Namespace NanoQL.Coupons
Classes
- AmortizingPayment
An amortizing payment: a simple cash flow that more detailed cash-flow analysis can tell apart.
- AnalyticHaganPricer
The pricing of a CMS coupon by static replication with Hagan's analytic forms (his 3.4c, 3.5b and 3.5c): a vanilla swaption's price plus a convexity term in the g-function's slope at the forward.
- ArithmeticAveragedOvernightIndexedCouponPricer
The pricer for arithmetically averaged overnight-indexed coupons.
- AverageBMACoupon
A coupon paying a BMA index, whose rate is a weighted average of the relevant fixings: each fixing weighs the actual calendar days for which it is valid within the interest period. Before the weights are computed, the fixing schedule is adjusted for the index's fixing-day gap.
- AverageBMALeg
A builder of a sequence of average-BMA coupons.
- AveragingMultipleResetsPricer
The averaging pricer of multiple-resets coupons: each reset's fixing weighted by its accrual time, over the accrual period, geared and spread.
- BachelierYoYInflationCouponPricer
The Bachelier-formula pricer of capped and floored year-on-year inflation coupons.
- BlackAveragingOvernightIndexedCouponPricer
The Black pricer of capped and floored averaged overnight-indexed coupons.
- BlackCompoundingOvernightIndexedCouponPricer
The Black pricer of capped and floored compounded overnight-indexed coupons.
- BlackIborCouponPricer
The Black-formula pricer for Ibor coupons, capped, floored or not.
- BlackYoYInflationCouponPricer
The Black-formula pricer of capped and floored year-on-year inflation coupons.
- CPICashFlow
A cash flow paying the performance of a zero-inflation (CPI) index: the notional times the ratio of the index observed on the observation date, with the lag, to its base. It isn't a coupon: it has no accruals.
- CPICoupon
A coupon paying the performance of a zero-inflation (CPI) index: a fixed rate times the ratio of the index observed at the accrual end, with the lag, to its base value.
- CPICouponPricer
The base pricer of CPI coupons: the swaplet is the fixed rate times the index ratio; a volatility-dependent optionlet needs a derived pricer.
- CPILeg
A helper class building a sequence of CPI coupons, with the inflated notional at the end: QuantLib's
CPILeg.
- CappedFlooredCmsCoupon
A CMS coupon with a cap, a floor or both on its rate: a CappedFlooredCoupon over a CmsCoupon it builds.
- CappedFlooredCoupon
A floating-rate coupon with a cap, a floor or both on its rate.
- CappedFlooredIborCoupon
An Ibor coupon with a cap, a floor or both on its rate: a CappedFlooredCoupon over an IborCoupon it builds.
- CappedFlooredOvernightIndexedCoupon
A capped or floored overnight-indexed coupon: the cap and the floor apply to the coupon's effective period rate (the default) or to its daily rates.
- CappedFlooredYoYInflationCoupon
A year-on-year inflation coupon with a cap, a floor or both on its rate.
- CashFlowVectorsFunctions
Cash-flow vector builders: QuantLib's free functions of
cashflowvectors.hpp.
- CashFlows
Cash-flow analysis functions.
- CmsCoupon
A CMS coupon: a floating-rate coupon fixing on a swap index.
- CmsCouponPricer
The base class of the pricers for CMS coupons, on a swaption volatility.
- CmsLeg
A builder of a sequence of CMS coupons, capped, floored or not.
- CompoundingMultipleResetsPricer
The compounding pricer of multiple-resets coupons: the product of each reset's growth, less one, over the accrual period, geared and spread.
- CompoundingOvernightIndexedCouponPricer
The pricer for compounded overnight-indexed coupons.
- Coupon
The base class of coupons accruing over a fixed period: still abstract, it gives derived classes the accrual-period calculations.
- CouponPricerFunctions
Setting pricers on a leg's coupons: QuantLib's
setCouponPricerandsetCouponPricers, which return a new leg here, where QuantLib's change the coupons.
- DigitalCmsCoupon
A CMS coupon with a digital call, a digital put or both: QuantLib's
DigitalCmsCoupon.
- DigitalCmsLeg
A builder of a sequence of digital CMS coupons: QuantLib's
DigitalCmsLeg.
- DigitalCoupon
A floating-rate coupon with a digital call, a digital put or both: QuantLib's
DigitalCoupon, priced by call and put spread replication through capped and floored coupons on its underlying.
- DigitalIborCoupon
A Ibor coupon with a digital call, a digital put or both: QuantLib's
DigitalIborCoupon.
- DigitalIborLeg
A builder of a sequence of digital Ibor coupons: QuantLib's
DigitalIborLeg.
