API Reference¶
This section lists the QuantLib functions made available to Excel.
Asianoptions¶
qAverageType(s: str)
qlContinuousAveragingAsianOption(average_type: qAverageType, payoff: ql.StrikedTypePayoff, exercise: ql.Exercise, trigger = None)
qlContinuousAveragingAsianOptionWithStartDate(average_type: qAverageType, start_date: qDate, payoff: ql.StrikedTypePayoff, exercise: ql.Exercise, trigger = None)
qlDiscreteAveragingAsianOption(average_type: qAverageType, fixing_dates: xlo.Array(dims=1), payoff: ql.StrikedTypePayoff, exercise: ql.Exercise, all_past_fixings: xlo.Array(dims=1) = None, trigger = None)
qlDiscreteAveragingAsianOptionTimeGrid(option: ql.DiscreteAveragingAsianOption, trigger = None)
qlAnalyticContinuousGeometricAveragePriceAsianEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlAnalyticContinuousGeometricAveragePriceAsianHestonEngine(process: ql.HestonProcess, summation_cutoff: int = 50, xi_right_limit: float = 100.0, trigger = None)
qlAnalyticDiscreteGeometricAveragePriceAsianEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlAnalyticDiscreteGeometricAveragePriceAsianHestonEngine(process: ql.HestonProcess, xi_right_limit: float = 100.0, trigger = None)
qlAnalyticDiscreteGeometricAverageStrikeAsianEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlMCDiscreteArithmeticAPEngine(process: ql.GeneralizedBlackScholesProcess, traits: qMCTraits, brownian_bridge: bool = False, antithetic_variate: bool = False, control_variate: bool = False, required_samples: int = ql.nullInt(), required_tolerance: float = ql.nullDouble(), max_samples: int = ql.nullInt(), seed: int = 0, trigger = None)
qlMCDiscreteArithmeticAPHestonEngine(process: ql.HestonProcess, traits: qMCTraits, antithetic_variate: bool = False, required_samples: int = ql.nullInt(), required_tolerance: float = ql.nullDouble(), max_samples: int = ql.nullInt(), seed: int = 0, time_steps: int = ql.nullInt(), time_steps_per_year: int = ql.nullInt(), control_variate: bool = False, trigger = None)
qlMCDiscreteArithmeticASEngine(process: ql.GeneralizedBlackScholesProcess, traits: qMCTraits, brownian_bridge: bool = False, antithetic_variate: bool = False, required_samples: int = ql.nullInt(), required_tolerance: float = ql.nullDouble(), max_samples: int = ql.nullInt(), seed: int = 0, trigger = None)
qlMCDiscreteGeometricAPEngine(process: ql.GeneralizedBlackScholesProcess, traits: qMCTraits, brownian_bridge: bool = False, antithetic_variate: bool = False, required_samples: int = ql.nullInt(), required_tolerance: float = ql.nullDouble(), max_samples: int = ql.nullInt(), seed: int = 0, trigger = None)
qlMCDiscreteGeometricAPHestonEngine(process: ql.HestonProcess, traits: qMCTraits, antithetic_variate: bool = False, required_samples: int = ql.nullInt(), required_tolerance: float = ql.nullDouble(), max_samples: int = ql.nullInt(), seed: int = 0, time_steps: int = ql.nullInt(), time_steps_per_year: int = ql.nullInt(), trigger = None)
qlContinuousArithmeticAsianLevyEngine(process: ql.GeneralizedBlackScholesProcess, running_average: qQuoteHandle, trigger = None)
qlContinuousArithmeticAsianLevyEngineWithStartDate(process: ql.GeneralizedBlackScholesProcess, running_average: qQuoteHandle, start_date: qDate, trigger = None)
qlFdBlackScholesAsianEngine(process: ql.GeneralizedBlackScholesProcess, t_grid: int, x_grid: int, a_grid: int, trigger = None)
qlChoiAsianEngine(process: ql.GeneralizedBlackScholesProcess, lambda_: int = 15, max_nr_integration_steps: int = 2 << 21, trigger = None)
qlTurnbullWakemanAsianEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
Barrieroptions¶
qBarrierType(s: str)
qPartialBarrierRange(s: str)
qDoubleBarrierType(s: str)
qVannaVolgaDoubleBarrierEngineType(name: str)
qlBarrierOption(barrier_type: qBarrierType, barrier: float, rebate: float, payoff: ql.StrikedTypePayoff, exercise: ql.Exercise, trigger = None)
qlQuantoBarrierOption(barrier_type: qBarrierType, barrier: float, rebate: float, payoff: ql.StrikedTypePayoff, exercise: ql.Exercise, trigger = None)
qlPartialTimeBarrierOption(barrier_type: qBarrierType, barrier_range: qPartialBarrierRange, barrier: float, rebate: float, cover_event_date: qDate, payoff: ql.StrikedTypePayoff, exercise: ql.Exercise, trigger = None)
qlBarrierOptionImpliedVolatility(option: ql.BarrierOption, target_value: float, process: ql.GeneralizedBlackScholesProcess, dividends: xlo.Array(dims=1) = None, accuracy: float = 1.0e-4, max_evaluations: int = 100, min_vol: float = 1.0e-4, max_vol: float = 4.0, trigger = None)
qlAnalyticPartialTimeBarrierOptionEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlAnalyticBarrierEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlMCBarrierEngine(process: ql.GeneralizedBlackScholesProcess, traits: qMCTraits, time_steps: int = ql.nullInt(), time_steps_per_year: int = ql.nullInt(), brownian_bridge: bool = False, antithetic_variate: bool = False, required_samples: int = ql.nullInt(), required_tolerance: float = ql.nullDouble(), max_samples: int = ql.nullInt(), is_biased: bool = False, seed: int = 0, trigger = None)
qlQuantoBarrierEngine(process: ql.GeneralizedBlackScholesProcess, foreign_risk_free_rate: ql.YieldTermStructureHandle, exchange_rate_volatility: ql.BlackVolTermStructureHandle, correlation: qQuoteHandle, trigger = None)
qlFdBlackScholesBarrierEngine(process: ql.GeneralizedBlackScholesProcess, dividends: xlo.Array(dims=1) = None, t_grid: int = 100, x_grid: int = 100, damping_steps: int = 0, scheme_desc: ql.FdmSchemeDesc = ql.FdmSchemeDesc.Douglas(), local_vol: bool = False, illegal_local_vol_overwrite: float = -ql.nullDouble(), trigger = None)
qlFdBlackScholesRebateEngine(process: ql.GeneralizedBlackScholesProcess, dividends: xlo.Array(dims=1) = None, t_grid: int = 100, x_grid: int = 100, damping_steps: int = 0, scheme_desc: ql.FdmSchemeDesc = ql.FdmSchemeDesc.Douglas(), local_vol: bool = False, illegal_local_vol_overwrite: float = -ql.nullDouble(), trigger = None)
qlFdHestonBarrierEngine(model: ql.HestonModel, dividends: xlo.Array(dims=1) = None, t_grid: int = 100, x_grid: int = 100, v_grid: int = 50, damping_steps: int = 0, scheme_desc: ql.FdmSchemeDesc = ql.FdmSchemeDesc.Hundsdorfer(), leverage_fct: ql.LocalVolTermStructure = None, mixing_factor: float = 1.0, trigger = None)
qlFdHestonRebateEngine(model: ql.HestonModel, dividends: xlo.Array(dims=1) = None, t_grid: int = 100, x_grid: int = 100, v_grid: int = 50, damping_steps: int = 0, scheme_desc: ql.FdmSchemeDesc = ql.FdmSchemeDesc.Hundsdorfer(), leverage_fct: ql.LocalVolTermStructure = None, mixing_factor: float = 1.0, trigger = None)
qlAnalyticBinaryBarrierEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlBinomialBarrierEngine(process: ql.GeneralizedBlackScholesProcess, engine_type: qBinomialEngineType, steps: int, max_steps: int = 0, trigger = None)
qlDoubleBarrierOption(barrier_type: qDoubleBarrierType, barrier_lo: float, barrier_hi: float, rebate: float, payoff: ql.StrikedTypePayoff, exercise: ql.Exercise, trigger = None)
qlQuantoDoubleBarrierOption(barrier_type: qDoubleBarrierType, barrier_lo: float, barrier_hi: float, rebate: float, payoff: ql.StrikedTypePayoff, exercise: ql.Exercise, trigger = None)
qlQuantoDoubleBarrierOptionQvega(option: ql.QuantoDoubleBarrierOption, trigger = None)
qlQuantoDoubleBarrierOptionQrho(option: ql.QuantoDoubleBarrierOption, trigger = None)
qlQuantoDoubleBarrierOptionQlambda(option: ql.QuantoDoubleBarrierOption, trigger = None)
qlAnalyticDoubleBarrierEngine(process: ql.GeneralizedBlackScholesProcess, series: int = 5, trigger = None)
qlFdHestonDoubleBarrierEngine(model: ql.HestonModel, t_grid: int = 100, x_grid: int = 100, v_grid: int = 50, damping_steps: int = 0, scheme_desc: ql.FdmSchemeDesc = ql.FdmSchemeDesc.Hundsdorfer(), leverage_fct: ql.LocalVolTermStructure = None, mixing_factor: float = 1.0, trigger = None)
qlSuoWangDoubleBarrierEngine(process: ql.GeneralizedBlackScholesProcess, series: int = 5, trigger = None)
qlAnalyticDoubleBarrierBinaryEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlBinomialDoubleBarrierEngine(process: ql.GeneralizedBlackScholesProcess, engine_type: qBinomialEngineType, steps: int, trigger = None)
qlTwoAssetBarrierOption(barrier_type: qBarrierType, barrier: float, payoff: ql.StrikedTypePayoff, exercise: ql.Exercise, trigger = None)
qlAnalyticTwoAssetBarrierEngine(process1: ql.GeneralizedBlackScholesProcess, process2: ql.GeneralizedBlackScholesProcess, rho: qQuoteHandle, trigger = None)
qlSoftBarrierOption(barrier_type: qBarrierType, barrier_lo: float, barrier_hi: float, payoff: ql.StrikedTypePayoff, exercise: ql.Exercise, trigger = None)
qlSoftBarrierOptionImpliedVolatility(option: ql.SoftBarrierOption, price: float, process: ql.GeneralizedBlackScholesProcess, accuracy: float = 1.0e-4, max_evaluations: int = 100, min_vol: float = 1.0e-6, max_vol: float = 4.0, trigger = None)
qlAnalyticSoftBarrierEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlBarrierTypeName(barrier_type: int, trigger = None)
qlPartialBarrierRangeName(barrier_range: int, trigger = None)
qlDoubleBarrierTypeName(barrier_type: int, trigger = None)
Basketoptions¶
qOperatorSplittingSpreadEngineOrder(s: str)
qlMinBasketPayoff(payoff: ql.Payoff, trigger = None)
qlMaxBasketPayoff(payoff: ql.Payoff, trigger = None)
qlAverageBasketPayoff(payoff: ql.Payoff, weights: xlo.Array(dims=1), trigger = None)
qlSpreadBasketPayoff(payoff: ql.Payoff, trigger = None)
qlBasketOption(payoff: ql.BasketPayoff, exercise: ql.Exercise, trigger = None)
qlMCEuropeanBasketEngine(process: ql.StochasticProcessArray, traits: qMCTraits, time_steps: int = ql.nullInt(), time_steps_per_year: int = ql.nullInt(), brownian_bridge: bool = False, antithetic_variate: bool = False, required_samples: int = ql.nullInt(), required_tolerance: float = ql.nullDouble(), max_samples: int = ql.nullInt(), seed: int = 0, trigger = None)
qlMCAmericanBasketEngine(process: ql.StochasticProcessArray, traits: qMCTraits, time_steps: int = ql.nullInt(), time_steps_per_year: int = ql.nullInt(), brownian_bridge: bool = False, antithetic_variate: bool = False, required_samples: int = ql.nullInt(), required_tolerance: float = ql.nullDouble(), max_samples: int = ql.nullInt(), seed: int = 0, n_calibration_samples: int = 2048, polynom_order: int = 2, polynom_type: int = ql.LsmBasisSystem.Monomial, trigger = None)
qlStulzEngine(process1: ql.GeneralizedBlackScholesProcess, process2: ql.GeneralizedBlackScholesProcess, correlation: float, trigger = None)
qlKirkEngine(process1: ql.GeneralizedBlackScholesProcess, process2: ql.GeneralizedBlackScholesProcess, correlation: float, trigger = None)
qlBjerksundStenslandSpreadEngine(process1: ql.GeneralizedBlackScholesProcess, process2: ql.GeneralizedBlackScholesProcess, correlation: float, trigger = None)
qlOperatorSplittingSpreadEngine(process1: ql.GeneralizedBlackScholesProcess, process2: ql.GeneralizedBlackScholesProcess, correlation: float, order: qOperatorSplittingSpreadEngineOrder = ql.OperatorSplittingSpreadEngine.Second, trigger = None)
qlFd2dBlackScholesVanillaEngine(process1: ql.GeneralizedBlackScholesProcess, process2: ql.GeneralizedBlackScholesProcess, correlation: float, x_grid: int = 100, y_grid: int = 100, t_grid: int = 50, damping_steps: int = 0, scheme_desc: ql.FdmSchemeDesc = ql.FdmSchemeDesc.Hundsdorfer(), local_vol: bool = False, illegal_local_vol_overwrite: float = -ql.nullDouble(), trigger = None)
qlChoiBasketEngine(processes: xlo.Array(dims=1), correlation: xlo.Array(dims=2), lambda_: float = 10.0, max_nr_integration_steps: int = ql.nullInt(), calc_fwd_delta: bool = False, control_variate: bool = False, trigger = None)
qlDengLiZhouBasketEngine(processes: xlo.Array(dims=1), correlation: xlo.Array(dims=2), trigger = None)
qlFdndimBlackScholesVanillaEngine(processes: xlo.Array(dims=1), correlation: xlo.Array(dims=2), x_grid: int, t_grid: int = 50, damping_steps: int = 0, scheme_desc: ql.FdmSchemeDesc = ql.FdmSchemeDesc.Hundsdorfer(), trigger = None)
qlEverestOption(notional: float, guarantee: float, exercise: ql.Exercise, trigger = None)
qlMCEverestEngine(process: ql.StochasticProcessArray, traits: qMCTraits, time_steps: int = ql.nullInt(), time_steps_per_year: int = ql.nullInt(), brownian_bridge: bool = False, antithetic_variate: bool = False, required_samples: int = ql.nullInt(), required_tolerance: float = ql.nullDouble(), max_samples: int = ql.nullInt(), seed: int = 0, trigger = None)
qlHimalayaOption(fixing_dates: xlo.Array(dims=1), strike: float, trigger = None)
