QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
Namespaces | Classes | Typedefs | Functions | Variables
QuantLib::detail Namespace Reference

Namespaces

namespace  CPI
 
namespace  NoArbSabrModel
 

Classes

class  AbcdCoeffHolder
 
class  AbcdInterpolationImpl
 
struct  BachelierSpec
 
class  BackwardFlatInterpolationImpl
 
class  BackwardflatLinearInterpolationImpl
 
class  base_cubic_spline
 
class  base_cubic_splint
 
class  BicubicSplineDerivatives
 
class  BicubicSplineImpl
 
class  BilinearInterpolationImpl
 
struct  Black76Spec
 
class  BlackStyleSwaptionEngine
 
class  BootstrapHelperSorter
 
class  CoefficientHolder
 
class  ComboHelper
 
class  ConstantGradHelper
 
class  ConvexMonotone2Helper
 
class  ConvexMonotone3Helper
 
class  ConvexMonotone4Helper
 
class  ConvexMonotone4MinHelper
 
class  ConvexMonotoneImpl
 
class  CubicInterpolationImpl
 
class  D0Interpolator
 
struct  Data
 
struct  Data< std::vector< Real >, EmptyArg >
 
struct  DataTable
 
struct  DataTable< Real >
 
struct  EmptyArg
 
struct  EmptyDim
 
struct  EmptyRes
 
class  EverywhereConstantHelper
 
struct  FloatingPointNull
 
struct  FloatingPointNull< false >
 
struct  FloatingPointNull< true >
 
struct  formatted_date_holder
 
class  ForwardFlatInterpolationImpl
 
class  GaussianQuadratureIntegrator
 
class  GsrProcessCore
 
class  HullWhiteCapFloorPricer
 
class  ImpliedVolatilityHelper
 helper class for one-asset implied-volatility calculation More...
 
struct  Int2Type
 
struct  Int2Type< 10 >
 
struct  Int2Type< 11 >
 
struct  Int2Type< 12 >
 
struct  Int2Type< 13 >
 
struct  Int2Type< 14 >
 
struct  Int2Type< 15 >
 
struct  Int2Type< 2 >
 
struct  Int2Type< 3 >
 
struct  Int2Type< 4 >
 
struct  Int2Type< 5 >
 
struct  Int2Type< 6 >
 
struct  Int2Type< 7 >
 
struct  Int2Type< 8 >
 
struct  Int2Type< 9 >
 
class  Integrand
 
struct  iso_date_holder
 
class  KernelInterpolation2DImpl
 
class  KernelInterpolationImpl
 
class  LagrangeInterpolationImpl
 
class  LinearFlatInterpolationImpl
 
class  LinearInterpolationImpl
 
class  LogInterpolationImpl
 
class  LogMixedInterpolationImpl
 
struct  long_date_holder
 
struct  long_period_holder
 
struct  long_weekday_holder
 
class  MixedInterpolationImpl
 
struct  multiplyV
 
class  n_cubic_spline
 
class  n_cubic_splint
 
struct  NoArbSabrSpecs
 
struct  null_checker
 
struct  OdeFctWrapper
 
struct  ordinal_holder
 
class  PastFixingsOnly
 
struct  percent_holder
 
struct  Point
 
struct  Point< base_data_table, EmptyRes >
 
struct  Point< Real, EmptyArg >
 
struct  Point< Real, EmptyRes >
 
struct  Point< Size, EmptyDim >
 
class  Polynomial2DSplineImpl
 
struct  power_of_two_holder
 
class  QdPlusAddOnValue
 
class  QdPutCallParityEngine
 
class  QuadraticHelper
 
class  QuadraticMinHelper
 
class  Root
 Utility for the numerical time solver. More...
 
