QuantLibAddin Namespace Reference

Classes
class	AbcdAtmVolCurve
class	AbcdCalibration
class	AbcdFunction
class	AbcdInterpolation
class	AbcdVol
class	AccountingEngine
class	AlphaFormInverseLinear
class	AlphaFormLinearHyperbolic
class	AmericanExercise
class	AnalyticCapFloorEngine
class	ArmijoLineSearch
class	AssetSwap
class	BachelierCapFloorEngine
class	BarrierOption
class	BaseCorrelationLossModel
class	BaseCorrelationTermStructure
class	Basket
class	BermudanExercise
class	BlackCalculator
class	BlackCalibrationHelper
class	BlackCapFloorEngine
class	BlackCdsOptionEngine
class	BlackConstantVol
class	BlackScholesCalculator
class	BlackSwaptionEngine
class	BlackVarianceSurface
class	Bond
class	BondEngine
class	BondHelper
class	BTP
class	CapFloor
class	CapFloorTermVolCurve
class	CapFloorTermVolSurface
class	CCTEU
class	CdsOption
class	CliquetOption
class	CmsCouponPricer
class	CmsLeg
class	CmsMarket
class	CmsMarketCalibration
class	CMSMMDriftCalculator
class	CmsRateBond
class	CMSwapCurveState
class	CmsZeroLeg
class	CompositeQuote
class	ConjugateGradient
class	ConstantOptionletVolatility
class	ConstantSwaptionVolatility
class	ContinuousAveragingAsianOption
class	CoterminalSwapCurveState
class	CotSwapFromFwdCorrelation
class	CotSwapToFwdAdapter
class	CovarianceDecomposition
class	CreditDefaultSwap
class	CTSMMCapletAlphaFormCalibration
class	CTSMMCapletMaxHomogeneityCalibration
class	CTSMMCapletOriginalCalibration
class	CubicInterpolation
class	DatedOISRateHelper
class	DefaultEventSet
class	DefaultProbabilityHelper
class	DepositRateHelper
class	DigitalCmsLeg
class	DigitalIborLeg
class	DigitalReplication
class	DiscountCurve
class	DiscountingSwapEngine
class	DiscreteAveragingAsianOption
class	DividendVanillaOption
class	DoubleStickyRatchetPayoff
class	EndCriteria
class	EurodollarFuturesImpliedStdDevQuote
class	EuropeanExercise
class	EuropeanOption
class	EvolutionDescription
class	ExponentialForwardCorrelation
class	Extrapolator
class	FaureRsg
class	FixedRateBond
class	FixedRateBondHelper
class	FixedRateLeg
class	FlatForward
class	FlatHazardRate
class	FlatSmileSection
class	FlatVol
class	FlatVolFactory
class	FloatingRateBond
class	ForwardCurve
class	ForwardRateAgreement
class	ForwardSpreadedTermStructure
class	ForwardSwapQuote
class	ForwardValueQuote
class	ForwardVanillaOption
class	FraRateHelper
class	FuturesConvAdjustmentQuote
class	FuturesRateHelper
class	FwdPeriodAdapter
class	FwdToCotSwapAdapter
class	FxSwapRateHelper
class	G2
class	G2SwaptionEngine
class	GaussianBinomialLossModel
class	GaussianDefProbLM
class	GaussianLHPLossModel
class	GaussianRandomDefaultLM
class	GaussianRandomLossLM
class	GeneralizedBlackScholesProcess
class	GenericInterp
class	HaltonRsg
class	Handle
class	HazardRateCurve
class	HistoricalForwardRatesAnalysis
class	HistoricalRatesAnalysis
class	HullWhite
class	IborCouponPricer
class	IborLeg
class	IHGaussPoolLossModel
class	IHStudentPoolLossModel
class	ImpliedStdDevQuote