qlMCHimalayaEngine(process: ql.StochasticProcessArray, traits: qMCTraits, brownian_bridge: bool = False, antithetic_variate: bool = False, required_samples: int = ql.nullInt(), required_tolerance: float = ql.nullDouble(), max_samples: int = ql.nullInt(), seed: int = 0, trigger = None)
Blackformula¶
qlBlackFormula(option_type: qOptionType, strike: float, forward: float, std_dev: float, discount: float = 1.0, displacement: float = 0.0, trigger = None)
qlBlackFormulaImpliedStdDev(option_type: qOptionType, strike: float, forward: float, price: float, discount: float = 1.0, displacement: float = 0.0, guess: float = ql.nullDouble(), accuracy: float = 1e-6, max_iterations: int = 100, trigger = None)
qlBlackFormulaImpliedStdDevLiRS(option_type: qOptionType, strike: float, forward: float, price: float, discount: float = 1.0, displacement: float = 0.0, guess: float = ql.nullDouble(), omega: float = 1.0, accuracy: float = 1e-6, max_iterations: int = 100, trigger = None)
qlBachelierBlackFormula(option_type: qOptionType, strike: float, forward: float, std_dev: float, discount: float = 1.0, trigger = None)
qlBachelierBlackFormulaImpliedVol(option_type: qOptionType, strike: float, forward: float, time_to_expiry: float, price: float, discount: float = 1.0, trigger = None)
qlBachelierBlackFormulaImpliedVolChoi(option_type: qOptionType, strike: float, forward: float, time_to_expiry: float, price: float, discount: float = 1.0, trigger = None)
qlBlackDeltaCalculator(option_type: qOptionType, delta_type: qDeltaVolQuoteDeltaType, spot: float, domestic_discount: float, foreign_discount: float, std_dev: float, trigger = None)
qlBlackDeltaCalculatorDeltaFromStrike(calculator: ql.BlackDeltaCalculator, strike: float, trigger = None)
qlBlackDeltaCalculatorStrikeFromDelta(calculator: ql.BlackDeltaCalculator, delta: float, trigger = None)
qlBlackDeltaCalculatorAtmStrike(calculator: ql.BlackDeltaCalculator, atm_type: qDeltaVolQuoteAtmType, trigger = None)
Bonds¶
qBondPriceType(bond_price_type: str)
qCallabilityType(callability_type: str)
qlBondPrice(amount: float, price_type: qBondPriceType, trigger = None)
qlCallability(price: ql.BondPrice, callability_type: qCallabilityType, date: qDate, trigger = None)
qlSoftCallability(price: ql.BondPrice, date: qDate, trigger_callability: float, trigger = None)
qlBondPriceAmount(bond_price: ql.BondPrice, trigger = None)
qlBondPriceType(bond_price: ql.BondPrice, trigger = None)
qlBondPriceIsValid(bond_price: ql.BondPrice, trigger = None)
qlCallabilityPrice(callability: ql.Callability, trigger = None)
qlCallabilityType(callability: ql.Callability, trigger = None)
qlCallabilityDate(callability: ql.Callability, trigger = None)
qlBond(settlement_days: int, calendar: qCalendar, face_amount: float, maturity_date: qDate, cashflows: ql.Leg, issue_date: qDate = ql.Date(), trigger = None)
qlBond2(settlement_days: int, calendar: qCalendar, issue_date: qDate = ql.Date(), coupons = ql.Leg(), trigger = None)
qlBondNextCouponRate(bond: ql.Bond, date: qDate = ql.Date(), trigger = None)
qlBondPreviousCouponRate(bond: ql.Bond, date: qDate = ql.Date(), trigger = None)
qlBondNextCashFlowDate(bond: ql.Bond, date: qDate = ql.Date(), trigger = None)
qlBondPreviousCashFlowDate(bond: ql.Bond, date: qDate = ql.Date(), trigger = None)
qlBondSettlementDays(bond: ql.Bond, trigger = None)
qlBondSettlementDate(bond: ql.Bond, date: qDate = ql.Date(), trigger = None)
qlBondIsTradable(bond: ql.Bond, date: qDate = ql.Date(), trigger = None)
qlBondStartDate(bond: ql.Bond, trigger = None)
qlBondMaturityDate(bond: ql.Bond, trigger = None)
qlBondIssueDate(bond: ql.Bond, trigger = None)
qlBondCashFlows(bond: ql.Bond, trigger = None)
qlBondRedemption(bond: ql.Bond, trigger = None)
qlBondRedemptions(bond: ql.Bond, trigger = None)
qlBondCalendar(bond: ql.Bond, trigger = None)
qlBondNotionals(bond: ql.Bond, trigger = None)
qlBondNotional(bond: ql.Bond, date: qDate = ql.Date(), trigger = None)
qlBondCleanPrice(bond: ql.Bond, trigger = None)
qlBondCleanPrice2(bond: ql.Bond, yield_: float, dc: qDayCounter, compounding: qCompounding, frequency: qFrequency = ql.Annual, settlement: qDate = ql.Date(), trigger = None)
qlBondDirtyPrice(bond: ql.Bond, trigger = None)
qlBondDirtyPrice2(bond: ql.Bond, yield_: float, dc: qDayCounter, compounding: qCompounding, frequency: qFrequency, settlement: qDate = ql.Date(), trigger = None)
qlBondYield(bond: ql.Bond, dc: qDayCounter, compounding: qCompounding, freq: qFrequency, accuracy: float = 1.0e-8, max_evaluations: int = 100, trigger = None)
qlBondYield2(bond: ql.Bond, price: ql.BondPrice, dc: qDayCounter, compounding: qCompounding, freq: qFrequency, settlement: qDate = ql.Date(), accuracy: float = 1.0e-8, max_evaluations: int = 100, guess: float = 0.05, trigger = None)
qlBondAccruedAmount(bond: ql.Bond, settlement: qDate = ql.Date(), trigger = None)
qlBondSettlementValue(bond: ql.Bond, trigger = None)
qlBondSettlementValue2(bond: ql.Bond, clean_price: float, trigger = None)
qlBondCleanPriceFromZSpread(bond: ql.Bond, discount_curve: ql.YieldTermStructureHandle, z_spread: float, dc: qDayCounter, compounding: qCompounding, freq: qFrequency, settlement_date: qDate = ql.Date(), trigger = None)
qlBondSinkingSchedule(start_date: qDate, bond_length: qPeriod, frequency: qFrequency, payment_calendar: qCalendar, trigger = None)
qlBondSinkingNotionals(bond_length: qPeriod, frequency: qFrequency, coupon_rate: float, initial_notional: float, trigger = None)
qlZeroCouponBond(settlement_days: int, calendar: qCalendar, face_amount: float, maturity_date: qDate, business_day_convention: qBusinessDayConvention = ql.Following, redemption: float = 100.0, issue_date: qDate = ql.Date(), trigger = None)
qlFixedRateBond(settlement_days: int, face_amount: float, schedule: ql.Schedule, coupons: xlo.Array(dims=1), payment_day_counter: qDayCounter, business_day_convention: qBusinessDayConvention = ql.Following, redemption: float = 100.0, issue_date: qDate = ql.Date(), payment_calendar = None, ex_coupon_period: qPeriod = ql.Period(), ex_coupon_calendar = None, ex_coupon_convention: qBusinessDayConvention = ql.Unadjusted, ex_coupon_end_of_month: bool = False, trigger = None)
qlAmortizingFixedRateBond(settlement_days: int, notionals: xlo.Array(dims=1), schedule: ql.Schedule, coupons: xlo.Array(dims=1), accrual_day_counter: qDayCounter, payment_convention: qBusinessDayConvention = ql.Following, issue_date: qDate = ql.Date(), ex_coupon_period: qPeriod = ql.Period(), ex_coupon_calendar = None, ex_coupon_convention: qBusinessDayConvention = ql.Unadjusted, ex_coupon_end_of_month: bool = False, redemptions = 100, trigger = None)
qlAmortizingFloatingRateBond(settlement_days: int, notional: xlo.Array(dims=1), schedule: ql.Schedule, index: ql.IborIndex, accrual_day_counter: qDayCounter, payment_convention: qBusinessDayConvention = ql.Following, fixing_days: int = 0, gearings: xlo.Array(dims=1) = [1.0], spreads: xlo.Array(dims=1) = [0.0], caps = None, floors = None, in_arrears: bool = False, issue_date: qDate = ql.Date(), ex_coupon_period: qPeriod = ql.Period(), ex_coupon_calendar = None, ex_coupon_convention: qBusinessDayConvention = ql.Unadjusted, ex_coupon_end_of_month: bool = False, redemptions = 100.0, payment_lag: int = 0, trigger = None)
qlFloatingRateBond(settlement_days: int, face_amount: float, schedule: ql.Schedule, index: ql.IborIndex, payment_day_counter: qDayCounter, payment_convention: qBusinessDayConvention = ql.Following, fixing_days: int = 0, gearings: xlo.Array(dims=1) = [1.0], spreads: xlo.Array(dims=1) = [0.0], caps = None, floors = None, in_arrears: bool = False, redemption: float = 100.0, issue_date: qDate = ql.Date(), ex_coupon_period: qPeriod = ql.Period(), ex_coupon_calendar = None, ex_coupon_convention: qBusinessDayConvention = ql.Unadjusted, ex_coupon_end_of_month: bool = False, fixing_convention: qBusinessDayConvention = ql.Preceding, trigger = None)
qlCmsRateBond(settlement_days: int, face_amount: float, schedule: ql.Schedule, index: ql.SwapIndex, payment_day_counter: qDayCounter, payment_convention: qBusinessDayConvention, fixing_days: int, gearings: xlo.Array(dims=1), spreads: xlo.Array(dims=1), caps: xlo.Array(dims=1), floors: xlo.Array(dims=1), in_arrears: bool = False, redemption: float = 100.0, issue_date: qDate = ql.Date(), trigger = None)
qlAmortizingCmsRateBond(settlement_days: int, notionals: xlo.Array(dims=1), schedule: ql.Schedule, index: ql.SwapIndex, payment_day_counter: qDayCounter, payment_convention: qBusinessDayConvention = ql.Following, fixing_days: int = 0, gearings: xlo.Array(dims=1) = [0.0], spreads: xlo.Array(dims=1) = [0.0], caps: xlo.Array(dims=1) = None, floors: xlo.Array(dims=1) = None, in_arrears: bool = False, issue_date: qDate = ql.Date(), trigger = None)
qlDiscountingBondEngine(discount_curve: ql.YieldTermStructureHandle, trigger = None)
qlCallableBondCallability(callable_bond: ql.CallableBond, Trigger = None)
qlCallableBondImpliedVolatility(callable_bond: ql.CallableBond, target_price: ql.BondPrice, discount_curve: ql.YieldTermStructureHandle, accuracy: float, max_evaluations: int, min_vol: float, max_vol: float, trigger = None)
qlCallableBondOAS(callable_bond: ql.CallableBond, clean_price: float, engine_ts: ql.YieldTermStructureHandle, dc: qDayCounter, compounding: qCompounding, freq: qFrequency, settlement_date: qDate = ql.Date(), accuracy: float = 1e-10, max_iterations: int = 100, guess: float = 0.0, trigger = None)
qlCallableBondCleanPriceOAS(callable_bond: ql.CallableBond, oas: float, engine_ts: ql.YieldTermStructureHandle, day_counter: qDayCounter, compounding: qCompounding, frequency: qFrequency, settlement_date: qDate = ql.Date(), trigger = None)
qlCallableBondEffectiveDuration(callable_bond: ql.CallableBond, oas: float, engine_ts: ql.YieldTermStructureHandle, day_counter: qDayCounter, compounding: qCompounding, frequency: qFrequency, bump: float = 2e-4, trigger = None)
qlCallableBondEffectiveConvexity(callable_bond: ql.CallableBond, oas: float, engine_ts: ql.YieldTermStructureHandle, day_counter: qDayCounter, compounding: qCompounding, frequency: qFrequency, bump: float = 2e-4, trigger = None)
qlCallableFixedRateBond(settlement_days: int, face_amount: float, schedule: ql.Schedule, coupons: xlo.Array(dims=1), accrual_day_counter: qDayCounter, payment_convention: qBusinessDayConvention, redemption: float, issue_date: qDate, put_call_schedule: xlo.Array(dims=1), ex_coupon_period: qPeriod = ql.Period(), ex_coupon_calendar = None, ex_coupon_convention: qBusinessDayConvention = ql.Unadjusted, ex_coupon_end_of_month: bool = False, trigger = None)
qlCallableZeroCouponBond(settlement_days: int, face_amount: float, calendar: qCalendar, maturity_date: qDate, day_counter: qDayCounter, payment_convention: qBusinessDayConvention = ql.Following, redemption: float = 100.0, issue_date: qDate = ql.Date(), put_call_schedule: xlo.Array(dims=1) = None, trigger = None)
qlTreeCallableFixedRateBondEngine(model: ql.ShortRateModel, time_steps: int, term_structure: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlTreeCallableFixedRateBondEngine2(model: ql.ShortRateModel, time_grid: ql.TimeGrid, term_structure: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlBlackCallableFixedRateBondEngine(fwd_yield_vol: qQuoteHandle, discount_curve: ql.YieldTermStructureHandle, trigger = None)
qlCPIBond(settlement_days: int, face_amount: float, growth_only: bool, base_cpi: float, observation_lag: qPeriod, cpi_index: ql.ZeroInflationIndex, observation_interpolation: qCPIInterpolationType, schedule: ql.Schedule, coupons: xlo.Array(dims=1), accrual_day_counter: qDayCounter, payment_convention: qBusinessDayConvention = ql.ModifiedFollowing, issue_date: qDate = ql.Date(), payment_calendar = None, ex_coupon_period: qPeriod = ql.Period(), ex_coupon_calendar = None, ex_coupon_convention: qBusinessDayConvention = ql.Unadjusted, ex_coupon_end_of_month: bool = False, trigger = None)
Calendars¶
qCalendar(calendarname: str)
qBusinessDayConvention(conventionname: str)
qJointCalendarRule(rule_name: str)
qlCalendar(calendar_name: str, trigger = None)
qlCalendarisWeekend(calendar: qCalendar, weekday: qWeekday, trigger = None)
qlCalendarStartOfMonth(calendar: qCalendar, date: qDate, trigger = None)
qlCalendarEndOfMonth(calendar: qCalendar, date: qDate, trigger = None)
qlCalendarIsBusinessDay(calendar: qCalendar, date: qDate, trigger = None)
qlCalendarIsHoliday(calendar: qCalendar, date: qDate, trigger = None)
qlCalendarIsEndOfMonth(calendar: qCalendar, date: qDate, trigger = None)
qlCalendarIsStartOfMonth(calendar: qCalendar, date: qDate, trigger = None)
