QuantLib
A free/open-source library for quantitative finance
Fully annotated sources - version 1.22
Caveats
Class CmsCoupon
This class does not perform any date adjustment, i.e., the start and end date passed upon construction should be already rolled to a business day.
Member Coupon::Coupon (const Date &paymentDate, Real nominal, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())
the coupon does not adjust the payment date which must already be a business day.
Member CPICoupon::baseCPI () const
make sure that the interpolation used to create this is what you are using for the fixing, i.e. the observationInterpolation.
Class OvernightIndexedCoupon
telescopicValueDates optimizes the schedule for calculation speed, but might fail to produce correct results if the coupon ages by more than a grace period of 7 days. It is therefore recommended not to set this flag to true unless you know exactly what you are doing. The intended use is rather by the OISRateHelper which is safe, since it reinitialises the instrument each time the evaluation date changes.
Member ExchangeRateManager::lookup (const Currency &source, const Currency &target, Date date=Date(), ExchangeRate::Type type=ExchangeRate::Derived) const
if two or more exchange-rate chains are possible which allow to specify a requested rate, it is unspecified which one is returned.
Class DiscretizedOption
it is advised that derived classes take care of creating and initializing themselves an instance of the underlying.
Member DoubleBarrierOption::impliedVolatility (Real price, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
see VanillaOption for notes on implied-volatility calculation.
Class PerturbativeBarrierOptionEngine
This was reported to fail tests on Mac OS X 10.8.4.
Class BlackCallableFixedRateBondEngine
This class has yet to be tested
Class BlackCallableZeroCouponBondEngine
This class has yet to be tested.
Member CallableBondVolatilityStructure::CallableBondVolatilityStructure (const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Class ConvertibleZeroCouponBond
Most methods inherited from Bond (such as yield or the yield-based dirtyPrice and cleanPrice) refer to the underlying plain-vanilla bond and do not take convertibility and callability into account.
Class ConvertibleFixedCouponBond
Most methods inherited from Bond (such as yield or the yield-based dirtyPrice and cleanPrice) refer to the underlying plain-vanilla bond and do not take convertibility and callability into account.
Class ConvertibleFloatingRateBond
Most methods inherited from Bond (such as yield or the yield-based dirtyPrice and cleanPrice) refer to the underlying plain-vanilla bond and do not take convertibility and callability into account.
Class CmsSpreadCoupon
This class does not perform any date adjustment, i.e., the start and end date passed upon construction should be already rolled to a business day.
Class BlackCdsOptionEngine
The engine assumes that the exercise date equals the start date of the passed CDS.
Member CorrelationTermStructure::CorrelationTermStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member DefaultLatentModel< copulaPolicy >::DefaultLatentModel (const std::vector< std::vector< Real > > &factorWeights, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())
Baskets with realized defaults not tested/WIP.
Member DefaultLatentModel< copulaPolicy >::conditionalDefaultProbability (Probability prob, Size iName, const std::vector< Real > &mktFactors) const
Most often it is preferred to use the method below avoiding the cumulative inversion.
Class HimalayaOption
This implementation still does not manage seasoned options.
Class PagodaOption
This implementation still does not manage seasoned options.
Member CPICapFloorTermPriceSurface::price (const Period &d, Rate k) const
you MUST remind the compiler in any descendants with the using:: mechanism because you overload the names remember that the strikes use the quoting convention
Class PolarStudentTRng< URNG >
do not use with a low-discrepancy sequence generator.
Class MCAmericanPathEngine< RNG >
This method is intrinsically weak for out-of-the-money options.
Member PathPayoff::name () const =0
This method is used for output and comparison between payoffs. It is not meant to be used for writing switch-on-type code.
Class CreditRiskPlus
the input correlation matrix is not checked for positive definiteness
Class HaganIrregularSwaptionEngine
Currently a spread is not handled correctly; it should be a minor exercise to account for this feature as well;
Class VarianceGammaModel
calibration is not implemented for VG
Class VarianceOption
This class does not manage seasoned variance options.
Member BlackAtmVolCurve::BlackAtmVolCurve (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member BlackVolSurface::BlackVolSurface (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member EquityFXVolSurface::EquityFXVolSurface (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member InterestRateVolSurface::InterestRateVolSurface (ext::shared_ptr< InterestRateIndex >, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Class RelinkableHandle< T >
