QuantLib Namespace Reference

The module we extend. More...

Classes
struct	NCalendar
class	Flag
class	IndexHistoryCleaner
	this cleans up index-fixing histories when destroyed More...
Namespaces
namespace	detail
	For boost unit test.
Typedefs
typedef std::map< const std::string, QuantLib::Calendar >	qlcal_map_t
Functions
std::string	payoffTypeToString (const boost::shared_ptr< Payoff > &h)
std::string	exerciseTypeToString (const boost::shared_ptr< Exercise > &h)
boost::shared_ptr < YieldTermStructure >	flatRate (const Date &today, const boost::shared_ptr< Quote > &forward, const DayCounter &dc)
boost::shared_ptr < YieldTermStructure >	flatRate (const Date &today, Rate forward, const DayCounter &dc)
boost::shared_ptr < YieldTermStructure >	flatRate (const boost::shared_ptr< Quote > &forward, const DayCounter &dc)
boost::shared_ptr < YieldTermStructure >	flatRate (Rate forward, const DayCounter &dc)
boost::shared_ptr < BlackVolTermStructure >	flatVol (const Date &today, const boost::shared_ptr< Quote > &vol, const DayCounter &dc)
boost::shared_ptr < BlackVolTermStructure >	flatVol (const Date &today, Volatility vol, const DayCounter &dc)
boost::shared_ptr < BlackVolTermStructure >	flatVol (const boost::shared_ptr< Quote > &vol, const DayCounter &dc)
boost::shared_ptr < BlackVolTermStructure >	flatVol (Volatility vol, const DayCounter &dc)
Real	relativeError (Real x1, Real x2, Real reference)
template<class Iterator>
Real	norm (const Iterator &begin, const Iterator &end, Real h)
Variables
static qlcal_map_t	qlcals = map_list_of ( std::string("QuantLib::Argentina"), QuantLib::Calendar(QuantLib::Argentina()) ) ( std::string("QuantLib::Australia"), QuantLib::Calendar(QuantLib::Australia()) ) ( std::string("QuantLib::Brazil"), QuantLib::Calendar(QuantLib::Brazil()) ) ( std::string("QuantLib::Canada"), QuantLib::Calendar(QuantLib::Canada()) ) ( std::string("QuantLib::China"), QuantLib::Calendar(QuantLib::China()) ) ( std::string("QuantLib::CzechRepublic"), QuantLib::Calendar(QuantLib::CzechRepublic()) ) ( std::string("QuantLib::Denmark"), QuantLib::Calendar(QuantLib::Denmark()) ) ( std::string("QuantLib::Finland"), QuantLib::Calendar(QuantLib::Finland()) ) ( std::string("QuantLib::Germany"), QuantLib::Calendar(QuantLib::Germany()) ) ( std::string("QuantLib::HongKong"), QuantLib::Calendar(QuantLib::HongKong()) ) ( std::string("QuantLib::Hungary"), QuantLib::Calendar(QuantLib::Hungary()) ) ( std::string("QuantLib::Iceland"), QuantLib::Calendar(QuantLib::Iceland()) ) ( std::string("QuantLib::India"), QuantLib::Calendar(QuantLib::India()) ) ( std::string("QuantLib::Indonesia"), QuantLib::Calendar(QuantLib::Indonesia()) ) ( std::string("QuantLib::Italy"), QuantLib::Calendar(QuantLib::Italy()) ) ( std::string("QuantLib::Japan"), QuantLib::Calendar(QuantLib::Japan()) ) ( std::string("QuantLib::Mexico"), QuantLib::Calendar(QuantLib::Mexico()) ) ( std::string("QuantLib::NewZealand"), QuantLib::Calendar(QuantLib::NewZealand()) ) ( std::string("QuantLib::Norway"), QuantLib::Calendar(QuantLib::Norway()) ) ( std::string("QuantLib::NullCalendar"), QuantLib::Calendar(QuantLib::NullCalendar()) ) ( std::string("QuantLib::Poland"), QuantLib::Calendar(QuantLib::Poland()) ) ( std::string("QuantLib::SaudiArabia"), QuantLib::Calendar(QuantLib::SaudiArabia()) ) ( std::string("QuantLib::Singapore"), QuantLib::Calendar(QuantLib::Singapore()) ) ( std::string("QuantLib::Slovakia"), QuantLib::Calendar(QuantLib::Slovakia()) ) ( std::string("QuantLib::SouthAfrica"), QuantLib::Calendar(QuantLib::SouthAfrica()) ) ( std::string("QuantLib::SouthKorea"), QuantLib::Calendar(QuantLib::SouthKorea()) ) ( std::string("QuantLib::Sweden"), QuantLib::Calendar(QuantLib::Sweden()) ) ( std::string("QuantLib::Switzerland"), QuantLib::Calendar(QuantLib::Switzerland()) ) ( std::string("QuantLib::Taiwan"), QuantLib::Calendar(QuantLib::Taiwan()) ) ( std::string("QuantLib::TARGET"), QuantLib::Calendar(QuantLib::TARGET()) ) ( std::string("QuantLib::Turkey"), QuantLib::Calendar(QuantLib::Turkey()) ) ( std::string("QuantLib::Ukraine"), QuantLib::Calendar(QuantLib::Ukraine()) ) ( std::string("QuantLib::UnitedKingdom"), QuantLib::Calendar(QuantLib::UnitedKingdom()) ) ( std::string("QuantLib::UnitedStates"), QuantLib::Calendar(QuantLib::UnitedStates()) ) ( std::string("QuantLib::UnitedStates:Bond"), QuantLib::Calendar(QuantLib::UnitedStates(QuantLib::UnitedStates::GovernmentBond)) ) ( std::string("QuantLib::UnitedStates:NYSE"), QuantLib::Calendar(QuantLib::UnitedStates(QuantLib::UnitedStates::NYSE)) )

