QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Namespaces | |
namespace | CPI |
namespace | NoArbSabrModel |
Functions | |
Rate | effectiveFixedRate (const std::vector< Spread > &spreads, const std::vector< Rate > &caps, const std::vector< Rate > &floors, Size i) |
bool | noOption (const std::vector< Rate > &caps, const std::vector< Rate > &floors, Size i) |
void | checkSviParameters (const Real a, const Real b, const Real sigma, const Real rho, const Real m, const Time tte) |
Real | sviTotalVariance (const Real a, const Real b, const Real sigma, const Real rho, const Real m, const Real k) |
template<class I > | |
void | _fill_array_ (Array &a, std::unique_ptr< Real[]> &data_, Size &n_, I begin, I end, const std::true_type &) |
template<class I > | |
void | _fill_array_ (Array &a, std::unique_ptr< Real[]> &data_, Size &n_, I begin, I end, const std::false_type &) |
template<typename ForwardIterator > | |
std::vector< std::complex< Real > > | double_ft (ForwardIterator begin, ForwardIterator end) |
template<typename InputIterator , typename OutputIterator > | |
Real | remove_mean (InputIterator begin, InputIterator end, OutputIterator out) |
ext::shared_ptr< PathPricer< Path > > | mc_lookback_path_pricer (const ContinuousFixedLookbackOption::arguments &args, const GeneralizedBlackScholesProcess &process, DiscountFactor discount) |
ext::shared_ptr< PathPricer< Path > > | mc_lookback_path_pricer (const ContinuousPartialFixedLookbackOption::arguments &args, const GeneralizedBlackScholesProcess &process, DiscountFactor discount) |
ext::shared_ptr< PathPricer< Path > > | mc_lookback_path_pricer (const ContinuousFloatingLookbackOption::arguments &args, const GeneralizedBlackScholesProcess &process, DiscountFactor discount) |
ext::shared_ptr< PathPricer< Path > > | mc_lookback_path_pricer (const ContinuousPartialFloatingLookbackOption::arguments &args, const GeneralizedBlackScholesProcess &process, DiscountFactor discount) |
template<class Curve > | |
Real | dontThrowFallback (const BootstrapError< Curve > &error, Real xMin, Real xMax, Size steps) |
std::ostream & | operator<< (std::ostream &out, const short_date_holder &holder) |
std::ostream & | operator<< (std::ostream &out, const long_date_holder &holder) |
std::ostream & | operator<< (std::ostream &out, const iso_date_holder &holder) |
std::ostream & | operator<< (std::ostream &out, const formatted_date_holder &holder) |
std::ostream & | operator<< (std::ostream &out, const long_period_holder &holder) |
std::ostream & | operator<< (std::ostream &out, const short_period_holder &holder) |
std::ostream & | operator<< (std::ostream &out, const long_weekday_holder &holder) |
std::ostream & | operator<< (std::ostream &out, const short_weekday_holder &holder) |
std::ostream & | operator<< (std::ostream &out, const shortest_weekday_holder &holder) |
std::ostream & | operator<< (std::ostream &out, const ordinal_holder &holder) |
std::ostream & | operator<< (std::ostream &out, const percent_holder &holder) |
template<typename T > | |
std::ostream & | operator<< (std::ostream &, const null_checker< T > &) |
template<typename T > | |
std::ostream & | operator<< (std::ostream &, const power_of_two_holder< T > &) |
template<typename I > | |
std::ostream & | operator<< (std::ostream &, const sequence_holder< I > &) |
template<class T , class U > | |
T | get (const std::vector< T > &v, Size i, U defaultValue) |
Variables | |
const Real | minHazardRateComp = -1.0 |
const unsigned long | sabrabsprob [1209600] |
const Real | avgHazardRate = 0.01 |
const Real | maxHazardRate = 1.0 |
constexpr double | avgInflation = 0.02 |
constexpr double | maxInflation = 0.5 |
const Real | avgRate = 0.05 |
const Real | maxRate = 1.0 |
References: J-P. Berrut and L.N. Trefethen, Barycentric Lagrange interpolation, SIAM Review, 46(3):501–517, 2004. https://people.maths.ox.ac.uk/trefethen/barycentric.pdf
Definition at line 36 of file noarbsabrinterpolation.hpp.
typedef SviSmileSection SviWrapper |
Definition at line 55 of file sviinterpolation.hpp.
typedef std::vector<std::vector<Real> > SplineGrid |
Definition at line 40 of file multicubicspline.hpp.
typedef DataTable<Real> base_data_table |
Definition at line 87 of file multicubicspline.hpp.