- DigitalReplication
The replication strategy used to price the digital option embedded in a digital coupon, and the gap of the call spread that replicates it.
- Dividend
A predetermined cash flow paid on a stock: a dividend.
- DividendFunctions
The free functions of QuantLib's
dividend.hpp.
- EquityCashFlow
A cash flow paying an equity index's ratio,
I(T)/I(0), or its growth,I(T)/I(0) - 1, the default, times the notional; with a pricer, the ratio the pricer gives, such as a quanto-adjusted one.
- EquityCashFlowFunctions
QuantLib's free function
setCouponPricerfor equity cash flow pricers, on immutable legs.
- EquityCashFlowPricer
The base of the equity cash flow pricers: the index ratio a flow pays, per unit of notional.
- EquityQuantoCashFlowPricer
The quanto pricer of an equity cash flow paid in another currency: the index's ratio forecast on its dividend curve quanto-adjusted by the equity and exchange-rate volatilities and their correlation, struck at the index's fixing, and discounted on the payment currency's curve.
- FixedDividend
A predetermined cash amount paid on a stock.
- FixedRateCoupon
A coupon paying a fixed interest rate.
- FixedRateLeg
A helper class building a sequence of fixed-rate coupons.
- FloatingRateCoupon
The base class of coupons paying a floating rate: an index fixing, geared and spread.
- FloatingRateCouponExtensions
FloatingRateCoupon's modifier, which returns a modified copy of the receiver, keeping its static type, where QuantLib's
setPricerchanges the coupon.
- FloatingRateCouponPricer
The base class of pricers for floating-rate coupons.
- FractionalDividend
A predetermined fraction of the underlying's value, paid on a stock.
- GFunction
Hagan's G(R): the payment-date discount over the annuity as a function of the swap rate, under a model of the yield curve, which the CMS replication integrates against; GFunctionFactory builds them.
- GFunctionFactory
The factory of Hagan's g-functions, one per yield-curve model (GFunctionFactoryYieldCurveModel).
- HaganPricer
The base class of the pricing of a CMS coupon by static replication, as in Hagan's "Conundrums..." article: a caplet's, a floorlet's and the swaplet's price from vanilla swaptions, through a g-function of the yield-curve model.
- IborCoupon
A coupon paying an Ibor index's fixing, geared and spread.
- IborCouponPricer
The base class of pricers for Ibor coupons, capped, floored or not.
- IborLeg
A builder of a sequence of Ibor coupons, capped, floored or not.
- IndexedCashFlow
A cash flow paying an index ratio: the notional times
I(T)/I(0), or timesI(T)/I(0) - 1when only the growth is paid. It isn't a coupon: it has no accruals.
- InflationCoupon
The base class of coupons paying a rate from an inflation index, whose pricer computes it: QuantLib's
InflationCoupon.
- InflationCouponExtensions
QuantLib's
InflationCoupon::setPricer, which changes a coupon, as a copy of the receiver's type.
- InflationCouponPricer
The base class of inflation-coupon pricers: QuantLib's
InflationCouponPricer, which differs from the floating-rate pricers because it deals with inflation indexes and their lags (the option may look three months back and the index two).
- InflationCouponPricerFunctions
QuantLib's free function
setCouponPricerfor inflation-coupon pricers, on immutable legs, with the swap and bond forms beside it, as CouponPricerFunctions has for floating-rate pricers.
- LinearTsrPricer
The pricing of a CMS coupon on a linear terminal swap rate model, whose slope is linked to a Gaussian short-rate model (Andersen and Piterbarg, Interest Rate Modeling, 16.3.2).
- LinearTsrPricerSettings
The linear TSR pricer's integration bounds: QuantLib's
LinearTsrPricer::Settings, whosewith…members return a copy here.
- MarketQuotedOptionPricer
A vanilla option on a swap rate priced on a swaption volatility's smile section: Black's formula on a zero-shift lognormal volatility, Bachelier's on a normal one.
- MultipleResetsCoupon
A coupon paying a rate compounded or averaged from several fixings over its accrual period, one per period of its reset schedule, each fixing its fixing days before its period's start.
- MultipleResetsLeg
A helper class building a sequence of multiple-resets coupons: QuantLib's
MultipleResetsLeg.
- MultipleResetsPricer
The base of the multiple-resets coupon pricers: each reset's fixing plus the rate spread, which the compounding and averaging pricers combine into the coupon's rate. Its prices and options are QuantLib's refusals.
- NumericHaganPricer
The pricing of a CMS coupon by static replication, as in Hagan's "Conundrums..." article, by numerical integration over the prices of vanilla swaptions.
