A free/open-source library for quantitative finance
Reference manual - version 1.20
Deprecated Features
Member
AmericanCondition::AmericanCondition
(Option::Type type, Real strike)
Use the other constructor. Deprecated in version 1.19.
Member
BachelierYoYInflationCouponPricer::BachelierYoYInflationCouponPricer
()
Use one of the other constructors. Deprecated in version 1.19.
Member
BlackCalibrationHelper::BlackCalibrationHelper
(const Handle< Quote > &volatility, const
Handle< YieldTermStructure >
&termStructure, CalibrationErrorType calibrationErrorType=RelativePriceError, const VolatilityType type=ShiftedLognormal, const Real shift=0.0)
Use the other constructor. It you're inheriting from
BlackCalibrationHelper
, move
termStructure_
to your derived class. Deprecated in version 1.19.
Member
BlackYoYInflationCouponPricer::BlackYoYInflationCouponPricer
()
Use one of the other constructors. Deprecated in version 1.19.
Member
BMAIndex::BMAIndex
(const
Handle< YieldTermStructure >
&h, const
Calendar
&fixingCalendar)
Use the other constructor instead. Deprecated in version 1.19.
Member
BondHelper::BondHelper
(const Handle< Quote > &price, const ext::shared_ptr< Bond > &bond, bool useCleanPrice)
Use the other overload instead. Deprecated in version 1.18.
Member
BondHelper::useCleanPrice
() const
Use the priceType() method instead. Deprecated in version 1.18.
Member
Calendar::holidayList
(const
Calendar
&calendar, const
Date
&from, const
Date
&to, bool includeWeekEnds=false)
Use the non-static overload. Deprecated in version 1.18.
Member
CalibratedModel::calibrate
(const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &,
OptimizationMethod
&method, const
EndCriteria
&endCriteria, const
Constraint
&constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
Use the other overload. Deprecated in version 1.18.
Member
CalibratedModel::value
(const
Array
¶ms, const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &)
Use the other overload. Deprecated in version 1.18.
Member
Callability::Price
Use
Bond::Price
instead. Deprecated in version 1.17.
Member
CPIBondHelper::CPIBondHelper
(const Handle< Quote > &price, Natural settlementDays, Real faceAmount, bool growthOnly, Real baseCPI, const
Period
&observationLag, const ext::shared_ptr< ZeroInflationIndex > &cpiIndex, CPI::InterpolationType observationInterpolation, const
Schedule
&schedule, const std::vector< Rate > &fixedRate, const
DayCounter
&accrualDayCounter, BusinessDayConvention paymentConvention, const
Date
&issueDate, const
Calendar
&paymentCalendar, const
Period
&exCouponPeriod, const
Calendar
&exCouponCalendar, BusinessDayConvention exCouponConvention, bool exCouponEndOfMonth, bool useCleanPrice)
Use the other overload instead. Deprecated in version 1.18.
Member
CPICouponPricer::CPICouponPricer
()
Use one of the other constructors. Deprecated in version 1.19.
Class
CurveDependentStepCondition< array_type >
Inherit from
StepCondition
directly instead. Deprecated in version 1.19.
Class
FDAmericanEngine< Scheme >
Use FdBlackScholesVanillaEngine instead. Deprecated in version 1.17.
Class
FDBermudanEngine< Scheme >
Use FdBlackScholesVanillaEngine instead. Deprecated in version 1.17.
Class
FDDividendAmericanEngine< Scheme >
Use FdBlackScholesVanillaEngine instead. Deprecated in version 1.17.
Class
FDDividendAmericanEngineMerton73< Scheme >
Use FdBlackScholesVanillaEngine instead. Deprecated in version 1.17.
Class
FDDividendAmericanEngineShiftScale< Scheme >
Use FdBlackScholesVanillaEngine instead. Deprecated in version 1.17.
Class
FDDividendEuropeanEngine< Scheme >
Use FdBlackScholesVanillaEngine instead. Deprecated in version 1.17.
Class
FDDividendEuropeanEngineMerton73< Scheme >
Use FdBlackScholesVanillaEngine instead. Deprecated in version 1.17.
Class
FDDividendEuropeanEngineShiftScale< Scheme >
Use FdBlackScholesVanillaEngine instead. Deprecated in version 1.17.
Class
FDEuropeanEngine< Scheme >
Use FdBlackScholesVanillaEngine instead. Deprecated in version 1.17.
