QuantLib Services
Bojan Nikolic / BN Algorithms Ltd

Overview

This page contins the documentation of all of the functions in the QuantLib Add-In that are defined in "gensrc" XML files. This means that this should include all QuantLib functions that are usable from the add-in and also some auxiliary and helper functions from other sub-projects.

qlAbcdFunctionInstantaneousValue

Returns the instantaneous volatility as function of residual time to maturity u=T-t: [a + b*u] * e^{-c*u} + d.

Return value: double

qlAbcdFunctionInstantaneousCovariance

Returns covariance at calendar time u between T and S rates fixing times.

Return value: double

qlAbcdFunctionInstantaneousVariance

Returns variance at calendar time(s) u of T-fixing rate.

Return value: double

qlAbcdFunctionInstantaneousVolatility

Returns volatility/ies at calendar time(s) u of T-fixing rate.

Return value: QuantLib::Volatility

qlAbcdFunctionCovariance

Returns covariance(s) in [tMin,tMax] between T and S rate fixing times.

Return value: double

qlAbcdFunctionVariance

Returns variance(s) in [tMin,tMax] of T rate fixing time.

Return value: double

qlAbcdFunctionVolatility

Returns volatility/ies in [tMin,tMax] of T rate fixing time.

Return value: QuantLib::Volatility

qlAbcdFunctionShortTermVolatility

Returns the short term volatility implied by Abcd volatility.

Return value: QuantLib::Volatility

qlAbcdFunctionLongTermVolatility

Returns the long term volatility implied by Abcd volatility.

Return value: QuantLib::Volatility

qlAbcdFunctionMaximumLocation

Returns, if b is positive, the location of the Abcd volatility maximum.

Return value: QuantLib::Time

qlAbcdFunctionMaximumVolatility

Returns, if b is positive, the maximum of the Abcd volatility.

Return value: QuantLib::Volatility

qlAbcdFunctionA

Returns the a coefficient in the abcd vol parametrization.

Return value: double

qlAbcdFunctionB

Returns the b coefficient in the abcd vol parametrization.

Return value: double

qlAbcdFunctionC

Returns the c coefficient in the abcd vol parametrization.

Return value: double

qlAbcdFunctionD

Returns the d coefficient in the abcd vol parametrization.

Return value: double

qlAbcdDFunction

Returns the a coefficient in the abcd vol parametrization.

Return value: double

qlAbcdCalibrationCompute

compute calibration.

Return value: void

qlAbcdCalibrationK

Returns the 'k' adjustment factors needed to match Black vols.

Return value: double

qlAbcdCalibrationError

Returns the root mean squared error between the abdc implied Black vols and a given Black vol vector.

Return value: double

qlAbcdCalibrationMaxError

Returs the max error between the abdc implied Black vols and a given Black vol vector.

Return value: double

qlAbcdCalibrationEndCriteria

Calibrates the a, b, c, d parameters of the vol parametrization.

Return value: QuantLib::EndCriteria::Type

qlAbcdCalibrationA

Returns the a coefficient in the abcd vol parametrization.

Return value: double

qlAbcdCalibrationB

Returns the a coefficient in the abcd vol parametrization.

Return value: double

qlAbcdCalibrationC

Returns the a coefficient in the abcd vol parametrization.

Return value: double

qlAbcdCalibrationD

Returns the a coefficient in the abcd vol parametrization.

Return value: double

qlAccountingEngineMultiplePathValues

return multiple path values.

Return value: void

qlAlphaFormOperator

returns the Alpha Form value at time i.

Return value: QuantLib::Real

qlAlphaFormSetAlpha

set the Alpha parameter value to Alpha Form.

Return value: void

qlAssetSwapBondLegAnalysis

The bond leg cash flow analysis.

Return value: any

qlAssetSwapFloatingLegAnalysis

The floating leg cash flow analysis.

Return value: any

qlAssetSwapFairSpread

the fair rate of the asset swap, i.e. the asset swap spread.

Return value: QuantLib::Spread

qlAssetSwapFloatingLegBPS

the BPS of the floating leg.

Return value: double

qlAssetSwapFairCleanPrice

the fair price of the bond in the asset swap.

Return value: QuantLib::Real

qlAssetSwapFairNonParRepayment

the fair non par repayment of the bond in the asset swap.

Return value: QuantLib::Real

qlAssetSwapParSwap

Returns TRUE if par swap

Return value: bool

qlAssetSwapPayBondCoupon

Returns TRUE if it is a bond coupon payer swap

Return value: bool

qlBondSettlementDays

Returns the number of settlement days of the bond.

Return value: QuantLib::Natural

qlBondCalendar

Returns the calendar of the bond, e.g. TARGET.

Return value: QuantLib::Calendar

qlBondNotionals

Returns the notionals of the bond.

Return value: QuantLib::Real

qlBondNotional

Returns the notional of the bond at a given date.

Return value: QuantLib::Real

qlBondMaturityDate

Returns the maturity date of the bond.

Return value: QuantLib::Date

qlBondIssueDate

Returns the issue date of the bond.

Return value: QuantLib::Date

qlBondIsTradable

Returns TRUE if the given Bond is tradable at the given settlement date. The current bond settlement is used if no date is given.

Return value: bool

qlBondSettlementDate

Returns the settlement date of the bond.

Return value: QuantLib::Date

qlBondCleanPrice

Returns the clean price for the given bond.

Return value: double

qlBondDescription

Returns the bond description string.

Return value: string

qlBondCurrency

Returns the bond currency.

Return value: string

qlBondRedemptionAmount

Returns the redemption amount of the bond.

Return value: QuantLib::Real

qlBondRedemptionDate

Returns the redemption payment date of the bond.

Return value: QuantLib::Date

qlBondFlowAnalysis

Returns the bond cash flow analysis.

Return value: any

qlBondSetCouponPricer

Set the coupon pricer at the given Bond object.

Return value: void

qlBondSetCouponPricers

Set the coupon pricer at the given Bond object.

Return value: void

qlRendistatoBasketSize

Returns the number of BTPs in the RendistatoBasket.

Return value: QuantLib::Size

qlRendistatoBasketOutstanding

Returns the overall outstanding of the BTPs in the RendistatoBasket.

Return value: QuantLib::Real

qlRendistatoBasketOutstandings

Returns the outstandings of the BTPs in the RendistatoBasket.

Return value: QuantLib::Real

qlRendistatoBasketWeights

Returns the weights of the BTPs in the RendistatoBasket.

Return value: QuantLib::Real

qlRendistatoCalculatorYield

Returns RendistatoCalculator's yield.

Return value: QuantLib::Rate

qlRendistatoCalculatorDuration

Returns RendistatoCalculator's duration.

Return value: QuantLib::Time

qlRendistatoCalculatorYields

Returns the yields of the BTPs in the RendistatoCalculator's underlying basket.

Return value: QuantLib::Rate

qlRendistatoCalculatorDurations

Returns the durations of the BTPs in the RendistatoCalculator's underlying basket.

Return value: QuantLib::Time

qlRendistatoCalculatorSwapLengths

Returns RendistatoCalculator's equivalent swaps' lengths.

Return value: QuantLib::Time

qlRendistatoCalculatorSwapRates

Returns RendistatoCalculator's equivalent swaps' rates.