qlCalendarAddHoliday(calendar: qCalendar, date: qDate, trigger = None)
qlCalendarRemoveHoliday(calendar: qCalendar, date: qDate, trigger = None)
qlCalendarResetAddedAndRemovedHolidays(calendar: qCalendar, trigger = None)
qlCalendarAdjust(calendar: qCalendar, date: qDate, convention: qBusinessDayConvention = ql.Following, trigger = None)
qlCalendarAdvance(calendar: qCalendar, date: qDate, period: qPeriod, convention: qBusinessDayConvention = ql.Following, end_of_month: bool = False, trigger = None)
qlCalendarAdvance2(calendar: qCalendar, date: qDate, n: int, unit: qTimeUnit, convention: qBusinessDayConvention = ql.Following, end_of_month: bool = False, trigger = None)
qlCalendarBusinessDaysBetween(calendar: qCalendar, from_date: qDate, to_date: qDate, include_first: bool = True, include_last: bool = False, trigger = None)
qlCalendarHolidayList(calendar: qCalendar, from_date: qDate, to_date: qDate, trigger = None)
qlCalendarBusinessDayList(calendar: qCalendar, from_date: qDate, to_date: qDate, trigger = None)
qlCalendarName(calendar: qCalendar, trigger = None)
qlCalendarEmpty(calendar: qCalendar, trigger = None)
qlCalendarJointCalendar(calendar1: qCalendar, calendar2: qCalendar, rule: qJointCalendarRule = ql.JoinHolidays)
qlCalendarJointCalendar2(calendar1: qCalendar, calendar2: qCalendar, calendar3: qCalendar, rule: qJointCalendarRule = ql.JoinHolidays, trigger = None)
qlCalendarJointCalendar3(calendar1: qCalendar, calendar2: qCalendar, calendar3: qCalendar, calendar4: qCalendar, rule: qJointCalendarRule = ql.JoinHolidays, trigger = None)
qlCalendarJointCalendarN(calendars: xlo.Array(dims=1), rule: qJointCalendarRule = ql.JoinHolidays, trigger = None)
qlBespokeCalendar(name: str, trigger = None)
qlBespokeCalendarAddWeekend(calendar: qCalendar, weekday: qWeekday, trigger = None)
Calibratedmodel¶
qlCalibratedModelCalibrate(model: ql.CalibratedModel, calibration_helpers: xlo.Array(dims=1), optimization_method: ql.OptimizationMethod, end_criteria: ql.EndCriteria, constraint: ql.Constraint = ql.NoConstraint(), weights: xlo.Array(dims=1) = [], fix_parameters: xlo.Array(dims=1) = [], trigger = None)
qlCalibratedModelParams(model: ql.CalibratedModel, trigger = None)
qlCalibratedModelSetParams(model: ql.CalibratedModel, params: xlo.Array(dims=1), trigger = None)
qlCalibratedModelValue(model: ql.CalibratedModel, params: xlo.Array(dims=1), calibration_helpers: xlo.Array(dims=1), trigger = None)
qlCalibratedModelConstraint(model: ql.CalibratedModel, trigger = None)
qlCalibratedModelEndCriteria(model: ql.CalibratedModel, trigger = None)
qlCalibratedModelProblemValues(model: ql.CalibratedModel, trigger = None)
qlCalibratedModelProblemValuesFunctionEvaluation(model: ql.CalibratedModel, trigger = None)
qlCalibratedModelHandle(model: ql.CalibratedModel, trigger = None)
Calibrationhelpers¶
qBlackCalibrationHelperErrorType(s: str)
qlBlackCalibrationHelperSetPricingEngine(helper: ql.BlackCalibrationHelper, engine: ql.PricingEngine, trigger = None)
qlBlackCalibrationHelperMarketValue(helper: ql.BlackCalibrationHelper, trigger = None)
qlBlackCalibrationHelperModelValue(helper: ql.BlackCalibrationHelper, trigger = None)
qlBlackCalibrationHelperImpliedVolatility(helper: ql.BlackCalibrationHelper, target_value: float, accuracy: float = 1.0e-8, max_evaluations: int = 100, min_volatility: float = 1.0e-8, max_volatility: float = 4.0, trigger = None)
qlBlackCalibrationHelperBlackPrice(helper: ql.BlackCalibrationHelper, volatility: float, trigger = None)
qlBlackCalibrationHelperVolatility(helper: ql.BlackCalibrationHelper, trigger = None)
qlBlackCalibrationHelperVolatilityType(helper: ql.BlackCalibrationHelper, trigger = None)
qlBlackCalibrationHelperCalibrationError(helper: ql.BlackCalibrationHelper, trigger = None)
qlSwaptionHelper(exercise, swap_length, volatility: qQuoteHandle, index: ql.IborIndex, fixed_leg_tenor: qPeriod, fixed_leg_day_counter: qDayCounter, floating_leg_day_counter: qDayCounter, term_structure: ql.YieldTermStructureHandle, error_type: qBlackCalibrationHelperErrorType = ql.BlackCalibrationHelper.RelativePriceError, strike: float = ql.nullDouble(), nominal: float = 1.0, volatility_type: qVolatilityType = ql.ShiftedLognormal, shift: float = 0.0, settlement_days: int = ql.nullInt(), averaging_method: qRateAveragingType = ql.RateAveraging.Compound, trigger = None)
qlCapHelper(length: qPeriod, volatility: qQuoteHandle, index: ql.IborIndex, fixed_leg_frequency: qFrequency, fixed_leg_day_counter: qDayCounter, include_first_swaplet: bool, term_structure: ql.YieldTermStructureHandle, error_type: qBlackCalibrationHelperErrorType = ql.BlackCalibrationHelper.RelativePriceError, volatility_type: qVolatilityType = ql.ShiftedLognormal, shift: float = 0.0, trigger = None)
qlHestonModelHelper(maturity: qPeriod, calendar: qCalendar, s0: float, strike_price: float, volatility: qQuoteHandle, risk_free_rate: ql.YieldTermStructureHandle, dividend_yield: ql.YieldTermStructureHandle, error_type: qBlackCalibrationHelperErrorType = ql.BlackCalibrationHelper.RelativePriceError, trigger = None)
Capfloor¶
qCapFloorType(type: str)
qlCapFloorImpliedVolatility(capfloor: ql.CapFloor, price: float, disc: ql.YieldTermStructureHandle, guess: float, accuracy: float = 1.0e-4, max_evaluations: int = 100, min_vol: float = 1.0e-7, max_vol: float = 4.0, type: qVolatilityType = ql.ShiftedLognormal, displacement: float = 0.0, trigger = None)
qlCapFloorFloatingLeg(capfloor: ql.CapFloor, trigger = None)
qlCapFloorCapRates(capfloor: ql.CapFloor, trigger = None)
qlCapFloorFloorRates(capfloor: ql.CapFloor, trigger = None)
qlCapFloorStartDate(capfloor: ql.CapFloor, trigger = None)
qlCapFloorMaturityDate(capfloor: ql.CapFloor, trigger = None)
qlCapFloorType(capfloor: ql.CapFloor, trigger = None)
qlCapFloorAtmRate(capfloor: ql.CapFloor, discount_curve: ql.YieldTermStructureHandle, trigger = None)
qlCapFloorCap(leg: xlo.Array(dims=1), cap_rates: xlo.Array(dims=1), trigger = None)
qlCapFloorFloor(leg: xlo.Array(dims=1), floor_rates: xlo.Array(dims=1), trigger = None)
qlCapFloorCollar(leg: xlo.Array(dims=1), cap_rates: xlo.Array(dims=1), floor_rates: xlo.Array(dims=1), trigger = None)
qlBlackCapFloorEngine(term_structure: ql.YieldTermStructureHandle, vol: qQuoteHandle, day_counter: ql.DayCounter = ql.Actual365Fixed(), displacement: float = 0.0, trigger = None)
qlBlackCapFloorEngine2(term_structure: ql.YieldTermStructureHandle, vol: ql.OptionletVolatilityStructureHandle, displacement: float = ql.nullDouble())
qlBachelierCapFloorEngine(term_structure: ql.YieldTermStructureHandle, vol: qQuoteHandle, trigger = None)
qlBachelierCapFloorEngine2(term_structure: ql.YieldTermStructureHandle, vol: ql.OptionletVolatilityStructureHandle, trigger = None)
qlMakeCapFloor(type: str | qCapFloorType, cap_floor_tenor: qPeriod, ibor_index: ql.IborIndex, strike = None, forward_start: qPeriod = ql.Period(0, ql.Days), nominal = None, effective_date = None, calendar = None, convention = None, termination_date_convention = None, rule = None, end_of_month = None, first_date = None, next_to_last_date = None, day_count = None, as_optionlet = None, pricing_engine = None, trigger = None)
Cashflows¶
qDurationType(duration_type: str)
qRateAveragingType(averaging_type: str)
qTimingAdjustmentType(timing_adjustment_type: str)
qYieldCurveModel(yield_curve_model: str)
qQuoteHandle(rate)
qlCashFlowAmount(cashflow: ql.CashFlow, trigger = None)
qlCashFlowDate(cashflow: ql.CashFlow, trigger = None)
qlCashFlowHasOccurred(cashflow: ql.CashFlow, ref_date: qDate = ql.Date(), trigger = None)
qlSimpleCashFlow(amount: float, date: qDate, trigger = None)
qlRedemption(amount: float, date: qDate, trigger = None)
qlAmortizingPayment(amount: float, date: qDate, trigger = None)
qlIndexedCashFlow(notional: float, index: ql.Index, base_date: qDate, fixing_date: qDate, payment_date: qDate, growth_only: bool = False, trigger = None)
qlIndexedCashFlowNotional(cashflow: ql.IndexedCashFlow, trigger = None)
qlIndexedCashFlowBaseDate(cashflow: ql.IndexedCashFlow, trigger = None)
qlIndexedCashFlowFixingDate(cashflow: ql.IndexedCashFlow, trigger = None)
qlIndexedCashFlowBaseFixing(cashflow: ql.IndexedCashFlow, trigger = None)
qlIndexedCashFlowIndexFixing(cashflow: ql.IndexedCashFlow, trigger = None)
qlIndexedCashFlowIndex(cashflow: ql.IndexedCashFlow, trigger = None)
qlIndexedCashFlowGrowthOnly(cashflow: ql.IndexedCashFlow, trigger = None)
qlAsIndexedCashFlow(cashflow: ql.CashFlow, trigger = None)
qlCouponNominal(coupon: ql.Coupon, trigger = None)
qlCouponAccrualStartDate(coupon: ql.Coupon, trigger = None)
qlCouponAccrualEndDate(coupon: ql.Coupon, trigger = None)
qlCouponReferencePeriodStart(coupon: ql.Coupon, trigger = None)
qlCouponReferencePeriodEnd(coupon: ql.Coupon, trigger = None)
qlCouponExCouponDate(coupon: ql.Coupon, trigger = None)
qlCouponRate(coupon: ql.Coupon, trigger = None)
qlCouponAccrualPeriod(coupon: ql.Coupon, trigger = None)
qlCouponAccrualDays(coupon: ql.Coupon, trigger = None)
qlCouponDayCounter(coupon: ql.Coupon, trigger = None)
qlCouponAccruedAmount(coupon: ql.Coupon, date: qDate, trigger = None)
qlAsCoupon(cashflow: ql.CashFlow, trigger = None)
qlFixedRateCoupon(payment_date: qDate, nominal: float, rate: float, day_counter: qDayCounter, start_date: qDate, end_date: qDate, ref_period_start: qDate = ql.Date(), ref_period_end: qDate = ql.Date(), ex_coupon_date: qDate = ql.Date(), trigger = None)
qlFixedRateCouponInterestRate(coupon: ql.FixedRateCoupon, trigger = None)
qlAsFixedRateCoupon(cashflow: ql.CashFlow, trigger = None)
qlFloatingRateCouponFixingDate(coupon: ql.FloatingRateCoupon, trigger = None)
qlFloatingRateCouponFixingDays(coupon: ql.FloatingRateCoupon, trigger = None)
qlFloatingRateCouponFixingConvention(coupon: ql.FloatingRateCoupon, trigger = None)
qlFloatingRateCouponIsInArrears(coupon: ql.FloatingRateCoupon, trigger = None)
qlFloatingRateCouponGearing(coupon: ql.FloatingRateCoupon, trigger = None)
qlFloatingRateCouponSpread(coupon: ql.FloatingRateCoupon, trigger = None)
qlFloatingRateCouponIndexFixing(coupon: ql.FloatingRateCoupon, trigger = None)
qlFloatingRateCouponAdjustedFixing(coupon: ql.FloatingRateCoupon, trigger = None)
qlFloatingRateCouponConvexityAdjustment(coupon: ql.FloatingRateCoupon, trigger = None)
qlFloatingRateCouponPrice(coupon: ql.FloatingRateCoupon, discount_curve: ql.YieldTermStructureHandle, trigger = None)
qlFloatingRateCouponIndex(coupon: ql.FloatingRateCoupon, trigger = None)
qlFloatingRateCouponSetPricer(coupon: ql.FloatingRateCoupon, pricer: ql.FloatingRateCouponPricer, trigger = None)
qlAsFloatingRateCoupon(cashflow: ql.CashFlow, trigger = None)
qlCappedFlooredCoupon(underlying: ql.FloatingRateCoupon, cap: float = ql.nullDouble(), floor: float = ql.nullDouble(), trigger = None)
qlCappedFlooredCouponCap(coupon: ql.CappedFlooredCoupon, trigger = None)
qlCappedFlooredCouponFloor(coupon: ql.CappedFlooredCoupon, trigger = None)
qlCappedFlooredCouponEffectiveCap(coupon: ql.CappedFlooredCoupon, trigger = None)
qlCappedFlooredCouponEffectiveFloor(coupon: ql.CappedFlooredCoupon, trigger = None)
qlCappedFlooredCouponIsCapped(coupon: ql.CappedFlooredCoupon, trigger = None)
qlCappedFlooredCouponIsFloored(coupon: ql.CappedFlooredCoupon, trigger = None)
qlOvernightIndexedCoupon(payment_date: qDate, nominal: float, start_date: qDate, end_date: qDate, overnight_index: ql.OvernightIndex, gearing: float = 1.0, spread: float = 0.0, ref_period_start: qDate = ql.Date(), ref_period_end: qDate = ql.Date(), day_counter = None, telescopic_value_dates: bool = False, averaging_method: qRateAveragingType = ql.RateAveraging.Compound, lookback_days: int = ql.nullInt(), lockout_days: int = 0, apply_observation_shift: bool = False, compound_spread: bool = False, rate_computation_start_date: qDate = ql.Date(), rate_computation_end_date: qDate = ql.Date(), trigger = None)
qlOvernightIndexedCouponFixingDates(coupon: ql.OvernightIndexedCoupon, trigger = None)
qlOvernightIndexedCouponInterestDates(coupon: ql.OvernightIndexedCoupon, trigger = None)
qlOvernightIndexedCouponDt(coupon: ql.OvernightIndexedCoupon, trigger = None)
qlOvernightIndexedCouponIndexFixings(coupon: ql.OvernightIndexedCoupon, trigger = None)
qlOvernightIndexedCouponValueDates(coupon: ql.OvernightIndexedCoupon, trigger = None)
qlOvernightIndexedCouponAveragingMethod(coupon: ql.OvernightIndexedCoupon, trigger = None)
qlOvernightIndexedCouponLockoutDays(coupon: ql.OvernightIndexedCoupon, trigger = None)
qlOvernightIndexedCouponApplyObservationShift(coupon: ql.OvernightIndexedCoupon, trigger = None)