Member
FixedRateBondHelper::FixedRateBondHelper
(const Handle< Quote > &price, Natural settlementDays, Real faceAmount, const
Schedule
&schedule, const std::vector< Rate > &coupons, const
DayCounter
&dayCounter, BusinessDayConvention paymentConv, Real redemption, const
Date
&issueDate, const
Calendar
&paymentCalendar, const
Period
&exCouponPeriod, const
Calendar
&exCouponCalendar, BusinessDayConvention exCouponConvention, bool exCouponEndOfMonth, bool useCleanPrice)
Use the other overload instead. Deprecated in version 1.18.
Member
ForwardRateStructure::ForwardRateStructure
(const
DayCounter
&dayCounter, const std::vector< Handle< Quote > > &jumps, const std::vector< Date > &jumpDates=std::vector< Date >())
Passing jumps without a reference date never worked correctly. Use one of the other constructors instead. Deprecated in version 1.19.
Member
InflationTermStructure::InflationTermStructure
(Rate baseRate, const
Period
&observationLag, Frequency frequency, bool indexIsInterpolated, const
Handle< YieldTermStructure >
&yTS, const
DayCounter
&dayCounter=DayCounter(), const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())
Use one of the constructors not taking a yield term structure. Deprecated in version 1.19.
Member
InflationTermStructure::InflationTermStructure
(const
Date
&referenceDate, Rate baseRate, const
Period
&observationLag, Frequency frequency, bool indexIsInterpolated, const
Handle< YieldTermStructure >
&yTS, const
Calendar
&calendar=Calendar(), const
DayCounter
&dayCounter=DayCounter(), const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())
Use one of the constructors not taking a yield term structure. Deprecated in version 1.19.
Member
InflationTermStructure::InflationTermStructure
(Natural settlementDays, const
Calendar
&calendar, Rate baseRate, const
Period
&observationLag, Frequency frequency, bool indexIsInterpolated, const
Handle< YieldTermStructure >
&yTS, const
DayCounter
&dayCounter=DayCounter(), const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())
Use one of the constructors not taking a yield term structure. Deprecated in version 1.19.
Member
InterpolatedDiscountCurve< Interpolator >::InterpolatedDiscountCurve
(const
DayCounter
&, const std::vector< Handle< Quote > > &jumps, const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
Passing jumps without a reference date never worked correctly. Use one of the other constructors instead. Deprecated in version 1.19.
Member
InterpolatedForwardCurve< Interpolator >::InterpolatedForwardCurve
(const
DayCounter
&, const std::vector< Handle< Quote > > &jumps, const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
Passing jumps without a reference date never worked correctly. Use one of the other constructors instead. Deprecated in version 1.19.
Member
InterpolatedSimpleZeroCurve< Interpolator >::InterpolatedSimpleZeroCurve
(const
DayCounter
&, const std::vector< Handle< Quote > > &jumps, const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
Passing jumps without a reference date never worked correctly. Use one of the other constructors instead. Deprecated in version 1.19.
Member
InterpolatedYoYInflationCurve< Interpolator >::InterpolatedYoYInflationCurve
(const
Date
&referenceDate, const
Calendar
&calendar, const
DayCounter
&dayCounter, const
Period
&lag, Frequency frequency, bool indexIsInterpolated, const
Handle< YieldTermStructure >
&yTS, const std::vector< Date > &dates, const std::vector< Rate > &rates, const Interpolator &interpolator=Interpolator())
Use the constructor not taking a yield term structure. Deprecated in version 1.19.
Member
InterpolatedYoYInflationCurve< Interpolator >::InterpolatedYoYInflationCurve
(const
Date
&referenceDate, const
Calendar
&calendar, const
DayCounter
&dayCounter, Rate baseYoYRate, const
Period
&lag, Frequency frequency, bool indexIsInterpolated, const
Handle< YieldTermStructure >
&yTS, const Interpolator &interpolator=Interpolator())
Use the constructor not taking a yield term structure. Deprecated in version 1.19.
Member
InterpolatedZeroCurve< Interpolator >::InterpolatedZeroCurve
(const
DayCounter
&, const std::vector< Handle< Quote > > &jumps, const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
Passing jumps without a reference date never worked correctly. Use one of the other constructors instead. Deprecated in version 1.19.
Member
InterpolatedZeroInflationCurve< Interpolator >::InterpolatedZeroInflationCurve
(const
Date
&referenceDate, const
Calendar
&calendar, const
DayCounter
&dayCounter, const
Period
&lag, Frequency frequency, bool indexIsInterpolated, Rate baseZeroRate, const
Handle< YieldTermStructure >
&yTS, const Interpolator &interpolator=Interpolator())
Use the constructor not taking a yield term structure. Deprecated in version 1.19.
