com.github.vonrosen.quantlib

Class QuantLib

java.lang.Object

com.github.vonrosen.quantlib.QuantLib

public class QuantLib
extends Object

Constructor Summary

Constructors

Constructor and Description
QuantLib()

Method Summary

Modifier and Type	Method and Description
static Coupon	as_coupon(CashFlow cf)
static FixedRateCoupon	as_fixed_rate_coupon(CashFlow cf)
static FloatingRateCoupon	as_floating_rate_coupon(CashFlow cf)
static GsrProcess	as_gsr_process(StochasticProcess proc)
static IborIndex	as_iborindex(InterestRateIndex index)
static ZeroCurve	as_zerocurve(YieldTermStructure curve)
static double	cleanPriceFromZSpread(Bond bond, YieldTermStructure discountCurve, double zSpread, DayCounter dc, Compounding compounding, Frequency freq)
static double	cleanPriceFromZSpread(Bond bond, YieldTermStructure discountCurve, double zSpread, DayCounter dc, Compounding compounding, Frequency freq, Date settlementDate)
static Leg	CmsLeg(DoubleVector nominals, Schedule schedule, SwapIndex index)
static Leg	CmsLeg(DoubleVector nominals, Schedule schedule, SwapIndex index, DayCounter paymentDayCounter)
static Leg	CmsLeg(DoubleVector nominals, Schedule schedule, SwapIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention)
static Leg	CmsLeg(DoubleVector nominals, Schedule schedule, SwapIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, UnsignedIntVector fixingDays)
static Leg	CmsLeg(DoubleVector nominals, Schedule schedule, SwapIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, UnsignedIntVector fixingDays, DoubleVector gearings)
static Leg	CmsLeg(DoubleVector nominals, Schedule schedule, SwapIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, UnsignedIntVector fixingDays, DoubleVector gearings, DoubleVector spreads)
static Leg	CmsLeg(DoubleVector nominals, Schedule schedule, SwapIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, UnsignedIntVector fixingDays, DoubleVector gearings, DoubleVector spreads, DoubleVector caps)
static Leg	CmsLeg(DoubleVector nominals, Schedule schedule, SwapIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, UnsignedIntVector fixingDays, DoubleVector gearings, DoubleVector spreads, DoubleVector caps, DoubleVector floors)
static Leg	CmsLeg(DoubleVector nominals, Schedule schedule, SwapIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, UnsignedIntVector fixingDays, DoubleVector gearings, DoubleVector spreads, DoubleVector caps, DoubleVector floors, boolean isInArrears)
static Leg	CmsZeroLeg(DoubleVector nominals, Schedule schedule, SwapIndex index)
static Leg	CmsZeroLeg(DoubleVector nominals, Schedule schedule, SwapIndex index, DayCounter paymentDayCounter)
static Leg	CmsZeroLeg(DoubleVector nominals, Schedule schedule, SwapIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention)
static Leg	CmsZeroLeg(DoubleVector nominals, Schedule schedule, SwapIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, UnsignedIntVector fixingDays)
static Leg	CmsZeroLeg(DoubleVector nominals, Schedule schedule, SwapIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, UnsignedIntVector fixingDays, DoubleVector gearings)
static Leg	CmsZeroLeg(DoubleVector nominals, Schedule schedule, SwapIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, UnsignedIntVector fixingDays, DoubleVector gearings, DoubleVector spreads)
static Leg	CmsZeroLeg(DoubleVector nominals, Schedule schedule, SwapIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, UnsignedIntVector fixingDays, DoubleVector gearings, DoubleVector spreads, DoubleVector caps)
static Leg	CmsZeroLeg(DoubleVector nominals, Schedule schedule, SwapIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, UnsignedIntVector fixingDays, DoubleVector gearings, DoubleVector spreads, DoubleVector caps, DoubleVector floors)
static void	disableTracing()
static void	enableTracing()
static Leg	FixedRateLeg(Schedule schedule, DayCounter dayCount, DoubleVector nominals, DoubleVector couponRates)
static Leg	FixedRateLeg(Schedule schedule, DayCounter dayCount, DoubleVector nominals, DoubleVector couponRates, BusinessDayConvention paymentAdjustment)
static Leg	FixedRateLeg(Schedule schedule, DayCounter dayCount, DoubleVector nominals, DoubleVector couponRates, BusinessDayConvention paymentAdjustment, DayCounter firstPeriodDayCount)
static Matrix	getCovariance(Array volatilities, Matrix correlations)
static Leg	IborLeg(DoubleVector nominals, Schedule schedule, IborIndex index)
static Leg	IborLeg(DoubleVector nominals, Schedule schedule, IborIndex index, DayCounter paymentDayCounter)
static Leg	IborLeg(DoubleVector nominals, Schedule schedule, IborIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention)
static Leg	IborLeg(DoubleVector nominals, Schedule schedule, IborIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, UnsignedIntVector fixingDays)
static Leg	IborLeg(DoubleVector nominals, Schedule schedule, IborIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, UnsignedIntVector fixingDays, DoubleVector gearings)
static Leg	IborLeg(DoubleVector nominals, Schedule schedule, IborIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, UnsignedIntVector fixingDays, DoubleVector gearings, DoubleVector spreads)
static Leg	IborLeg(DoubleVector nominals, Schedule schedule, IborIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, UnsignedIntVector fixingDays, DoubleVector gearings, DoubleVector spreads, DoubleVector caps)
static Leg	IborLeg(DoubleVector nominals, Schedule schedule, IborIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, UnsignedIntVector fixingDays, DoubleVector gearings, DoubleVector spreads, DoubleVector caps, DoubleVector floors)
static Leg	IborLeg(DoubleVector nominals, Schedule schedule, IborIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, UnsignedIntVector fixingDays, DoubleVector gearings, DoubleVector spreads, DoubleVector caps, DoubleVector floors, boolean isInArrears)
static Date	inflationBaseDate(Date referenceDate, Period observationLag, Frequency frequency, boolean indexIsInterpolated)
static double	nullDouble()
static int	nullInt()
static Matrix	outerProduct(Array v1, Array v2)
static Matrix	pseudoSqrt(Matrix m, SalvagingAlgorithm.Type a)
static void	setCouponPricer(Leg arg0, FloatingRateCouponPricer arg1)
static Matrix	transpose(Matrix m)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

