In the previous post about QuantLib Pricing engines I talked about the basic functionality of pricing engines. These are implemented by the PricingEngine and the GenericPricingEngine class. These engines provide an interface and some basic functions but the actual calculations…
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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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QuantLib uses random numbers in many places, such as in Pricing Engines to calculate the NPV of an instrument, in the Brownian Generator that is used in market-model simulations and in the Monte Carlo Model for path samples. In financial…
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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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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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Previously, I have talked about indices and have looked at the Index class in QuantLib. In this article I will talk about a specialization of the Index class, the InterestRateIndex class. This class extends the basic Index with functionality that…
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