QuantLib Addin Functions Documentation

• qlAmericanExercise – create an American style exercise object
• qlBinomialPricingEngine – Create pricing engines with discretised time
• qlBlackConstantVol – Create a Volatility Structure with constant volatility for all times and strikes
• qlBlackSwaptionEngine – Create a Swaption Valuation Engine
• qlBlackVarianceSurface – Create volatility structure represented by variance surface
• qlCalendarAddHoliday – Mark a date as a holiday
• qlCalendarAdvance – Advance a date by specified interval
• qlConstantSwaptionVolatility – Simple rates volatility for use with swaptions
• qlDatedOISRateHelper – create a Rate Helper referencing an overnight index swap with a forward start date
• qlDiscountingSwapEngine – create an engine for pricing of interest rate swaps
  • Example
• qlEONIA – Create an EONIA object
• qlEURIBOR – create an object representing the Euribor index
• qlEuropeanExercise – create an object defining a derivative that can only be exercised at maturity
• qlExerciseDates – Return the dates on which an option can be exercised
  • Example
• qlGeneralizedBlackScholesProcess – Create an object representing the Black-Scholes process
• qlInstrumentNPV – Compute the Net Present Value of an instrument
• qlInstrumentResults – Get additional results from instrument pricing
• qlInstrumentSetPricingEngine – Set the pricing engine for an instrument
• qlInterpolatedYieldCurve – Create a yield curve that interpolates between supplied data
  • Example
• qlMakeVanillaSwap – Make a vanilla interest rate swap object
  • Example
• qlOISRateHelper – create a Rate Helper referencing an overnight index swap
• qlPiecewiseYieldCurve – create a yield curve bootsrapped from market quotes
  • Excel Example
  • QLW/Java example
  • QLW/Python Example
• qlPricingEngine – Create a engine for pricing derivatives
• qlSettingsSetEvaluationDate – set the implicit evaluation date to use
• qlStrikedTypePayoff – create a definition of a derivative payoff
• qlSwapLegAnalysis – Inspect the cashflows of a swap object
• qlSwaption – create an object representing a swaption
• qlVanillaOption – Create a Vanilla option derivative
• qlVanillaSwapFairRate – compute the fair fixed rate for a IR swap
• qlVanillaSwapFairSpread – Compute the fair spread over floating rate for IR swap
• Examples
• qlYieldTSDiscount – Calculate discount factor from yield curve
  • QLW/Python Example