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Detailed Description

The module we extend.

This namespace provides minor extensions to QuantLib.

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Typedef Documentation

typedef std::map<const std::string, QuantLib::Calendar> QuantLib::qlcal_map_t

Definition at line 8 of file qlcal.cpp.

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Function Documentation

std::string QuantLib::exerciseTypeToString

(

const boost::shared_ptr< Exercise > &

h

)

Definition at line 56 of file utilities.cpp.

References CHECK_DOWNCAST.

boost::shared_ptr< YieldTermStructure > QuantLib::flatRate	(	Rate	forward,
		const DayCounter &	dc
	)

Definition at line 88 of file utilities.cpp.

References flatRate().

boost::shared_ptr< YieldTermStructure > QuantLib::flatRate	(	const boost::shared_ptr< Quote > &	forward,
		const DayCounter &	dc
	)

Definition at line 81 of file utilities.cpp.

boost::shared_ptr< YieldTermStructure > QuantLib::flatRate	(	const Date &	today,
		Rate	forward,
		const DayCounter &	dc
	)

Definition at line 75 of file utilities.cpp.

References flatRate().

boost::shared_ptr< YieldTermStructure > QuantLib::flatRate	(	const Date &	today,
		const boost::shared_ptr< Quote > &	forward,
		const DayCounter &	dc
	)

Definition at line 67 of file utilities.cpp.

Referenced by flatRate().

boost::shared_ptr< BlackVolTermStructure > QuantLib::flatVol	(	Volatility	vol,
		const DayCounter &	dc
	)

Definition at line 118 of file utilities.cpp.

References flatVol().

boost::shared_ptr< BlackVolTermStructure > QuantLib::flatVol	(	const boost::shared_ptr< Quote > &	vol,
		const DayCounter &	dc
	)

Definition at line 111 of file utilities.cpp.

boost::shared_ptr< BlackVolTermStructure > QuantLib::flatVol	(	const Date &	today,
		Volatility	vol,
		const DayCounter &	dc
	)

Definition at line 103 of file utilities.cpp.

References flatVol().

boost::shared_ptr< BlackVolTermStructure > QuantLib::flatVol	(	const Date &	today,
		const boost::shared_ptr< Quote > &	vol,
		const DayCounter &	dc
	)

Definition at line 95 of file utilities.cpp.

Referenced by flatVol().

template<class Iterator>

Real QuantLib::norm	(	const Iterator &	begin,
		const Iterator &	end,
		Real	h
	)			[inline]

squared values

numeric integral of f^2

Definition at line 159 of file utilities.hpp.

std::string QuantLib::payoffTypeToString

(

const boost::shared_ptr< Payoff > &

h

)

Definition at line 44 of file utilities.cpp.

References CHECK_DOWNCAST.

Real QuantLib::relativeError	(	Real	x1,
		Real	x2,
		Real	reference
	)

Definition at line 124 of file utilities.cpp.