qlOvernightIndexedCouponCompoundSpreadDaily(coupon: ql.OvernightIndexedCoupon, trigger = None)
qlOvernightIndexedCouponCanApplyTelescopicFormula(coupon: ql.OvernightIndexedCoupon, trigger = None)
qlOvernightIndexedCouponEffectiveSpread(coupon: ql.OvernightIndexedCoupon, trigger = None)
qlOvernightIndexedCouponEffectiveIndexFixing(coupon: ql.OvernightIndexedCoupon, trigger = None)
qlOvernightIndexedCouponRateComputationStartDate(coupon: ql.OvernightIndexedCoupon, trigger = None)
qlOvernightIndexedCouponRateComputationEndDate(coupon: ql.OvernightIndexedCoupon, trigger = None)
qlCappedFlooredOvernightIndexedCoupon(underlying: ql.OvernightIndexedCoupon, cap: float = ql.nullDouble(), floor: float = ql.nullDouble(), naked_option: bool = False, daily_cap_floor: bool = False, trigger = None)
qlCappedFlooredOvernightIndexedCouponCap(coupon: ql.CappedFlooredOvernightIndexedCoupon, trigger = None)
qlCappedFlooredOvernightIndexedCouponFloor(coupon: ql.CappedFlooredOvernightIndexedCoupon, trigger = None)
qlCappedFlooredOvernightIndexedCouponEffectiveCapletVolatility(coupon: ql.CappedFlooredOvernightIndexedCoupon, trigger = None)
qlCappedFlooredOvernightIndexedCouponEffectiveFloorletVolatility(coupon: ql.CappedFlooredOvernightIndexedCoupon, trigger = None)
qlCappedFlooredOvernightIndexedCouponIsCapped(coupon: ql.CappedFlooredOvernightIndexedCoupon, trigger = None)
qlCappedFlooredOvernightIndexedCouponIsFloored(coupon: ql.CappedFlooredOvernightIndexedCoupon, trigger = None)
qlCappedFlooredOvernightIndexedCouponUnderlying(coupon: ql.CappedFlooredOvernightIndexedCoupon, trigger = None)
qlCappedFlooredOvernightIndexedCouponNakedOption(coupon: ql.CappedFlooredOvernightIndexedCoupon, trigger = None)
qlCappedFlooredOvernightIndexedCouponDailyCapFloor(coupon: ql.CappedFlooredOvernightIndexedCoupon, trigger = None)
qlCappedFlooredOvernightIndexedCouponCompoundSpreadDaily(coupon: ql.CappedFlooredOvernightIndexedCoupon, trigger = None)
qlCappedFlooredOvernightIndexedCouponAveragingMethod(coupon: ql.CappedFlooredOvernightIndexedCoupon, trigger = None)
qlAsOvernightIndexedCoupon(cashflow: ql.CashFlow, trigger = None)
qlAsCappedFlooredOvernightIndexedCoupon(cashflow: ql.CashFlow, trigger = None)
qlIborCoupon(payment_date: qDate, nominal: float, start_date: qDate, end_date: qDate, fixing_days: int, index: ql.IborIndex, gearing: float = 1.0, spread: float = 0.0, ref_period_start: qDate = ql.Date(), ref_period_end: qDate = ql.Date(), day_counter = None, is_in_arrears: bool = False, ex_coupon_date: qDate = ql.Date(), fixing_convention: qBusinessDayConvention = ql.Preceding, trigger = None)
qlIborCouponHasFixed(coupon: ql.IborCoupon, trigger = None)
qlCappedFlooredIborCoupon(payment_date: qDate, nominal: float, start_date: qDate, end_date: qDate, fixing_days: int, index: ql.IborIndex, gearing: float = 1.0, spread: float = 0.0, cap: float = ql.nullDouble(), floor: float = ql.nullDouble(), ref_period_start: qDate = ql.Date(), ref_period_end: qDate = ql.Date(), day_counter = None, is_in_arrears: bool = False, ex_coupon_date: qDate = ql.Date(), trigger = None)
qlMultipleResetsCoupon(payment_date: qDate, nominal: float, reset_schedule: ql.Schedule, fixing_days: int, index: ql.IborIndex, gearing: float = 1.0, coupon_spread: float = 0.0, rate_spread: float = 0.0, ref_period_start: qDate = ql.Date(), ref_period_end: qDate = ql.Date(), day_counter = None, ex_coupon_date: qDate = ql.Date(), trigger = None)
qlMultipleResetsCouponFixingDates(coupon: ql.MultipleResetsCoupon, trigger = None)
qlMultipleResetsCouponDt(coupon: ql.MultipleResetsCoupon, trigger = None)
qlMultipleResetsCouponValueDates(coupon: ql.MultipleResetsCoupon, trigger = None)
qlMultipleResetsCouponRateSpread(coupon: ql.MultipleResetsCoupon, trigger = None)
qlAsMultipleResetsCoupon(cashflow: ql.CashFlow, trigger = None)
qlIborCouponPricerCapletVolatility(pricer: ql.IborCouponPricer, trigger = None)
qlIborCouponPricerSetCapletVolatility(pricer: ql.IborCouponPricer, volatility: ql.OptionletVolatilityStructureHandle, trigger = None)
qlBlackIborCouponPricer(volatility: ql.OptionletVolatilityStructureHandle = ql.OptionletVolatilityStructureHandle(), timing_adjustment: qTimingAdjustmentType = ql.BlackIborCouponPricer.Black76, correlation: qQuoteHandle = ql.QuoteHandle(ql.SimpleQuote(1.0)), use_indexed_coupon: bool = None, trigger = None)
qlCompoundingOvernightIndexedCouponPricer(trigger = None)
qlBlackCompoundingOvernightIndexedCouponPricer(volatility: ql.OptionletVolatilityStructureHandle = ql.OptionletVolatilityStructureHandle(), effective_volatility_input: bool = False, trigger = None)
qlArithmeticAveragedOvernightIndexedCouponPricer(mean_reversion: float = 0.03, volatility: float = 0.0, by_approx: bool = False, trigger = None)
qlBlackAveragingOvernightIndexedCouponPricer(volatility: ql.OptionletVolatilityStructureHandle = ql.OptionletVolatilityStructureHandle(), effective_volatility_input: bool = False, trigger = None)
qlCompoundingMultipleResetsPricer(trigger = None)
qlAveragingMultipleResetsPricer(trigger = None)
qlCmsCoupon(payment_date: qDate, nominal: float, start_date: qDate, end_date: qDate, fixing_days: int, index: ql.SwapIndex, gearing: float = 1.0, spread: float = 0.0, ref_period_start: qDate = ql.Date(), ref_period_end: qDate = ql.Date(), day_counter = None, is_in_arrears: bool = False, ex_coupon_date: qDate = ql.Date(), fixing_convention: qBusinessDayConvention = ql.Preceding, trigger = None)
qlCmsSpreadCoupon(payment_date: qDate, nominal: float, start_date: qDate, end_date: qDate, fixing_days: int, index: ql.SwapSpreadIndex, gearing: float = 1.0, spread: float = 0.0, ref_period_start: qDate = ql.Date(), ref_period_end: qDate = ql.Date(), day_counter = None, is_in_arrears: bool = False, ex_coupon_date: qDate = ql.Date(), fixing_convention: qBusinessDayConvention = ql.Preceding, trigger = None)
qlCmsCouponPricerSwaptionVolatility(pricer: ql.CmsCouponPricer, trigger = None)
qlCmsCouponPricerSetSwaptionVolatility(pricer: ql.CmsCouponPricer, volatility: ql.SwaptionVolatilityStructureHandle, trigger = None)
qlAnalyticHaganPricer(volatility: ql.SwaptionVolatilityStructureHandle, model: qYieldCurveModel, mean_reversion: qQuoteHandle, trigger = None)
qlNumericHaganPricer(volatility: ql.SwaptionVolatilityStructureHandle, model: qYieldCurveModel, mean_reversion: qQuoteHandle, lower_limit: float = 0.0, upper_limit: float = 1.0, precision: float = 1e-6, trigger = None)
qlCappedFlooredCmsCoupon(payment_date: qDate, nominal: float, start_date: qDate, end_date: qDate, fixing_days: int, index: ql.SwapIndex, gearing: float = 1.0, spread: float = 0.0, cap: float = ql.nullDouble(), floor: float = ql.nullDouble(), ref_period_start: qDate = ql.Date(), ref_period_end: qDate = ql.Date(), day_counter = None, ex_coupon_date: qDate = ql.Date(), fixing_convention: qBusinessDayConvention = ql.Preceding, trigger = None)
qlCappedFlooredCmsSpreadCoupon(payment_date: qDate, nominal: float, start_date: qDate, end_date: qDate, fixing_days: int, index: ql.SwapSpreadIndex, gearing: float = 1.0, spread: float = 0.0, cap: float = ql.nullDouble(), floor: float = ql.nullDouble(), ref_period_start: qDate = ql.Date(), ref_period_end: qDate = ql.Date(), day_counter = None, ex_coupon_date: qDate = ql.Date(), fixing_convention: qBusinessDayConvention = ql.Preceding, trigger = None)
qlCmsSpreadCouponPricerCorrelation(pricer: ql.CmsSpreadCouponPricer, trigger = None)
qlCmsSpreadCouponPricerSetCorrelation(pricer: ql.CmsSpreadCouponPricer, correlation: qQuoteHandle = ql.QuoteHandle(), trigger = None)
qlLognormalCmsSpreadPricer(cms_pricer: ql.CmsCouponPricer, correlation: qQuoteHandle, coupon_discount_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), integration_points: int = 16, volatility_type = None, shift1: float = ql.nullDouble(), shift2: float = ql.nullDouble(), trigger = None)
qlLognormalCmsSpreadPricerSwapletPrice(pricer: ql.LognormalCmsSpreadPricer, trigger = None)
qlLognormalCmsSpreadPricerSwapletRate(pricer: ql.LognormalCmsSpreadPricer, trigger = None)
qlLognormalCmsSpreadPricerCapletPrice(pricer: ql.LognormalCmsSpreadPricer, effective_cap: float, trigger = None)
qlLognormalCmsSpreadPricerCapletRate(pricer: ql.LognormalCmsSpreadPricer, effective_cap: float, trigger = None)
qlLognormalCmsSpreadPricerFloorletPrice(pricer: ql.LognormalCmsSpreadPricer, effective_floor: float, trigger = None)
qlLognormalCmsSpreadPricerFloorletRate(pricer: ql.LognormalCmsSpreadPricer, effective_floor: float, trigger = None)
qlEquityCashFlow(notional: float, index: ql.EquityIndex, base_date: qDate, fixing_date: qDate, payment_date: qDate, growth_only: bool = True, trigger = None)
qlEquityCashFlowSetPricer(cashflow: ql.EquityCashFlow, pricer: ql.EquityCashFlowPricer, trigger = None)
qlSetEquityCouponPricer(leg: xlo.Array(dims=1), pricer: ql.EquityCashFlowPricer, trigger = None)
qlEquityQuantoCashFlowPricer(quanto_currency_term_structure: ql.YieldTermStructureHandle, equity_volatility: ql.BlackVolTermStructureHandle, fx_volatility: ql.BlackVolTermStructureHandle, correlation: qQuoteHandle, trigger = None)
qlRangeAccrualFloatersCoupon(payment_date: qDate, nominal: float, index: ql.IborIndex, start_date: qDate, end_date: qDate, fixing_days: int, day_counter: qDayCounter, gearing: float, spread: float, ref_period_start: qDate, ref_period_end: qDate, observations_schedule: ql.Schedule, lower_trigger: float, upper_trigger: float, trigger = None)
qlSetCouponPricer(leg: xlo.Array(dims=1), pricer: ql.FloatingRateCouponPricer, trigger = None)
qlFixedRateLeg(schedule: ql.Schedule, day_counter: qDayCounter, nominals: xlo.Array(dims=1), coupon_rates: xlo.Array(dims=1), payment_adjustment: qBusinessDayConvention = ql.Following, first_period_day_count = None, ex_coupon_period: qPeriod = ql.Period(), ex_coupon_calendar = None, ex_coupon_convention: qBusinessDayConvention = ql.Unadjusted, ex_coupon_end_of_month: bool = False, payment_calendar = None, payment_lag: int = 0, compounding: qCompounding = ql.Simple, compounding_frequency: qFrequency = ql.Annual, interest_rates: xlo.Array(dims=1) = None, trigger = None)
qlIborLeg(nominals: xlo.Array(dims=1), schedule: ql.Schedule, index: ql.IborIndex, payment_day_counter = None, payment_convention: qBusinessDayConvention = ql.Following, fixing_days = (), gearings: xlo.Array(dims=1) = None, spreads: xlo.Array(dims=1) = None, caps: xlo.Array(dims=1) = None, floors: xlo.Array(dims=1) = None, is_in_arrears: bool = False, ex_coupon_period: qPeriod = ql.Period(), ex_coupon_calendar = None, ex_coupon_convention: qBusinessDayConvention = ql.Unadjusted, ex_coupon_end_of_month: bool = False, payment_calendar = None, payment_lag: int = 0, with_indexed_coupons: bool = False, trigger = None)
qlOvernightLeg(nominals: xlo.Array(dims=1), schedule: ql.Schedule, index: ql.OvernightIndex, payment_day_counter = None, payment_convention: qBusinessDayConvention = ql.Following, gearings: xlo.Array(dims=1) = None, spreads: xlo.Array(dims=1) = None, telescopic_value_dates: bool = False, averaging_method: qRateAveragingType = ql.RateAveraging.Compound, payment_calendar = None, payment_lag: int = 0, lookback_days: int = ql.nullInt(), lockout_days: int = 0, apply_observation_shift: bool = False, compound_spread_daily: bool = False, caps: xlo.Array(dims=1) = None, floors: xlo.Array(dims=1) = None, daily_cap_floor: bool = False, in_arrears: bool = True, naked_option: bool = False, payment_dates: xlo.Array(dims=1) = None, trigger = None)
qlCmsLeg(nominals: xlo.Array(dims=1), schedule: ql.Schedule, index: ql.SwapIndex, payment_day_counter = None, payment_convention: qBusinessDayConvention = ql.Following, fixing_days: xlo.Array(dims=1) = None, gearings: xlo.Array(dims=1) = None, spreads: xlo.Array(dims=1) = None, caps: xlo.Array(dims=1) = None, floors: xlo.Array(dims=1) = None, is_in_arrears: bool = False, ex_coupon_period: qPeriod = ql.Period(), ex_coupon_calendar = None, ex_coupon_convention: qBusinessDayConvention = ql.Unadjusted, ex_coupon_end_of_month: bool = False, fixing_convention: qBusinessDayConvention = ql.Preceding, trigger = None)
qlCmsZeroLeg(nominals: xlo.Array(dims=1), schedule: ql.Schedule, index: ql.SwapIndex, payment_day_counter = None, payment_convention: qBusinessDayConvention = ql.Following, fixing_days: xlo.Array(dims=1) = None, gearings: xlo.Array(dims=1) = None, spreads: xlo.Array(dims=1) = None, caps: xlo.Array(dims=1) = None, floors: xlo.Array(dims=1) = None, ex_coupon_period: qPeriod = ql.Period(), ex_coupon_calendar: qCalendar = None, ex_coupon_convention: qBusinessDayConvention = ql.Unadjusted, ex_coupon_end_of_month: bool = False, trigger = None)