Member
InterpolatedZeroInflationCurve< Interpolator >::InterpolatedZeroInflationCurve
(const
Date
&referenceDate, const
Calendar
&calendar, const
DayCounter
&dayCounter, const
Period
&lag, Frequency frequency, bool indexIsInterpolated, const
Handle< YieldTermStructure >
&yTS, const std::vector< Date > &dates, const std::vector< Rate > &rates, const Interpolator &interpolator=Interpolator())
Use the constructor not taking a yield term structure. Deprecated in version 1.19.
Member
PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >::PiecewiseDefaultCurve
(const
Date
&referenceDate, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const
DayCounter
&dayCounter, Real accuracy, const Interpolator &i=Interpolator(), const bootstrap_type &bootstrap=bootstrap_type())
Pass the accuracy inside the bootstrap object (or don't pass it at all). Deprecated in version 1.18.
Member
PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >::PiecewiseDefaultCurve
(const
Date
&referenceDate, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const
DayCounter
&dayCounter, const std::vector< Handle< Quote > > &jumps, const std::vector< Date > &jumpDates, Real accuracy, const Interpolator &i=Interpolator(), const bootstrap_type &bootstrap=bootstrap_type())
Pass the accuracy inside the bootstrap object (or don't pass it at all). Deprecated in version 1.18.
Member
PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >::PiecewiseDefaultCurve
(Natural settlementDays, const
Calendar
&calendar, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const
DayCounter
&dayCounter, const std::vector< Handle< Quote > > &jumps, const std::vector< Date > &jumpDates, Real accuracy, const Interpolator &i=Interpolator(), const bootstrap_type &bootstrap=bootstrap_type())
Pass the accuracy inside the bootstrap object (or don't pass it at all). Deprecated in version 1.18.
Member
PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >::PiecewiseDefaultCurve
(Natural settlementDays, const
Calendar
&calendar, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const
DayCounter
&dayCounter, Real accuracy, const Interpolator &i=Interpolator(), const bootstrap_type &bootstrap=bootstrap_type())
Pass the accuracy inside the bootstrap object (or don't pass it at all). Deprecated in version 1.18.
Member
PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >::PiecewiseDefaultCurve
(const
Date
&referenceDate, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const
DayCounter
&dayCounter, Real accuracy, const ext::shared_ptr< OneFactorAffineModel > &model, const Interpolator &i=Interpolator(), const bootstrap_type &bootstrap=bootstrap_type())
Pass the accuracy inside the bootstrap object (or don't pass it at all). Deprecated in version 1.18.
Member
PiecewiseYieldCurve< Traits, Interpolator, Bootstrap >::PiecewiseYieldCurve
(Natural settlementDays, const
Calendar
&calendar, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const
DayCounter
&dayCounter, Real accuracy, const Interpolator &i=Interpolator(), const bootstrap_type &bootstrap=bootstrap_type())
Pass the accuracy inside the bootstrap object (or don't pass it at all). Deprecated in version 1.18.
Member
PiecewiseYieldCurve< Traits, Interpolator, Bootstrap >::PiecewiseYieldCurve
(Natural settlementDays, const
Calendar
&calendar, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const
DayCounter
&dayCounter, const std::vector< Handle< Quote > > &jumps, const std::vector< Date > &jumpDates, Real accuracy, const Interpolator &i=Interpolator(), const bootstrap_type &bootstrap=bootstrap_type())
Pass the accuracy inside the bootstrap object (or don't pass it at all). Deprecated in version 1.18.
Member
PiecewiseYieldCurve< Traits, Interpolator, Bootstrap >::PiecewiseYieldCurve
(const
Date
&referenceDate, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const
DayCounter
&dayCounter, Real accuracy, const Interpolator &i=Interpolator(), const bootstrap_type &bootstrap=bootstrap_type())
Pass the accuracy inside the bootstrap object (or don't pass it at all). Deprecated in version 1.18.
Member
PiecewiseYieldCurve< Traits, Interpolator, Bootstrap >::PiecewiseYieldCurve
(const
Date
&referenceDate, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const
DayCounter
&dayCounter, const std::vector< Handle< Quote > > &jumps, const std::vector< Date > &jumpDates, Real accuracy, const Interpolator &i=Interpolator(), const bootstrap_type &bootstrap=bootstrap_type())
Pass the accuracy inside the bootstrap object (or don't pass it at all). Deprecated in version 1.18.
Member
PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >::PiecewiseYoYInflationCurve
(const
Date
&referenceDate, const
Calendar
&calendar, const
DayCounter
&dayCounter, const
Period
&lag, Frequency frequency, bool indexIsInterpolated, Rate baseYoYRate, const
Handle< YieldTermStructure >
&nominalTS, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, Real accuracy=1.0e-12, const Interpolator &i=Interpolator())
Use the constructor not taking a yield term structure. Deprecated in version 1.19.
