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	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
class	SumExponentialsRootSolver
struct	SviSpecs
class	Tracing
class	UpdatedYInterpolation
class	VannaVolgaInterpolationImpl
struct	variant_visitor
class	VectorBsmProcessExtractor
class	XABRCoeffHolder
class	XABRInterpolationImpl
struct	ZabrSpecs

Typedefs
typedef NoArbSabrSmileSection	NoArbSabrWrapper
typedef SviSmileSection	SviWrapper
typedef std::vector< std::vector< Real > >	SplineGrid
typedef DataTable< Real >	base_data_table
typedef Data< std::vector< Real >, EmptyArg >	base_data
typedef Point< Real, EmptyArg >	base_arg_type
typedef Point< Real, EmptyRes >	base_return_type
typedef Point< Size, EmptyDim >	base_dimensions
typedef Point< base_data_table, EmptyRes >	base_output_data
typedef base_cubic_spline	cubic_spline_01
typedef n_cubic_spline< cubic_spline_01 >	cubic_spline_02
typedef n_cubic_spline< cubic_spline_02 >	cubic_spline_03
typedef n_cubic_spline< cubic_spline_03 >	cubic_spline_04
typedef n_cubic_spline< cubic_spline_04 >	cubic_spline_05
typedef n_cubic_spline< cubic_spline_05 >	cubic_spline_06
typedef n_cubic_spline< cubic_spline_06 >	cubic_spline_07
typedef n_cubic_spline< cubic_spline_07 >	cubic_spline_08
typedef n_cubic_spline< cubic_spline_08 >	cubic_spline_09
typedef n_cubic_spline< cubic_spline_09 >	cubic_spline_10
typedef n_cubic_spline< cubic_spline_10 >	cubic_spline_11
typedef n_cubic_spline< cubic_spline_11 >	cubic_spline_12
typedef n_cubic_spline< cubic_spline_12 >	cubic_spline_13
typedef n_cubic_spline< cubic_spline_13 >	cubic_spline_14
typedef n_cubic_spline< cubic_spline_14 >	cubic_spline_15
typedef base_cubic_splint	cubic_splint_01
typedef n_cubic_splint< cubic_splint_01 >	cubic_splint_02
typedef n_cubic_splint< cubic_splint_02 >	cubic_splint_03
typedef n_cubic_splint< cubic_splint_03 >	cubic_splint_04
typedef n_cubic_splint< cubic_splint_04 >	cubic_splint_05
typedef n_cubic_splint< cubic_splint_05 >	cubic_splint_06
typedef n_cubic_splint< cubic_splint_06 >	cubic_splint_07
typedef n_cubic_splint< cubic_splint_07 >	cubic_splint_08
typedef n_cubic_splint< cubic_splint_08 >	cubic_splint_09
typedef n_cubic_splint< cubic_splint_09 >	cubic_splint_10
typedef n_cubic_splint< cubic_splint_10 >	cubic_splint_11
typedef n_cubic_splint< cubic_splint_11 >	cubic_splint_12
typedef n_cubic_splint< cubic_splint_12 >	cubic_splint_13
typedef n_cubic_splint< cubic_splint_13 >	cubic_splint_14
typedef n_cubic_splint< cubic_splint_14 >	cubic_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_, const I &begin, const 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... Ts>
	variant_visitor (Ts...) -> variant_visitor< Ts... >
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

typedef NoArbSabrSmileSection NoArbSabrWrapper

Definition at line 36 of file noarbsabrinterpolation.hpp.

SviWrapper

typedef SviSmileSection 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

typedef DataTable<Real> 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

typedef Point<Real, EmptyArg> base_arg_type

Definition at line 164 of file multicubicspline.hpp.

base_return_type

typedef Point<Real, EmptyRes> base_return_type

Definition at line 185 of file multicubicspline.hpp.

base_dimensions

typedef Point<Size, EmptyDim> base_dimensions

Definition at line 206 of file multicubicspline.hpp.

base_output_data

typedef Point<base_data_table, EmptyRes> base_output_data

Definition at line 221 of file multicubicspline.hpp.

cubic_spline_01

typedef base_cubic_spline cubic_spline_01

Definition at line 340 of file multicubicspline.hpp.

cubic_spline_02

typedef n_cubic_spline<cubic_spline_01> cubic_spline_02

Definition at line 341 of file multicubicspline.hpp.

cubic_spline_03

typedef n_cubic_spline<cubic_spline_02> cubic_spline_03

Definition at line 342 of file multicubicspline.hpp.

cubic_spline_04

typedef n_cubic_spline<cubic_spline_03> cubic_spline_04

Definition at line 343 of file multicubicspline.hpp.

cubic_spline_05

typedef n_cubic_spline<cubic_spline_04> cubic_spline_05

Definition at line 344 of file multicubicspline.hpp.