class	ImpliedTermStructure
class	IncrementalStatistics
class	Index
class	Instrument
class	IntegralNtdEngine
class	InterestRate
class	InterpolatedSmileSection
class	InterpolatedYieldCurve
class	Interpolation
class	Interpolation2D
class	Issuer
class	JamshidianSwaptionEngine
class	LastFixingQuote
class	Leg
class	LevenbergMarquardt
class	LmExtLinearExponentialVolModel
class	LmLinearExponentialCorrelationModel
class	LMMCurveState
class	LMMDriftCalculator
class	LMMNormalDriftCalculator
class	LogNormalFwdRateIpc
class	LogNormalFwdRatePc
class	LowDiscrepancySequenceGenerator
class	MarketModelMultiProduct
class	MersenneTwisterRsg
class	MidPointCDOEngine
class	MidPointCdsEngine
class	MixedLinearCubicInterpolation
class	MTBrownianGeneratorFactory
class	MultiPhaseLeg
class	MultiProductComposite
class	MultiStepRatchet
class	NoConstraint
class	NormalFwdRatePc
class	NthToDefault
class	NumericHaganPricer
class	OISRateHelper
class	OneFactorAffineModel
class	OneStepForwards
class	OneStepOptionlets
class	OptionletStripper1
class	OptionletStripper2
class	OvernightIndexedSwap
class	PiecewiseConstantAbcdVariance
class	PiecewiseFlatForwardCurve
class	PiecewiseHazardRateCurve
class	PiecewiseYieldCurve
class	PricingEngine
class	PseudoRandomSequenceGenerator
class	PseudoRootFacade
class	QuantoForwardVanillaOption
class	QuantoVanillaOption
class	RandomSequenceGenerator
class	RangeAccrualFloatersCoupon
class	RangeAccrualLeg
class	RangeAccrualPricerByBgm
class	RatchetMaxPayoff
class	RatchetMinPayoff
class	RatchetPayoff
class	RateHelper
class	RecoveryRateQuote
class	RecursiveGaussLossModel
class	RelinkableHandle
class	RelinkableHandleImpl
class	RendistatoBasket
class	RendistatoCalculator
class	RendistatoEquivalentSwapLengthQuote
class	RendistatoEquivalentSwapSpreadQuote
class	RiskyFixedBond
class	SabrInterpolatedSmileSection
class	SABRInterpolation
class	SabrSmileSection
class	SabrSmileSectionImpl
class	SabrVolSurface
class	SaddlePointLossModel
class	Schedule
class	SequenceStatistics
class	SequenceStatisticsInc
class	SimpleQuote
class	Simplex
class	SmileSectionByCube
class	SmileSectionFromSabrVolSurface
class	SMMDriftCalculator
class	SobolRsg
class	SpreadCdsHelper
class	SpreadedOptionletVolatility
class	SpreadedSwaptionVolatility
class	Statistics
class	SteepestDescent
class	StickyMaxPayoff
class	StickyMinPayoff
class	StickyPayoff
class	StrikedTypePayoff
class	StrippedOptionlet
class	StrippedOptionletAdapter
class	Swap
class	SwapRateHelper
class	Swaption
class	SwaptionHelper
class	SwaptionVolatilityMatrix
class	SwaptionVolCube1
class	SwaptionVolCube2
class	SymmetricSchurDecomposition
class	SyntheticCDO
class	TBinomialLossModel
class	TDefProbLM
class	TimeHomogeneousForwardCorrelation
class	TimeSeriesDef
class	TRandomDefaultLM
class	TRandomLossLM
class	TreeSwaptionEngine
class	TSaddlePointLossModel
class	UpfrontCdsHelper
class	VanillaOption
class	VanillaSwap
class	Vasicek
class	ZeroCouponBond
class	ZeroCurve