QuantLib

public QuantLib()

Method Detail

transpose

public static Matrix transpose(Matrix m)

outerProduct

public static Matrix outerProduct(Array v1,
                                  Array v2)

pseudoSqrt

public static Matrix pseudoSqrt(Matrix m,
                                SalvagingAlgorithm.Type a)

nullInt

public static int nullInt()

nullDouble

public static double nullDouble()

as_iborindex

public static IborIndex as_iborindex(InterestRateIndex index)

as_gsr_process

public static GsrProcess as_gsr_process(StochasticProcess proc)

as_coupon

public static Coupon as_coupon(CashFlow cf)

as_fixed_rate_coupon

public static FixedRateCoupon as_fixed_rate_coupon(CashFlow cf)

setCouponPricer

public static void setCouponPricer(Leg arg0,
                                   FloatingRateCouponPricer arg1)

as_floating_rate_coupon

public static FloatingRateCoupon as_floating_rate_coupon(CashFlow cf)

FixedRateLeg

public static Leg FixedRateLeg(Schedule schedule,
                               DayCounter dayCount,
                               DoubleVector nominals,
                               DoubleVector couponRates,
                               BusinessDayConvention paymentAdjustment,
                               DayCounter firstPeriodDayCount)

FixedRateLeg

public static Leg FixedRateLeg(Schedule schedule,
                               DayCounter dayCount,
                               DoubleVector nominals,
                               DoubleVector couponRates,
                               BusinessDayConvention paymentAdjustment)

FixedRateLeg

public static Leg FixedRateLeg(Schedule schedule,
                               DayCounter dayCount,
                               DoubleVector nominals,
                               DoubleVector couponRates)