Return value: QuantLib::Rate

qlRendistatoCalculatorSwapYields

Returns RendistatoCalculator's equivalent swaps' yields.

Return value: QuantLib::Rate

qlRendistatoCalculatorSwapDurations

Returns RendistatoCalculator's equivalent swaps' durations.

Return value: QuantLib::Time

qlRendistatoCalculatorEquivalentSwapRate

Returns RendistatoCalculator's equivalent swap rate.

Return value: QuantLib::Rate

qlRendistatoCalculatorEquivalentSwapYield

Returns RendistatoCalculator's equivalent swap yield.

Return value: QuantLib::Rate

qlRendistatoCalculatorEquivalentSwapDuration

Returns RendistatoCalculator's equivalent swap duration.

Return value: QuantLib::Time

qlRendistatoCalculatorEquivalentSwapSpread

Returns RendistatoCalculator's equivalent swap spread.

Return value: QuantLib::Spread

qlRendistatoCalculatorEquivalentSwapLength

Returns RendistatoCalculator's equivalent swap lenght in years.

Return value: QuantLib::Time

qlCalibrationHelperSetPricingEngine

Set the priging engine for the given SwaptionHelper object.

Return value: void

qlCalibrationHelperImpliedVolatility

Set the priging engine for the given SwaptionHelper object.

Return value: QuantLib::Volatility

qlSwaptionHelperModelValue

Set the priging engine for the given SwaptionHelper object.

Return value: double

qlOneFactorAffineModelCalibrate

calibrate a model.

could not parseQuantLib::OptimizationMethodscalarunderlyingClassOptimizationMethod object ID.

Return value: void

qlModelG2Calibrate

calibrate a model.

could not parseQuantLib::OptimizationMethodscalarunderlyingClassOptimizationMethod object ID.

Return value: void

qlCapFloorType

Returns the type (e.g. Cap, Floor) for the given CapFloor object.

Return value: QuantLib::CapFloor::Type

qlCapFloorCapRates

Returns the cap rates for the given CapFloor object.

Return value: QuantLib::Rate

qlCapFloorFloorRates

Returns the floor rates for the given CapFloor object.

Return value: QuantLib::Rate

qlCapFloorAtmRate

Returns the at-the-money rate for the given CapFloor object.

Return value: QuantLib::Rate

qlCapFloorStartDate

Returns the start (i.e. first accrual) date for the given CapFloor object.

Return value: QuantLib::Date

qlCapFloorMaturityDate

Returns the maturity (i.e. last payment) date for the given CapFloor object.

Return value: QuantLib::Date

qlCapFloorImpliedVolatility

Returns the volatility implied by the given price for the given CapFloor object.

Return value: QuantLib::Volatility

qlCapFloorLegAnalysis

Returns the cash flow analysis for the given CapFloor object.

Return value: any

qlOptionletVTSVolatility

Returns volatility from the given OptionletVolatilityStructure object.

Return value: QuantLib::Volatility

qlOptionletVTSVolatility2

Returns volatility from the given OptionletVolatilityStructure object.

Return value: QuantLib::Volatility

qlOptionletVTSBlackVariance

Returns the black variance corresponding to a given strike for a given exercise date.

Return value: QuantLib::Real

qlOptionletVTSBlackVariance2

Returns the black variance corresponding to a given strike for a given exercise date.

Return value: QuantLib::Real

qlStrippedOptionletBaseStrikes

Returns optionlet strike from the given StrippedOptionletBase object.

Return value: QuantLib::Rate

qlStrippedOptionletBaseOptionletVolatilities

Returns optionlet volatilities from the given StrippedOptionletBase object.

Return value: QuantLib::Volatility

qlStrippedOptionletBaseOptionletFixingDates

Returns optionlet fixing dates from the given StrippedOptionletBase object.

Return value: QuantLib::Date

qlStrippedOptionletBaseOptionletFixingTimes

Returns optionlet fixing times from the given StrippedOptionletBase object.

Return value: QuantLib::Time

qlStrippedOptionletBaseAtmOptionletRates

Returns atm optionlet rates from the given StrippedOptionletBase object.

Return value: QuantLib::Rate

qlStrippedOptionletBaseDayCounter

Returns the DayCounter used by the given StrippedOptionletBase object.

Return value: QuantLib::DayCounter

qlStrippedOptionletBaseCalendar

Returns the calendar used by the given StrippedOptionletBase object.

Return value: QuantLib::Calendar

qlStrippedOptionletBaseSettlementDays

Returns the number of settlement days for the given StrippedOptionletBase object.

Return value: QuantLib::Natural

qlStrippedOptionletBaseBusinessDayConvention

Returns the business day convention used in tenor to date conversion.

Return value: QuantLib::BusinessDayConvention

qlOptionletStripperOptionletFixingTenors

Returns optionlet fixing tenors from the given OptionletStripper object.

Return value: QuantLib::Period

qlOptionletStripperOptionletPaymentDates

Returns optionlet payment dates from the given OptionletStripper object.

Return value: QuantLib::Date

qlOptionletStripperOptionletAccrualPeriods

Returns optionlet accrual periods from the given OptionletStripper object.

Return value: QuantLib::Time

qlOptionletStripper1CapFloorPrices

Returns option prices matrix from the given OptionletStripper1 object.

Return value: QuantLib::Matrix

qlOptionletStripper1CapFloorVolatilities

Returns option volatilities matrix from the given OptionletStripper1 object.

Return value: QuantLib::Matrix

qlOptionletStripper1OptionletPrices

Returns optionlet prices matrix from the given OptionletStripper1 object.

Return value: QuantLib::Matrix

qlOptionletStripper1SwitchStrike

Returns option switch strike from the given OptionletStripper1 object.

Return value: QuantLib::Rate

qlOptionletStripper2SpreadsVol

Returns optionlet spread (with respect to ATM) vols from the given OptionletStripper2 object.

Return value: QuantLib::Spread

qlOptionletStripper2AtmCapFloorPrices

Returns ATM option prices from the given OptionletStripper2 object.

Return value: QuantLib::Real

qlOptionletStripper2AtmCapFloorStrikes

Returns option ATM strikes from the given OptionletStripper2 object.

Return value: QuantLib::Rate

qlCapFloorTermVTSVolatility

Returns volatility from the given CapFloorTermVolatilityStructure object.

Return value: QuantLib::Volatility

qlCapFloorTermVTSVolatility2

Returns volatility from the given CapFloorTermVolatilityStructure object.

Return value: QuantLib::Volatility

qlCapFloorTermVolCurveOptionTenors

Returns the option tenors from the given CapFloorTermVolCurve object.

Return value: QuantLib::Period

qlCapFloorTermVolCurveOptionDates

Returns the option dates from the given CapFloorTermVolCurve object.

Return value: QuantLib::Date

qlCapFloorTermVolSurfaceOptionTenors

Returns the option tenors from the given CapFloorTermVolSurface object.

Return value: QuantLib::Period

qlCapFloorTermVolSurfaceOptionDates

Returns the option dates from the given CapFloorTermVolSurface object.

Return value: QuantLib::Date

qlCapFloorTermVolSurfaceStrikes

Returns the option strikes from the given CapFloorTermVolSurface object.

Return value: QuantLib::Rate

qlBrowseCmsMarket

return the market and implied spreads matrix.