see the Handle documentation for issues relatives to registerAsObserver.
Module Constructors
registerAsObserver is left as a backdoor in case the programmer cannot guarantee that the object pointed to will remain alive for the whole lifetime of the handle—namely, it should be set to false when the passed shared pointer does not own the pointee (this should only happen in a controlled environment, so that the programmer is aware of it). Failure to do so can very likely result in a program crash. If the programmer does want the handle to register as observer of such a shared pointer, it is his responsibility to ensure that the handle gets destroyed before the pointed object does.
Class Index
this class performs no check that the provided/requested fixings are for dates in the past, i.e. for dates less than or equal to the evaluation date. It is up to the client code to take care of possible inconsistencies due to "seeing in the future"
Member Index::name () const =0
This method is used for output and comparison between indexes. It is not meant to be used for writing switch-on-type code.
Class CADLibor
This is the rate fixed in London by BBA. Use CDOR if you're interested in the Canadian fixing by IDA.
Class Cdor
This is the rate fixed in Canada by IDA. Use CADLibor if you're interested in the London fixing by BBA.
Class CHFLibor
This is the rate fixed in London by BBA. Use ZIBOR if you're interested in the Zurich fixing.
Class Euribor
This is the rate fixed by the ECB. Use EurLibor if you're interested in the London fixing by BBA.
Class EURLibor
This is the rate fixed in London by BBA. Use Euribor if you're interested in the fixing by the ECB.
Class DailyTenorEURLibor
This is the rate fixed in London by ICE. Use Eonia if you're interested in the fixing by the ECB.
Class JPYLibor
This is the rate fixed in London by ICE. Use TIBOR if you're interested in the Tokio fixing.
Class Mosprime
Roll convention and EoM not yet checked.
Class Pribor
Roll convention and EoM not yet checked.
Class Robor
Roll convention and EoM not yet checked.
Class Tibor
This is the rate fixed in Tokio by JBA. Use JPYLibor if you're interested in the London fixing by BBA.
Class Wibor
Roll convention and EoM not yet checked.
Class Zibor
This is the rate fixed in Zurich by BBA. Use CHFLibor if you're interested in the London fixing by BBA.
Member ZeroInflationIndex::fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
the forecastTodaysFixing parameter (required by the Index interface) is currently ignored.
Member YoYInflationIndex::fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
the forecastTodaysFixing parameter (required by the Index interface) is currently ignored.
Member SwapIndex::underlyingSwap (const Date &fixingDate) const
Relinking the term structure underlying the index will not have effect on the returned swap.
Member OvernightIndexedSwapIndex::underlyingSwap (const Date &fixingDate) const
Relinking the term structure underlying the index will not have effect on the returned swap.
Member Instrument::setPricingEngine (const ext::shared_ptr< PricingEngine > &)
calling this method will have no effects in case the performCalculation method was overridden in a derived class.
Class AssetSwap
bondCleanPrice must be the (forward) price at the floatSchedule start date
Member BarrierOption::impliedVolatility (Real price, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
see VanillaOption for notes on implied-volatility calculation.
Class Bond
Most methods assume that the cash flows are stored sorted by date, the redemption(s) being after any cash flow at the same date. In particular, if there's one single redemption, it must be the last cash flow,
Member Bond::Bond (Natural settlementDays, Calendar calendar, Real faceAmount, const Date &maturityDate, const Date &issueDate=Date(), const Leg &cashflows=Leg())
The last passed cash flow must be the bond redemption. No other cash flow can have a date later than the redemption date.
Member Bond::cleanPrice () const
the theoretical price calculated from a flat term structure might differ slightly from the price calculated from the corresponding yield by means of the other overload of this function. If the price from a constant yield is desired, it is advisable to use such other overload.
Member Bond::dirtyPrice () const
the theoretical price calculated from a flat term structure might differ slightly from the price calculated from the corresponding yield by means of the other overload of this function. If the price from a constant yield is desired, it is advisable to use such other overload.
Class CompositeInstrument
Methods that drive the calculation directly (such as recalculate(), freeze() and others) might not work correctly.
Class CPISwap
Setting subtractInflationNominal to true means that the original inflation nominal is subtracted from both nominals before they are exchanged, even if they are different.
Class CreditDefaultSwap

