ||
| Real | nu, | ||
| Real | rho | ||
| ) |
Definition at line 118 of file normalsabr.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| QuantLib::ext::shared_ptr< CrossAssetModel > getProjectedCrossAssetModel | ( | const QuantLib::ext::shared_ptr< CrossAssetModel > & | model, |
| const std::vector< std::pair< CrossAssetModel::AssetType, Size > > & | selectedComponents, | ||
| std::vector< Size > & | projectedStateProcessIndices | ||
| ) |
Definition at line 24 of file projectedcrossassetmodel.cpp.
| std::vector< Size > getStateProcessProjection | ( | const QuantLib::ext::shared_ptr< CrossAssetModel > & | model, |
| const QuantLib::ext::shared_ptr< CrossAssetModel > & | projectedModel | ||
| ) |
Definition at line 65 of file projectedcrossassetmodel.cpp.
| void sanitiseTransitionMatrix | ( | Matrix & | m | ) |
cap / floor elements at 1 / 0, adjust diagonal elements so that row sums are 1, or if that is not possible, divide the row elements by the row sum
Definition at line 32 of file transitionmatrix.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| void checkTransitionMatrix | ( | const Matrix & | t | ) |
check if the matrix is a transition matrix, i.e. row sums are 1 and entries are non-negative
Definition at line 51 of file transitionmatrix.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| void checkGeneratorMatrix | ( | const Matrix & | g | ) |
check if the matrix is a generator matirx, i.e. row sums are 0 and non-diagonal elements are non-negative
Definition at line 65 of file transitionmatrix.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| Matrix generator | ( | const Matrix & | t, |
| const Real | horizon = 1.0 |
||
| ) |
build generator from transition matrix cf. Alexander Kreinin and Marina Sidelnikova, "Regularization Algorithms for Transition Matrices", Algorithm QOG
Definition at line 89 of file transitionmatrix.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| std::vector< Real > creditStateBoundaries | ( | const I & | begin, |
| const I & | end | ||
| ) |
compute N(0,1) credit state boundaries
Definition at line 145 of file transitionmatrix.cpp.
Here is the call graph for this function:| void print | ( | Distribution & | dist, |
| std::string | fileName | ||
| ) |
Definition at line 56 of file cboengine.cpp.
| Real getCallPriceAmount | ( | const FdConvertibleBondEvents::CallData & | cd, |
| Real | notional, | ||
| Real | accruals | ||
| ) |
Definition at line 36 of file fddefaultableequityjumpdiffusionconvertiblebondengine.cpp.
Here is the caller graph for this function:| Real interpolateValueFromPlanes | ( | const Real | conversionRatio, |
| const std::vector< Array > & | value, | ||
| const std::vector< Real > & | stochasticConversionRatios, | ||
| const Size | j | ||
| ) |
Definition at line 46 of file fddefaultableequityjumpdiffusionconvertiblebondengine.cpp.
Here is the caller graph for this function:| RandomVariable getRebatePv | ( | const LgmVectorised & | lgm, |
| const Real | t, | ||
| const RandomVariable & | x, | ||
| const Handle< YieldTermStructure > & | discountCurve, | ||
| const QuantLib::ext::shared_ptr< RebatedExercise > & | exercise, | ||
| const Date & | d | ||
| ) |
Definition at line 248 of file numericlgmmultilegoptionengine.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| Real getStrikeFromDelta | ( | Option::Type | optionType, |
| Real | delta, | ||
| DeltaVolQuote::DeltaType | dt, | ||
| Real | spot, | ||
| Real | domDiscount, | ||
| Real | forDiscount, | ||
| QuantLib::ext::shared_ptr< BlackVolTermStructure > | vol, | ||
| Real | t, | ||
| Real | accuracy, | ||
| Size | maxIterations | ||
| ) |
Definition at line 25 of file blackdeltautilities.cpp.
Here is the caller graph for this function:| Real getAtmStrike | ( | DeltaVolQuote::DeltaType | dt, |
| DeltaVolQuote::AtmType | at, | ||
| Real | spot, | ||
| Real | domDiscount, | ||
| Real | forDiscount, | ||
| QuantLib::ext::shared_ptr< BlackVolTermStructure > | vol, | ||
| Real | t, | ||
| Real | accuracy, | ||
| Size | maxIterations | ||
| ) |
Definition at line 55 of file blackdeltautilities.cpp.