struct  SABRSpecs
 
class  SABRWrapper
 
class  SectionHelper
 
struct  sequence_holder
 
struct  short_date_holder
 
struct  short_period_holder
 
struct  short_weekday_holder
 
struct  shortest_weekday_holder
 
class  simple_event
 
struct  SviSpecs
 
class  Tracing
 
class  UpdatedYInterpolation
 
class  VannaVolgaInterpolationImpl
 
class  XABRCoeffHolder
 
class  XABRInterpolationImpl
 
struct  ZabrSpecs
 

Typedefs

typedef NoArbSabrSmileSection NoArbSabrWrapper
 
typedef SviSmileSection SviWrapper
 
typedef std::vector< std::vector< Real > > SplineGrid
 
typedef DataTable< Realbase_data_table
 
typedef Data< std::vector< Real >, EmptyArgbase_data
 
typedef Point< Real, EmptyArgbase_arg_type
 
typedef Point< Real, EmptyResbase_return_type
 
typedef Point< Size, EmptyDimbase_dimensions
 
typedef Point< base_data_table, EmptyResbase_output_data
 
typedef base_cubic_spline cubic_spline_01
 
typedef n_cubic_spline< cubic_spline_01cubic_spline_02
 
typedef n_cubic_spline< cubic_spline_02cubic_spline_03
 
typedef n_cubic_spline< cubic_spline_03cubic_spline_04
 
typedef n_cubic_spline< cubic_spline_04cubic_spline_05
 
typedef n_cubic_spline< cubic_spline_05cubic_spline_06
 
typedef n_cubic_spline< cubic_spline_06cubic_spline_07
 
typedef n_cubic_spline< cubic_spline_07cubic_spline_08
 
typedef n_cubic_spline< cubic_spline_08cubic_spline_09
 
typedef n_cubic_spline< cubic_spline_09cubic_spline_10
 
typedef n_cubic_spline< cubic_spline_10cubic_spline_11
 
typedef n_cubic_spline< cubic_spline_11cubic_spline_12
 
typedef n_cubic_spline< cubic_spline_12cubic_spline_13
 
typedef n_cubic_spline< cubic_spline_13cubic_spline_14
 
typedef n_cubic_spline< cubic_spline_14cubic_spline_15
 
typedef base_cubic_splint cubic_splint_01
 
typedef n_cubic_splint< cubic_splint_01cubic_splint_02
 
typedef n_cubic_splint< cubic_splint_02cubic_splint_03
 
typedef n_cubic_splint< cubic_splint_03cubic_splint_04
 
typedef n_cubic_splint< cubic_splint_04cubic_splint_05
 
typedef n_cubic_splint< cubic_splint_05cubic_splint_06
 
typedef n_cubic_splint< cubic_splint_06cubic_splint_07
 
typedef n_cubic_splint< cubic_splint_07cubic_splint_08
 
typedef n_cubic_splint< cubic_splint_08cubic_splint_09
 
typedef n_cubic_splint< cubic_splint_09cubic_splint_10
 
typedef n_cubic_splint< cubic_splint_10cubic_splint_11
 
typedef n_cubic_splint< cubic_splint_11cubic_splint_12
 
typedef n_cubic_splint< cubic_splint_12cubic_splint_13
 
typedef n_cubic_splint< cubic_splint_13cubic_splint_14
 
typedef n_cubic_splint< cubic_splint_14cubic_splint_15
 

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
 

Detailed Description

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

Typedef Documentation

◆ NoArbSabrWrapper

Definition at line 36 of file noarbsabrinterpolation.hpp.

◆ SviWrapper

Definition at line 55 of file sviinterpolation.hpp.

◆ SplineGrid

typedef std::vector<std::vector<Real> > SplineGrid

Definition at line 40 of file multicubicspline.hpp.

◆ base_data_table

Definition at line 87 of file multicubicspline.hpp.

◆ base_data

typedef Data<std::vector<Real>, EmptyArg> base_data

Definition at line 120 of file multicubicspline.hpp.

◆ base_arg_type

Definition at line 164 of file multicubicspline.hpp.

◆ base_return_type

Definition at line 185 of file multicubicspline.hpp.

◆ base_dimensions

Definition at line 206 of file multicubicspline.hpp.

◆ base_output_data

Definition at line 221 of file multicubicspline.hpp.

◆ cubic_spline_01

Definition at line 340 of file multicubicspline.hpp.

◆ cubic_spline_02

Definition at line 341 of file multicubicspline.hpp.

◆ cubic_spline_03

Definition at line 342 of file multicubicspline.hpp.

◆ cubic_spline_04

Definition at line 343 of file multicubicspline.hpp.

◆ cubic_spline_05

Definition at line 344 of file multicubicspline.hpp.

◆ cubic_spline_06

Definition at line 345 of file multicubicspline.hpp.

◆ cubic_spline_07

Definition at line 346 of file multicubicspline.hpp.

◆ cubic_spline_08

Definition at line 347 of file multicubicspline.hpp.

◆ cubic_spline_09

Definition at line 348 of file multicubicspline.hpp.