Return value: any

qlCmsMarketCalibrationCompute

Return the best beta and mean reversion.

Return value: QuantLib::Array

qlCmsMarketCalibrationError

Returns the error of the simultaneous calibration.

Return value: double

qlCmsMarketCalibrationEndCriteria

Returns the optimization end criteria of the simultaneous calibration.

Return value: QuantLib::EndCriteria::Type

qlCmsMarketCalibrationElapsed

Returns the elapsed time of the simultaneous calibration.

Return value: double

qlCmsMarketCalibrationSparseSabrParameters

returns results of Sabr calibration.

Return value: any

qlCmsMarketCalibrationDenseSabrParameters

returns results of Sabr calibration.

Return value: any

qlSimultaneousCalibrationBrowseCmsMarket

return the market and implied spreads matrix.

Return value: any

qlHistoricalForwardRatesAnalysisSkippedDates

Returns vector of historic dates for which some fixing is missing.

Return value: QuantLib::Date

qlHistoricalForwardRatesAnalysisSkippedDatesErrorMessage

Returns vector of error messages for historic dates with missing fixing.

Return value: string

qlHistoricalForwardRatesAnalysisFailedDates

Returns vector of dates for which forward rates could not be calculated.

Return value: QuantLib::Date

qlHistoricalForwardRatesAnalysisFailedDatesErrorMessage

Returns vector of error messages for dates on which forward rates could not be calculated.

Return value: string

qlHistoricalForwardRatesAnalysisFixingPeriods

Returns the forward rates time grid.

Return value: QuantLib::Period

qlHistoricalRatesAnalysisSkippedDates

Returns vector of historic dates for which some fixing is missing.

Return value: QuantLib::Date

qlHistoricalRatesAnalysisSkippedDatesErrorMessage

Returns vector of error messages for historic dates with missing fixing.

Return value: string

qlPiecewiseConstantCorrelationCorrelation

Returns the pseudo-root of the equivalent covariance swap rates matrix.

Return value: QuantLib::Matrix

qlPiecewiseConstantCorrelationTimes

Piecewise Constant Correlation Times.

Return value: double

qlPiecewiseConstantCorrelationNumberOfRates

Piecewise Constant Correlation Number of Rates.

Return value: QuantLib::Size

qlConundrumPricerByNumericalIntegrationUpperLimit

Returns the upper limit of the integral.

Return value: double

qlCdsCouponLegNPV

Returns the CL NPV.

Return value: QuantLib::Real

qlCdsDefaultLegNPV

Returns the DL NPV.

Return value: QuantLib::Real

qlCdsFairSpread

Returns the running spread that, given the quoted recovery rate, will make the running-only CDS have an NPV of 0.

Return value: QuantLib::Rate

qlCdsFairUpfront

Returns the upfront spread that, given the running spread and the quoted recovery rate, will make the instrument have an NPV of 0.

Return value: QuantLib::Rate

qlHRDates

Dates on which the hazard rate interpolation is performed.

Return value: QuantLib::Date

qlHRates

Dates on which the hazard rate interpolation is performed.

Return value: QuantLib::Real

qlCdsOptionImpliedVol

Implied black CDS option volatility.

Return value: QuantLib::Volatility

qlBaseCorrelationValue

Returns the interpolated base correlation value.

Return value: QuantLib::Real

qlCTSMMCapletCalibrationCalibrate

calibrate.

Return value: bool

qlCTSMMCapletCalibrationFailures

failures.

Return value: QuantLib::Natural

qlCTSMMCapletCalibrationDeformationSize

deformationSize.

Return value: QuantLib::Real

qlCTSMMCapletCalibrationMarketCapletVols

market caplet volalitilies.

Return value: QuantLib::Real

qlCTSMMCapletCalibrationModelCapletVols

model caplet volalitilies.

Return value: QuantLib::Real

qlCTSMMCapletCalibrationCapletRmsError

capletRmsError.

Return value: QuantLib::Real

qlCTSMMCapletCalibrationCapletMaxError

capletMaxError.

Return value: QuantLib::Real

qlCTSMMCapletCalibrationMarketSwaptionVols

market swaption volalitilies.

Return value: QuantLib::Real

qlCTSMMCapletCalibrationModelSwaptionVols

model swaption volalitilies.

Return value: QuantLib::Real

qlCTSMMCapletCalibrationSwaptionRmsError

swaptionRmsError.

Return value: QuantLib::Real

qlCTSMMCapletCalibrationSwaptionMaxError

swaptionMaxError.

Return value: QuantLib::Real

qlCTSMMCapletCalibrationSwapPseudoRoot

swapPseudoRoot.

Return value: QuantLib::Matrix

qlCTSMMCapletCalibrationTimeDependentCalibratedSwaptionVols

timeDependentCalibratedSwaptionVols.

Return value: QuantLib::Volatility

qlCTSMMCapletCalibrationTimeDependentUnCalibratedSwaptionVols

timeDependentUnCalibratedSwaptionVols.

Return value: QuantLib::Volatility

qlCTSMMCapletAlphaFormCalibrationAlpha

alpha.

Return value: QuantLib::Real

qlCurveStateRateTimes

return the rate times of the CurveState object.

Return value: QuantLib::Time

qlCurveStateRateTaus

return the rate taus of the CurveState object.

Return value: QuantLib::Time

qlCurveStateForwardRates

Returns the current forward rates of the CurveState object.

Return value: QuantLib::Rate

qlCurveStateCoterminalSwapRates

Returns the current swap rates of the CurveState object.

Return value: QuantLib::Rate

qlCurveStateCMSwapRates

Returns the current swap rates of the CurveState object.

Return value: QuantLib::Rate

qlCMSwapCurveStateSetOnCMSwapRates

set the CurveState object on given vector of coterminal swaps.

Return value: void

qlCoterminalSwapCurveStateSetOnCoterminalSwapRates

set the CurveState object on given vector of coterminal swaps.

Return value: void

qlLMMCurveStateSetOnForwardRates

set the CurveState object on given vector of forward rates.

Return value: void

qlLMMCurveStateSetOnDiscountRatios

set the CurveState object on given vector of discount ratios.

Return value: void

qlCreditBasketSetLossModel

Assigns a Default Loss Model to a given basket. Subsequent basket computations will use that model.

Return value: void

qlCreditBasketSize

Number of counterparties at inception.

Return value: QuantLib::Size

qlCreditBasketLiveNotional

Non defaulted portfolio outstanding notional.

Return value: QuantLib::Real

qlCreditBasketLoss

Losses from default events.

Return value: QuantLib::Real

qlCreditBasketAttachLive

Remaining attach amount.

Return value: QuantLib::Real

qlCreditBasketDetachLive

Remaining detach amount.

Return value: QuantLib::Real

qlExpectedTrancheLoss

Basket expected tranche according to the basket loss model.

Return value: QuantLib::Real

qlCreditBasketPercentile

Basket loss percentile amount (tranched).

Return value: QuantLib::Real

qlCreditBasketESF

Basket loss expected shortfall amount (tranched).

Return value: QuantLib::Real

qlCreditBasketNthEventP

Probability of each basket name to default in the given order.

Return value: QuantLib::Real

qlCreditBasketProbLoss

Probability of basket losses to be over a value at a given date.