- NumericHaganPricerIntegrationLimits
The numeric Hagan pricer's integration limits after an optionlet's price: QuantLib's
lowerLimit(),upperLimit()andstdDeviations(), which that price sets in the pricer's mutable members.
- OvernightIndexedCoupon
A coupon paying the interest, depending on the averaging convention, due to daily overnight fixings: compounded or averaged, with QuantLib's lookback, lockout and observation-shift conventions.
- OvernightIndexedCouponPricer
The base pricer for coupons indexed to an overnight rate, compounded or averaged, capped or floored.
- OvernightIndexedCouponPricerExtensions
OvernightIndexedCouponPricer's modifiers, which return a modified copy of the receiver, keeping its static type, where QuantLib's change the pricer.
- OvernightLeg
A helper class building a sequence of overnight-indexed coupons.
- RangeAccrualFloatersCoupon
A range-accrual floating-rate coupon: the geared index rate plus the spread, accrued over the share of its observation dates on which the index fixes between a lower and an upper trigger.
- RangeAccrualLeg
A helper class building a sequence of range-accrual floating-rate coupons: QuantLib's
RangeAccrualLeg.
- RangeAccrualPricer
The base of the range-accrual coupon pricers: the coupon's rate is its price over its accrual and the discount at its payment date; its options are QuantLib's refusals.
- RangeAccrualPricer.State
A range-accrual coupon's state for one call: QuantLib's pricer members after
initialize.
- RangeAccrualPricerByBgm
The range-accrual pricer in the BGM model: each observation's range is a pair of digitals on the index's forward rate, the forwards from the coupon's start S and its end T lognormal with the expiry and payment smiles' volatilities and a correlation, priced without the smile, with the smile through a call spread, or with a smile correction.
- Redemption
A bond redemption: a simple cash flow that more detailed cash-flow analysis can tell apart.
- SimpleCashFlow
A predetermined cash flow: an amount paid on a date.
- StubIborCoupon
An Ibor coupon for a broken period, fixing on indices chosen by a StubIndexSelection.
- StubIborCouponWeightedIndex
An index fixing as a fixed-weight linear combination of Ibor indices: QuantLib's
StubIborCoupon::WeightedIndex.
- StubIndexSelection
The index selection for irregular Ibor coupons.
- TimeBasket
A distribution of values over dates: a map from each date to its value, in date order.
- UnitDisplacedBlackYoYInflationCouponPricer
The unit-displaced Black-formula pricer of capped and floored year-on-year inflation coupons.
- VanillaOptionPricer
The price of a vanilla option on a swap rate, deflated: the replication's building block in Hagan's pricers.
- YoYInflationCoupon
A coupon paying a year-on-year inflation rate, with a gearing and a spread.
- YoYInflationCouponPricer
The base pricer of year-on-year inflation coupons, capped and floored ones included: the swaplet is the gearing times the coupon's fixing plus the spread; a volatility-dependent optionlet needs a derived pricer.
- YoYInflationLeg
A helper class building a sequence of year-on-year inflation coupons: QuantLib's
yoyInflationLeg.
- ZeroInflationCashFlow
A cash flow paying a zero-inflation index ratio between the start and end dates less the observation lag: with the dates in June and a three-month lag, the ratio is taken between March fixings. It isn't a coupon: it has no accruals.
Interfaces
- IMeanRevertingPricer
A (CMS) coupon pricer with a mean reversion, which can be calibrated to CMS market quotes: QuantLib's
MeanRevertingPricermixin, an interface here as nanoql's mixins are.
Enums
- BlackIborCouponPricerTimingAdjustment
The timing adjustment a BlackIborCouponPricer applies to the fixing: QuantLib's
BlackIborCouponPricer::TimingAdjustment.
- DurationType
The type of a duration: QuantLib's
Duration::Type.
- GFunctionFactoryYieldCurveModel
The yield-curve models of Hagan's g-functions: QuantLib's
GFunctionFactory::YieldCurveModel.
- LinearTsrPricerSettingsStrategy
How the linear TSR pricer bounds its integration: QuantLib's
LinearTsrPricer::Settings::Strategy.
- RateAveragingType
How the rates of sub-periods make a coupon's rate: QuantLib's
RateAveraging::Type.
- ReplicationType
The strategy by which a digital coupon replicates its embedded digital option: QuantLib's
Replication::Type.
- StubIndexSelectionConvention
The convention selecting the index an irregular Ibor coupon fixes on: QuantLib's
StubIndexSelection::Convention. QuantLib has no stream operator for it.