◆ cubic_spline_10

Definition at line 349 of file multicubicspline.hpp.

◆ cubic_spline_11

Definition at line 350 of file multicubicspline.hpp.

◆ cubic_spline_12

Definition at line 351 of file multicubicspline.hpp.

◆ cubic_spline_13

Definition at line 352 of file multicubicspline.hpp.

◆ cubic_spline_14

Definition at line 353 of file multicubicspline.hpp.

◆ cubic_spline_15

Definition at line 354 of file multicubicspline.hpp.

◆ cubic_splint_01

Definition at line 356 of file multicubicspline.hpp.

◆ cubic_splint_02

Definition at line 357 of file multicubicspline.hpp.

◆ cubic_splint_03

Definition at line 358 of file multicubicspline.hpp.

◆ cubic_splint_04

Definition at line 359 of file multicubicspline.hpp.

◆ cubic_splint_05

Definition at line 360 of file multicubicspline.hpp.

◆ cubic_splint_06

Definition at line 361 of file multicubicspline.hpp.

◆ cubic_splint_07

Definition at line 362 of file multicubicspline.hpp.

◆ cubic_splint_08

Definition at line 363 of file multicubicspline.hpp.

◆ cubic_splint_09

Definition at line 364 of file multicubicspline.hpp.

◆ cubic_splint_10

Definition at line 365 of file multicubicspline.hpp.

◆ cubic_splint_11

Definition at line 366 of file multicubicspline.hpp.

◆ cubic_splint_12

Definition at line 367 of file multicubicspline.hpp.

◆ cubic_splint_13

Definition at line 368 of file multicubicspline.hpp.

◆ cubic_splint_14

Definition at line 369 of file multicubicspline.hpp.

◆ cubic_splint_15

Definition at line 370 of file multicubicspline.hpp.

Function Documentation

◆ effectiveFixedRate()

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.

+ Here is the call graph for this function:
+ Here is the caller graph for this function:

◆ noOption()

bool noOption ( const std::vector< Rate > &  caps,
const std::vector< Rate > &  floors,
Size  i 
)

Definition at line 50 of file cashflowvectors.cpp.

+ Here is the call graph for this function:
+ Here is the caller graph for this function:

◆ checkSviParameters()

void checkSviParameters ( const Real  a,
const Real  b,
const Real  sigma,
const Real  rho,
const Real  m,
const Time  tte 
)

Definition at line 35 of file sviinterpolation.hpp.

+ Here is the caller graph for this function:

◆ sviTotalVariance()

Real sviTotalVariance ( const Real  a,
const Real  b,
const Real  sigma,
const Real  rho,
const Real  m,
const Real  k 
)

Definition at line 49 of file sviinterpolation.hpp.

+ Here is the caller graph for this function:

◆ _fill_array_() [1/2]

void _fill_array_ ( Array a,
std::unique_ptr< Real[]> &  data_,
Size n_,
begin,
end,
const std::true_type &   
)

Definition at line 312 of file array.hpp.

+ Here is the call graph for this function:
+ Here is the caller graph for this function:

◆ _fill_array_() [2/2]

void _fill_array_ ( Array a,
std::unique_ptr< Real[]> &  data_,
Size n_,
begin,
end,
const std::false_type &   
)

Definition at line 329 of file array.hpp.

+ Here is the call graph for this function:

◆ double_ft()

std::vector< std::complex< Real > > double_ft ( ForwardIterator  begin,
ForwardIterator  end 
)

Definition at line 41 of file autocovariance.hpp.

+ Here is the call graph for this function:

◆ remove_mean()

Real remove_mean ( InputIterator  begin,
InputIterator  end,
OutputIterator  out 
)

Definition at line 61 of file autocovariance.hpp.

◆ mc_lookback_path_pricer() [1/4]

ext::shared_ptr< PathPricer< Path > > mc_lookback_path_pricer ( const ContinuousFixedLookbackOption::arguments args,
const GeneralizedBlackScholesProcess process,
DiscountFactor  discount 
)

Definition at line 78 of file mclookbackengine.cpp.

+ Here is the caller graph for this function:

◆ mc_lookback_path_pricer() [2/4]

ext::shared_ptr< PathPricer< Path > > mc_lookback_path_pricer ( const ContinuousPartialFixedLookbackOption::arguments args,
const GeneralizedBlackScholesProcess process,
DiscountFactor  discount 
)

Definition at line 93 of file mclookbackengine.cpp.