Return value: QuantLib::Real

qlCreditBasketSplitLoss

Splits a loss amount by counterparty contribution.

Return value: QuantLib::Real

qlCreditBasketDefaulCorrel

Default correlation between two basket issuers.

Return value: QuantLib::Real

qlDefaultTSDefaultProbability

Returns the probability of default between the reference date and the given date from the given DefaultProbabilityTermStructure object.

Return value: QuantLib::Probability

qlLMMDriftCalculatorComputePlain

Full factor drift computation using the LMMDriftCalculator object.

Return value: double

qlLMMDriftCalculatorComputeReduced

Reduced factor (Joshi algorithm) drift computation using the LMMDriftCalculator object.

Return value: double

qlLMMDriftCalculatorCompute

Reduced factor (Joshi algorithm) drift computation using the LMMDriftCalculator object.

Return value: double

qlLMMNormalDriftCalculatorComputePlain

Full factor drift computation using the LMMNormalDriftCalculator object.

Return value: double

qlLMMNormalDriftCalculatorComputeReduced

Reduced factor (Joshi algorithm) drift computation using the LMMNormalDriftCalculator object.

Return value: double

qlLMMNormalDriftCalculatorCompute

Reduced factor (Joshi algorithm) drift computation using the LMMNormalDriftCalculator object.

Return value: double

qlCMSMMDriftCalculatorCompute

Full factor drift computation using the CMSMMDriftCalculator object.

Return value: double

qlSMMDriftCalculatorCompute

Full factor drift computation using the SMMDriftCalculator object.

Return value: double

qlEvolutionDescriptionRateTimes

rates fixing times for the EvolutionDescription object.

Return value: QuantLib::Time

qlEvolutionDescriptionRateTaus

rate taus for the EvolutionDescription object.

Return value: QuantLib::Time

qlEvolutionDescriptionEvolutionTimes

evolution times for the EvolutionDescription object.

Return value: QuantLib::Time

qlEvolutionDescriptionFirstAliveRate

first alive rate at each evolution time for the EvolutionDescription object.

Return value: QuantLib::Size

qlEvolutionDescriptionNumberOfRates

number of rates for the EvolutionDescription object.

Return value: long

qlEvolutionDescriptionNumberOfSteps

number of steps for the EvolutionDescription object.

Return value: long

qlExerciseDates

Returns all exercise dates.

Return value: QuantLib::Date

qlExerciseLastDate

Returns last exercise date.

Return value: QuantLib::Date

qlFRAforwardRate

Returns the relevant forward rate associated with the FRA term.

Return value: QuantLib::Rate

qlFRAforwardValue

Returns the forward value of the FRA.

Return value: double

qlFRAspotValue

Returns the spot value of the FRA.

Return value: double

qlHandleCurrentLink

ID of object to which this handle is linked - empty string if none.

Return value: string

qlHandleEmpty

True if handle is empty, False if not.

Return value: bool

qlRelinkableHandleLinkTo

Relink the RelinkableHandle to the given object.

Return value: void

qlIndexName

Returns the name for the given Index object.

Return value: string

qlIndexFixingCalendar

Returns the calendar (e.g. TARGET) for the given Index object.

Return value: QuantLib::Calendar

qlIndexIsValidFixingDate

Returns TRUE if the fixing date is a valid one for the given Index object.

Return value: bool

qlIndexFixing

Returns the fixing for the given Index object. The fixing is retrieved from the time series if available, otherways it is forecasted.

Return value: QuantLib::Real

qlIndexAddFixings

Adds fixings for the given Index object.

Return value: void

qlIndexAddFixings2

Adds fixings for the given Index object.

Return value: void

qlIndexClearFixings

Clear all fixings for the given Index object.

Return value: void

qlInterestRateIndexFamilyName

Returns the family name (e.g. EURIBOR) for the given InterestRateIndex object.

Return value: string

qlInterestRateIndexTenor

Returns the tenor (i.e. length, e.g. 6M, 10Y) for the given InterestRateIndex object.

Return value: QuantLib::Period

qlInterestRateIndexFixingDays

Returns the fixing days (e.g. 2) for the given InterestRateIndex object.

Return value: QuantLib::Natural

qlInterestRateIndexCurrency

Returns the currency (e.g. EUR) for the given InterestRateIndex object.

Return value: QuantLib::Currency

qlInterestRateIndexDayCounter

Returns the DayCounter (e.g. Actual/360) for the given InterestRateIndex object.

Return value: QuantLib::DayCounter

qlInterestRateIndexValueDate

Returns the value date for the given fixing date for the given InterestRateIndex object.

Return value: QuantLib::Date

qlInterestRateIndexFixingDate

Returns the fixing date for the given value date for the given InterestRateIndex object.

Return value: QuantLib::Date

qlInterestRateIndexMaturity

Returns the maturity date for the given value date for the given InterestRateIndex object.

Return value: QuantLib::Date

qlIborIndexBusinessDayConv

Returns the business day convention (e.g. Modified Following) for the given IborIndex object.

Return value: QuantLib::BusinessDayConvention

qlIborIndexEndOfMonth

Returns TRUE if the given IborIndex object follows the 'end of month' convention.

Return value: bool

qlSwapIndexFixedLegTenor

Returns the fixed leg tenor (e.g. 1Y) for the given SwapIndex object.

Return value: QuantLib::Period

qlSwapIndexFixedLegBDC

Returns the business day convention (e.g. Modified Following) for the given SwapIndex object.

Return value: QuantLib::BusinessDayConvention

qlInstrumentNPV

Returns the NPV for the given Instrument object.

Return value: double

qlInstrumentErrorEstimate

Returns the NPV error estimation (for e.g. Monte Carlo simulation) for the given Instrument object.

Return value: double

qlInstrumentValuationDate

Returns the date to which the net present value refers.

Return value: QuantLib::Date

qlInstrumentResults

Returns the required result (if available) for the given Instrument object.

Return value: double

qlInstrumentIsExpired

Returns TRUE if the given Instrument object is expired.

Return value: bool

qlInstrumentSetPricingEngine

Sets a new pricing engine to the given Instrument object.

Return value: void

qlExtrapolatorEnableExtrapolation

Sets the enable extrapolation flag to the given Extrapolator object.

Return value: void

qlInterpolationInterpolate

Returns interpolated values using the given Interpolation object.

Return value: QuantLib::Real

qlInterpolationDerivative

Returns the first derivative function values using the given Interpolation object.

Return value: QuantLib::Real

qlInterpolationSecondDerivative

Returns the second derivative function values using the given Interpolation object.

Return value: QuantLib::Real

qlInterpolationPrimitive

Returns the primitive function values using the given Interpolation object.

Return value: QuantLib::Real

qlInterpolationIsInRange

Returns TRUE if the input value is in the allowed interpolation range for the given Interpolation object.

Return value: bool

qlInterpolationXmin

Returns the minimum value of the x array for the given Interpolation object.

Return value: QuantLib::Real

qlInterpolationXmax

Returns the maximum value of the x array for the given Interpolation object.

Return value: QuantLib::Real

qlCubicInterpolationPrimitiveConstants

Returns the constant terms in the primitive of the cubic interpolants for the given CubicSplineInterpolation object.