qlCmsSpreadLeg(nominals: xlo.Array(dims=1), schedule: ql.Schedule, index: ql.SwapSpreadIndex, payment_day_counter = None, payment_convention: qBusinessDayConvention = ql.Following, fixing_days: xlo.Array(dims=1) = None, gearings: xlo.Array(dims=1) = None, spreads: xlo.Array(dims=1) = None, caps: xlo.Array(dims=1) = None, floors: xlo.Array(dims=1) = None, is_in_arrears: bool = False, trigger = None)
qlMultipleResetsLeg(full_reset_schedule: ql.Schedule, index: ql.IborIndex, resets_per_coupon: int, nominals: xlo.Array(dims=1), payment_day_counter = None, payment_convention: qBusinessDayConvention = ql.Following, payment_calendar = None, payment_lag: int = 0, fixing_days: xlo.Array(dims=1) = None, gearings: xlo.Array(dims=1) = None, coupon_spreads: xlo.Array(dims=1) = None, rate_spreads: xlo.Array(dims=1) = None, ex_coupon_period: qPeriod = ql.Period(), ex_coupon_calendar = None, ex_coupon_convention: qBusinessDayConvention = ql.Unadjusted, ex_coupon_end_of_month: bool = False, averaging_method: qRateAveragingType = ql.RateAveraging.Compound, trigger = None)
qlRangeAccrualLeg(nominals: xlo.Array(dims=1), schedule: ql.Schedule, index: ql.IborIndex, payment_day_counter = None, payment_convention: qBusinessDayConvention = ql.Following, fixing_days: xlo.Array(dims=1) = None, gearings: xlo.Array(dims=1) = None, spreads: xlo.Array(dims=1) = None, lower_triggers: xlo.Array(dims=1) = None, upper_triggers: xlo.Array(dims=1) = None, observation_tenor: qPeriod = ql.Period(), observation_convention: qBusinessDayConvention = ql.ModifiedFollowing, trigger = None)
qlCashFlowsStartDate(leg: xlo.Array(dims=1), trigger = None)
qlCashFlowsMaturityDate(leg: xlo.Array(dims=1), trigger = None)
qlCashFlowsPreviousCashFlowDate(leg: xlo.Array(dims=1), include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), trigger = None)
qlCashFlowsNextCashFlowDate(leg: xlo.Array(dims=1), include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), trigger = None)
qlCashFlowsPreviousCashFlowAmount(leg: xlo.Array(dims=1), include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), trigger = None)
qlCashFlowsNextCashFlowAmount(leg: xlo.Array(dims=1), include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), trigger = None)
qlCashFlowsAccrualPeriod(leg: xlo.Array(dims=1), include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), trigger = None)
qlCashFlowsAccrualDays(leg: xlo.Array(dims=1), include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), trigger = None)
qlCashFlowsAccruedPeriod(leg: xlo.Array(dims=1), include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), trigger = None)
qlCashFlowsAccruedDays(leg: xlo.Array(dims=1), include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), trigger = None)
qlCashFlowsAccruedAmount(leg: xlo.Array(dims=1), include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), trigger = None)
qlCashFlowsPreviousCashFlow(leg: xlo.Array(dims=1), include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), trigger = None)
qlCashFlowsNextCashFlow(leg: xlo.Array(dims=1), include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), trigger = None)
qlCashFlowsNpv(leg: xlo.Array(dims=1), discount_curve: ql.YieldTermStructureHandle, include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), npv_date: qDate = ql.Date(), trigger = None)
qlCashFlowsNpvFromInterestRate(leg: xlo.Array(dims=1), interest_rate: ql.InterestRate, include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), npv_date: qDate = ql.Date(), trigger = None)
qlCashFlowsNpvFromRate(leg: xlo.Array(dims=1), _yield: float, day_counter: qDayCounter, compounding: qCompounding, frequency: qFrequency, include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), npv_date: qDate = ql.Date(), trigger = None)
qlCashFlowsNpvFromZSpread(leg: xlo.Array(dims=1), discount_curve: ql.YieldTermStructureHandle, z_spread: float, day_counter: qDayCounter, compounding: qCompounding, frequency: qFrequency, include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), npv_date: qDate = ql.Date(), trigger = None)
qlCashFlowsBps(leg: xlo.Array(dims=1), discount_curve: ql.YieldTermStructureHandle, include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), npv_date: qDate = ql.Date(), trigger = None)
qlCashFlowsBpsFromInterestRate(leg: xlo.Array(dims=1), interest_rate: ql.InterestRate, include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), npv_date: qDate = ql.Date(), trigger = None)
qlCashFlowsBpsFromRate(leg: xlo.Array(dims=1), _yield: float, day_counter: qDayCounter, compounding: qCompounding, frequency: qFrequency, include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), npv_date: qDate = ql.Date(), trigger = None)
qlCashFlowsNpvBps(leg: xlo.Array(dims=1), discount_curve: ql.YieldTermStructureHandle, include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), npv_date: qDate = ql.Date(), trigger = None)
qlCashFlowsAtmRate(leg: xlo.Array(dims=1), discount_curve: ql.YieldTermStructureHandle, include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), npv_date: qDate = ql.Date(), npv: float = ql.nullDouble(), trigger = None)
qlCashFlowsYieldRate(leg: xlo.Array(dims=1), npv: float, day_counter: qDayCounter, compounding: qCompounding, frequency: qFrequency, include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), npv_date: qDate = ql.Date(), accuracy: float = 1.0e-10, max_iterations: int = 10000, guess: float = 0.05, trigger = None)
qlCashFlowsDurationFromInterestRate(leg: xlo.Array(dims=1), interest_rate: ql.InterestRate, duration_type: qDurationType, include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), trigger = None)
qlCashFlowsDurationFromRate(leg: xlo.Array(dims=1), _yield: float, day_counter: qDayCounter, compounding: qCompounding, frequency: qFrequency, duration_type: qDurationType, include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), npv_date: qDate = ql.Date(), trigger = None)
qlCashFlowsConvexityFromRate(leg: xlo.Array(dims=1), _yield: float, day_counter: qDayCounter, compounding: qCompounding, frequency: qFrequency, include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), npv_date: qDate = ql.Date(), trigger = None)
qlCashFlowsConvexityFromInterestRate(leg: xlo.Array(dims=1), interest_rate: ql.InterestRate, include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), npv_date: qDate = ql.Date(), trigger = None)
qlCashFlowsBasisPointValueFromRate(leg: xlo.Array(dims=1), _yield: float, day_counter: qDayCounter, compounding: qCompounding, frequency: qFrequency, include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), npv_date: qDate = ql.Date(), trigger = None)
qlCashFlowsBasisPointValueFromInterestRate(leg: xlo.Array(dims=1), interest_rate: ql.InterestRate, include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), npv_date: qDate = ql.Date(), trigger = None)
qlCashFlowsZSpread(leg: xlo.Array(dims=1), npv: float, discount_curve: ql.YieldTermStructure, day_counter: qDayCounter, compounding: qCompounding, frequency: qFrequency, include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), npv_date: qDate = ql.Date(), accuracy: float = 1.0e-10, max_iterations: int = 100, guess: float = 0.0, trigger = None)
qlDurationTypeName(duration_type: qDurationType, trigger = None)
qlRateAveragingTypeName(averaging_type: qRateAveragingType, trigger = None)
Cliquetoptions¶
qlCliquetOption(payoff: ql.PercentageStrikePayoff, maturity: ql.EuropeanExercise, reset_dates: xlo.Array(dims=1), trigger = None)
qlAnalyticCliquetEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlAnalyticPerformanceEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlMCPerformanceEngine(process: ql.GeneralizedBlackScholesProcess, traits: qMCTraits, brownian_bridge: bool = False, antithetic_variate: bool = False, required_samples: int = ql.nullInt(), required_tolerance: float = ql.nullDouble(), max_samples: int = ql.nullInt(), seed: int = 0, trigger = None)
Convertiblebonds¶
qlConvertibleZeroCouponBond(exercise: ql.Exercise, conversion_ratio: float, issue_date: qDate, settlement_days: int, day_counter: qDayCounter, schedule: ql.Schedule, redemption: float = 100.0, callability: xlo.Array(dims=1) = None, trigger = None)
qlConvertibleFixedCouponBond(exercise: ql.Exercise, conversion_ratio: float, issue_date: qDate, settlement_days: int, coupons: xlo.Array(dims=1), day_counter: qDayCounter, schedule: ql.Schedule, redemption: float, ex_coupon_period: qPeriod, ex_coupon_calendar: qCalendar, ex_coupon_convention: qBusinessDayConvention = ql.Unadjusted, ex_coupon_end_of_month: bool = False, callability: xlo.Array(dims=1) = None, trigger = None)
qlConvertibleFloatingRateBond(exercise: ql.Exercise, conversion_ratio: float, issue_date: qDate, settlement_days: int, index: ql.IborIndex, fixing_days: int, spreads: xlo.Array(dims=1), day_counter: qDayCounter, schedule: ql.Schedule, redemption: float, ex_coupon_period: qPeriod, ex_coupon_calendar: qCalendar, ex_coupon_convention: qBusinessDayConvention = ql.Unadjusted, ex_coupon_end_of_month: bool = False, callability: xlo.Array(dims=1) = None, trigger = None)
qlBinomialConvertibleEngine(process: ql.GeneralizedBlackScholesProcess, engine_type: qBinomialEngineType, steps: int, credit_spread: qQuoteHandle, dividends: xlo.Array(dims=1) = None, trigger = None)
Credit¶
qProtectionSide(s: str)
Creditdefaultswap¶
qCreditDefaultSwapPricingModel(s: str)
qIsdaCdsEngineNumericalFix(s: str)
qIsdaCdsEngineAccrualBias(s: str)
qIsdaCdsEngineForwardsInCouponPeriod(s: str)
qlClaimAmount(claim: ql.Claim, default_date: qDate, notional: float, recovery_rate: float, trigger = None)
qlFaceValueClaim(trigger = None)
qlFaceValueAccrualClaim(bond: ql.Bond, trigger = None)
qlCreditDefaultSwap(protection_side: qProtectionSide, notional: float, spread: float, schedule: ql.Schedule, payment_convention: qBusinessDayConvention, day_counter: qDayCounter, settles_accrual: bool, pays_at_default: bool, protection_start_date: qDate, claim: ql.Claim, last_period_day_counter: qDayCounter, rebates_accrual: bool = True, trade_date: qDate = ql.Date(), trigger = None)
qlCreditDefaultSwap2(protection_side: qProtectionSide, notional: float, upfront: float, spread: float, schedule: ql.Schedule, payment_convention: qBusinessDayConvention, day_counter: qDayCounter, settles_accrual: bool, pays_at_default: bool, protection_start_date: qDate, upfront_date: qDate, claim: ql.Claim, last_period_day_counter: qDayCounter, rebates_accrual: bool = True, trade_date: qDate = ql.Date(), cash_settlement_days: int = 3, trigger = None)
qlCreditdefaultswapSide(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultSwapNotional(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultSwapRunningSpread(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultSwapUpfront(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditdefaultSwapSettlesAccrual(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditdefaultswapPaysAtDefaultTime(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultSwapCoupons(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultSwapProtectionStartDate(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultSwapProtectionEndDate(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultSwapRebatesAccrual(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultswapUpfrontPayment(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultSwapAccrualRebate(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultSwapTradeDate(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultSwapCashSettlementDays(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultSwapFairUpfront(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultSwapFairSpread(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultSwapCouponLegBPS(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultSwapUpfrontBPS(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultSwapCouponLegNPV(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultSwapDefaultLegNPV(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultSwapUpfrontNPV(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultSwapAccrualRebateNPV(cds: ql.CreditDefaultSwap, trigger = None)
qlCreditDefaultSwapImpliedHazardRate(cds: ql.CreditDefaultSwap, target_npv: float, discount_curve: ql.YieldTermStructureHandle, day_counter: qDayCounter, recovery_rate: float = 0.40, accuracy: float = 1e-6, model: qCreditDefaultSwapPricingModel = ql.CreditDefaultSwap.Midpoint, trigger = None)