if Settings::includeReferenceDateCashFlows() is set to true, payments occurring at the settlement date of the swap might be included in the NPV and therefore affect the fair-spread calculation. This might not be what you want.

conventionalSpread (and impliedHazardRate) by default use the mid-point engine, which is not ISDA conform.

Member QuantLib::cdsMaturity (const Date &tradeDate, const Period &tenor, DateGeneration::Rule rule)

An exception will be thrown if the rule is not CDS2015, CDS or OldCDS.

An exception will be thrown if the rule is OldCDS and a tenor of 0 months is provided. This restriction can be removed if 0M tenor was available before the CDS Big Bang 2009.

An exception will be thrown if the tenor is not a multiple of 3 months. For the avoidance of doubt, a tenor of 0 months is supported.

Member DividendVanillaOption::impliedVolatility (Real price, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
see VanillaOption for notes on implied-volatility calculation.
Class FixedRateBondForward
This class still needs to be rigorously tested
Class Forward
This class still needs to be rigorously tested
Class ForwardRateAgreement
This class still needs to be rigorously tested
Class GapPayoff
this payoff can be negative depending on the strikes
Member VanillaOption::impliedVolatility (Real price, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const

currently, this method returns the Black-Scholes implied volatility using analytic formulas for European options and a finite-difference method for American and Bermudan options. It will give unconsistent results if the pricing was performed with any other methods (such as jump-diffusion models.)

options with a gamma that changes sign (e.g., binary options) have values that are not monotonic in the volatility. In these cases, the calculation can fail and the result (if any) is almost meaningless. Another possible source of failure is to have a target value that is not attainable with any volatility, e.g., a target value lower than the intrinsic value in the case of American options.