Return value: QuantLib::Real

qlCubicInterpolationACoefficients

Returns the constant terms in the primitive of the cubic interpolants for the given CubicSplineInterpolation object.

Return value: QuantLib::Real

qlCubicInterpolationBCoefficients

Returns the constant terms in the primitive of the cubic interpolants for the given CubicSplineInterpolation object.

Return value: QuantLib::Real

qlCubicInterpolationCCoefficients

Returns the constant terms in the primitive of the cubic interpolants for the given CubicSplineInterpolation object.

Return value: QuantLib::Real

qlCubicInterpolationMonotonicityAdjustments

Returns a vector of bool (one per cubic) indicating if there has been a monotonicity adjustment.

Return value: bool

qlAbcdInterpolationA

Returns the a in the { y = (a + b*x) e^(-c*x) + d } fit for the given AbcdInterpolation object.

Return value: QuantLib::Real

qlAbcdInterpolationB

Returns the b in the { y = (a + b*x) e^(-c*x) + d } fit for the given AbcdInterpolation object.

Return value: QuantLib::Real

qlAbcdInterpolationC

Returns the c in the { y = (a + b*x) e^(-c*x) + d } fit for the given AbcdInterpolation object.

Return value: QuantLib::Real

qlAbcdInterpolationD

Returns the d in the { y = (a + b*x) e^(-c*x) + d } fit for the given AbcdInterpolation object.

Return value: QuantLib::Real

qlAbcdInterpolationRmsError

Returns the error of the fit for the given AbcdInterpolation object.

Return value: QuantLib::Real

qlAbcdInterpolationMaxError

Returns the max error of the fit for the given AbcdInterpolation object.

Return value: QuantLib::Real

qlAbcdInterpolationEndCriteria

Returns the optimization end criteria of the fit for the given AbcdInterpolation object.

Return value: QuantLib::EndCriteria::Type

qlSABRInterpolationExpiry

Returns the expiry time in years for the given SABRInterpolation object.

Return value: QuantLib::Time

qlSABRInterpolationForward

Returns the forward for the given SABRInterpolation object.

Return value: QuantLib::Real

qlSABRInterpolationAlpha

Returns the alpha of the fit for the given SABRInterpolation object.

Return value: QuantLib::Real

qlSABRInterpolationBeta

Returns the alpha of the fit for the given SABRInterpolation object.

Return value: QuantLib::Real

qlSABRInterpolationNu

Returns the nu of the fit for the given SABRInterpolation object.

Return value: QuantLib::Real

qlSABRInterpolationRho

Returns the rho of the fit for the given SABRInterpolation object.

Return value: QuantLib::Real

qlSABRInterpolationRmsError

Returns the error of the fit for the given SABRInterpolation object.

Return value: QuantLib::Real

qlSABRInterpolationMaxError

Returns the max error of the fit for the given SABRInterpolation object.

Return value: QuantLib::Real

qlSABRInterpolationEndCriteria

Returns the optimization end criteria of the fit for the given SABRInterpolation object.

Return value: QuantLib::EndCriteria::Type

qlSABRInterpolationWeights

Returns the weights of the fit for the given SABRInterpolation object.

Return value: QuantLib::Real

qlInterpolation2DXmin

Returns the minimum value of the x array for the given Interpolation2D object.

Return value: QuantLib::Real

qlInterpolation2DXmax

Returns the maximum value of the x array for the given Interpolation2D object.

Return value: QuantLib::Real

qlInterpolation2DXvalues

Returns the x array grid for the given Interpolation2D object.

Return value: QuantLib::Real

qlInterpolation2DYmin

Returns the minimum value of the y array for the given Interpolation2D object.

Return value: QuantLib::Real

qlInterpolation2DYmax

Returns the maximum value of the y array for the given Interpolation2D object.

Return value: QuantLib::Real

qlInterpolation2DYvalues

Returns the y array grid for the given Interpolation2D object.

Return value: QuantLib::Real

qlInterpolation2DzData

Returns the z data matrix grid for the given Interpolation2D object.

Return value: QuantLib::Matrix

qlInterpolation2DIsInRange

Returns TRUE if the (x,y) input value is in the allowed interpolation range for the given Interpolation2D object.

Return value: bool

qlInterpolation2DInterpolate

Returns interpolated values for the (x,y) input for the given Interpolation2D object.

Return value: QuantLib::Real

qlGaussianLMDefaultCorrel

Default probability correlation.

Return value: QuantLib::Real

qlGaussianLMAssetCorrel

Default probability correlation.

Return value: QuantLib::Real

qlGaussianLMProbNHits

Probability of having a given number of defaults or more.

Return value: QuantLib::Real

qlTLMDefaultCorrel

Default probability correlation.

Return value: QuantLib::Real

qlTLMAssetCorrel

Default probability correlation.

Return value: QuantLib::Real

qlTLMProbNHits

Probability of having a given number of defaults or more.

Return value: QuantLib::Real

qlLegFlowAnalysis

Returns the flow analysis for the given Leg object.

Return value: any

qlLegSetCouponPricers

Set the coupon pricer at the given Leg object.

Return value: void

qlInterestRateRate

Returns the rate in the given InterestRate object.

Return value: QuantLib::Rate

qlInterestRateDayCounter

Returns the DayCounter in the given InterestRate object.

Return value: QuantLib::DayCounter

qlInterestRateCompounding

Returns the Compounding in the given InterestRate object.

Return value: QuantLib::Compounding

qlInterestRateFrequency

Returns the Frequency in the given InterestRate object.

Return value: QuantLib::Frequency

qlInterestRateDiscountFactor

Returns the discount factor between two dates based on the given InterestRate object.

Return value: QuantLib::Real

qlInterestRateCompoundFactor

Returns the compound factor between two dates based on the given InterestRate object.

Return value: QuantLib::Real

qlInterestRateEquivalentRate

Returns the equivalent rate for a compounding period between two dates based on the given InterestRate object.

Return value: QuantLib::Real

qlMarketModelEvolverStartNewPath

start a new path for the MarketModelEvolver object.

Return value: double

qlMarketModelEvolverAdvanceStep

advance a single step in the current path for the MarketModelEvolver object.

Return value: double

qlMarketModelEvolverCurrentStep

returns the current step index in the current path for the MarketModelEvolver object.

Return value: QuantLib::Size

qlMarketModelEvolverNumeraires

returns the current step index in the current path for the MarketModelEvolver object.

Return value: QuantLib::Size

qlMarketModelInitialRates

initial rates for the MarketModel object.

Return value: QuantLib::Rate

qlMarketModelDisplacements

rates' displacemets for the MarketModel object.

Return value: QuantLib::Spread

qlMarketModelNumberOfRates

number of rates for the MarketModel object.

Return value: long

qlMarketModelNumberOfFactors

number of factors for the MarketModel object.

Return value: long

qlMarketModelNumberOfSteps

number of steps for the MarketModel object.

Return value: long

qlMarketModelPseudoRoot

Returns the pseudo root for the i-th step.

Return value: QuantLib::Matrix

qlMarketModelCovariance

Returns the covariance matrix for the i-th step.

Return value: QuantLib::Matrix

qlMarketModelTotalCovariance

Returns the covariance matrix from start up to the i-th step.

Return value: QuantLib::Matrix

qlMarketModelTimeDependentVolatility

Returns the time dependent vol for rate i.