IborLeg

public static Leg IborLeg(DoubleVector nominals,
                          Schedule schedule,
                          IborIndex index,
                          DayCounter paymentDayCounter,
                          BusinessDayConvention paymentConvention,
                          UnsignedIntVector fixingDays,
                          DoubleVector gearings,
                          DoubleVector spreads,
                          DoubleVector caps,
                          DoubleVector floors,
                          boolean isInArrears)

IborLeg

public static Leg IborLeg(DoubleVector nominals,
                          Schedule schedule,
                          IborIndex index,
                          DayCounter paymentDayCounter,
                          BusinessDayConvention paymentConvention,
                          UnsignedIntVector fixingDays,
                          DoubleVector gearings,
                          DoubleVector spreads,
                          DoubleVector caps,
                          DoubleVector floors)

IborLeg

public static Leg IborLeg(DoubleVector nominals,
                          Schedule schedule,
                          IborIndex index,
                          DayCounter paymentDayCounter,
                          BusinessDayConvention paymentConvention,
                          UnsignedIntVector fixingDays,
                          DoubleVector gearings,
                          DoubleVector spreads,
                          DoubleVector caps)

IborLeg

public static Leg IborLeg(DoubleVector nominals,
                          Schedule schedule,
                          IborIndex index,
                          DayCounter paymentDayCounter,
                          BusinessDayConvention paymentConvention,
                          UnsignedIntVector fixingDays,
                          DoubleVector gearings,
                          DoubleVector spreads)

IborLeg

public static Leg IborLeg(DoubleVector nominals,
                          Schedule schedule,
                          IborIndex index,
                          DayCounter paymentDayCounter,
                          BusinessDayConvention paymentConvention,
                          UnsignedIntVector fixingDays,
                          DoubleVector gearings)

IborLeg

public static Leg IborLeg(DoubleVector nominals,
                          Schedule schedule,
                          IborIndex index,
                          DayCounter paymentDayCounter,
                          BusinessDayConvention paymentConvention,
                          UnsignedIntVector fixingDays)

IborLeg

public static Leg IborLeg(DoubleVector nominals,
                          Schedule schedule,
                          IborIndex index,
                          DayCounter paymentDayCounter,
                          BusinessDayConvention paymentConvention)

IborLeg

public static Leg IborLeg(DoubleVector nominals,
                          Schedule schedule,
                          IborIndex index,
                          DayCounter paymentDayCounter)

IborLeg

public static Leg IborLeg(DoubleVector nominals,
                          Schedule schedule,
                          IborIndex index)

CmsLeg

public static Leg CmsLeg(DoubleVector nominals,
                         Schedule schedule,
                         SwapIndex index,
                         DayCounter paymentDayCounter,
                         BusinessDayConvention paymentConvention,
                         UnsignedIntVector fixingDays,
                         DoubleVector gearings,
                         DoubleVector spreads,
                         DoubleVector caps,
                         DoubleVector floors,
                         boolean isInArrears)

CmsLeg

public static Leg CmsLeg(DoubleVector nominals,
                         Schedule schedule,
                         SwapIndex index,
                         DayCounter paymentDayCounter,
                         BusinessDayConvention paymentConvention,
                         UnsignedIntVector fixingDays,
                         DoubleVector gearings,
                         DoubleVector spreads,
                         DoubleVector caps,
                         DoubleVector floors)

CmsLeg

public static Leg CmsLeg(DoubleVector nominals,
                         Schedule schedule,
                         SwapIndex index,
                         DayCounter paymentDayCounter,
                         BusinessDayConvention paymentConvention,
                         UnsignedIntVector fixingDays,
                         DoubleVector gearings,
                         DoubleVector spreads,
                         DoubleVector caps)

CmsLeg

public static Leg CmsLeg(DoubleVector nominals,
                         Schedule schedule,
                         SwapIndex index,
                         DayCounter paymentDayCounter,
                         BusinessDayConvention paymentConvention,
                         UnsignedIntVector fixingDays,
                         DoubleVector gearings,
                         DoubleVector spreads)

CmsLeg

public static Leg CmsLeg(DoubleVector nominals,
                         Schedule schedule,
                         SwapIndex index,
                         DayCounter paymentDayCounter,
                         BusinessDayConvention paymentConvention,
                         UnsignedIntVector fixingDays,
                         DoubleVector gearings)