+ Here is the call graph for this function:

◆ mc_lookback_path_pricer() [3/4]

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.

◆ mc_lookback_path_pricer() [4/4]

ext::shared_ptr< PathPricer< Path > > mc_lookback_path_pricer ( const ContinuousPartialFloatingLookbackOption::arguments args,
const GeneralizedBlackScholesProcess process,
DiscountFactor  discount 
)

Definition at line 125 of file mclookbackengine.cpp.

+ Here is the call graph for this function:

◆ dontThrowFallback()

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.

+ Here is the caller graph for this function:

◆ operator<<() [1/14]

std::ostream & operator<< ( std::ostream &  out,
const short_date_holder holder 
)

Definition at line 894 of file date.cpp.

◆ operator<<() [2/14]

std::ostream & operator<< ( std::ostream &  out,
const long_date_holder holder 
)

Definition at line 912 of file date.cpp.

+ Here is the call graph for this function:

◆ operator<<() [3/14]

std::ostream & operator<< ( std::ostream &  out,
const iso_date_holder holder 
)

Definition at line 926 of file date.cpp.

◆ operator<<() [4/14]

std::ostream & operator<< ( std::ostream &  out,
const formatted_date_holder holder 
)

Definition at line 942 of file date.cpp.

◆ operator<<() [5/14]

std::ostream & operator<< ( std::ostream &  out,
const long_period_holder holder 
)

Definition at line 404 of file period.cpp.

+ Here is the call graph for this function:

◆ operator<<() [6/14]

std::ostream & operator<< ( std::ostream &  out,
const short_period_holder holder 
)

Definition at line 421 of file period.cpp.

+ Here is the call graph for this function:

◆ operator<<() [7/14]

std::ostream & operator<< ( std::ostream &  out,
const long_weekday_holder holder 
)

Definition at line 38 of file weekday.cpp.

◆ operator<<() [8/14]

std::ostream & operator<< ( std::ostream &  out,
const short_weekday_holder holder 
)

Definition at line 60 of file weekday.cpp.

◆ operator<<() [9/14]

std::ostream & operator<< ( std::ostream &  out,
const shortest_weekday_holder holder 
)

Definition at line 82 of file weekday.cpp.

◆ operator<<() [10/14]

std::ostream & operator<< ( std::ostream &  out,
const ordinal_holder holder 
)

Definition at line 27 of file dataformatters.cpp.

◆ operator<<() [11/14]

std::ostream & operator<< ( std::ostream &  out,
const percent_holder holder 
)

Definition at line 44 of file dataformatters.cpp.

◆ operator<<() [12/14]

std::ostream & operator<< ( std::ostream &  out,
const null_checker< T > &  checker 
)

Definition at line 149 of file dataformatters.hpp.

◆ operator<<() [13/14]

std::ostream & operator<< ( std::ostream &  out,
const power_of_two_holder< T > &  holder 
)

Definition at line 158 of file dataformatters.hpp.

◆ operator<<() [14/14]

std::ostream & operator<< ( std::ostream &  out,
const sequence_holder< I > &  holder 
)

Definition at line 175 of file dataformatters.hpp.

◆ get()

T get ( const std::vector< T > &  v,
Size  i,
defaultValue 
)

Definition at line 35 of file vectors.hpp.

+ Here is the call graph for this function:
+ Here is the caller graph for this function:

Variable Documentation

◆ minHazardRateComp

const Real minHazardRateComp = -1.0

Definition at line 146 of file interpolatedaffinehazardratecurve.hpp.

◆ sabrabsprob

const unsigned long sabrabsprob

Definition at line 138 of file noarbsabr.hpp.

◆ avgHazardRate

const Real avgHazardRate = 0.01

Definition at line 39 of file probabilitytraits.hpp.

◆ maxHazardRate

const Real maxHazardRate = 1.0

Definition at line 40 of file probabilitytraits.hpp.

◆ avgInflation

constexpr double avgInflation = 0.02
constexpr

Definition at line 36 of file inflationtraits.hpp.

◆ maxInflation

constexpr double maxInflation = 0.5
constexpr

Definition at line 37 of file inflationtraits.hpp.

◆ avgRate

const Real avgRate = 0.05

Definition at line 39 of file bootstraptraits.hpp.

◆ maxRate

const Real maxRate = 1.0

Definition at line 40 of file bootstraptraits.hpp.