Return value: QuantLib::Volatility

qlSymmetricSchurDecompositionEigenvalues

Returns the eigenvalues for the given SymmetricSchurDecomposition object.

Return value: QuantLib::Array

qlSymmetricSchurDecompositionEigenvectors

Returns the eigenvectors for the given SymmetricSchurDecomposition object. Eigenvectors are returned columnwise.

Return value: QuantLib::Matrix

qlCovarianceDecompositionVariances

Returns the variance vector for the given CovarianceDecomposition object.

Return value: QuantLib::Array

qlCovarianceDecompositionStandardDeviations

Returns the standard deviation (i.e. volatility times square root of time) vector for the given CovarianceDecomposition object.

Return value: QuantLib::Array

qlCovarianceDecompositionCorrelationMatrix

Returns the correlation matrix for the given CovarianceDecomposition object.

Return value: QuantLib::Matrix

qlEndCriteriaMaxIterations

Returns the number of max interation for the given EndCriteria object.

Return value: QuantLib::Size

qlEndCriteriaMaxStationaryStateIterations

Returns the number of max interation in a stationary state for the given EndCriteria object.

Return value: QuantLib::Size

qlEndCriteriaFunctionEpsilon

Returns the function epsilon for the given EndCriteria object.

Return value: QuantLib::Real

qlEndCriteriaGradientNormEpsilon

Returns the gradient norm epsilon for the given EndCriteria object.

Return value: QuantLib::Real

qlDelta

delta of an option.

Return value: QuantLib::Real

qlDeltaForward

delta forward of an option.

Return value: QuantLib::Real

qlElasticity

elasticity of an option.

Return value: QuantLib::Real

qlGamma

gamma of an option.

Return value: QuantLib::Real

qlTheta

theta of an option.

Return value: QuantLib::Real

qlThetaPerDay

theta per day of an option.

Return value: QuantLib::Real

qlVega

vega of an option.

Return value: QuantLib::Real

qlRho

rho of an option.

Return value: QuantLib::Real

qlDividendRho

dividend rho of an option.

Return value: QuantLib::Real

qlItmCashProbability

itm cash probability of an option.

Return value: QuantLib::Real

qlOvernightIndexedSwapFixedLegBPS

returns the BPS of the fixed rate leg for the given OvernightIndexedSwap object.

Return value: double

qlOvernightIndexedSwapFixedLegNPV

returns the NPV of the fixed rate leg for the given OvernightIndexedSwap object.

Return value: double

qlOvernightIndexedSwapFairRate

returns the fair fixed leg rate which would zero the swap NPV for the given OvernightIndexedSwap object.

Return value: QuantLib::Rate

qlOvernightIndexedSwapOvernightLegBPS

returns the BPS of the overnight rate leg for the given OvernightIndexedSwap object.

Return value: double

qlOvernightIndexedSwapOvernightLegNPV

returns the NPV of the overnight rate leg for the given OvernightIndexedSwap object.

Return value: double

qlOvernightIndexedSwapFairSpread

returns the fair spread over the overnight rate which would zero the swap NPV for the given OvernightIndexedSwap object.

Return value: QuantLib::Spread

qlOvernightIndexedSwapType

returns the swap type (Payer or Receiver) of the given OvernightIndexedSwap object.

Return value: QuantLib::OvernightIndexedSwap::Type

qlOvernightIndexedSwapNominal

returns the swap nominal for the given OvernightIndexedSwap object.

Return value: double

qlOvernightIndexedSwapFixedRate

returns the fixed rate for the given OvernightIndexedSwap object.

Return value: QuantLib::Rate

qlOvernightIndexedSwapFixedDayCount

returns the fixed rate day count convention for the given OvernightIndexedSwap object.

Return value: QuantLib::DayCounter

qlOvernightIndexedSwapSpread

returns the spread over overnight rate for the given OvernightIndexedSwap object.

Return value: QuantLib::Spread

qlOvernightIndexedSwapFixedLegAnalysis

returns the fixed rate leg cash flow analysis of the given OvernightIndexedSwap object.

Return value: any

qlOvernightIndexedSwapOvernightLegAnalysis

returns the overnight rate leg cash flow analysis.

Return value: any

qlPayoffName

returns the type (e.g. Vanilla, CashOrNothing, etc.) for the given Payoff object.

Return value: string

qlPayoffDescription

returns the description (e.g. CashOrNothing, strike 32.2, cash payoff 2.5) for the given Payoff object.

Return value: string

qlPayoffValue

returns the payoff value given an underlying reference level for the given Payoff object.

Return value: double

qlPayoffOptionType

returns the option-type (e.g. Call, Put) for the given Payoff object.

Return value: QuantLib::Option::Type

qlPayoffStrike

returns the strike for the given Payoff object.

Return value: QuantLib::Real

qlPayoffThirdParameter

returns the third parameter of a StrikedType payoff.

Return value: QuantLib::Real

qlPiecewiseYieldCurveTimes

Retrieve list of Times for the given PiecewiseYieldCurve<Traits, Interpolator>.

Return value: QuantLib::Time

qlPiecewiseYieldCurveDates

Retrieve list of Dates for the given PiecewiseYieldCurve<Traits, Interpolator>.

Return value: QuantLib::Date

qlPiecewiseYieldCurveData

Retrieve Data for the given PiecewiseYieldCurve<Traits, Interpolator>.

Return value: QuantLib::Real

qlPiecewiseYieldCurveJumpTimes

Retrieve list of jump times for the given PiecewiseYieldCurve<Traits, Interpolator>.

Return value: QuantLib::Time

qlPiecewiseYieldCurveJumpDates

Retrieve list of jump dates for the given PiecewiseYieldCurve<Traits, Interpolator>.

Return value: QuantLib::Date

qlBlackCalculatorValue

returns the option value for the given BlackCalculator object.

Return value: double

qlBlackCalculatorDeltaForward

returns the sensitivity to change in the underlying forward price for the given BlackCalculator object.

Return value: double

qlBlackCalculatorDelta

returns the sensitivity to change in the underlying spot price for the given BlackCalculator object.

Return value: double

qlBlackCalculatorElasticityForward

returns the sensitivity in percent to a percent change in the underlying forward price for the given BlackCalculator object.

Return value: double

qlBlackCalculatorElasticity

returns the sensitivity in percent to a percent change in the underlying spot price for the given BlackCalculator object.

Return value: double

qlBlackCalculatorGammaForward

returns the second order derivative with respect to change in the underlying forward price for the given BlackCalculator object.

Return value: double

qlBlackCalculatorGamma

returns the second order derivative with respect to change in the underlying spot price for the given BlackCalculator object.

Return value: double

qlBlackCalculatorTheta

returns the sensitivity to time to maturity for the given BlackCalculator object.

Return value: double

qlBlackCalculatorThetaPerDay

returns the sensitivity to time to maturity per day, assuming 365 days per year, for the given BlackCalculator object.

Return value: double

qlBlackCalculatorVega

returns the sensitivity to volatility for the given BlackCalculator object.

Return value: double

qlBlackCalculatorRho

returns the sensitivity to discounting rate for the given BlackCalculator object.

Return value: double

qlBlackCalculatorDividendRho

returns the sensitivity to dividend/growth rate for the given BlackCalculator object.