Definition at line 120 of file multicubicspline.hpp.
typedef Point<Real, EmptyArg> base_arg_type |
Definition at line 164 of file multicubicspline.hpp.
typedef Point<Real, EmptyRes> base_return_type |
Definition at line 185 of file multicubicspline.hpp.
typedef Point<Size, EmptyDim> base_dimensions |
Definition at line 206 of file multicubicspline.hpp.
typedef Point<base_data_table, EmptyRes> base_output_data |
Definition at line 221 of file multicubicspline.hpp.
typedef base_cubic_spline cubic_spline_01 |
Definition at line 340 of file multicubicspline.hpp.
typedef n_cubic_spline<cubic_spline_01> cubic_spline_02 |
Definition at line 341 of file multicubicspline.hpp.
typedef n_cubic_spline<cubic_spline_02> cubic_spline_03 |
Definition at line 342 of file multicubicspline.hpp.
typedef n_cubic_spline<cubic_spline_03> cubic_spline_04 |
Definition at line 343 of file multicubicspline.hpp.
typedef n_cubic_spline<cubic_spline_04> cubic_spline_05 |
Definition at line 344 of file multicubicspline.hpp.
typedef n_cubic_spline<cubic_spline_05> cubic_spline_06 |
Definition at line 345 of file multicubicspline.hpp.
typedef n_cubic_spline<cubic_spline_06> cubic_spline_07 |
Definition at line 346 of file multicubicspline.hpp.
typedef n_cubic_spline<cubic_spline_07> cubic_spline_08 |
Definition at line 347 of file multicubicspline.hpp.
typedef n_cubic_spline<cubic_spline_08> cubic_spline_09 |
Definition at line 348 of file multicubicspline.hpp.
typedef n_cubic_spline<cubic_spline_09> cubic_spline_10 |
Definition at line 349 of file multicubicspline.hpp.
typedef n_cubic_spline<cubic_spline_10> cubic_spline_11 |
Definition at line 350 of file multicubicspline.hpp.
typedef n_cubic_spline<cubic_spline_11> cubic_spline_12 |
Definition at line 351 of file multicubicspline.hpp.
typedef n_cubic_spline<cubic_spline_12> cubic_spline_13 |
Definition at line 352 of file multicubicspline.hpp.
typedef n_cubic_spline<cubic_spline_13> cubic_spline_14 |
Definition at line 353 of file multicubicspline.hpp.
typedef n_cubic_spline<cubic_spline_14> cubic_spline_15 |
Definition at line 354 of file multicubicspline.hpp.
typedef base_cubic_splint cubic_splint_01 |
Definition at line 356 of file multicubicspline.hpp.
typedef n_cubic_splint<cubic_splint_01> cubic_splint_02 |
Definition at line 357 of file multicubicspline.hpp.
typedef n_cubic_splint<cubic_splint_02> cubic_splint_03 |
Definition at line 358 of file multicubicspline.hpp.
typedef n_cubic_splint<cubic_splint_03> cubic_splint_04 |
Definition at line 359 of file multicubicspline.hpp.
typedef n_cubic_splint<cubic_splint_04> cubic_splint_05 |
Definition at line 360 of file multicubicspline.hpp.
typedef n_cubic_splint<cubic_splint_05> cubic_splint_06 |
Definition at line 361 of file multicubicspline.hpp.
typedef n_cubic_splint<cubic_splint_06> cubic_splint_07 |
Definition at line 362 of file multicubicspline.hpp.
typedef n_cubic_splint<cubic_splint_07> cubic_splint_08 |
Definition at line 363 of file multicubicspline.hpp.
typedef n_cubic_splint<cubic_splint_08> cubic_splint_09 |
Definition at line 364 of file multicubicspline.hpp.
typedef n_cubic_splint<cubic_splint_09> cubic_splint_10 |
Definition at line 365 of file multicubicspline.hpp.
typedef n_cubic_splint<cubic_splint_10> cubic_splint_11 |
Definition at line 366 of file multicubicspline.hpp.
typedef n_cubic_splint<cubic_splint_11> cubic_splint_12 |
Definition at line 367 of file multicubicspline.hpp.
typedef n_cubic_splint<cubic_splint_12> cubic_splint_13 |
Definition at line 368 of file multicubicspline.hpp.
typedef n_cubic_splint<cubic_splint_13> cubic_splint_14 |
Definition at line 369 of file multicubicspline.hpp.
typedef n_cubic_splint<cubic_splint_14> cubic_splint_15 |
Definition at line 370 of file multicubicspline.hpp.
Rate effectiveFixedRate | ( | const std::vector< Spread > & | spreads, |
const std::vector< Rate > & | caps, | ||
const std::vector< Rate > & | floors, | ||
Size | i | ||
) |
Definition at line 36 of file cashflowvectors.cpp.