Member
PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >::PiecewiseZeroInflationCurve
(const
Date
&referenceDate, const
Calendar
&calendar, const
DayCounter
&dayCounter, const
Period
&lag, Frequency frequency, bool indexIsInterpolated, Rate baseZeroRate, const
Handle< YieldTermStructure >
&nominalTS, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, Real accuracy=1.0e-12, const Interpolator &i=Interpolator())
Use the constructor not taking a yield term structure. Deprecated in version 1.19.
Member
QuantLib::CalibrationHelperBase
Renamed to
CalibrationHelper
. Deprecated in version 1.18.
Member
QuantLib::FdmOrnsteinUhlenbackOp
Renamed to FdmOrnsteinUhlenbeckOp. Deprecated in version 1.17.
Member
QuantLib::StandardCurveDependentStepCondition
Inherit from StandardStepCondition directly. Deprecated in version 1.19.
Member
ShoutCondition::ShoutCondition
(Option::Type type, Real strike, Time resTime, Rate rate)
Use the other constructor. Deprecated in version 1.19.
Member
UnitDisplacedBlackYoYInflationCouponPricer::UnitDisplacedBlackYoYInflationCouponPricer
()
Use one of the other constructors. Deprecated in version 1.19.
Member
YieldTermStructure::YieldTermStructure
(const
DayCounter
&dc, const std::vector< Handle< Quote > > &jumps, const std::vector< Date > &jumpDates=std::vector< Date >())
Passing jumps without a reference date never worked correctly. Use one of the other constructors instead. Deprecated in version 1.19.
Member
YoYInflationCouponPricer::YoYInflationCouponPricer
()
Use one of the other constructors. Deprecated in version 1.19.
Member
YoYInflationTermStructure::YoYInflationTermStructure
(Natural settlementDays, const
Calendar
&calendar, const
DayCounter
&dayCounter, Rate baseYoYRate, const
Period
&lag, Frequency frequency, bool indexIsInterpolated, const
Handle< YieldTermStructure >
&yieldTS, const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())
Use one of the constructors not taking a yield term structure. Deprecated in version 1.19.
Member
YoYInflationTermStructure::YoYInflationTermStructure
(const
Date
&referenceDate, const
Calendar
&calendar, const
DayCounter
&dayCounter, Rate baseYoYRate, const
Period
&lag, Frequency frequency, bool indexIsInterpolated, const
Handle< YieldTermStructure >
&yieldTS, const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())
Use one of the constructors not taking a yield term structure. Deprecated in version 1.19.
Member
YoYInflationTermStructure::YoYInflationTermStructure
(const
DayCounter
&dayCounter, Rate baseYoYRate, const
Period
&lag, Frequency frequency, bool indexIsInterpolated, const
Handle< YieldTermStructure >
&yieldTS, const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())
Use one of the constructors not taking a yield term structure. Deprecated in version 1.19.
Member
ZeroInflationTermStructure::ZeroInflationTermStructure
(Natural settlementDays, const
Calendar
&calendar, const
DayCounter
&dayCounter, Rate baseZeroRate, const
Period
&lag, Frequency frequency, bool indexIsInterpolated, const
Handle< YieldTermStructure >
&yTS, const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())
Use one of the constructors not taking a yield term structure. Deprecated in version 1.19.
Member
ZeroInflationTermStructure::ZeroInflationTermStructure
(const
Date
&referenceDate, const
Calendar
&calendar, const
DayCounter
&dayCounter, Rate baseZeroRate, const
Period
&lag, Frequency frequency, bool indexIsInterpolated, const
Handle< YieldTermStructure >
&yTS, const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())
Use one of the constructors not taking a yield term structure. Deprecated in version 1.19.
Member
ZeroInflationTermStructure::ZeroInflationTermStructure
(const
DayCounter
&dayCounter, Rate baseZeroRate, const
Period
&lag, Frequency frequency, bool indexIsInterpolated, const
Handle< YieldTermStructure >
&yTS, const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())
Use one of the constructors not taking a yield term structure. Deprecated in version 1.19.
Member
ZeroYieldStructure::ZeroYieldStructure
(const
DayCounter
&dc, const std::vector< Handle< Quote > > &jumps, const std::vector< Date > &jumpDates=std::vector< Date >())
Passing jumps without a reference date never worked correctly. Use one of the other constructors instead. Deprecated in version 1.19.
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