QuantLib 0.3.8
Getting started
Reference manual
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- accrualDays()
: Coupon
- accrualEndDate()
: Coupon
- accrualPeriod()
: Coupon
- accrualStartDate()
: Coupon
- accruedAmount()
: Bond, FloatingRateCoupon, FixedRateCoupon, Coupon
- add()
: IncrementalStatistics, GeneralStatistics, ExchangeRateManager
- addHoliday()
: Calendar
- addSequence()
: IncrementalStatistics, GeneralStatistics
- addTimesTo()
: DiscretizedAsset
- adjust()
: Calendar
- adjustValues()
: DiscretizedAsset
- advance()
: Calendar
- AffineTermStructure()
: AffineTermStructure
- allowsExtrapolation()
: Extrapolator
- amount()
: SimpleCashFlow, Short, Short< ParCoupon >, ParCoupon, IndexedCoupon, FixedRateCoupon, CashFlow
- applyAfterApplying()
: BoundaryCondition
- applyAfterSolving()
: BoundaryCondition
- applyBeforeApplying()
: BoundaryCondition
- applyBeforeSolving()
: BoundaryCondition
- applyTo()
: TridiagonalOperator, StepCondition, ShoutCondition, AmericanCondition
- ArmijoLineSearch()
: ArmijoLineSearch
- Array()
: Array
- averageShortfall()
: GenericRiskStatistics
- calculate()
: McSimulation, LazyObject, Instrument
- calendar()
: ZeroSpreadedTermStructure, ZeroCurve, QuantoTermStructure, ImpliedTermStructure, ForwardSpreadedTermStructure, ExtendedDiscountCurve, DriftTermStructure, CompoundForward, BaseTermStructure
- Calendar()
: Calendar
- calibrate()
: ShortRateModel
- calibrationError()
: CalibrationHelper
- CapletVolatilityStructure()
: CapletVolatilityStructure
- CapVolatilityStructure()
: CapVolatilityStructure
- CapVolatilityVector()
: CapVolatilityVector
- chain()
: ExchangeRate
- cleanPrice()
: Bond
- clear()
: ExchangeRateManager
- code()
: Currency
- compoundFactor()
: InterestRate
- compoundForward()
: YieldTermStructure
- CompoundForward()
: CompoundForward
- compoundForwardImpl()
: ZeroYieldStructure, PiecewiseFlatForward, ForwardRateStructure, FlatForward, ExtendedDiscountCurve, DiscountStructure, CompoundForward, YieldTermStructure
- ConjugateGradient()
: ConjugateGradient
- constraint()
: Problem
- convertDates()
: SwaptionVolatilityStructure
- convexityAdjustment()
: InArrearIndexedCoupon, FloatingRateCoupon
- correlation()
: TwoFactorModel::ShortRateDynamics, SequenceStatistics
- correlationMatrix()
: CovarianceDecomposition
- costFunction()
: Problem
- Coupon()
: Coupon
- covariance()
: SequenceStatistics
- CovarianceDecomposition()
: CovarianceDecomposition
- criteria()
: EndCriteria
- CubicSpline()
: CubicSpline
- Currency()
: Currency
- currentLink()
: Handle, Link
- data()
: GeneralStatistics
- Date()
: Date
- date()
: SimpleCashFlow, Coupon, CashFlow
- dayCount()
: DayCounter, DayCounterImpl
- DayCounter()
: DayCounter
- dayCounter()
: LocalVolTermStructure, BlackVolTermStructure, SwaptionVolatilityMatrix, LocalVolSurface, LocalVolCurve, LocalConstantVol, ImpliedVolTermStructure, CapletConstantVolatility, CapVolatilityVector, BlackVarianceSurface, BlackVarianceCurve, BlackConstantVol, ZeroSpreadedTermStructure, ZeroCurve, QuantoTermStructure, PiecewiseFlatForward, ImpliedTermStructure, ForwardSpreadedTermStructure, FlatForward, DriftTermStructure, DiscountCurve, CompoundForward, AffineTermStructure, YieldTermStructure, ParCoupon, IndexedCoupon, FixedRateCoupon, Coupon, CapletVolatilityStructure, CapVolatilityStructure, BaseTermStructure
- dayOfYear()
: Date
- descendant()
: OneFactorModel::ShortRateTree, Lattice2D, Lattice, BlackScholesLattice
- diffusion()
: SquareRootProcess, OrnsteinUhlenbeckProcess, Merton76Process, BlackScholesProcess, GeometricBrownianMotionProcess, StochasticProcess
- dirtyPrice()