Definition at line 50 of file cashflowvectors.cpp.
std::vector< std::complex< Real > > double_ft | ( | ForwardIterator | begin, |
ForwardIterator | end | ||
) |
Real remove_mean | ( | InputIterator | begin, |
InputIterator | end, | ||
OutputIterator | out | ||
) |
Definition at line 61 of file autocovariance.hpp.
ext::shared_ptr< PathPricer< Path > > mc_lookback_path_pricer | ( | const ContinuousFixedLookbackOption::arguments & | args, |
const GeneralizedBlackScholesProcess & | process, | ||
DiscountFactor | discount | ||
) |
ext::shared_ptr< PathPricer< Path > > mc_lookback_path_pricer | ( | const ContinuousPartialFixedLookbackOption::arguments & | args, |
const GeneralizedBlackScholesProcess & | process, | ||
DiscountFactor | discount | ||
) |
ext::shared_ptr< PathPricer< Path > > mc_lookback_path_pricer | ( | const ContinuousFloatingLookbackOption::arguments & | args, |
const GeneralizedBlackScholesProcess & | process, | ||
DiscountFactor | discount | ||
) |
Definition at line 111 of file mclookbackengine.cpp.
ext::shared_ptr< PathPricer< Path > > mc_lookback_path_pricer | ( | const ContinuousPartialFloatingLookbackOption::arguments & | args, |
const GeneralizedBlackScholesProcess & | process, | ||
DiscountFactor | discount | ||
) |
Real dontThrowFallback | ( | const BootstrapError< Curve > & | error, |
Real | xMin, | ||
Real | xMax, | ||
Size | steps | ||
) |
If dontThrow
is true
in IterativeBootstrap and on a given pillar the bootstrap fails when searching for a helper root between xMin
and xMax
, we use this function to return the value that gives the minimum absolute helper error in the interval between xMin
and xMax
inclusive.
Definition at line 46 of file iterativebootstrap.hpp.
std::ostream & operator<< | ( | std::ostream & | out, |
const short_date_holder & | holder | ||
) |
std::ostream & operator<< | ( | std::ostream & | out, |
const long_date_holder & | holder | ||
) |
std::ostream & operator<< | ( | std::ostream & | out, |
const iso_date_holder & | holder | ||
) |
std::ostream & operator<< | ( | std::ostream & | out, |
const formatted_date_holder & | holder | ||
) |
std::ostream & operator<< | ( | std::ostream & | out, |
const long_period_holder & | holder | ||
) |
std::ostream & operator<< | ( | std::ostream & | out, |
const short_period_holder & | holder | ||
) |
std::ostream & operator<< | ( | std::ostream & | out, |
const long_weekday_holder & | holder | ||
) |
Definition at line 38 of file weekday.cpp.
std::ostream & operator<< | ( | std::ostream & | out, |
const short_weekday_holder & | holder | ||
) |
Definition at line 60 of file weekday.cpp.
std::ostream & operator<< | ( | std::ostream & | out, |
const shortest_weekday_holder & | holder | ||
) |
Definition at line 82 of file weekday.cpp.
std::ostream & operator<< | ( | std::ostream & | out, |
const ordinal_holder & | holder | ||
) |
Definition at line 27 of file dataformatters.cpp.
std::ostream & operator<< | ( | std::ostream & | out, |
const percent_holder & | holder | ||
) |
Definition at line 44 of file dataformatters.cpp.
std::ostream & operator<< | ( | std::ostream & | out, |
const null_checker< T > & | checker | ||
) |
Definition at line 149 of file dataformatters.hpp.
std::ostream & operator<< | ( | std::ostream & | out, |
const power_of_two_holder< T > & | holder | ||
) |
Definition at line 158 of file dataformatters.hpp.
std::ostream & operator<< | ( | std::ostream & | out, |
const sequence_holder< I > & | holder | ||
) |
Definition at line 175 of file dataformatters.hpp.
Definition at line 35 of file vectors.hpp.
const Real minHazardRateComp = -1.0 |
Definition at line 146 of file interpolatedaffinehazardratecurve.hpp.
const unsigned long sabrabsprob |
Definition at line 138 of file noarbsabr.hpp.
const Real avgHazardRate = 0.01 |
Definition at line 39 of file probabilitytraits.hpp.
const Real maxHazardRate = 1.0 |
Definition at line 40 of file probabilitytraits.hpp.
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constexpr |
Definition at line 36 of file inflationtraits.hpp.
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constexpr |
Definition at line 37 of file inflationtraits.hpp.
const Real avgRate = 0.05 |
Definition at line 39 of file bootstraptraits.hpp.
const Real maxRate = 1.0 |
Definition at line 40 of file bootstraptraits.hpp.