Class VanillaSwap
if Settings::includeReferenceDateCashFlows() is set to true, payments occurring at the settlement date of the swap might be included in the NPV and therefore affect the fair-rate and fair-spread calculation. This might not be what you want.
Class VarianceSwap
This class does not manage seasoned variance swaps.
Member InterestRate::discountFactor (Time t) const
Time must be measured using InterestRate's own day counter.
Member InterestRate::compoundFactor (Time t) const
Time must be measured using InterestRate's own day counter.
Member InterestRate::impliedRate (Real compound, const DayCounter &resultDC, Compounding comp, Frequency freq, Time t)
Time must be measured using the day-counter provided as input.
Member InterestRate::equivalentRate (Compounding comp, Frequency freq, Time t) const
Time must be measured using the InterestRate's own day counter.
Class LiborForwardModelProcess
this class does not work correctly with Visual C++ 6.
Class Interpolation
Interpolations don't copy their underlying data; instead, they store iterators through which they access them. This allow them to see changes in the underlying data without having to propagate them manually, but adds the requirement that the lifetime of the underlying data exceeds or equals the lifetime of the interpolation. It is up to the user to ensure this: usually, a class will store as data members both the data and the interpolation (see, e.g., the InterpolatedCurve class) and call the update() method on the latter when the data change.
Class AbcdInterpolation
See the Interpolation class for information about the required lifetime of the underlying data.
Class BackwardFlatInterpolation
See the Interpolation class for information about the required lifetime of the underlying data.
Class BackwardflatLinearInterpolation
See the Interpolation class for information about the required lifetime of the underlying data.
Class BicubicSpline
See the Interpolation class for information about the required lifetime of the underlying data.
Class BilinearInterpolation
See the Interpolation class for information about the required lifetime of the underlying data.
Class ConvexMonotoneInterpolation< I1, I2 >
See the Interpolation class for information about the required lifetime of the underlying data.
Class CubicInterpolation
See the Interpolation class for information about the required lifetime of the underlying data.
Class FlatExtrapolator2D
See the Interpolation class for information about the required lifetime of the underlying data.
Class ForwardFlatInterpolation
See the Interpolation class for information about the required lifetime of the underlying data.
Class Interpolation2D
See the Interpolation class for information about the required lifetime of the underlying data.
Class KernelInterpolation
See the Interpolation class for information about the required lifetime of the underlying data.
Class KernelInterpolation2D
See the Interpolation class for information about the required lifetime of the underlying data.
Class LagrangeInterpolation
See the Interpolation class for information about the required lifetime of the underlying data.
Class LinearInterpolation
See the Interpolation class for information about the required lifetime of the underlying data.
Class LogLinearInterpolation
See the Interpolation class for information about the required lifetime of the underlying data.
Class MixedLinearCubicInterpolation
See the Interpolation class for information about the required lifetime of the underlying data.
Class SABRInterpolation
See the Interpolation class for information about the required lifetime of the underlying data.
Member Matrix::Matrix (Size rows, Size columns, Iterator begin, Iterator end)
if the range defined by [begin, end) is larger than the size of the matrix, a memory access violation might occur. It is up to the user to avoid this.
Member pseudoSqrt
Higham algorithm only works for correlation matrices.
Class DifferentialEvolution
This was reported to fail tests on Mac OS X 10.8.4.
Class Problem
The passed CostFunction and Constraint instances are stored by reference. The user of this class must make sure that they are not destroyed before the Problem instance.
Member Problem::reset ()
it does not reset the current minumum to any initial value
Class RandomizedLDS< LDS, PRS >
Inverting LDS and PRS is possible, but it doesn't make sense.
Class RandomSequenceGenerator< RNG >
do not use with low-discrepancy sequence generator.
Member Rounding::Type
the names of the Floor and Ceiling methods might be misleading. Check the provided reference.
Class NeumannBC
The value passed must not be the value of the derivative. Instead, it must be comprehensive of the grid step between the first two points–i.e., it must be the difference between f[0] and f[1].
Class CrankNicolson< Operator >
The differential operator must be linear for this evolver to work.
Member FiniteDifferenceModel< Evolver >::rollback (array_type &a, Time from, Time to, Size steps)
being this a rollback, from must be a later time than to.
Member FiniteDifferenceModel< Evolver >::rollback (array_type &a, Time from, Time to, Size steps, const condition_type &condition)
being this a rollback, from must be a later time than to.
Class MixedScheme< Operator >
The differential operator must be linear for this evolver to work.
Class TRBDF2< Operator >
The differential operator must be linear for this evolver to work.
Class TridiagonalOperator
to use real time-dependant algebra, you must overload the corresponding operators in the inheriting time-dependent class.
Class TrinomialTree
The diffusion term of the SDE must be independent of the underlying process.
Class Gaussian1dModel
the variance of the state process conditional on $x(t)=x$ must be independent of the value of $x$
Member Lattice::partialRollback (DiscretizedAsset &, Time to) const =0
In version 0.3.7 and earlier, this method was called rollAlmostBack method and performed pre-adjustment. This is no longer true; when migrating your code, you'll have to replace calls such as:
Member LazyObject::alwaysForwardNotifications ()
Forwarding all notifications will cause a performance hit, and should be used only when discarding notifications cause an incorrect behavior.
Member LazyObject::calculate () const

Objects cache the results of the previous calculation. Such results will be returned upon later invocations of calculate. When the results depend on arguments which could change between invocations, the lazy object must register itself as observer of such objects for the calculations to be performed again when they change.