qlCreditDefaultSwapConventionalSpread(cds: ql.CreditDefaultSwap, conventional_recovery: float, discount_curve: ql.YieldTermStructureHandle, day_counter: qDayCounter, model: qCreditDefaultSwapPricingModel = ql.CreditDefaultSwap.ISDA, trigger = None)
qlMakeCreditDefaultSwap(maturity: str | float, running_spread: float, upfront_rate = None, side = None, nominal = None, coupon_tenor = None, day_counter = None, last_period_day_counter = None, date_generation_rule = None, cash_settlement_days = None, pricing_engine = None, trade_date = None, trigger = None)
qlCdsMaturity(trade_date: qDate, tenor: qPeriod, date_generation_rule: qDateGenerationRule, trigger = None)
qlMidPointCdsEngine(default_curve: ql.DefaultProbabilityTermStructureHandle, recovery_rate: float, discount_curve: ql.YieldTermStructureHandle, trigger = None)
qlIntegralCdsEngine(integration_step: qPeriod, default_curve: ql.DefaultProbabilityTermStructureHandle, recovery_rate: float, discount_curve: ql.YieldTermStructureHandle, include_settlement_date_flows: bool = False, trigger = None)
qlIsdaCdsEngine(default_curve: ql.DefaultProbabilityTermStructureHandle, recovery_rate: float, discount_curve: ql.YieldTermStructureHandle, include_settlement_date_flows: bool = False, numerical_fix: qIsdaCdsEngineNumericalFix = ql.IsdaCdsEngine.Taylor, accrual_bias: qIsdaCdsEngineAccrualBias = ql.IsdaCdsEngine.HalfDayBias, forwards_in_coupon_period: qIsdaCdsEngineForwardsInCouponPeriod = ql.IsdaCdsEngine.Piecewise, trigger = None)
qlCdsOption(cds: ql.CreditDefaultSwap, exercise: ql.Exercise, knocks_out: bool = True, trigger = None)
qlBlackCdsOptionEngine(default_curve: ql.DefaultProbabilityTermStructureHandle, recovery_rate: float, discount_curve: ql.YieldTermStructureHandle, vol: qQuoteHandle, trigger = None)
Currencies¶
qCurrency(code: str)
qlCurrency(name: str, code: str, numerical_code: int, symbol: str, fraction_symbol: str, fractions_per_unit: int, rounding: ql.Rounding, trigger = None)
qlCurrencyName(currency: qCurrency, trigger = None)
qlCurrencyCode(currency: qCurrency, trigger = None)
qlCurrencyNumericalCode(currency: qCurrency, trigger = None)
qlCurrencySymbol(currency: qCurrency, trigger = None)
qlCurrencyFractionSymbol(currency: qCurrency, trigger = None)
qlCurrencyFractionsPerUnit(currency: qCurrency, trigger = None)
qlCurrencyRounding(currency: qCurrency, trigger = None)
qlCurrencyTriangulationCurrency(currency: qCurrency, trigger = None)
Date¶
qDate(serialnumber)
qFrequency(s: str)
qPeriod(s: str)
qTimeUnit(s: str)
qWeekday(s: str)
qlPeriod(n: int, unit: qTimeUnit, trigger = None)
qlPeriodLength(period: qPeriod, trigger = None)
qlPeriodUnits(period: qPeriod, trigger = None)
qlPeriodFrequency(period: qPeriod, trigger = None)
qlPeriodNormalized(period: qPeriod, trigger = None)
qlDate(year: int, month: int, day: int, trigger = None)
qlDateWeekday(date: qDate, trigger = None)
qlDateDayOfMonth(date: qDate, trigger = None)
qlDateDayOfYear(date: qDate, trigger = None)
qlDateMonth(date: qDate, trigger = None)
qlDateYear(date: qDate, trigger = None)
qlDateIsLeap(year: int, trigger = None)
qlDateMinDate(trigger = None)
qlDateMaxDate(trigger = None)
qlDateTodaysDate(trigger = None)
qlDateStartOfMonth(date: qDate, trigger = None)
qlDateEndOfMonth(date: qDate, trigger = None)
qlDateIsStartOfMonth(date: qDate, trigger = None)
qlDateIsEndOfMonth(date: qDate, trigger = None)
qlDateNextWeekday(date: qDate, weekday: qWeekday, trigger = None)
qlDateNthWeekday(n: int, weekday: qWeekday, month: int, year: int, trigger = None)
qlDateParserParseFormatted(date_string: str, format_string: str, trigger = None)
qlDateParserParseISO(date_string: str, trigger = None)
qlPeriodParserParse(period_string: str, trigger = None)
Daycounters¶
qDayCounter(s: str)
qlDayCounter(daycounter_name: str, trigger = None)
qlDayCounterDayCount(daycounter: qDayCounter, start_date: qDate, end_date: qDate, trigger = None)
qlDayCounterYearFraction(daycounter: qDayCounter, start_date: qDate, end_date: qDate, ref_start_date: qDate = ql.Date(), ref_end_date: qDate = ql.Date(), trigger = None)
qlDayCounterName(daycounter: qDayCounter, trigger = None)
qlDayCounterEmpty(daycounter: qDayCounter, trigger = None)
qlDayCounterYearFractionToDate(daycounter: qDayCounter, ref_date: qDate, year_fraction: float, trigger = None)
Defaultprobability¶
qlDefaultProbabilityTermStructureDefaultProbability(ts: ql.DefaultProbabilityTermStructureHandle, date: qDate, extrapolate: bool = False, trigger = None)
qlDefaultProbabilityTermStructureDefaultProbabilityFromTime(ts: ql.DefaultProbabilityTermStructureHandle, time: float, extrapolate: bool = False, trigger = None)
qlDefaultProbabilityTermStructureDefaultProbability2(ts: ql.DefaultProbabilityTermStructureHandle, date_one: qDate, date_two: qDate, extrapolate: bool = False, trigger = None)
qlDefaultProbabilityTermStructureDefaultProbabilityFromTime2(ts: ql.DefaultProbabilityTermStructureHandle, time_one: float, time_two: float, extrapolate: bool = False, trigger = None)
qlDefaultProbabilityTermStructureSurvivalProbability(ts: ql.DefaultProbabilityTermStructureHandle, date: qDate, extrapolate: bool = False, trigger = None)
qlDefaultProbabilityTermStructureSurvivalProbabilityFromTime(ts: ql.DefaultProbabilityTermStructureHandle, time: float, extrapolate: bool = False, trigger = None)
qlDefaultProbabilityTermStructureDefaultDensity(ts: ql.DefaultProbabilityTermStructureHandle, date: qDate, extrapolate: bool = False, trigger = None)
qlDefaultProbabilityTermStructureDefaultDensityFromTime(ts: ql.DefaultProbabilityTermStructureHandle, time: float, extrapolate: bool = False, trigger = None)
qlDefaultProbabilityTermStructureHazardRate(ts: ql.DefaultProbabilityTermStructureHandle, date: qDate, extrapolate: bool = False, trigger = None)
qlDefaultProbabilityTermStructureHazardRateFromTime(ts: ql.DefaultProbabilityTermStructureHandle, time: float, extrapolate: bool = False, trigger = None)
qlFlatHazardRate(reference_date: qDate, hazard_rate: qQuoteHandle, day_counter: qDayCounter, trigger = None)
qlHazardRateCurve(dates: xlo.Array(dims=1), hazard_rates: xlo.Array(dims=1), day_counter: qDayCounter, calendar = None, trigger = None)
qlDefaultDensityCurve(dates: xlo.Array(dims=1), default_densities: xlo.Array(dims=1), day_counter: qDayCounter, calendar = None, trigger = None)
qlSurvivalProbabilityCurve(dates: xlo.Array(dims=1), survival_probabilities: xlo.Array(dims=1), day_counter: qDayCounter, calendar = None, trigger = None)
qlDefaultProbabilityHelperQuote(helper: ql.DefaultProbabilityHelper, trigger = None)
qlDefaultProbabilityHelperLatestDate(helper: ql.DefaultProbabilityHelper, trigger = None)
qlDefaultProbabilityHelperEarliestDate(helper: ql.DefaultProbabilityHelper, trigger = None)
qlDefaultProbabilityHelperMaturity(helper: ql.DefaultProbabilityHelper, trigger = None)
qlDefaultProbabilityHelperLatestRelevantDate(helper: ql.DefaultProbabilityHelper, trigger = None)
qlDefaultProbabilityHelperPillarDate(helper: ql.DefaultProbabilityHelper, trigger = None)
qlDefaultProbabilityHelperImpliedQuote(helper: ql.DefaultProbabilityHelper, trigger = None)
qlDefaultProbabilityHelperQuoteError(helper: ql.DefaultProbabilityHelper, trigger = None)
qlSpreadCdsHelper(spread: qQuoteHandle, tenor: qPeriod, settlement_days: int, calendar: qCalendar, frequency: qFrequency, payment_convention: qBusinessDayConvention, date_generation: qDateGenerationRule, day_counter: qDayCounter, recovery_rate: float, discount_curve: ql.YieldTermStructureHandle, settles_accrual: bool = True, pays_at_default: bool = True, start_date: qDate = ql.Date(), last_period_day_counter = None, rebates_accrual: bool = True, model: qCreditDefaultSwapPricingModel = ql.CreditDefaultSwap.Midpoint, trigger = None)
qlUpfrontCdsHelper(upfront: qQuoteHandle, spread: float, tenor: qPeriod, settlement_days: int, calendar: qCalendar, frequency: qFrequency, payment_convention: qBusinessDayConvention, date_generation: qDateGenerationRule, day_counter: qDayCounter, recovery_rate: float, discount_curve: ql.YieldTermStructureHandle, upfront_settlement_days: int = 0, settles_accrual: bool = True, pays_at_default: bool = True, start_date: qDate = ql.Date(), last_period_day_counter = None, rebates_accrual: bool = True, model: qCreditDefaultSwapPricingModel = ql.CreditDefaultSwap.Midpoint, trigger = None)
qlPiecewiseFlatHazardRateAsDts(reference_date: qDate, helpers: xlo.Array(dims=1), day_counter: qDayCounter, trigger = None)
qlPiecewiseFlatHazardRate(reference_date: qDate, helpers: xlo.Array(dims=1), day_counter: qDayCounter, trigger = None)
qlRiskyBondEngine(default_curve: ql.DefaultProbabilityTermStructureHandle, recovery_rate: float, discount_curve: ql.YieldTermStructureHandle, trigger = None)
Dividends¶
qlFixedDividend(amount: float, date: qDate, trigger = None)
qlFractionalDividend(amount: float, date: qDate, trigger = None)
qlDividendVector(dividend_dates: xlo.Array(dims=1), dividend_amounts: xlo.Array(dims=1), trigger = None)
Exercise¶
qExerciseType(s: str)
qlExerciseType(exercise: ql.Exercise, trigger = None)
qlExerciseDate(exercise: ql.Exercise, idx: int, trigger = None)
qlExerciseDateAt(exercise: ql.Exercise, idx: int, trigger = None)
qlExerciseDates(exercise: ql.Exercise, trigger = None)
qlEuropeanExercise(date: qDate, trigger = None)
qlBermudanExercise(dates: xlo.Array(dims=1), payoff_at_expiry: bool = False, trigger = None)
qlAmericanExercise(first_date: qDate, last_date: qDate, payoff_at_expiry: bool = False, trigger = None)
qlRebatedExercise(exercise: ql.Exercise, rebates: xlo.Array(dims=1), rebate_settlement_days: int, rebate_payment_calendar: qCalendar = ql.NullCalendar(), rebate_payment_convention: qBusinessDayConvention = ql.Following, trigger = None)
qlSwingExercise(dates: xlo.Array(dims=1), trigger = None)
Alias_repository¶
qlAliasSet(alias: str, obj, trigger = None)
qlAliasGet(alias: str, trigger = None)
qlAliasEnvelope(alias: str, trigger = None)
qlAliasDelete(alias: str, trigger = None)
qlAliasGetRepository(trigger = None)
qlAliasClearRepository(trigger = None)
Cashflows_analysis¶
qlCashFlowsAnalysis(leg: xlo.Array(dims=1), columns: xlo.Array(dims=1), discount_curve: ql.YieldTermStructureHandle = None, with_header: bool = True, trigger = None)
Inspect_code¶
qlListDictionaries(with_links: bool = True, with_header: bool = False, trigger = None)
qlListFunctions(with_links: bool = True, with_header: bool = False, trigger = None)
qlListDictionaryEntries(dict_name: str, with_values: bool = True, with_header: bool = False, trigger = None)
Quantlib_xloil_version¶
qlXlOilVersion(trigger = None)
Futures¶
qPerpetualFuturesPayoffType(payoff_type: str | int | float)
qPerpetualFuturesFundingType(funding_type: str)
qDiscountingPerpetualFuturesEngineInterpolationType(interp_type: str)
qlOvernightIndexFuture(overnight_index: ql.OvernightIndex, value_date: qDate, maturity_date: qDate, convexity_adjustment: qQuoteHandle = ql.QuoteHandle(), averaging_method: qRateAveragingType = ql.RateAveraging.Compound, trigger = None)
qlOvernightIndexFutureConvexityAdjustment(overnight_index_future: ql.OvernightIndexFuture, trigger = None)
qlPerpetualFutures(payoff_type: qPerpetualFuturesPayoffType, funding_type: qPerpetualFuturesFundingType = ql.PerpetualFutures.FundingWithCurrentSpot, funding_frequency: qPeriod = ql.Period(8, ql.Hours), calendar: qCalendar = ql.NullCalendar(), day_counter: qDayCounter = ql.ActualActual(ql.ActualActual.ISDA), trigger = None)
qlDiscountingPerpetualFuturesEngine(domestic_discount_curve: ql.YieldTermStructureHandle, foreign_discount_curve: ql.YieldTermStructureHandle, asset_spot: qQuoteHandle, funding_times: xlo.Array(dims=1), funding_rates: xlo.Array(dims=1), interest_rate_diffs: xlo.Array(dims=1), funding_interp_type: qDiscountingPerpetualFuturesEngineInterpolationType = ql.DiscountingPerpetualFuturesEngine.PiecewiseConstant, max_t: float = 60.0, trigger = None)
Fxforward¶
qlFxForward(source_nominal: float, source_currency: qCurrency, target_nominal: float, target_currency: qCurrency, maturity_date: qDate, pay_source_currency: bool, settlement_days: int = 2, payment_calendar = None, trigger = None)
qlFxForward2(source_nominal: float, source_currency: qCurrency, target_currency: qCurrency, forward_rate: float, maturity_date: qDate, pay_source_currency: bool, settlement_days: int = 2, payment_calendar = None, trigger = None)
qlFxForwardSourceNominal(fx_forward: ql.FxForward, trigger = None)
qlFxForwardSourceCurrency(fx_forward: ql.FxForward, trigger = None)
qlFxForwardTargetNominal(fx_forward: ql.FxForward, trigger = None)