Return value: double

qlBlackCalculatorItmCashProbability

returns the probability of being in the money in the bond martingale measure for the given BlackCalculator object. It is a risk-neutral probability, not the real world probability.

Return value: double

qlBlackCalculatorItmAssetProbability

returns the probability of being in the money in the asset martingale measure for the given BlackCalculator object. It is a risk-neutral probability, not the real world probability.

Return value: double

qlBlackCalculatorStrikeSensitivity

returns the sensitivity to strike for the given BlackCalculator object.

Return value: double

qlBlackCalculatorAlpha

returns the alpha of the internal formulation of the given BlackCalculator object.

Return value: double

qlBlackCalculatorBeta

returns the beta of the internal formulation of the given BlackCalculator object.

Return value: double

qlBlackScholesCalculatorDelta

returns the sensitivity to change in the underlying spot price for the given BlackScholesCalculator object.

Return value: double

qlBlackScholesCalculatorElasticity

returns the sensitivity in percent to a percent change in the underlying spot price for the given BlackScholesCalculator object.

Return value: double

qlBlackScholesCalculatorGamma

returns the second order derivative with respect to change in the underlying spot price for the given BlackScholesCalculator object.

Return value: double

qlBlackScholesCalculatorTheta

returns the sensitivity to time to maturity for the given BlackScholesCalculator object.

Return value: double

qlBlackScholesCalculatorThetaPerDay

returns the sensitivity to time to maturity per day, assuming 365 days per year, for the given BlackScholesCalculator object.

Return value: double

qlMarketModelMultiProductCompositeAdd

Add new product to MarketModelComposite object.

Return value: void

qlMarketModelMultiProductCompositeFinalize

finalize the MarketModelComposite object.

Return value: void

qlMarketModelMultiProductSuggestedNumeraires

suggested Numeraires for the MarketModelMultiProduct object.

Return value: QuantLib::Size

qlMarketModelMultiProductPossibleCashFlowTimes

possible cash flow times for the MarketModelMultiProduct object.

Return value: QuantLib::Time

qlMarketModelMultiProductNumberOfProducts

number of products in the MarketModelMultiProduct object.

Return value: long

qlMarketModelMultiProductMaxNumberOfCashFlowsPerProductPerStep

Max number of cashflows per product per step for the MarketModelMultiProduct object.

Return value: long

qlQuoteValue

Returns the current value of the given Quote object.

Return value: QuantLib::Real

qlQuoteIsValid

Returns TRUE if the given Quote object has a valid value.

Return value: bool

qlSimpleQuoteReset

resets the given SimpleQuote object to the uninitialized state.

Return value: void

qlSimpleQuoteSetValue

sets a new value to the given SimpleQuote object and returns the difference with the previous value.

Return value: QuantLib::Real

qlSimpleQuoteSetTickValue

sets the tick value of the given SimpleQuote object.

Return value: void

qlSimpleQuoteTickValue

returns the tick value of the given SimpleQuote object.

Return value: QuantLib::Real

qlFuturesConvAdjustmentQuoteVolatility

Return the value of HW volatility.

Return value: QuantLib::Real

qlFuturesConvAdjustmentQuoteMeanReversion

Return the value of HW mean reversion.

Return value: QuantLib::Real

qlFuturesConvAdjustmentQuoteImmDate

Return the IMM date of futures.

Return value: QuantLib::Date

qlFuturesConvAdjustmentQuoteFuturesValue

Return the value of futures underlying.

Return value: QuantLib::Real

qlLastFixingQuoteReferenceDate

Return the date of the last fixing

Return value: QuantLib::Date

qlVariates

generate variates.

Return value: double

qlRangeAccrualFloatersCouponSetPricer

Set the coupon pricer at the given coupon object.

Return value: void

qlRangeAccrualFloatersCouponObservationDates

Return the observation Dates.

Return value: QuantLib::Date

qlRangeAccrualFloatersCouponStarDate

Return the accrual start Date.

Return value: QuantLib::Date

qlRangeAccrualFloatersCouponEndDate

Return the accrual end Date.

Return value: QuantLib::Date

qlRangeAccrualFloatersCouponObservationsNo

Return the observations number.

Return value: QuantLib::Size

qlRangeAccrualFloatersPrice

return the price of Range Accrual Floater Coupon.

Return value: double

qlSimpleFloaterPrice

return the price of Simple Floater Coupon.

Return value: double

qlRateHelperEarliestDate

returns the earliest date for the given RateHelper object.

Return value: QuantLib::Date

qlRateHelperLatestRelevantDate

returns the latest relevant date for the given RateHelper object.

Return value: QuantLib::Date

qlRateHelperPillarDate

returns the pillar date for the given RateHelper object.

Return value: QuantLib::Date

qlRateHelperMaturityDate

returns the maturity date for the given RateHelper object.

Return value: QuantLib::Date

qlRateHelperQuoteName

returns the objectID of the Quote wrapped in the given RateHelper object.

Return value: string

qlRateHelperQuoteValue

returns the value of the Quote wrapped in the given RateHelper object.

Return value: double

qlRateHelperQuoteIsValid

returns the isValid boolean of the Quote wrapped in the given RateHelper object.

Return value: double

qlRateHelperImpliedQuote

returns the curve implied quote of the given RateHelper object.

Return value: double

qlRateHelperQuoteError

returns the error between the curve implied quote and the value of the Quote wrapped in the given RateHelper object.

Return value: double

qlSwapRateHelperSpread

returns the spread for the given SwapRateHelper object.

Return value: QuantLib::Spread

qlSwapRateHelperForwardStart

returns the forward start period for the given SwapRateHelper object.

Return value: QuantLib::Period

qlFuturesRateHelperConvexityAdjustment

returns the convexity adjustment for the given FuturesRateHelper object.

Return value: QuantLib::Spread

qlFxSwapRateHelperSpotValue

returns the fx spot quote value for the given FxSwapRateHelper object.

Return value: QuantLib::Real

qlFxSwapRateHelperTenor

returns the tenor for the given FxSwapRateHelper object.

Return value: QuantLib::Period

qlFxSwapRateHelperFixingDays

returns the number of fixing days for the given FxSwapRateHelper object.

Return value: QuantLib::Natural

qlFxSwapRateHelperCalendar

returns the calendar for the given FxSwapRateHelper object.

Return value: QuantLib::Calendar

qlFxSwapRateHelperBDC

returns the business day convention for the given FxSwapRateHelper object.

Return value: QuantLib::BusinessDayConvention

qlFxSwapRateHelperEOM

returns the end of month flag for the given FxSwapRateHelper object.

Return value: bool

qlFxSwapRateHelperIsBaseCurrencyCollateralCurrency

returns TRUE if the base currency of the fx currency pair is the one used as collateral, FALSE otherwise.

Return value: bool

qlScheduleSize

returns the number of dates in the given Schedule object.

Return value: QuantLib::Size

qlSchedulePreviousDate

returns the highest date in the given Schedule object preceding the input reference date.

Return value: QuantLib::Date

qlScheduleNextDate

returns the lowest date in the given Schedule object following the input reference date.

Return value: QuantLib::Date

qlScheduleDates

returns the dates for the given Schedule object.