: Bond
- disableExtrapolation()
: Extrapolator
- discount()
: YieldTermStructure, G2, TwoFactorModel::ShortRateTree, OneFactorAffineModel, OneFactorModel::ShortRateTree, AffineModel, Lattice, BlackScholesLattice
- DiscountCurve()
: DiscountCurve
- discountFactor()
: InterestRate
- discountImpl()
: ZeroYieldStructure, PiecewiseFlatForward, ImpliedTermStructure, ForwardRateStructure, FlatForward, DiscountCurve, CompoundForward, AffineTermStructure, YieldTermStructure
- DiscretizedAsset()
: DiscretizedAsset
- DiscretizedDiscountBond()
: DiscretizedDiscountBond
- downsideDeviation()
: GenericRiskStatistics, IncrementalStatistics
- downsideVariance()
: GenericRiskStatistics, IncrementalStatistics
- drift()
: SquareRootProcess, OrnsteinUhlenbeckProcess, Merton76Process, BlackScholesProcess, GeometricBrownianMotionProcess, StochasticProcess
- dynamics()
: G2, TwoFactorModel, Vasicek, HullWhite, ExtendedCoxIngersollRoss, CoxIngersollRoss, BlackKarasinski, OneFactorModel
- finiteDifferenceEpsilon()
: CostFunction
- firstDate()
: History
- fixing()
: Xibor, Index, ParCoupon, IndexedCoupon, FloatingRateCoupon
- fixingDate()
: UpFrontIndexedCoupon, ParCoupon, InArrearIndexedCoupon, FloatingRateCoupon
- fixingDays()
: FloatingRateCoupon
- FlatForward()
: FlatForward
- format()
: Currency
- formula()
: BlackModel
- forward()
: YieldTermStructure
- forwardImpl()
: ZeroYieldStructure, ZeroSpreadedTermStructure, PiecewiseFlatForward, ForwardRateStructure, ForwardSpreadedTermStructure, FlatForward, DiscountStructure, CompoundForward, YieldTermStructure
- forwardRate()
: YieldTermStructure
- ForwardRateStructure()
: ForwardRateStructure
- fractionsPerUnit()
: Currency
- fractionSymbol()
: Currency
- freeze()
: LazyObject
- functionEvaluation()
: OptimizationMethod
- functionValue()
: OptimizationMethod
- identity()
: TridiagonalOperator
- impliedRate()
: InterestRate
- ImpliedTermStructure()
: ImpliedTermStructure
- impliedVolatility()
: CalibrationHelper, SingleAssetOption, OneAssetOption, CapFloor
- indexFixing()
: ParCoupon, IndexedCoupon, FloatingRateCoupon
- initialize()
: NumericalMethod, Lattice
- instance()
: Singleton
- instantaneousForward()
: YieldTermStructure
- InterestRate()
: InterestRate
- isBusinessDay()
: Calendar
- isEndOfMonth()
: Date, Calendar
- isEOM()
: Date
- isExpired()
: Swaption, Swap, Stock, OneAssetOption, MultiAssetOption, CapFloor, Bond, Instrument
- isHoliday()
: Calendar
- isIMMdate()
: Date
- isLeap()
: Date
- isNull()
: Handle, Link
- isOnTime()
: DiscretizedAsset
- isValid()
: Currency
- iterationNumber()
: OptimizationMethod
- iterationsNumber()
: NonLinearLeastSquare
- itmAssetProbability()
: BlackFormula
- itmCashProbability()
: BlackFormula
- itmProbability()
: BlackModel
- make_combining_iterator()
: combining_iterator
- make_coupling_iterator()
: coupling_iterator
- make_filtering_iterator()
: filtering_iterator
- make_processing_iterator()
: processing_iterator
- make_step_iterator()
: step_iterator
- make_stepping_iterator()
: stepping_iterator
- mandatoryTimes()
: DiscretizedOption, DiscretizedAsset
- marketValue()
: CalibrationHelper
- Matrix()
: Matrix
- maturity()
: RateHelper
- max()
: IncrementalStatistics, GeneralStatistics
- maxDate()
: LocalVolTermStructure, BlackVolTermStructure, LocalVolSurface, LocalVolCurve, LocalConstantVol, ImpliedVolTermStructure, BlackVarianceSurface, BlackVarianceCurve, BlackConstantVol, ZeroSpreadedTermStructure, ZeroCurve, QuantoTermStructure, PiecewiseFlatForward, ImpliedTermStructure, ForwardSpreadedTermStructure, FlatForward, DriftTermStructure, DiscountCurve, CompoundForward, AffineTermStructure, YieldTermStructure, Date