Typedefs
typedef std::pair< InterpolatedYieldCurve::Traits, InterpolatedYieldCurve::Interpolator >	InterpolatedYieldCurvePair

Functions
	OH_LIB_CLASS (AlphaForm, QuantLib::AlphaForm)
	OH_OBJ_CLASS (OneAssetOption, Instrument)
	OH_LIB_CLASS (DefaultLossModel, QuantLib::DefaultLossModel)
std::vector< std::string >	qlBondAlive (const std::vector< boost::shared_ptr< Bond > > &bonds, QuantLib::Date &refDate)
std::string	qlBondMaturityLookup (const std::vector< boost::shared_ptr< Bond > > &bonds, const QuantLib::Date &maturity)
std::vector< std::string >	qlBondMaturitySort (const std::vector< boost::shared_ptr< Bond > > &bonds)
	OH_LIB_CLASS (BrownianGeneratorFactory, QuantLib::BrownianGeneratorFactory)
	OH_LIB_CLASS (StrippedOptionletBase, QuantLib::StrippedOptionletBase)
	OH_OBJ_CLASS (OptionletStripper, StrippedOptionletBase)
std::vector< std::vector< ObjectHandler::property_t > >	browseCmsMarket (const QuantLib::Matrix &cmsMarket)
	OH_LIB_CLASS (LmCorrelationModel, QuantLib::LmCorrelationModel)
	OH_LIB_CLASS (PiecewiseConstantCorrelation, QuantLib::PiecewiseConstantCorrelation)
	OH_LIB_CLASS (FloatingRateCouponPricer, QuantLib::FloatingRateCouponPricer)
	OH_LIB_CLASS (CTSMMCapletCalibration, QuantLib::CTSMMCapletCalibration)
	OH_LIB_CLASS (CurveState, QuantLib::CurveState)
std::vector< QuantLib::Rate >	qlForwardsFromDiscountRatios (const QuantLib::Size firstValidIndex, const std::vector< QuantLib::DiscountFactor > &ds, const std::vector< QuantLib::Time > &taus)
std::vector< QuantLib::Rate >	qlCoterminalSwapRatesFromDiscountRatios (const QuantLib::Size firstValidIndex, const std::vector< QuantLib::DiscountFactor > &ds, const std::vector< QuantLib::Time > &taus)
std::vector< QuantLib::Real >	qlCoterminalSwapAnnuitiesFromDiscountRatios (const QuantLib::Size firstValidIndex, const std::vector< QuantLib::DiscountFactor > &ds, const std::vector< QuantLib::Time > &taus)
std::vector< QuantLib::Rate >	qlConstantMaturitySwapRatesFromDiscountRatios (const QuantLib::Size spanningForwards, const QuantLib::Size firstValidIndex, const std::vector< QuantLib::DiscountFactor > &ds, const std::vector< QuantLib::Time > &taus)
std::vector< QuantLib::Real >	qlConstantMaturitySwapAnnuitiesFromDiscountRatios (const QuantLib::Size spanningForwards, const QuantLib::Size firstValidIndex, const std::vector< QuantLib::DiscountFactor > &ds, const std::vector< QuantLib::Time > &taus)
QuantLib::Period	periodFromFrequency (QuantLib::Frequency f)
QuantLib::Frequency	frequencyFromPeriod (const QuantLib::Period &p)
QuantLib::Period	periodEquivalent (const QuantLib::Period &p)
std::vector< QuantLib::Date >	qlIMMNextDates (const QuantLib::Date &d, const std::vector< bool > &mainCycle)
std::vector< std::string >	qlIMMNextCodes (const QuantLib::Date &d, const std::vector< bool > &mainCycle)
std::vector< QuantLib::Date >	qlASXNextDates (const QuantLib::Date &d, const std::vector< bool > &mainCycle)
std::vector< std::string >	qlASXNextCodes (const QuantLib::Date &d, const std::vector< bool > &mainCycle)
std::vector< QuantLib::Date >	qlECBKnownDates ()
	OH_OBJ_CLASS (HazardRateStructure, DefaultProbabilityTermStructure)
	OH_OBJ_CLASS (DefaultDensityStructure, DefaultProbabilityTermStructure)
QuantLib::Real	probabilityToHazardRate (QuantLib::Probability p, const QuantLib::Date &d, const QuantLib::DayCounter &dc)
	OH_LIB_CLASS (Exercise, QuantLib::Exercise)
std::vector< std::vector< ObjectHandler::property_t > >	flowAnalysis (const QuantLib::Leg &leg, const QuantLib::Date &d)
QuantLib::Matrix	getCovariance (std::vector< double > vols, const QuantLib::Matrix &corr, double tol)
	OH_LIB_CLASS (MarketModelEvolver, QuantLib::MarketModelEvolver)
	OH_LIB_CLASS (MarketModel, QuantLib::MarketModel)
	OH_LIB_CLASS (MarketModelFactory, QuantLib::MarketModelFactory)
std::vector< QuantLib::Real >	qlRateVolDifferences (const QuantLib::MarketModel &, const QuantLib::MarketModel &)
std::vector< QuantLib::Real >	qlRateInstVolDifferences (const QuantLib::MarketModel &, const QuantLib::MarketModel &, QuantLib::Size)