CmsLeg

public static Leg CmsLeg(DoubleVector nominals,
                         Schedule schedule,
                         SwapIndex index,
                         DayCounter paymentDayCounter,
                         BusinessDayConvention paymentConvention,
                         UnsignedIntVector fixingDays)

CmsLeg

public static Leg CmsLeg(DoubleVector nominals,
                         Schedule schedule,
                         SwapIndex index,
                         DayCounter paymentDayCounter,
                         BusinessDayConvention paymentConvention)

CmsLeg

public static Leg CmsLeg(DoubleVector nominals,
                         Schedule schedule,
                         SwapIndex index,
                         DayCounter paymentDayCounter)

CmsLeg

public static Leg CmsLeg(DoubleVector nominals,
                         Schedule schedule,
                         SwapIndex index)

CmsZeroLeg

public static Leg CmsZeroLeg(DoubleVector nominals,
                             Schedule schedule,
                             SwapIndex index,
                             DayCounter paymentDayCounter,
                             BusinessDayConvention paymentConvention,
                             UnsignedIntVector fixingDays,
                             DoubleVector gearings,
                             DoubleVector spreads,
                             DoubleVector caps,
                             DoubleVector floors)

CmsZeroLeg

public static Leg CmsZeroLeg(DoubleVector nominals,
                             Schedule schedule,
                             SwapIndex index,
                             DayCounter paymentDayCounter,
                             BusinessDayConvention paymentConvention,
                             UnsignedIntVector fixingDays,
                             DoubleVector gearings,
                             DoubleVector spreads,
                             DoubleVector caps)

CmsZeroLeg

public static Leg CmsZeroLeg(DoubleVector nominals,
                             Schedule schedule,
                             SwapIndex index,
                             DayCounter paymentDayCounter,
                             BusinessDayConvention paymentConvention,
                             UnsignedIntVector fixingDays,
                             DoubleVector gearings,
                             DoubleVector spreads)

CmsZeroLeg

public static Leg CmsZeroLeg(DoubleVector nominals,
                             Schedule schedule,
                             SwapIndex index,
                             DayCounter paymentDayCounter,
                             BusinessDayConvention paymentConvention,
                             UnsignedIntVector fixingDays,
                             DoubleVector gearings)

CmsZeroLeg

public static Leg CmsZeroLeg(DoubleVector nominals,
                             Schedule schedule,
                             SwapIndex index,
                             DayCounter paymentDayCounter,
                             BusinessDayConvention paymentConvention,
                             UnsignedIntVector fixingDays)

CmsZeroLeg

public static Leg CmsZeroLeg(DoubleVector nominals,
                             Schedule schedule,
                             SwapIndex index,
                             DayCounter paymentDayCounter,
                             BusinessDayConvention paymentConvention)

CmsZeroLeg

public static Leg CmsZeroLeg(DoubleVector nominals,
                             Schedule schedule,
                             SwapIndex index,
                             DayCounter paymentDayCounter)

CmsZeroLeg

public static Leg CmsZeroLeg(DoubleVector nominals,
                             Schedule schedule,
                             SwapIndex index)

inflationBaseDate

public static Date inflationBaseDate(Date referenceDate,
                                     Period observationLag,
                                     Frequency frequency,
                                     boolean indexIsInterpolated)

cleanPriceFromZSpread

public static double cleanPriceFromZSpread(Bond bond,
                                           YieldTermStructure discountCurve,
                                           double zSpread,
                                           DayCounter dc,
                                           Compounding compounding,
                                           Frequency freq,
                                           Date settlementDate)

cleanPriceFromZSpread

public static double cleanPriceFromZSpread(Bond bond,
                                           YieldTermStructure discountCurve,
                                           double zSpread,
                                           DayCounter dc,
                                           Compounding compounding,
                                           Frequency freq)

getCovariance

public static Matrix getCovariance(Array volatilities,
                                   Matrix correlations)

enableTracing

public static void enableTracing()

disableTracing

public static void disableTracing()

as_zerocurve

public static ZeroCurve as_zerocurve(YieldTermStructure curve)