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Variable Documentation

qlcal_map_t QuantLib::qlcals = map_list_of ( std::string("QuantLib::Argentina"), QuantLib::Calendar(QuantLib::Argentina()) ) ( std::string("QuantLib::Australia"), QuantLib::Calendar(QuantLib::Australia()) ) ( std::string("QuantLib::Brazil"), QuantLib::Calendar(QuantLib::Brazil()) ) ( std::string("QuantLib::Canada"), QuantLib::Calendar(QuantLib::Canada()) ) ( std::string("QuantLib::China"), QuantLib::Calendar(QuantLib::China()) ) ( std::string("QuantLib::CzechRepublic"), QuantLib::Calendar(QuantLib::CzechRepublic()) ) ( std::string("QuantLib::Denmark"), QuantLib::Calendar(QuantLib::Denmark()) ) ( std::string("QuantLib::Finland"), QuantLib::Calendar(QuantLib::Finland()) ) ( std::string("QuantLib::Germany"), QuantLib::Calendar(QuantLib::Germany()) ) ( std::string("QuantLib::HongKong"), QuantLib::Calendar(QuantLib::HongKong()) ) ( std::string("QuantLib::Hungary"), QuantLib::Calendar(QuantLib::Hungary()) ) ( std::string("QuantLib::Iceland"), QuantLib::Calendar(QuantLib::Iceland()) ) ( std::string("QuantLib::India"), QuantLib::Calendar(QuantLib::India()) ) ( std::string("QuantLib::Indonesia"), QuantLib::Calendar(QuantLib::Indonesia()) ) ( std::string("QuantLib::Italy"), QuantLib::Calendar(QuantLib::Italy()) ) ( std::string("QuantLib::Japan"), QuantLib::Calendar(QuantLib::Japan()) ) ( std::string("QuantLib::Mexico"), QuantLib::Calendar(QuantLib::Mexico()) ) ( std::string("QuantLib::NewZealand"), QuantLib::Calendar(QuantLib::NewZealand()) ) ( std::string("QuantLib::Norway"), QuantLib::Calendar(QuantLib::Norway()) ) ( std::string("QuantLib::NullCalendar"), QuantLib::Calendar(QuantLib::NullCalendar()) ) ( std::string("QuantLib::Poland"), QuantLib::Calendar(QuantLib::Poland()) ) ( std::string("QuantLib::SaudiArabia"), QuantLib::Calendar(QuantLib::SaudiArabia()) ) ( std::string("QuantLib::Singapore"), QuantLib::Calendar(QuantLib::Singapore()) ) ( std::string("QuantLib::Slovakia"), QuantLib::Calendar(QuantLib::Slovakia()) ) ( std::string("QuantLib::SouthAfrica"), QuantLib::Calendar(QuantLib::SouthAfrica()) ) ( std::string("QuantLib::SouthKorea"), QuantLib::Calendar(QuantLib::SouthKorea()) ) ( std::string("QuantLib::Sweden"), QuantLib::Calendar(QuantLib::Sweden()) ) ( std::string("QuantLib::Switzerland"), QuantLib::Calendar(QuantLib::Switzerland()) ) ( std::string("QuantLib::Taiwan"), QuantLib::Calendar(QuantLib::Taiwan()) ) ( std::string("QuantLib::TARGET"), QuantLib::Calendar(QuantLib::TARGET()) ) ( std::string("QuantLib::Turkey"), QuantLib::Calendar(QuantLib::Turkey()) ) ( std::string("QuantLib::Ukraine"), QuantLib::Calendar(QuantLib::Ukraine()) ) ( std::string("QuantLib::UnitedKingdom"), QuantLib::Calendar(QuantLib::UnitedKingdom()) ) ( std::string("QuantLib::UnitedStates"), QuantLib::Calendar(QuantLib::UnitedStates()) ) ( std::string("QuantLib::UnitedStates:Bond"), QuantLib::Calendar(QuantLib::UnitedStates(QuantLib::UnitedStates::GovernmentBond)) ) ( std::string("QuantLib::UnitedStates:NYSE"), QuantLib::Calendar(QuantLib::UnitedStates(QuantLib::UnitedStates::NYSE)) ) [static]

Definition at line 10 of file qlcal.cpp.

Referenced by Test::comparisons_t::comparisons::comp().