double	normDist (double x, double mean, double stdDev, bool cumulative)
double	normSDist (double x)
double	normInv (double prob, double mean, double stdDev)
double	normSInv (double prob)
	OH_LIB_CLASS (CalibratedModel, QuantLib::CalibratedModel)
std::string	qlSecondsToString (QuantLib::Real elapsed)
	OH_LIB_CLASS (Constraint, QuantLib::Constraint)
	OH_LIB_CLASS (OptimizationMethod, QuantLib::OptimizationMethod)
	OH_LIB_CLASS (LineSearch, QuantLib::LineSearch)
	OH_OBJ_CLASS (LineSearchBasedMethod, OptimizationMethod)
	OH_LIB_CLASS (Payoff, QuantLib::Payoff)
	OH_OBJ_CLASS (TypePayoff, Payoff)
	OH_OBJ_CLASS (PlainVanillaPayoff, StrikedTypePayoff)
	OH_OBJ_CLASS (MarketModelComposite, MarketModelMultiProduct)
	OH_LIB_CLASS (Quote, QuantLib::Quote)
std::vector< std::vector< QuantLib::Real > >	bucketAnalysis (const std::vector< std::vector< QuantLib::Handle< QuantLib::Quote > > > &, const std::vector< boost::shared_ptr< QuantLib::Instrument > > &, const std::vector< QuantLib::Real > &quant, QuantLib::Real shift, QuantLib::SensitivityAnalysis type)
std::vector< QuantLib::Real >	bucketAnalysisDelta (const QuantLib::Handle< QuantLib::SimpleQuote > &quote, const std::vector< QuantLib::Handle< QuantLib::Quote > > &parameters, QuantLib::Real shift, QuantLib::SensitivityAnalysis type)
std::vector< std::vector< QuantLib::Real > >	bucketAnalysisDelta2 (const std::vector< QuantLib::Handle< QuantLib::Quote > > &quotes, const std::vector< QuantLib::Handle< QuantLib::Quote > > &parameters, QuantLib::Real shift, QuantLib::SensitivityAnalysis type)
QuantLib::Real	rand ()
void	randomize (QuantLib::BigNatural seed)
	OH_OBJ_CLASS (RangeAccrualPricer, FloatingRateCouponPricer)
std::vector< std::string >	qlRateHelperSelection (const std::vector< boost::shared_ptr< QuantLibAddin::RateHelper > > &qlarhs, const std::vector< QuantLib::Natural > &priority, QuantLib::Natural nImmFutures, QuantLib::Natural nSerialFutures, QuantLib::Natural frontFuturesRollingDays, RateHelper::DepoInclusionCriteria depoInclusionCriteria, const std::vector< QuantLib::Natural > &minDistance)
QuantLib::Real	qlRateHelperRate (const boost::shared_ptr< QuantLibAddin::RateHelper > &qlarh)
void	qlSettingsSetEvaluationDate (const QuantLib::Date &evalDate)
void	qlSettingsSetEnforceTodaysHistoricFixings (bool b)
	OH_LIB_CLASS (AffineModel, QuantLib::AffineModel)
	OH_LIB_CLASS (SmileSection, QuantLib::SmileSection)
std::vector< std::vector< ObjectHandler::property_t > >	getSabrParameters (QuantLib::Matrix sabrParameters)
std::vector< std::vector< ObjectHandler::property_t > >	getVolCube (QuantLib::Matrix volCube)
	OH_OBJ_CLASS (TermStructure, Extrapolator)
	OH_OBJ_CLASS (YieldTermStructure, TermStructure)
	OH_OBJ_CLASS (DefaultProbabilityTermStructure, TermStructure)
	OH_OBJ_CLASS (CorrelationTermStructure, TermStructure)
	OH_OBJ_CLASS (InflationTermStructure, TermStructure)
	OH_OBJ_CLASS (VolatilityTermStructure, TermStructure)
	OH_OBJ_CLASS (BlackAtmVolCurve, VolatilityTermStructure)
	OH_OBJ_CLASS (BlackVolSurface, BlackAtmVolCurve)
	OH_OBJ_CLASS (InterestRateVolSurface, BlackVolSurface)
	OH_OBJ_CLASS (BlackVolTermStructure, VolatilityTermStructure)
	OH_OBJ_CLASS (SwaptionVolatilityStructure, VolatilityTermStructure)
	OH_OBJ_CLASS (SwaptionVolatilityDiscrete, SwaptionVolatilityStructure)
	OH_OBJ_CLASS (SwaptionVolatilityCube, SwaptionVolatilityDiscrete)
	OH_OBJ_CLASS (OptionletVolatilityStructure, VolatilityTermStructure)
	OH_OBJ_CLASS (CapFloorTermVolatilityStructure, VolatilityTermStructure)
std::string	qlVersion ()
	return the version number of QuantLib More...
std::string	qlAddinVersion ()
	return the version number of QuantLibAddin (a.k.a. QuantLibObjects) More...
std::string	qlxlVersion (bool verbose=false)
	return the version number of QuantLibXL More...
	OH_LIB_CLASS (LmVolatilityModel, QuantLib::LmVolatilityModel)
	OH_OBJ_CLASS (LmLinearExponentialVolatilityModel, LmVolatilityModel)
	OH_LIB_CLASS (PiecewiseConstantVariance, QuantLib::PiecewiseConstantVariance)
std::ostream &	operator<< (std::ostream &out, InterpolatedYieldCurvePair tokenPair)