- maxStrike()
: LocalVolTermStructure, BlackVolTermStructure, LocalVolSurface, LocalVolCurve, LocalConstantVol, ImpliedVolTermStructure, BlackVarianceSurface, BlackVarianceCurve, BlackConstantVol
- maxTime()
: LocalVolTermStructure, BlackVolTermStructure, ZeroSpreadedTermStructure, ZeroCurve, PiecewiseFlatForward, ForwardSpreadedTermStructure, DiscountCurve, CompoundForward, YieldTermStructure
- mean()
: IncrementalStatistics, GeneralStatistics
- MersenneTwisterUniformRng()
: MersenneTwisterUniformRng
- method()
: Problem
- min()
: IncrementalStatistics, GeneralStatistics
- minDate()
: Date
- minimize()
: SteepestDescent, Simplex, Problem, OptimizationMethod, ConjugateGradient
- minStrike()
: LocalVolTermStructure, BlackVolTermStructure, LocalVolSurface, LocalVolCurve, LocalConstantVol, ImpliedVolTermStructure, BlackVarianceSurface, BlackVarianceCurve, BlackConstantVol
- modelValue()
: CalibrationHelper
- MonotonicCubicSpline()
: MonotonicCubicSpline
- name()
: Xibor, Index, DayCounter, Currency, Calendar
- NaturalCubicSpline()
: NaturalCubicSpline
- NaturalMonotonicCubicSpline()
: NaturalMonotonicCubicSpline
- next()
: MersenneTwisterUniformRng, LecuyerUniformRng, KnuthUniformRng, InverseCumulativeRng, ICGaussianRng, CLGaussianRng, BoxMullerGaussianRng
- nextIMMdate()
: Date
- nextInt32()
: MersenneTwisterUniformRng
- nextRandomizer()
: RamdomizedLDS
- nextSequence()
: RamdomizedLDS, InverseCumulativeRsg, ICGaussianRsg
- nextWeekday()
: Date
- NonLinearLeastSquare()
: NonLinearLeastSquare
- notifyObservers()
: Observable
- NPV()
: Instrument
- nthWeekday()
: Date
- numericCode()
: Currency
- params()
: ShortRateModel
- parRate()
: YieldTermStructure
- partialRollback()
: NumericalMethod, Lattice
- percentile()
: GeneralStatistics
- perform()
: NonLinearLeastSquare
- performCalculations()
: LazyObject, Swap, Stock, QuantoVanillaOption, OneAssetStrikedOption, OneAssetOption, MultiAssetOption, ForwardVanillaOption, Bond, BarrierOption, Instrument
- PiecewiseFlatForward()
: PiecewiseFlatForward
- plus()
: Date
- plusDays()
: Date
- plusMonths()
: Date
- plusWeeks()
: Date
- plusYears()
: Date
- postAdjustValues()
: DiscretizedAsset
- postAdjustValuesImpl()
: DiscretizedOption, DiscretizedAsset
- potentialUpside()
: GenericRiskStatistics
- preAdjustValues()
: DiscretizedAsset
- preAdjustValuesImpl()
: DiscretizedAsset
- presentValue()
: NumericalMethod, Lattice
- Problem()
: Problem
- process()
: OneFactorModel::ShortRateDynamics
- pseudoSqrt()
: Matrix
- rankReducedSqrt()
: Matrix
- rate()
: ExchangeRate, FloatingRateCoupon, FixedRateCoupon, Coupon
- rebin()
: TimeBasket
- recalculate()
: LazyObject
- referenceDate()
: LocalVolSurface, LocalVolCurve, ZeroSpreadedTermStructure, QuantoTermStructure, ForwardSpreadedTermStructure, DriftTermStructure, BaseTermStructure
- regret()
: GenericRiskStatistics
- removeHoliday()
: Calendar
- reset()
: IncrementalStatistics, GeneralStatistics, DiscretizedOption, DiscretizedDiscountBond, DiscretizedAsset
- residualNorm()
: NonLinearLeastSquare
- results()
: NonLinearLeastSquare
- rollback()
: NumericalMethod, Lattice, FiniteDifferenceModel
- rounding()
: Currency
- Rounding()
: Rounding
- sampleAccumulator()
: McSimulation, McPricer
- samples()
: IncrementalStatistics, GeneralStatistics
- searchDirection()
: OptimizationMethod
- semiDeviation()
: GenericRiskStatistics
- semiVariance()
: GenericRiskStatistics
- sensitivity()
: Swap
- setEndCriteria()
: OptimizationMethod
- setEvaluationDate()
: Settings
- setInitialValue()
: OptimizationMethod
- setLowerBound()
: Solver1D