qlFxForwardTargetCurrency(fx_forward: ql.FxForward, trigger = None)
qlFxForwardMaturityDate(fx_forward: ql.FxForward, trigger = None)
qlFxForwardPaySourceCurrency(fx_forward: ql.FxForward, trigger = None)
qlFxForwardForwardRate(fx_forward: ql.FxForward, trigger = None)
qlFxForwardSettlementDays(fx_forward: ql.FxForward, trigger = None)
qlFxForwardSettlementCalendar(fx_forward: ql.FxForward, trigger = None)
qlFxForwardSettlementDate(fx_forward: ql.FxForward, trigger = None)
qlFxForwardFairForwardRate(fx_forward: ql.FxForward, trigger = None)
qlFxForwardNpvSourceCurrency(fx_forward: ql.FxForward, trigger = None)
qlFxForwardNpvTargetCurrency(fx_forward: ql.FxForward, trigger = None)
qlDiscountingFxForwardEngine(source_currency_discount_curve: ql.YieldTermStructureHandle, target_currency_discount_curve: ql.YieldTermStructureHandle, spot_fx: float, trigger = None)
Gaussian1dmodel¶
qGaussian1dProbabilities(s: str)
qlGaussian1dModelStateProcess(model: ql.Gaussian1dModel, trigger = None)
qlGaussian1dModelNumeraireFromTime(model: ql.Gaussian1dModel, t: float, y: float = 0.0, yts: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlGaussian1dModelNumeraire(model: ql.Gaussian1dModel, reference_date: qDate, y: float = 0.0, yts: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlGaussian1dModelZerobondFromTime(model: ql.Gaussian1dModel, T: float, t: float = 0.0, y: float = 0.0, yts: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlGaussian1dModelZerobond(model: ql.Gaussian1dModel, maturity: qDate, reference_date: qDate = ql.Date(), y: float = 0.0, yts: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlGaussian1dModelZerobondOption(model: ql.Gaussian1dModel, option_type: str, expiry: qDate, value_date: qDate, maturity: qDate, strike: float, reference_date: qDate = ql.Date(), y: float = 0.0, yts: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), y_std_devs: float = 7.0, y_grid_points: int = 64, extrapolate_payoff: bool = True, flat_payoff_extrapolation: bool = False, trigger = None)
qlGaussian1dModelForwardRate(model: ql.Gaussian1dModel, fixing: qDate, reference_date: qDate = ql.Date(), y: float = 0.0, ibor_index: Optional[ql.IborIndex] = None, trigger = None)
qlGaussian1dModelSwapRate(model: ql.Gaussian1dModel, fixing: qDate, tenor: qPeriod, reference_date: qDate = ql.Date(), y: float = 0.0, swap_index: Optional[ql.SwapIndex] = None, trigger = None)
qlGaussian1dModelSwapAnnuity(model: ql.Gaussian1dModel, fixing: qDate, tenor: qPeriod, reference_date: qDate = ql.Date(), y: float = 0.0, swap_index: Optional[ql.SwapIndex] = None, trigger = None)
qlGsr(term_structure: ql.YieldTermStructureHandle, vol_step_dates: xlo.Array(dims=1), volatilities: xlo.Array(dims=1), reversions: xlo.Array(dims=1), T: float = 60.0, trigger = None)
qlGsrVolatility(model: ql.Gsr, trigger = None)
qlGsrReversion(model: ql.Gsr, trigger = None)
qlGsrCalibrateVolatilitiesIterative(model: ql.Gsr, helpers: xlo.Array(dims=1), optimization_method: ql.OptimizationMethod, end_criteria: ql.EndCriteria, constraint: ql.Constraint = ql.NoConstraint(), weights: xlo.Array(dims=1) = [], trigger = None)
qlMarkovFunctional(term_structure: ql.YieldTermStructureHandle, reversion: float, vol_step_dates: xlo.Array(dims=1), volatilities: xlo.Array(dims=1), swaption_vol: ql.SwaptionVolatilityStructureHandle, swaption_expiries: xlo.Array(dims=1), swaption_tenors: xlo.Array(dims=1), swap_index_base: ql.SwapIndex, trigger = None)
qlMarkovFunctionalFromCaplets(term_structure: ql.YieldTermStructureHandle, reversion: float, vol_step_dates: xlo.Array(dims=1), volatilities: xlo.Array(dims=1), caplet_vol: ql.OptionletVolatilityStructureHandle, caplet_expiries: xlo.Array(dims=1), ibor_index: ql.IborIndex, trigger = None)
qlMarkovFunctionalVolatility(model: ql.MarkovFunctional, trigger = None)
qlGaussian1dSwaptionEngine(model: ql.Gaussian1dModel, integration_points: int = 64, stddevs: float = 7.0, extrapolate_payoff: bool = True, flat_payoff_extrapolation: bool = False, discount_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), probabilities: qGaussian1dProbabilities = ql.Gaussian1dSwaptionEngine.NoProb, trigger = None)
qlGaussian1dNonstandardSwaptionEngine(model: ql.Gaussian1dModel, integration_points: int = 64, stddevs: float = 7.0, extrapolate_payoff: bool = True, flat_payoff_extrapolation: bool = False, oas: ql.QuoteHandle = ql.QuoteHandle(), discount_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), probabilities: qGaussian1dProbabilities = ql.Gaussian1dNonstandardSwaptionEngine.NoProb, trigger = None)
qlGaussian1dFloatFloatSwaptionEngine(model: ql.Gaussian1dModel, integration_points: int = 64, stddevs: float = 7.0, extrapolate_payoff: bool = True, flat_payoff_extrapolation: bool = False, oas: ql.QuoteHandle = ql.QuoteHandle(), discount_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), include_todays_exercise: bool = False, probabilities: qGaussian1dProbabilities = ql.Gaussian1dFloatFloatSwaptionEngine.NoProb, trigger = None)
qlGaussian1dJamshidianSwaptionEngine(model: ql.Gaussian1dModel, trigger = None)
qlGaussian1dCapFloorEngine(model: ql.Gaussian1dModel, integration_points: int = 64, stddevs: float = 7.0, extrapolate_payoff: bool = True, flat_payoff_extrapolation: bool = False, discount_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
Grid¶
qlTimeGrid(end_time: float, steps: int, trigger = None)
qlTimeGridFromTimes(times: xlo.Array(dims=1), trigger = None)
qlTimeGridWithMandatoryTimes(mandatory_times: xlo.Array(dims=1), steps: int, trigger = None)
qlTimeGridTimes(grid: ql.TimeGrid, trigger = None)
Indexes¶
qlIndexManagerHistories(trigger = None)
qlIndexManagerClearHistories(trigger = None)
qlIndexName(index: ql.Index, trigger = None)
qlIndexFixingCalendar(index: ql.Index, trigger = None)
qlIndexIsValidFixingDate(index: ql.Index, date: qDate, trigger = None)
qlIndexHasHistoricalFixing(index: ql.Index, date: qDate, trigger = None)
qlIndexFixing(index: ql.Index, date: qDate, forecast_todays_fixing = False, trigger = None)
qlIndexPastFixing(index: ql.Index, date: qDate, trigger = None)
qlIndexAddFixing(index: ql.Index, date: qDate, value: float, force_overwrite: bool = False, trigger = None)
qlIndexAddFixings(index: ql.Index, dates: xlo.Array(dims=1), values: xlo.Array(dims=1), force_overwrite: bool = False, trigger = None)
qlIndexTimeSeries(index: ql.Index, trigger = None)
qlIndexClearFixings(index: ql.Index, trigger = None)
qlInterestRateIndexFamilyName(index: ql.InterestRateIndex, trigger = None)
qlInterestRateIndexTenor(index: ql.InterestRateIndex, trigger = None)
qlInterestRateIndexFixingDays(index: ql.InterestRateIndex, trigger = None)
qlInterestRateIndexFixingDate(index: ql.InterestRateIndex, value_date: qDate, trigger = None)
qlInterestRateIndexCurrency(index: ql.InterestRateIndex, trigger = None)
qlInterestRateIndexDayCounter(index: ql.InterestRateIndex, trigger = None)
qlInterestRateIndexMaturityDate(index: ql.InterestRateIndex, value_date: qDate, trigger = None)
qlInterestRateIndexValueDate(index: ql.InterestRateIndex, fixing_date: qDate, trigger = None)
qlIborIndex(family_name: str, tenor: qPeriod, settlement_days: int, currency: qCurrency, calendar: qCalendar, convention: qBusinessDayConvention, end_of_month: bool, day_counter: qDayCounter, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlCdor(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlBbsw(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlBkbm(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlEuribor(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlEuribor365(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlJibar(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlMosprime(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlNZDLibor(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlPribor(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlRobor(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlShibor(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlTibor(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlTHBFIX(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlWibor(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlZibor(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlAUDLibor(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlCADLibor(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlCHFLibor(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlDKKLibor(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlEURLibor(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlGBPLibor(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlJPYLibor(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlSEKLibor(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlTRLibor(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlUSDLibor(tenor: qPeriod, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlOvernightIndex(family_name: str, settlement_days: int, currency: qCurrency, calendar: qCalendar, day_counter: qDayCounter, projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlAonia(projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlCdi(projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlCorra(projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlDestr(projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlEonia(projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlEstr(projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlFedFunds(projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlKofr(projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlNzocr(projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlSaron(projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlSofr(projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlSonia(projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlSwestr(projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlTonar(projection_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlSwapIndex(family_name: str, tenor: qPeriod, settlement_days: int, currency: qCurrency, calendar: qCalendar, fixed_leg_tenor: qPeriod, fixed_leg_convention: qBusinessDayConvention, fixed_leg_day_counter: qDayCounter, ibor_index: ql.IborIndex, discount_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlEuriborSwapIsdaFixA(swap_tenor: qPeriod, proj_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), discount_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlEuriborSwapIsdaFixB(swap_tenor: qPeriod, proj_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), discount_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlEuriborSwapIfrFix(swap_tenor: qPeriod, proj_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), discount_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlEurLiborSwapIsdaFixA(swap_tenor: qPeriod, proj_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), discount_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlEurLiborSwapIsdaFixB(swap_tenor: qPeriod, proj_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), discount_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlEurLiborSwapIfrFix(swap_tenor: qPeriod, proj_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), discount_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlChfLiborSwapIsdaFix(swap_tenor: qPeriod, proj_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), discount_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlGbpLiborSwapIsdaFix(swap_tenor: qPeriod, proj_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), discount_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlJpyLiborSwapIsdaFixAm(swap_tenor: qPeriod, proj_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), discount_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlJpyLiborSwapIsdaFixPm(swap_tenor: qPeriod, proj_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), discount_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlUsdLiborSwapIsdaFixAm(swap_tenor: qPeriod, proj_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), discount_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlUsdLiborSwapIsdaFixPm(swap_tenor: qPeriod, proj_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), discount_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlSwapSpreadIndex(family_name: str, swap_index1: ql.SwapIndex, swap_index2: ql.SwapIndex, gearing1: float = 1.0, gearing2: float = -1.0, trigger = None)
qlSwapIndexForecastFixing(swap_index: ql.SwapIndex, fixing_date: qDate)