cubic_spline_06

typedef n_cubic_spline<cubic_spline_05> cubic_spline_06

Definition at line 345 of file multicubicspline.hpp.

cubic_spline_07

typedef n_cubic_spline<cubic_spline_06> cubic_spline_07

Definition at line 346 of file multicubicspline.hpp.

cubic_spline_08

typedef n_cubic_spline<cubic_spline_07> cubic_spline_08

Definition at line 347 of file multicubicspline.hpp.

cubic_spline_09

typedef n_cubic_spline<cubic_spline_08> cubic_spline_09

Definition at line 348 of file multicubicspline.hpp.

cubic_spline_10

typedef n_cubic_spline<cubic_spline_09> cubic_spline_10

Definition at line 349 of file multicubicspline.hpp.

cubic_spline_11

typedef n_cubic_spline<cubic_spline_10> cubic_spline_11

Definition at line 350 of file multicubicspline.hpp.

cubic_spline_12

typedef n_cubic_spline<cubic_spline_11> cubic_spline_12

Definition at line 351 of file multicubicspline.hpp.

cubic_spline_13

typedef n_cubic_spline<cubic_spline_12> cubic_spline_13

Definition at line 352 of file multicubicspline.hpp.

cubic_spline_14

typedef n_cubic_spline<cubic_spline_13> cubic_spline_14

Definition at line 353 of file multicubicspline.hpp.

cubic_spline_15

typedef n_cubic_spline<cubic_spline_14> cubic_spline_15

Definition at line 354 of file multicubicspline.hpp.

cubic_splint_01

typedef base_cubic_splint cubic_splint_01

Definition at line 356 of file multicubicspline.hpp.

cubic_splint_02

typedef n_cubic_splint<cubic_splint_01> cubic_splint_02

Definition at line 357 of file multicubicspline.hpp.

cubic_splint_03

typedef n_cubic_splint<cubic_splint_02> cubic_splint_03

Definition at line 358 of file multicubicspline.hpp.

cubic_splint_04

typedef n_cubic_splint<cubic_splint_03> cubic_splint_04

Definition at line 359 of file multicubicspline.hpp.

cubic_splint_05

typedef n_cubic_splint<cubic_splint_04> cubic_splint_05

Definition at line 360 of file multicubicspline.hpp.

cubic_splint_06

typedef n_cubic_splint<cubic_splint_05> cubic_splint_06

Definition at line 361 of file multicubicspline.hpp.

cubic_splint_07

typedef n_cubic_splint<cubic_splint_06> cubic_splint_07

Definition at line 362 of file multicubicspline.hpp.

cubic_splint_08

typedef n_cubic_splint<cubic_splint_07> cubic_splint_08

Definition at line 363 of file multicubicspline.hpp.

cubic_splint_09

typedef n_cubic_splint<cubic_splint_08> cubic_splint_09

Definition at line 364 of file multicubicspline.hpp.

cubic_splint_10

typedef n_cubic_splint<cubic_splint_09> cubic_splint_10

Definition at line 365 of file multicubicspline.hpp.

cubic_splint_11

typedef n_cubic_splint<cubic_splint_10> cubic_splint_11

Definition at line 366 of file multicubicspline.hpp.

cubic_splint_12

typedef n_cubic_splint<cubic_splint_11> cubic_splint_12

Definition at line 367 of file multicubicspline.hpp.

cubic_splint_13

typedef n_cubic_splint<cubic_splint_12> cubic_splint_13

Definition at line 368 of file multicubicspline.hpp.

cubic_splint_14

typedef n_cubic_splint<cubic_splint_13> cubic_splint_14

Definition at line 369 of file multicubicspline.hpp.

cubic_splint_15

typedef n_cubic_splint<cubic_splint_14> 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 34 of file cashflowvectors.cpp.

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noOption()

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

Definition at line 48 of file cashflowvectors.cpp.

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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.

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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.

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_fill_array_() [1/2]

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

Definition at line 295 of file array.hpp.

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_fill_array_() [2/2]

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

Definition at line 312 of file array.hpp.

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double_ft()

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

Definition at line 41 of file autocovariance.hpp.

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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.

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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.

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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.

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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.

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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.

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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.

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operator<<() [6/14]

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

Definition at line 421 of file period.cpp.

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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 25 of file dataformatters.cpp.

operator<<() [11/14]

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

Definition at line 42 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.

variant_visitor()

variant_visitor

(

Ts...

)

-> variant_visitor< Ts... >

get()

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

Definition at line 33 of file vectors.hpp.

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Variable Documentation

minHazardRateComp

const Real minHazardRateComp = -1.0

Definition at line 146 of file interpolatedaffinehazardratecurve.hpp.

sabrabsprob

const unsigned long sabrabsprob

Definition at line 136 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.