Typedef Documentation

InterpolatedYieldCurvePair

typedef std::pair<InterpolatedYieldCurve::Traits, InterpolatedYieldCurve::Interpolator> QuantLibAddin::InterpolatedYieldCurvePair

Function Documentation

browseCmsMarket()

std::vector<std::vector<ObjectHandler::property_t> > QuantLibAddin::browseCmsMarket

(

const QuantLib::Matrix &

cmsMarket

)

bucketAnalysis()

std::vector<std::vector<QuantLib::Real> > QuantLibAddin::bucketAnalysis	(	const std::vector< std::vector< QuantLib::Handle< QuantLib::Quote > > > &	,
		const std::vector< boost::shared_ptr< QuantLib::Instrument > > &	,
		const std::vector< QuantLib::Real > &	quant,
		QuantLib::Real	shift,
		QuantLib::SensitivityAnalysis	type
	)

bucketAnalysisDelta()

std::vector<QuantLib::Real> QuantLibAddin::bucketAnalysisDelta ( const QuantLib::Handle< QuantLib::SimpleQuote > &  quote, const std::vector< QuantLib::Handle< QuantLib::Quote > > &  parameters, QuantLib::Real  shift, QuantLib::SensitivityAnalysis  type  )

inline

bucketAnalysisDelta2()

std::vector<std::vector<QuantLib::Real> > QuantLibAddin::bucketAnalysisDelta2	(	const std::vector< QuantLib::Handle< QuantLib::Quote > > &	quotes,
		const std::vector< QuantLib::Handle< QuantLib::Quote > > &	parameters,
		QuantLib::Real	shift,
		QuantLib::SensitivityAnalysis	type
	)

flowAnalysis()

std::vector<std::vector<ObjectHandler::property_t> > QuantLibAddin::flowAnalysis	(	const QuantLib::Leg &	leg,
		const QuantLib::Date &	d
	)

frequencyFromPeriod()

QuantLib::Frequency QuantLibAddin::frequencyFromPeriod

(

const QuantLib::Period &

p

)

getCovariance()

QuantLib::Matrix QuantLibAddin::getCovariance ( std::vector< double >  vols, const QuantLib::Matrix &  corr, double  tol  )

inline

getSabrParameters()

std::vector<std::vector<ObjectHandler::property_t> > QuantLibAddin::getSabrParameters

(

QuantLib::Matrix

sabrParameters

)

getVolCube()

std::vector<std::vector<ObjectHandler::property_t> > QuantLibAddin::getVolCube

(

QuantLib::Matrix

volCube

)

normDist()

double QuantLibAddin::normDist ( double  x, double  mean, double  stdDev, bool  cumulative  )

inline

normInv()

double QuantLibAddin::normInv ( double  prob, double  mean, double  stdDev  )

inline

normSDist()

double QuantLibAddin::normSDist ( double  x )

inline

normSInv()

double QuantLibAddin::normSInv ( double  prob )

inline

OH_LIB_CLASS() [1/23]

QuantLibAddin::OH_LIB_CLASS	(	AffineModel	,
		QuantLib::AffineModel
	)

OH_LIB_CLASS() [2/23]

QuantLibAddin::OH_LIB_CLASS	(	AlphaForm	,
		QuantLib::AlphaForm
	)

OH_LIB_CLASS() [3/23]

QuantLibAddin::OH_LIB_CLASS	(	BrownianGeneratorFactory	,
		QuantLib::BrownianGeneratorFactory
	)

OH_LIB_CLASS() [4/23]

QuantLibAddin::OH_LIB_CLASS	(	CalibratedModel	,
		QuantLib::CalibratedModel
	)

OH_LIB_CLASS() [5/23]

QuantLibAddin::OH_LIB_CLASS	(	Constraint	,
		QuantLib::Constraint
	)

OH_LIB_CLASS() [6/23]

QuantLibAddin::OH_LIB_CLASS	(	CTSMMCapletCalibration	,
		QuantLib::CTSMMCapletCalibration
	)

OH_LIB_CLASS() [7/23]

QuantLibAddin::OH_LIB_CLASS	(	CurveState	,
		QuantLib::CurveState
	)

OH_LIB_CLASS() [8/23]

QuantLibAddin::OH_LIB_CLASS	(	DefaultLossModel	,
		QuantLib::DefaultLossModel
	)

OH_LIB_CLASS() [9/23]

