One of the main aims of the QuantLib library is to provide mechanisms for calculating NPVs and other characteristics of financial instruments. At the heart of these mechanisms lies the purely abstract PricingEngine class. This class provides an interface to…
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Bonds are a special type of instrument in which the issuer receives money from an investor. The issuer promises to pay back the principal at the maturity date and/or interest in the form of coupons at certain times during the…
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When you have a series of cash flows you will normally want to know the net present value of those cash flows. The net present value (NPV) of a series of cash flows is calculated as the sum of all…
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In addition to the CashFlow class, QuanLib defines a number of helper functions that analyse cash flows. These function operate on sequences arrays of cash flows which, in QuantLib, are termed legs. typedef std::vector< boost::shared_ptr<CashFlow> > Leg; The functions for…
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In the previous post on random number generators I introduced all the random number generators (RNGs) that are available in QuantLib. In most circumstances these generators will be sufficient. However, if you take a look at the boost/random package, you…
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In a previous post I discussed the abstract class TermStructure that defines methods common to any kind of term structure. It was pointed out that many classes inherit from the TermStructure class, including a class called YieldTermStructure. This class is, again,…
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In the section on numeric types in QuantLib, the Rate type was introduced which was intended to hold any kind of rates, including interest rates. The Rate type is essentially a double or a float number, depending on the configuration at…
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The LastFixingQuote is an implementation of the abstract Quote class. LastFixingQuote represents a quote for the last available fixing of an index. Essentially it is a simple wrapper around the Index class to allow indices to be used as Quotes. class…
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Quotes are one of the most basic pieces of financial information. A quote is a value of any market observable. Quotes come in many shapes and forms and usually reflect the price at which a commodity traded. The Quote class in…
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Financial instruments are assets that can be traded and thus have a financial value attached to them. The value is usually expressed by the net present value (NPV) which is the financial value of the instrument at a given date….
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