Should this method be redefined in derived classes, LazyObject::calculate() should be called in the overriding method.

Member Observable::operator= (const Observable &)
notification is sent before the copy constructor has a chance of actually change the data members. Therefore, observers whose update() method tries to use their observables will not see the updated values. It is suggested that the update() method just raise a flag in order to trigger a later recalculation.
Member Payoff::name () const =0
This method is used for output and comparison between payoffs. It is not meant to be used for writing switch-on-type code.
Class MCDiscreteAveragingAsianEngineBase< MC, RNG, S >

control-variate calculation is disabled under VC++6.

Class MCAmericanBasketEngine< RNG >
This method is intrinsically weak for out-of-the-money options.
Member QuantLib::blackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount, Real displacement)
instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)
Member QuantLib::blackFormula (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount, Real displacement)
instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)
Member QuantLib::blackFormulaForwardDerivative (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount, Real displacement)
instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)
Member QuantLib::blackFormulaForwardDerivative (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount, Real displacement)
instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)
Member QuantLib::blackFormulaCashItmProbability (Option::Type optionType, Real strike, Real forward, Real stdDev, Real displacement)
instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)
Member QuantLib::blackFormulaCashItmProbability (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real displacement)
instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)
Member QuantLib::blackFormulaStdDevDerivative (Rate strike, Rate forward, Real stdDev, Real discount, Real displacement)
instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation. If T is the time to maturity Black vega would be blackStdDevDerivative(strike, forward, stdDev)*sqrt(T)
Member QuantLib::blackFormulaStdDevDerivative (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount, Real displacement)
instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation. If T is the time to maturity Black vega would be blackStdDevDerivative(strike, forward, stdDev)*sqrt(T)
Member QuantLib::blackFormulaStdDevSecondDerivative (Rate strike, Rate forward, Real stdDev, Real discount, Real displacement)
instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation.
Member QuantLib::blackFormulaStdDevSecondDerivative (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount, Real displacement)
instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation.
Member QuantLib::bachelierBlackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount)
Bachelier model needs absolute volatility, not percentage volatility. Standard deviation is absoluteVolatility*sqrt(timeToMaturity)
Member QuantLib::bachelierBlackFormula (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount)
Bachelier model needs absolute volatility, not percentage volatility. Standard deviation is absoluteVolatility*sqrt(timeToMaturity)
Member QuantLib::bachelierBlackFormulaForwardDerivative (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount)
Bachelier model needs absolute volatility, not percentage volatility. Standard deviation is absoluteVolatility*sqrt(timeToMaturity)
Member QuantLib::bachelierBlackFormulaForwardDerivative (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount)
Bachelier model needs absolute volatility, not percentage volatility. Standard deviation is absoluteVolatility*sqrt(timeToMaturity)
Member QuantLib::bachelierBlackFormulaStdDevDerivative (Rate strike, Rate forward, Real stdDev, Real discount)
instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation. If T is the time to maturity Black vega would be blackStdDevDerivative(strike, forward, stdDev)*sqrt(T)
Class QuantoEngine< Instr, Engine >
for the time being, this engine will only work with simple Black-Scholes processes (i.e., no Merton.)
Class BlackSwaptionEngine
The engine assumes that the exercise date lies before the start date of the passed swap.
Class BachelierSwaptionEngine
The engine assumes that the exercise date lies before the start date of the passed swap.
Class G2SwaptionEngine
The engine assumes that the exercise date equals the start date of the passed swap.
Class Gaussian1dNonstandardSwaptionEngine
Cash settled swaptions are not supported
Class Gaussian1dSwaptionEngine
Cash settled swaptions are not supported
Class JamshidianSwaptionEngine
