Using and Understanding the QuantLib Addin

Contents:

• Front matter
  • Terms of use
  • Spreadsheet examples on these web-pages
  • Obtaining the QuantLib Addin
  • QLW – QuantLib-Addin like interface from Java and Python
• 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
  • 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
  • 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
  • qlMakeVanillaSwap – Make a vanilla interest rate swap object
  • qlOISRateHelper – create a Rate Helper referencing an overnight index swap
  • qlPiecewiseYieldCurve – create a yield curve bootsrapped from market quotes
  • 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
• QuantLib Addin Concepts Documentation
  • Calendars in QuantLib Addin
  • Day Count(ing) Conventions
  • Evaluation Date
  • Interpolation in QuantLib
  • Loop parameters
  • Overnight Index Swaps
  • Periods of time in QuantLib
  • “Rate Helpers” in QuantLib
  • TARGET Calendar
• QuantLib Addin Examples
  • Valuing an American Equity Option
  • Valuing an equity option using the simple Black-Scholes Model

Indices and tables

• Index

• Search Page