Here is the caller graph for this function:| std::ostream & operator<< | ( | ostream & | out, |
| CapFloorHelper::Type | type | ||
| ) |
In order to convert CapFloorHelper::Type to string.
Definition at line 180 of file capfloorhelper.cpp.
| std::ostream & operator<< | ( | ostream & | out, |
| CapFloorHelper::QuoteType | type | ||
| ) |
In order to convert CapFloorHelper::QuoteType to string.
Definition at line 193 of file capfloorhelper.cpp.
| std::ostream & operator<< | ( | ostream & | out, |
| CapFloorTermVolSurfaceExact::InterpolationMethod | method | ||
| ) |
In order to convert CapFloorTermVolSurface::InterpolationMethod to string.
Definition at line 180 of file capfloortermvolsurface.cpp.
Here is the call graph for this function:| std::ostream & operator<< | ( | std::ostream & | out, |
| const Stickyness & | t | ||
| ) |
Definition at line 46 of file dynamicstype.hpp.
| std::ostream & operator<< | ( | std::ostream & | out, |
| const ReactionToTimeDecay & | t | ||
| ) |
Definition at line 59 of file dynamicstype.hpp.
| std::ostream & operator<< | ( | std::ostream & | out, |
| const YieldCurveRollDown & | t | ||
| ) |
Definition at line 70 of file dynamicstype.hpp.
| Date getImmDate | ( | Date | asof, |
| Size | i | ||
| ) |
Definition at line 26 of file immfraratehelper.cpp.
Here is the caller graph for this function:| bool operator< | ( | const ParametricVolatility::MarketSmile & | s, |
| const ParametricVolatility::MarketSmile & | t | ||
| ) |
Definition at line 108 of file parametricvolatility.cpp.
| Real getOisAtmLevel | ( | const QuantLib::ext::shared_ptr< OvernightIndex > & | on, |
| const Date & | fixingDate, | ||
| const Period & | rateComputationPeriod | ||
| ) |
Utility function for calculating the atm strike level to a given fixingDate based on a given ois index, on, and a given irate computation period, rateComputationPeriod.
Definition at line 29 of file cashflows.cpp.
| Real getBMAAtmLevel | ( | const QuantLib::ext::shared_ptr< BMAIndex > & | bma, |
| const Date & | fixingDate, | ||
| const Period & | rateComputationPeriod | ||
| ) |
Utility function for calculating the atm strike level to a given fixingDate based on a given BMA index, on, and a given irate computation period, rateComputationPeriod.
Definition at line 41 of file cashflows.cpp.
| QuantLib::ext::shared_ptr< CashFlow > makeCommodityCashflowForBasisFuture | ( | const QuantLib::Date & | start, |
| const QuantLib::Date & | end, | ||
| const QuantLib::ext::shared_ptr< CommodityIndex > & | baseIndex, | ||
| const QuantLib::ext::shared_ptr< FutureExpiryCalculator > & | baseFec, | ||
| bool | baseIsAveraging, | ||
| const QuantLib::Date & | paymentDate | ||
| ) |
Make a commodity indexed cashflow.
Definition at line 7 of file commodity.cpp.
Here is the caller graph for this function:| Time inflationTime | ( | const Date & | date, |
| const QuantLib::ext::shared_ptr< InflationTermStructure > & | inflationTs, | ||
| bool | indexIsInterpolated, | ||
| const DayCounter & | dayCounter | ||
| ) |
Definition at line 61 of file inflation.cpp.
Here is the caller graph for this function:| Real inflationGrowth | ( | const Handle< ZeroInflationTermStructure > & | ts, |
| Time | t, | ||
| const DayCounter & | dc, | ||
| bool | indexIsInterpolated | ||
| ) |
Definition at line 74 of file inflation.cpp.
Here is the call graph for this function:| Real inflationGrowth | ( | const Handle< ZeroInflationTermStructure > & | ts, |
| Time | t, | ||
| bool | indexIsInterpolated | ||
| ) |
| QuantLib::Real inflationLinkedBondQuoteFactor | ( | const QuantLib::ext::shared_ptr< QuantLib::Bond > & | bond | ) |
Calculate the Compound Factor to compute the nominal price from the real price I(t_s)/I(t_0) with I(t_s) the CPI at settlement date and I(t_0) the bond's base CPI
Definition at line 83 of file inflation.cpp.