- setMaxEvaluations()
: Solver1D
- setPricingEngine()
: Instrument
- setTermStructure()
: SwapRateHelper, FraRateHelper, DepositRateHelper, RateHelper
- setTime()
: DirichletBC, NeumannBC, BoundaryCondition
- setupArguments()
: Swaption, SimpleSwap, QuantoVanillaOption, QuantoForwardVanillaOption, OneAssetStrikedOption, OneAssetOption, MultiAssetOption, ForwardVanillaOption, DividendVanillaOption, CliquetOption, CapFloor, BasketOption, BarrierOption, DiscreteAveragingAsianOption, ContinuousAveragingAsianOption, Instrument
- setupExpired()
: Swap, QuantoVanillaOption, OneAssetOption, MultiAssetOption, Instrument
- setUpperBound()
: Solver1D
- shortfall()
: GenericRiskStatistics
- shortRate()
: OneFactorModel::ShortRateDynamics
- ShortRateTree()
: TwoFactorModel::ShortRateTree, OneFactorModel::ShortRateTree
- Simplex()
: Simplex
- size()
: LeastSquareProblem, Array, History
- skewness()
: IncrementalStatistics, GeneralStatistics
- SobolRsg()
: SobolRsg
- solve()
: Solver1D
- solveFor()
: TridiagonalOperator
- SOR()
: TridiagonalOperator
- sort()
: GeneralStatistics
- source()
: ExchangeRate
- spread()
: FloatingRateCoupon
- standardDeviation()
: IncrementalStatistics, GeneralStatistics
- standardDeviations()
: CovarianceDecomposition
- SteepestDescent()
: SteepestDescent
- SwaptionVolatilityStructure()
: SwaptionVolatilityStructure
- symbol()
: Currency
- SymmetricSchurDecomposition()
: SymmetricSchurDecomposition
- target()
: ExchangeRate
- targetAndValue()
: LeastSquareProblem
- targetValueAndGradient()
: LeastSquareProblem
- test()
: ConstraintImpl
- timeFromReference()
: BaseTermStructure
- TimeGrid()
: TimeGrid
- todaysDate()
: ZeroSpreadedTermStructure, QuantoTermStructure, ForwardSpreadedTermStructure, DriftTermStructure, Date, BaseTermStructure
- topPercentile()
: GeneralStatistics
- tree()
: TwoFactorModel, HullWhite, ExtendedCoxIngersollRoss, CoxIngersollRoss, BlackKarasinski, OneFactorModel
- triangulationCurrency()
: Currency
- type()
: ExchangeRate
- underlyingArgs()
: QuantoEngine
- unfreeze()
: LazyObject
- update()
: CapVolatilityVector, RateHelper, PiecewiseFlatForward, ExtendedDiscountCurve, AffineTermStructure, BlackScholesProcess, StochasticProcess, ShortRateModel, CalibrationHelper, Link, CompositeQuote, DerivedQuote, LatticeShortRateModelEngine, GenericModelEngine, BlackModel, Observer, LazyObject, Xibor, ParCoupon, IndexedCoupon, BaseTermStructure
- value()
: CompositeQuote, DerivedQuote, SimpleQuote, Quote, McSimulation, McPricer, Problem, LeastSquareFunction, CostFunction
- valueAndGradient()
: Problem, LeastSquareFunction, CostFunction
- valueAtRisk()
: GenericRiskStatistics
- valueWithSamples()
: McSimulation, McPricer
- variable()
: OneFactorModel::ShortRateDynamics
- variance()
: OrnsteinUhlenbeckProcess, EulerDiscretization, StochasticProcess, IncrementalStatistics, GeneralStatistics
- variances()
: CovarianceDecomposition
- volatility()
: SwaptionVolatilityStructure, CapletVolatilityStructure, CapVolatilityStructure
- volatilityImpl()
: CapletConstantVolatility, SwaptionVolatilityStructure, CapletVolatilityStructure, CapVolatilityStructure
- zeroCoupon()
: YieldTermStructure
- ZeroCurve()
: ZeroCurve
- zeroRate()
: YieldTermStructure
- zeroYield()
: YieldTermStructure
- zeroYieldImpl()
: ZeroYieldStructure, ZeroSpreadedTermStructure, ZeroCurve, QuantoTermStructure, PiecewiseFlatForward, ForwardRateStructure, ForwardSpreadedTermStructure, FlatForward, DriftTermStructure, DiscountStructure, CompoundForward, YieldTermStructure
- ZeroYieldStructure()
: ZeroYieldStructure
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