The engine might assume that the exercise date equals the start date of the passed swap unless the model provides an implementation of the discountBondOption method with start delay
Class TreeSwaptionEngine
This engine is not guaranteed to work if the underlying swap has a start date in the past, i.e., before today's date. When using this engine, prune the initial part of the swap so that it starts at \( t \geq 0 \).
Class JuQuadraticApproximationEngine
Barone-Adesi-Whaley critical commodity price calculation is used, it has not been modified to see whether the method of Ju is faster. Ju does not say how he solves the equation for the critical stock price, e.g. Newton method. He just gives the solution. The method of BAW gives answers to the same accuracy as in Ju (1999).
Class GeneralizedBlackScholesProcess
while the interface is expressed in terms of \( S \), the internal calculations work on \( ln S \).
Class BlackScholesProcess
while the interface is expressed in terms of \( S \), the internal calculations work on \( ln S \).
Class BlackProcess
while the interface is expressed in terms of \( S \), the internal calculations work on \( ln S \).
Class GarmanKohlagenProcess
while the interface is expressed in terms of \( S \), the internal calculations work on \( ln S \).
Member GeneralizedBlackScholesProcess::expectation (Time t0, Real x0, Time dt) const override
in general raises a "not implemented" exception. It should be rewritten to return the expectation E(S) of the process, not exp(E(log S)).
File gsrprocesscore.hpp
Results are cached for performance reasons, so if parameters change, you need to call flushCache() to avoid inconsistent results.
Member Settings::evaluationDate ()
a notification is not sent when the evaluation date changes for natural causes—i.e., a date was not explicitly set (which results in today's date being used for pricing) and the current date changes as the clock strikes midnight.
Member TermStructure::TermStructure (DayCounter dc=DayCounter())
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member BootstrapHelper< TS >::setTermStructure (TS *)
Being a pointer and not a shared_ptr, the term structure is not guaranteed to remain allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure that the pointer remains valid. It is advised that this method is called only inside the term structure being bootstrapped, setting the pointer to this, i.e., the term structure itself.
Member DefaultDensityStructure::survivalProbabilityImpl (Time) const override
This default implementation uses numerical integration, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.
Member HazardRateStructure::survivalProbabilityImpl (Time) const override
This default implementation uses numerical integration, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.
Class PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >
The bootstrapping algorithm will raise an exception if any two instruments have the same maturity date.
Member SurvivalProbabilityStructure::defaultDensityImpl (Time) const override
This implementation uses numerical differentiation, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.
Class MultiplicativePriceSeasonality
Multi-year seasonality (i.e. non-stationary) is fragile: the user must ensure that corrections at whole years before and after the inflation term structure base date are the same. Otherwise there can be an inconsistency with quoted rates. This is enforced if the frequency is lower than daily. This is not enforced for daily seasonality because this will always be inconsistent due to weekends, holidays, leap years, etc. If you use multi-year daily seasonality it is up to you to check.
Member ZeroInflationTermStructure::zeroRate (Time t, bool extrapolate=false) const
Since inflation is highly linked to dates (lags, interpolation, months for seasonality, etc) this method cannot account for all effects. If you call it, You'll have to manage lag, seasonality etc. yourself.
Member YoYInflationTermStructure::yoyRate (Time t, bool extrapolate=false) const
Since inflation is highly linked to dates (lags, interpolation, months for seasonality, etc) this method cannot account for all effects. If you call it, You'll have to manage lag, seasonality etc. yourself.
Member CapFloorTermVolatilityStructure::CapFloorTermVolatilityStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member BlackVolTermStructure::BlackVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member BlackVolatilityTermStructure::BlackVolatilityTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member BlackVarianceTermStructure::BlackVarianceTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Class ImpliedVolTermStructure
It doesn't make financial sense to have an asset-dependant implied Vol Term Structure. This class should be used with term structures that are time dependant only.