Return value: QuantLib::Date

qlScheduleIsRegular

returns TRUE if the selected period in the given Schedule object is regular.

Return value: bool

qlScheduleEmpty

returns TRUE if the given Schedule object is empty.

Return value: bool

qlScheduleCalendar

returns the Calendar used to calculate the given Schedule object.

Return value: QuantLib::Calendar

qlScheduleStartDate

returns the start date of the given Schedule object.

Return value: QuantLib::Date

qlScheduleEndDate

returns the end date of the given Schedule object.

Return value: QuantLib::Date

qlScheduleTenor

returns the tenor used to calculate the given Schedule object.

Return value: QuantLib::Period

qlScheduleBDC

returns the business day convention used to calculate the given Schedule object.

Return value: QuantLib::BusinessDayConvention

qlScheduleTerminationDateBDC

returns the business day convention used to calculate the termination date of the given Schedule object.

Return value: QuantLib::BusinessDayConvention

qlScheduleRule

returns the DateGeneration::Rule of the given Schedule object.

Return value: QuantLib::DateGeneration::Rule

qlScheduleEndOfMonth

returns TRUE if end-of-month convention has been used to calculate the given Schedule object.

Return value: bool

qlSequenceStatisticsSamples

Returns the number of samples collected for the given SequenceStatistics object.

Return value: QuantLib::Size

qlSequenceStatisticsWeightSum

Returns the sum of data weights for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsMean

Returns the mean for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsVariance

Returns the variance for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsStandardDeviation

Returns the the standard deviation for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsDownsideVariance

Returns the variance of observations below zero for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsDownsideDeviation

Returns the square root of the downside variance for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsSemiVariance

Returns the variance of observations below the mean for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsSemiDeviation

Returns the square root of the semivariance for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsErrorEstimate

Returns the error estimate on the mean value for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsSkewness

Returns the skewness for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsKurtosis

Returns the excess kurtosis for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsMin

Returns the minimum sample value for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsMax

Returns the maximum sample value for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsGaussianPercentile

Returns the x-th percentile for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsPercentile

Returns the x-th percentile for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsGaussianPotentialUpside

Returns the reciprocal of VAR at a given percentile for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsPotentialUpside

Returns the reciprocal of VAR at a given percentile for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsGaussianValueAtRisk

Returns the value-at-risk at a given percentile for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsValueAtRisk

Returns the value-at-risk at a given percentile for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsRegret

Returns the variance of observations below target for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsGaussianShortfall

Returns the probability of missing the given target for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsShortfall

Returns the probability of missing the given target for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsGaussianAverageShortfall

Returns the averaged shortfallness for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsAverageShortfall

Returns the averaged shortfallness for the given SequenceStatistics object.

Return value: QuantLib::Real

qlSequenceStatisticsSize

Returns the size (sample dimensionality) for the given SequenceStatistics object.

Return value: QuantLib::Size

qlSequenceStatisticsCovariance

Returns the covariance Matrix for the given SequenceStatistics object.

Return value: QuantLib::Matrix

qlSequenceStatisticsCorrelation

Returns the correlation Matrix for the given SequenceStatistics object.

Return value: QuantLib::Matrix

qlVasicekA

returns mean reverting speed a, with dr(t) = a(b-r(t))dt + sigma dW(t).

Return value: QuantLib::Real

qlVasicekB

returns short-rate limit value b, with dr(t) = a(b-r(t))dt + sigma dW(t).

Return value: QuantLib::Real

qlVasicekLambda

returns the risk premium.

Return value: QuantLib::Real

qlVasicekSigma

returns the volatility sigma, with dr(t) = a(b-r(t))dt + sigma dW(t).

Return value: QuantLib::Real

qlModelG2A

returns the drift of x(t) dynamics with r(t) = x(t) + y(t).

Return value: QuantLib::Real

qlModelG2sigma

returns the volatility of x(t) dynamics with r(t) = x(t) + y(t).

Return value: QuantLib::Real

qlModelG2B

returns the drift of y(t) dynamics with r(t) = x(t) + y(t).

Return value: QuantLib::Real

qlModelG2eta

returns the volatility of y(t) dynamics with r(t) = x(t) + y(t).

Return value: QuantLib::Real

qlModelG2rho

returns the correlation between x(t) and y(t) with r(t) = x(t) + y(t).

Return value: QuantLib::Real

qlSmileSectionVolatility

Returns the volatility at a given strike from the SmileSection object.

Return value: QuantLib::Volatility

qlSmileSectionVariance

Returns the variance at a given strike from the SmileSection object.

Return value: double

qlSmileSectionAtmLevel

Returns the current value of the SmileSection underlying.

Return value: double

qlSmileSectionExerciseDate

Returns the exercise date of the SmileSection object.

Return value: QuantLib::Date

qlSmileSectionDayCounter

Returns the DayCounter of the SmileSection object.

Return value: QuantLib::DayCounter

qlSabrInterpolatedSmileSectionAlpha

Returns the alpha of the SABR fit for the given SabrInterpolatedSmileSection object.

Return value: double

qlSabrInterpolatedSmileSectionBeta

Returns the beta of the SABR fit.

Return value: double

qlSabrInterpolatedSmileSectionNu

Returns the nu of the SABR fit for the given SabrInterpolatedSmileSection object.

Return value: double

qlSabrInterpolatedSmileSectionRho

Returns the rho of the SABR fit for the given SabrInterpolatedSmileSection object.

Return value: double

qlSabrInterpolatedSmileSectionError

Returns the error of the SABR fit for the given SabrInterpolatedSmileSection object.

Return value: double

qlSabrInterpolatedSmileSectionMaxError

Returns the max error of the SABR fit for the given SabrInterpolatedSmileSection object.

Return value: double

qlSabrInterpolatedSmileSectionEndCriteria

Returns the optimization end criteria of the SABR fit for the given SabrInterpolatedSmileSection object.

Return value: QuantLib::EndCriteria::Type

qlStatisticsSamples

Returns the number of samples collected for the given Statistics object.

Return value: QuantLib::Size

qlStatisticsWeightSum

Returns the sum of data weights for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsMean

Returns the mean for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsVariance

Returns the variance for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsStandardDeviation

Returns the the standard deviation for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsErrorEstimate

Returns the error estimate on the mean value for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsSkewness

Returns the skewness for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsKurtosis

Returns the excess kurtosis for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsMin

Returns the minimum sample value for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsMax

Returns the maximum sample value for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsPercentile

Returns the x-th percentile for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsTopPercentile

Returns the x-th top percentile for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsGaussianDownsideVariance

Returns the variance of observations below zero for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsGaussianDownsideDeviation

Returns the square root of the downside variance for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsGaussianRegret

Returns the variance of observations below the target for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsGaussianPercentile

Returns the x-th percentile for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsGaussianTopPercentile

Returns the x-th top percentile for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsGaussianPotentialUpside

Returns the reciprocal of VAR at a given percentile for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsGaussianValueAtRisk

Returns the value-at-risk at a given percentile for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsGaussianExpectedShortfall

Returns the expected loss in case that the loss exceeded a VaR threshold for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsGaussianShortfall

Returns the probability of missing the given target for the given Statistics object.

Return value: QuantLib::Real

qlStatisticsGaussianAverageShortfall

Returns the averaged shortfallness for the given Statistics object.