QuantLibAddin::OH_LIB_CLASS	(	Exercise	,
		QuantLib::Exercise
	)

OH_LIB_CLASS() [10/23]

QuantLibAddin::OH_LIB_CLASS	(	FloatingRateCouponPricer	,
		QuantLib::FloatingRateCouponPricer
	)

OH_LIB_CLASS() [11/23]

QuantLibAddin::OH_LIB_CLASS	(	LineSearch	,
		QuantLib::LineSearch
	)

OH_LIB_CLASS() [12/23]

QuantLibAddin::OH_LIB_CLASS	(	LmCorrelationModel	,
		QuantLib::LmCorrelationModel
	)

OH_LIB_CLASS() [13/23]

QuantLibAddin::OH_LIB_CLASS	(	LmVolatilityModel	,
		QuantLib::LmVolatilityModel
	)

OH_LIB_CLASS() [14/23]

QuantLibAddin::OH_LIB_CLASS	(	MarketModel	,
		QuantLib::MarketModel
	)

OH_LIB_CLASS() [15/23]

QuantLibAddin::OH_LIB_CLASS	(	MarketModelEvolver	,
		QuantLib::MarketModelEvolver
	)

OH_LIB_CLASS() [16/23]

QuantLibAddin::OH_LIB_CLASS	(	MarketModelFactory	,
		QuantLib::MarketModelFactory
	)

OH_LIB_CLASS() [17/23]

QuantLibAddin::OH_LIB_CLASS	(	OptimizationMethod	,
		QuantLib::OptimizationMethod
	)

OH_LIB_CLASS() [18/23]

QuantLibAddin::OH_LIB_CLASS	(	Payoff	,
		QuantLib::Payoff
	)

OH_LIB_CLASS() [19/23]

QuantLibAddin::OH_LIB_CLASS	(	PiecewiseConstantCorrelation	,
		QuantLib::PiecewiseConstantCorrelation
	)

OH_LIB_CLASS() [20/23]

QuantLibAddin::OH_LIB_CLASS	(	PiecewiseConstantVariance	,
		QuantLib::PiecewiseConstantVariance
	)

OH_LIB_CLASS() [21/23]

QuantLibAddin::OH_LIB_CLASS	(	Quote	,
		QuantLib::Quote
	)

OH_LIB_CLASS() [22/23]

QuantLibAddin::OH_LIB_CLASS	(	SmileSection	,
		QuantLib::SmileSection
	)

OH_LIB_CLASS() [23/23]

QuantLibAddin::OH_LIB_CLASS	(	StrippedOptionletBase	,
		QuantLib::StrippedOptionletBase
	)

OH_OBJ_CLASS() [1/25]

QuantLibAddin::OH_OBJ_CLASS	(	BlackAtmVolCurve	,
		VolatilityTermStructure
	)

OH_OBJ_CLASS() [2/25]

QuantLibAddin::OH_OBJ_CLASS	(	BlackVolSurface	,
		BlackAtmVolCurve
	)

OH_OBJ_CLASS() [3/25]

QuantLibAddin::OH_OBJ_CLASS	(	BlackVolTermStructure	,
		VolatilityTermStructure
	)

OH_OBJ_CLASS() [4/25]

QuantLibAddin::OH_OBJ_CLASS	(	CapFloorTermVolatilityStructure	,
		VolatilityTermStructure
	)

OH_OBJ_CLASS() [5/25]

QuantLibAddin::OH_OBJ_CLASS	(	CorrelationTermStructure	,
		TermStructure
	)

OH_OBJ_CLASS() [6/25]

QuantLibAddin::OH_OBJ_CLASS	(	DefaultDensityStructure	,
		DefaultProbabilityTermStructure
	)

OH_OBJ_CLASS() [7/25]

QuantLibAddin::OH_OBJ_CLASS	(	DefaultProbabilityTermStructure	,
		TermStructure
	)

OH_OBJ_CLASS() [8/25]

QuantLibAddin::OH_OBJ_CLASS	(	HazardRateStructure	,
		DefaultProbabilityTermStructure
	)

OH_OBJ_CLASS() [9/25]

QuantLibAddin::OH_OBJ_CLASS	(	InflationTermStructure	,
		TermStructure
	)

OH_OBJ_CLASS() [10/25]

QuantLibAddin::OH_OBJ_CLASS	(	InterestRateVolSurface	,
		BlackVolSurface
	)

OH_OBJ_CLASS() [11/25]

QuantLibAddin::OH_OBJ_CLASS	(	LineSearchBasedMethod	,
		OptimizationMethod
	)