Here is the caller graph for this function:| void addInflationIndexToMap | ( | std::map< std::tuple< std::string, QuantLib::CPI::InterpolationType, QuantLib::Frequency, QuantLib::Period >, QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > > & | inflationIndices, |
| const QuantLib::ext::shared_ptr< QuantLib::Index > & | index, | ||
| QuantLib::CPI::InterpolationType | interpolation, | ||
| Frequency | couponFrequency, | ||
| Period | observationLag | ||
| ) |
Definition at line 119 of file inflation.cpp.
Here is the caller graph for this function:| std::map< std::tuple< std::string, QuantLib::CPI::InterpolationType, QuantLib::Frequency, QuantLib::Period >, QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > > extractAllInflationUnderlyingFromBond | ( | const QuantLib::ext::shared_ptr< QuantLib::Bond > & | bond | ) |
Iterates over all bond cashflows, and extract all inflation underlyings
Definition at line 136 of file inflation.cpp.
Here is the call graph for this function:| QuantLib::Time inflationTime | ( | const QuantLib::Date & | date, |
| const QuantLib::ext::shared_ptr< QuantLib::InflationTermStructure > & | inflationTs, | ||
| bool | indexIsInterpolated, | ||
| const QuantLib::DayCounter & | dayCounter = QuantLib::DayCounter() |
||
| ) |
Utility function for calculating the time to a given date based on a given inflation index, inflationIndex, and a given inflation term structure, inflationTs. An optional dayCounter can be provided to use instead of the inflation term structure day counter.
| QuantLib::Real inflationGrowth | ( | const QuantLib::Handle< QuantLib::ZeroInflationTermStructure > & | ts, |
| QuantLib::Time | t, | ||
| const QuantLib::DayCounter & | dc, | ||
| bool | indexIsInterpolated | ||
| ) |
Utility for calculating the ratio \( \frac{P_r(0, t)}{P_n(0, t)} \) where \( P_r(0, t) \) is the real zero coupon bond price at time zero for maturity \( t \) and \( P_n(0, t) \) is the nominal zero coupon bond price.
| QuantLib::Real inflationGrowth | ( | const QuantLib::Handle< QuantLib::ZeroInflationTermStructure > & | ts, |
| QuantLib::Time | t, | ||
| bool | indexIsInterpolated | ||
| ) |
Utility for calculating the ratio \( \frac{P_r(0, t)}{P_n(0, t)} \) where \( P_r(0, t) \) is the real zero coupon bond price at time zero for maturity \( t \) and \( P_n(0, t) \) is the nominal zero coupon bond price.
| std::tuple< Size, Size, Real > interpolationIndices | ( | const T & | x, |
| const Real | v | ||
| ) |
Given a non-empty container x of distinct and sorted values and a value v return a tuple (m,p,w) s.t. w * y[m] + (1-w) * y[p] linearly interpolates between points (x[0], y[0]), ..., (x[n], y[n]) and extrapolates flat at x = v. It is m = p if and only if v <= x[0] or v >= x[n]. In this case we have w = 1 and either m = p = 0 (if v <= [0]) or m = p = n (if v >= x[n]).
Definition at line 34 of file interpolation.hpp.
Here is the caller graph for this function:| Real periodToTime | ( | const Period & | p | ) |
Definition at line 37 of file time.cpp.
Here is the caller graph for this function:| QuantLib::Period implyIndexTerm | ( | const Date & | startDate, |
| const Date & | endDate | ||
| ) |
Definition at line 52 of file time.cpp.
| QuantLib::Date lowerDate | ( | const Real | t, |
| const QuantLib::Date & | refDate, | ||
| const QuantLib::DayCounter & | dc | ||
| ) |
Definition at line 66 of file time.cpp.
Here is the call graph for this function: Here is the caller graph for this function:| QuantLib::Period tenorFromLength | ( | const QuantLib::Real | length | ) |
Definition at line 94 of file time.cpp.
| QuantLib::Integer daylightSavingCorrection | ( | const std::string & | location, |
| const QuantLib::Date & | start, | ||
| const QuantLib::Date & | end | ||
| ) |
Definition at line 102 of file time.cpp.
| QuantLib::Real periodToTime | ( | const QuantLib::Period & | p | ) |
| QuantLib::Period implyIndexTerm | ( | const QuantLib::Date & | startDate, |
| const QuantLib::Date & | endDate | ||
| ) |
Imply cds index term from start and end date. If no reasonable term can be implied, 0 * Days is returned
| QuantLib::Date lowerDate | ( | const QuantLib::Real | t, |
| const QuantLib::Date & | refDate, | ||
| const QuantLib::DayCounter & | dc | ||
| ) |