Member LocalVolTermStructure::LocalVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member OptionletVolatilityStructure::OptionletVolatilityStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Class SwaptionVolatilityCube
this class is not finalized and its interface might change in subsequent releases.
Member SwaptionVolatilityStructure::SwaptionVolatilityStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member VolatilityTermStructure::VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Class BondHelper
This class assumes that the reference date does not change between calls of setTermStructure().
Member BondHelper::BondHelper (const Handle< Quote > &price, const ext::shared_ptr< Bond > &bond, Bond::Price::Type priceType=Bond::Price::Clean)
Setting a pricing engine to the passed bond from external code will cause the bootstrap to fail or to give wrong results. It is advised to discard the bond after creating the helper, so that the helper has sole ownership of it.
Class FittedBondDiscountCurve
The method can be slow if there are many bonds to fit. Speed also depends on the particular choice of fitting method chosen and its convergence properties under optimization. See also todo list for BondDiscountCurveFittingMethod.
Class FittedBondDiscountCurve::FittingMethod
some parameters to the Simplex optimization method may need to be tweaked internally to the class, depending on the fitting method used, in order to get proper/reasonable/faster convergence.
Member ForwardRateStructure::zeroYieldImpl (Time) const
This default implementation uses an highly inefficient and possibly wildly inaccurate numerical integration. Derived classes should override it if a more efficient implementation is available.
Class ExponentialSplinesFitting
convergence may be slow
Class CubicBSplinesFitting
"The results are extremely sensitive to the number and location of the knot points, and there is no optimal way of selecting them." James, J. and N. Webber, "Interest Rate Modelling" John Wiley, 2000, pp. 440.
Class PiecewiseYieldCurve< Traits, Interpolator, Bootstrap >
The bootstrapping algorithm will raise an exception if any two instruments have the same maturity date.
Class FxSwapRateHelper
The ON fx swaps can be achieved by setting fixingDays to 0 and using a tenor of '1d'. The same tenor should be used for TN swaps, with fixingDays set to 1. However, handling ON and TN swaps for cross rates without USD is not trivial and should be treated with caution. If today is a US holiday, ON trade is not possible. If tomorrow is a US Holiday, the ON trade will be at least two business days long in the other countries and the TN trade will not exist. In such cases, if this helper is used for curve construction, probably it is safer not to pass a trading calendar to the ON and TN helpers and provide fwdPoints that will yield proper level of discount factors.
Member YieldTermStructure::forwardRate (const Date &d, const Period &p, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
dates are not adjusted for holidays
Member ASX::code (const Date &asxDate)
It raises an exception if the input date is not an ASX date
Member ASX::date (const std::string &asxCode, const Date &referenceDate=Date())
It raises an exception if the input string is not an ASX code
Member Calendar::name () const
This method is used for output and comparison between calendars. It is not meant to be used for writing switch-on-type code.
Member BespokeCalendar::BespokeCalendar (const std::string &name="")
different bespoke calendars created with the same name (or different bespoke calendars created with no name) will compare as equal.
Member DayCounter::name () const
This method is used for output and comparison between day counters. It is not meant to be used for writing switch-on-type code.
Class Actual365Fixed
According to ISDA, "Actual/365" (without "Fixed") is an alias for "Actual/Actual (ISDA)" (see ActualActual.) If Actual/365 is not explicitly specified as fixed in an instrument specification, you might want to double-check its meaning.
Class SimpleDayCounter
this day counter should be used together with NullCalendar, which ensures that dates at whole-month distances share the same day of month. It is not guaranteed to work with any other calendar.
Member ECB::date (const std::string &ecbCode, const Date &referenceDate=Date())
It raises an exception if the input string is not an ECB code
Member ECB::code (const Date &ecbDate)
It raises an exception if the input date is not an ECB date
Member IMM::code (const Date &immDate)
It raises an exception if the input date is not an IMM date
Member IMM::date (const std::string &immCode, const Date &referenceDate=Date())
It raises an exception if the input string is not an IMM code