OH_OBJ_CLASS() [12/25]

QuantLibAddin::OH_OBJ_CLASS	(	LmLinearExponentialVolatilityModel	,
		LmVolatilityModel
	)

OH_OBJ_CLASS() [13/25]

QuantLibAddin::OH_OBJ_CLASS	(	MarketModelComposite	,
		MarketModelMultiProduct
	)

OH_OBJ_CLASS() [14/25]

QuantLibAddin::OH_OBJ_CLASS	(	OneAssetOption	,
		Instrument
	)

OH_OBJ_CLASS() [15/25]

QuantLibAddin::OH_OBJ_CLASS	(	OptionletStripper	,
		StrippedOptionletBase
	)

OH_OBJ_CLASS() [16/25]

QuantLibAddin::OH_OBJ_CLASS	(	OptionletVolatilityStructure	,
		VolatilityTermStructure
	)

OH_OBJ_CLASS() [17/25]

QuantLibAddin::OH_OBJ_CLASS	(	PlainVanillaPayoff	,
		StrikedTypePayoff
	)

OH_OBJ_CLASS() [18/25]

QuantLibAddin::OH_OBJ_CLASS	(	RangeAccrualPricer	,
		FloatingRateCouponPricer
	)

OH_OBJ_CLASS() [19/25]

QuantLibAddin::OH_OBJ_CLASS	(	SwaptionVolatilityCube	,
		SwaptionVolatilityDiscrete
	)

OH_OBJ_CLASS() [20/25]

QuantLibAddin::OH_OBJ_CLASS	(	SwaptionVolatilityDiscrete	,
		SwaptionVolatilityStructure
	)

OH_OBJ_CLASS() [21/25]

QuantLibAddin::OH_OBJ_CLASS	(	SwaptionVolatilityStructure	,
		VolatilityTermStructure
	)

OH_OBJ_CLASS() [22/25]

QuantLibAddin::OH_OBJ_CLASS	(	TermStructure	,
		Extrapolator
	)

OH_OBJ_CLASS() [23/25]

QuantLibAddin::OH_OBJ_CLASS	(	TypePayoff	,
		Payoff
	)

OH_OBJ_CLASS() [24/25]

QuantLibAddin::OH_OBJ_CLASS	(	VolatilityTermStructure	,
		TermStructure
	)

OH_OBJ_CLASS() [25/25]

QuantLibAddin::OH_OBJ_CLASS	(	YieldTermStructure	,
		TermStructure
	)

operator<<()

std::ostream& QuantLibAddin::operator<<	(	std::ostream &	out,
		InterpolatedYieldCurvePair	tokenPair
	)

periodEquivalent()

QuantLib::Period QuantLibAddin::periodEquivalent

(

const QuantLib::Period &

p

)

periodFromFrequency()

QuantLib::Period QuantLibAddin::periodFromFrequency

(

QuantLib::Frequency

f

)

probabilityToHazardRate()

QuantLib::Real QuantLibAddin::probabilityToHazardRate	(	QuantLib::Probability	p,
		const QuantLib::Date &	d,
		const QuantLib::DayCounter &	dc
	)

qlAddinVersion()

std::string QuantLibAddin::qlAddinVersion

(

)

return the version number of QuantLibAddin (a.k.a. QuantLibObjects)

Examples

instrument_in.cpp, qlademo.cpp, and swap_out.cpp.

qlASXNextCodes()

std::vector<std::string> QuantLibAddin::qlASXNextCodes	(	const QuantLib::Date &	d,
		const std::vector< bool > &	mainCycle
	)

qlASXNextDates()

std::vector<QuantLib::Date> QuantLibAddin::qlASXNextDates	(	const QuantLib::Date &	d,
		const std::vector< bool > &	mainCycle
	)

qlBondAlive()

std::vector<std::string> QuantLibAddin::qlBondAlive	(	const std::vector< boost::shared_ptr< Bond > > &	bonds,
		QuantLib::Date &	refDate
	)

qlBondMaturityLookup()

std::string QuantLibAddin::qlBondMaturityLookup	(	const std::vector< boost::shared_ptr< Bond > > &	bonds,
		const QuantLib::Date &	maturity
	)

qlBondMaturitySort()

std::vector<std::string> QuantLibAddin::qlBondMaturitySort

(

const std::vector< boost::shared_ptr< Bond > > &

bonds

)

qlConstantMaturitySwapAnnuitiesFromDiscountRatios()

std::vector<QuantLib::Real> QuantLibAddin::qlConstantMaturitySwapAnnuitiesFromDiscountRatios	(	const QuantLib::Size	spanningForwards,
		const QuantLib::Size	firstValidIndex,
		const std::vector< QuantLib::DiscountFactor > &	ds,
		const std::vector< QuantLib::Time > &	taus
	)

qlConstantMaturitySwapRatesFromDiscountRatios()

std::vector<QuantLib::Rate> QuantLibAddin::qlConstantMaturitySwapRatesFromDiscountRatios	(	const QuantLib::Size	spanningForwards,
		const QuantLib::Size	firstValidIndex,
		const std::vector< QuantLib::DiscountFactor > &	ds,
		const std::vector< QuantLib::Time > &	taus
	)

qlCoterminalSwapAnnuitiesFromDiscountRatios()

std::vector<QuantLib::Real> QuantLibAddin::qlCoterminalSwapAnnuitiesFromDiscountRatios	(	const QuantLib::Size	firstValidIndex,
		const std::vector< QuantLib::DiscountFactor > &	ds,
		const std::vector< QuantLib::Time > &	taus
	)

qlCoterminalSwapRatesFromDiscountRatios()

std::vector<QuantLib::Rate> QuantLibAddin::qlCoterminalSwapRatesFromDiscountRatios	(	const QuantLib::Size	firstValidIndex,
		const std::vector< QuantLib::DiscountFactor > &	ds,
		const std::vector< QuantLib::Time > &	taus
	)

qlECBKnownDates()

std::vector<QuantLib::Date> QuantLibAddin::qlECBKnownDates

(

)

qlForwardsFromDiscountRatios()

std::vector<QuantLib::Rate> QuantLibAddin::qlForwardsFromDiscountRatios	(	const QuantLib::Size	firstValidIndex,
		const std::vector< QuantLib::DiscountFactor > &	ds,
		const std::vector< QuantLib::Time > &	taus
	)

qlIMMNextCodes()

std::vector<std::string> QuantLibAddin::qlIMMNextCodes	(	const QuantLib::Date &	d,
		const std::vector< bool > &	mainCycle
	)

qlIMMNextDates()

std::vector<QuantLib::Date> QuantLibAddin::qlIMMNextDates	(	const QuantLib::Date &	d,
		const std::vector< bool > &	mainCycle
	)

qlRateHelperRate()

QuantLib::Real QuantLibAddin::qlRateHelperRate

(

const boost::shared_ptr< QuantLibAddin::RateHelper > &

qlarh

)

qlRateHelperSelection()

std::vector<std::string> QuantLibAddin::qlRateHelperSelection	(	const std::vector< boost::shared_ptr< QuantLibAddin::RateHelper > > &	qlarhs,
		const std::vector< QuantLib::Natural > &	priority,
		QuantLib::Natural	nImmFutures,
		QuantLib::Natural	nSerialFutures,
		QuantLib::Natural	frontFuturesRollingDays,
		RateHelper::DepoInclusionCriteria	depoInclusionCriteria,
		const std::vector< QuantLib::Natural > &	minDistance
	)

qlRateInstVolDifferences()

std::vector<QuantLib::Real> QuantLibAddin::qlRateInstVolDifferences	(	const QuantLib::MarketModel &	,
		const QuantLib::MarketModel &	,
		QuantLib::Size
	)

qlRateVolDifferences()

std::vector<QuantLib::Real> QuantLibAddin::qlRateVolDifferences	(	const QuantLib::MarketModel &	,
		const QuantLib::MarketModel &
	)

qlSecondsToString()

std::string QuantLibAddin::qlSecondsToString ( QuantLib::Real  elapsed )

inline

qlSettingsSetEnforceTodaysHistoricFixings()

void QuantLibAddin::qlSettingsSetEnforceTodaysHistoricFixings

(

bool

b

)

qlSettingsSetEvaluationDate()

void QuantLibAddin::qlSettingsSetEvaluationDate

(

const QuantLib::Date &

evalDate

)

Settings functions

set the evaluation date

Examples

instrument_in.cpp, qlademo.cpp, and swap_out.cpp.

qlVersion()

std::string QuantLibAddin::qlVersion

(

)

return the version number of QuantLib

diagnostic and information functions for QuantLibAddin

qlxlVersion()

std::string QuantLibAddin::qlxlVersion

(

bool

verbose = false

)

return the version number of QuantLibXL

rand()

QuantLib::Real QuantLibAddin::rand

(

)

randomize()

void QuantLibAddin::randomize

(

QuantLib::BigNatural

seed

)