qlEquityIndex(name: str, fixing_calendar: qCalendar, currency: qCurrency, spot_price: float, disc_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), div_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
Inflation¶
qCPIInterpolationType(interpolation_type: str)
qYoYInflationCapFloorType(capfloor_type: str)
qlSeasonalityCorrectZeroRate(seasonality: ql.Seasonality, date: qDate, r: float, its: ql.InflationTermStructure, trigger = None)
qlSeasonalityCorrectYoYRate(seasonality: ql.Seasonality, date: qDate, r: float, its: ql.InflationTermStructure, trigger = None)
qlSeasonalityIsConsistent(seasonality: ql.Seasonality, its: ql.InflationTermStructure, trigger = None)
qlMultiplicativePriceSeasonality(seasonality_base_date: qDate, frequency: qFrequency, seasonality_factors: xlo.Array(dims=1), trigger = None)
qlMultiplicativePriceSeasonalitySeasonalityBaseDate(seasonality: ql.Seasonality, trigger = None)
qlMultiplicativePriceSeasonalityFrequency(seasonality: ql.Seasonality, trigger = None)
qlMultiplicativePriceSeasonalityFactors(seasonality: ql.MultiplicativePriceSeasonality, trigger = None)
qlMultiplicativePriceSeasonalityFactor(seasonality: ql.MultiplicativePriceSeasonality, date: qDate, trigger = None)
qlKerkhofSeasonality(seasonality_base_date: qDate, seasonality_factors: xlo.Array(dims=1), trigger = None)
qlInflationTermStructureObservationLag(inflation_term_structure: ql.InflationTermStructure, trigger = None)
qlInflationTermStructureFrequency(inflation_term_structure: ql.InflationTermStructure, trigger = None)
qlInflationTermStructureBaseRate(inflation_term_structure: ql.InflationTermStructure, trigger = None)
qlInflationTermStructureBaseDate(inflation_term_structure: ql.InflationTermStructure, trigger = None)
qlInflationTermStructureHasExplicitBaseDate(inflation_term_structure: ql.InflationTermStructure, trigger = None)
qlInflationTermStructureSetSeasonality(inflation_term_structure: ql.InflationTermStructure, seasonality: ql.Seasonality, trigger = None)
qlInflationTermStructureSeasonality(inflation_term_structure: ql.InflationTermStructure, trigger = None)
qlInflationTermStructureHasSeasonality(inflation_term_structure: ql.InflationTermStructure, trigger = None)
qlYoYInflationTermStructureYoYRate(yoy_inflation_term_structure: ql.YoYInflationTermStructureHandle, date: qDate, extrapolate: bool = False, trigger = None)
qlYoYInflationTermStructureYoYRate2(yoy_inflation_term_structure: ql.YoYInflationTermStructureHandle, date: qDate, observation_lag: qPeriod, force_linear_interpolation: bool = False, extrapolate: bool = False, trigger = None)
qlYoYInflationTermStructureYoYRate3(yoy_inflation_term_structure: ql.YoYInflationTermStructureHandle, time: float, extrapolate: bool = False, trigger = None)
qlZeroInflationTermStructureZeroRate(zero_inflation_term_structure: ql.ZeroInflationTermStructureHandle, date: qDate, extrapolate: bool = False, trigger = None)
qlZeroInflationTermStructureZeroRate2(zero_inflation_term_structure: ql.ZeroInflationTermStructureHandle, date: qDate, observation_lag: qPeriod, force_linear_interpolation: bool = False, extrapolate: bool = False, trigger = None)
qlZeroInflationTermStructureZeroRate3(zero_inflation_term_structure: ql.ZeroInflationTermStructureHandle, time: float, extrapolate: bool = False, trigger = None)
qlCustomRegion(name: str, code: str, trigger = None)
qlRegionName(region: ql.Region, trigger = None)
qlRegionCode(region: ql.Region, trigger = None)
qlInflationIndexFamilyName(index: ql.InflationIndex, trigger = None)
qlInflationIndexRegion(index: ql.InflationIndex, trigger = None)
qlInflationIndexRevised(index: ql.InflationIndex, trigger = None)
qlInflationIndexFrequency(index: ql.InflationIndex, trigger = None)
qlInflationIndexAvailabilityLag(index: ql.InflationIndex, trigger = None)
qlInflationIndexCurrency(index: ql.InflationIndex, trigger = None)
qlZeroInflationIndex(family_name: str, region: ql.Region, revised: bool, frequency: qFrequency, availability_lag: qPeriod, currency: qCurrency, zero_inflation_term_structure: ql.ZeroInflationTermStructure = ql.ZeroInflationTermStructureHandle(), trigger = None)
qlZeroInflationIndexLastFixingDate(index: ql.ZeroInflationIndex, trigger = None)
qlZeroInflationIndexZeroInflationTermStructure(index: ql.ZeroInflationIndex, trigger = None)
qlZeroInflationIndexClone(index: ql.ZeroInflationIndex, zero_inflation_term_structure: ql.ZeroInflationTermStructureHandle, trigger = None)
qlZeroInflationIndexNeedsForecast(index: ql.ZeroInflationIndex, fixing_date: qDate, trigger = None)
qlYoYInflationIndex(underlying_index: ql.ZeroInflationIndex, yoy_inflation_term_structure: ql.YoYInflationTermStructureHandle = ql.YoYInflationTermStructureHandle(), interpolated: bool = False, trigger = None)
qlYoYInflationIndex2(family_name: str, region: ql.Region, revised: bool, frequency: qFrequency, availability_lag: qPeriod, currency: qCurrency, yoy_inflation_term_structure: ql.YoYInflationTermStructureHandle = ql.YoYInflationTermStructureHandle(), interpolated: bool = False, trigger = None)
qlYoYInflationIndexLastFixingDate(index: ql.YoYInflationIndex, trigger = None)
qlYoYInflationIndexRatio(index: ql.YoYInflationIndex, trigger = None)
qlYoYInflationIndexInterpolated(index: ql.YoYInflationIndex, trigger = None)
qlYoYInflationIndexUnderlyingIndex(index: ql.YoYInflationIndex, trigger = None)
qlYoYInflationIndexYoYInflationTermStructure(index: ql.YoYInflationIndex, trigger = None)
qlYoYInflationIndexClone(index: ql.YoYInflationIndex, yoy_inflation_term_structure: ql.YoYInflationTermStructureHandle, trigger = None)
qlYoYInflationIndexNeedsForecast(index: ql.YoYInflationIndex, fixing_date: qDate, trigger = None)
qlAUCPI(frequency: qFrequency, revised: bool, zero_inflation_term_structure: ql.ZeroInflationTermStructureHandle = ql.ZeroInflationTermStructureHandle(), trigger = None)
qlEUHICP(zero_inflation_term_structure: ql.ZeroInflationTermStructureHandle = ql.ZeroInflationTermStructureHandle(), trigger = None)
qlEUHICPXT(zero_inflation_term_structure: ql.ZeroInflationTermStructureHandle = ql.ZeroInflationTermStructureHandle(), trigger = None)
qlFRHICP(zero_inflation_term_structure: ql.ZeroInflationTermStructureHandle = ql.ZeroInflationTermStructureHandle(), trigger = None)
qlUKRPI(zero_inflation_term_structure: ql.ZeroInflationTermStructureHandle = ql.ZeroInflationTermStructureHandle(), trigger = None)
qlUKHICP(zero_inflation_term_structure: ql.ZeroInflationTermStructureHandle = ql.ZeroInflationTermStructureHandle(), trigger = None)
qlUSCPI(zero_inflation_term_structure: ql.ZeroInflationTermStructureHandle = ql.ZeroInflationTermStructureHandle(), trigger = None)
qlZACPI(zero_inflation_term_structure: ql.ZeroInflationTermStructureHandle = ql.ZeroInflationTermStructureHandle(), trigger = None)
qlYYEUHICP(yoy_inflation_term_structure: ql.YoYInflationTermStructureHandle = ql.YoYInflationTermStructureHandle(), trigger = None)
qlYYEUHICP2(interpolated: bool, yoy_inflation_term_structure: ql.YoYInflationTermStructureHandle = ql.YoYInflationTermStructureHandle(), trigger = None)
qlYYEUHICPXT(yoy_inflation_term_structure: ql.YoYInflationTermStructureHandle = ql.YoYInflationTermStructureHandle(), trigger = None)
qlYYEUHICPXT2(interpolated: bool, yoy_inflation_term_structure: ql.YoYInflationTermStructureHandle = ql.YoYInflationTermStructureHandle(), trigger = None)
qlYYFRHICP(yoy_inflation_term_structure: ql.YoYInflationTermStructureHandle = ql.YoYInflationTermStructureHandle(), trigger = None)
qlYYFRHICP2(interpolated: bool, yoy_inflation_term_structure: ql.YoYInflationTermStructureHandle = ql.YoYInflationTermStructureHandle(), trigger = None)
qlYYUKRPI(yoy_inflation_term_structure: ql.YoYInflationTermStructureHandle = ql.YoYInflationTermStructureHandle(), trigger = None)
qlYYUKRPI2(interpolated: bool, yoy_inflation_term_structure: ql.YoYInflationTermStructureHandle = ql.YoYInflationTermStructureHandle(), trigger = None)
qlYYUSCPI(yoy_inflation_term_structure: ql.YoYInflationTermStructureHandle = ql.YoYInflationTermStructureHandle(), trigger = None)
qlYYUSCPI2(interpolated: bool, yoy_inflation_term_structure: ql.YoYInflationTermStructureHandle = ql.YoYInflationTermStructureHandle(), trigger = None)
qlYYZACPI(yoy_inflation_term_structure: ql.YoYInflationTermStructureHandle = ql.YoYInflationTermStructureHandle(), trigger = None)
qlYYZACPI2(interpolated: bool, yoy_inflation_term_structure: ql.YoYInflationTermStructureHandle = ql.YoYInflationTermStructureHandle(), trigger = None)
qlCPILaggedFixing(index: ql.ZeroInflationIndex, date: qDate, observation_lag: qPeriod, interpolation_type: qCPIInterpolationType, trigger = None)
qlCPILaggedYoYRate(index: ql.YoYInflationIndex, date: qDate, observation_lag: qPeriod, interpolation_type: qCPIInterpolationType, trigger = None)
qlInflationCouponFixingDate(inflation_coupon: ql.InflationCoupon, trigger = None)
qlInflationCouponFixingDays(inflation_coupon: ql.InflationCoupon, trigger = None)
qlInflationCouponObservationLag(inflation_coupon: ql.InflationCoupon, trigger = None)
qlInflationCouponIndexFixing(inflation_coupon: ql.InflationCoupon, trigger = None)
qlInflationCouponIndex(inflation_coupon: ql.InflationCoupon, trigger = None)
qlCPICouponPricer(trigger = None)
qlCPICoupon(base_cpi: float, payment_date: qDate, nominal: float, start_date: qDate, end_date: qDate, index: ql.ZeroInflationIndex, observation_lag: qPeriod, observation_interpolation: qCPIInterpolationType, day_counter: qDayCounter, fixed_rate: float, ref_period_start: qDate = ql.Date(), ref_period_end: qDate = ql.Date(), ex_coupon_date: qDate = ql.Date(), trigger = None)
qlCPICoupon2(base_date: qDate, payment_date: qDate, nominal: float, start_date: qDate, end_date: qDate, index: ql.ZeroInflationIndex, observation_lag: qPeriod, observation_interpolation: qCPIInterpolationType, day_counter: qDayCounter, fixed_rate: float, ref_period_start: qDate = ql.Date(), ref_period_end: qDate = ql.Date(), ex_coupon_date: qDate = ql.Date(), trigger = None)
qlCPICoupon3(base_cpi: float, base_date: qDate, payment_date: qDate, nominal: float, start_date: qDate, end_date: qDate, index: ql.ZeroInflationIndex, observation_lag: qPeriod, observation_interpolation: qCPIInterpolationType, day_counter: qDayCounter, fixed_rate: float, ref_period_start: qDate = ql.Date(), ref_period_end: qDate = ql.Date(), ex_coupon_date: qDate = ql.Date(), trigger = None)
qlCPICouponFixedRate(cpi_coupon: ql.CPICoupon, trigger = None)
qlCPICouponAdjustedIndexGrowth(cpi_coupon: ql.CPICoupon, trigger = None)
qlCPICouponIndexFixing(cpi_coupon: ql.CPICoupon, trigger = None)
qlCPICouponIndexRatio(cpi_coupon: ql.CPICoupon, date: qDate, trigger = None)
qlCPICouponBaseCPI(cpi_coupon: ql.CPICoupon, trigger = None)
qlCPICouponBaseDate(cpi_coupon: ql.CPICoupon, trigger = None)
qlCPICouponObservationInterpolation(cpi_coupon: ql.CPICoupon, trigger = None)
qlCPICouponCPIIndex(cpi_coupon: ql.CPICoupon, trigger = None)
qlCPICouponSetPricer(coupon: ql.CPICoupon, pricer: ql.CPICouponPricer, trigger = None)
qlCPICashFlow(notional: float, index: ql.ZeroInflationIndex, base_date: qDate, base_fixing: float, observation_date: qDate, observation_lag: qPeriod, interpolation: qCPIInterpolationType, payment_date: qDate, growth_only: bool = False, trigger = None)
qlCPICashFlowInterpolation(cpi_cash_flow: ql.CPICashFlow, trigger = None)
qlCPICashFlowFrequency(cpi_cash_flow: ql.CPICashFlow, trigger = None)
qlCPILeg(nominals: xlo.Array(dims=1), schedule: ql.Schedule, index: ql.ZeroInflationIndex, base_cpi: float, observation_lag: qPeriod, payment_day_counter = None, payment_convention: qBusinessDayConvention = ql.Following, fixed_rates: xlo.Array(dims=1) = [ql.nullDouble()], caps: xlo.Array(dims=1) = None, floors: xlo.Array(dims=1) = None, ex_coupon_period = None, ex_coupon_calendar = None, ex_coupon_convention: qBusinessDayConvention = ql.Unadjusted, ex_coupon_end_of_month: bool = False, payment_calendar = None, growth_only: bool = True, observation_interpolation: qCPIInterpolationType = ql.CPI.AsIndex, trigger = None)
qlZeroInflationCashFlow(notional: float, index: ql.ZeroInflationIndex, observation_interpolation: qCPIInterpolationType, start_date: qDate, end_date: qDate, observation_lag: qPeriod, payment_date: qDate, growth_only: bool = False, trigger = None)
qlZeroInflationCashFlowNotional(zero_inflation_cash_flow: ql.ZeroInflationCashFlow, trigger = None)
qlZeroInflationCashFlowBaseDate(zero_inflation_cash_flow: ql.ZeroInflationCashFlow, trigger = None)
qlZeroInflationCashFlowFixingDate(zero_inflation_cash_flow: ql.ZeroInflationCashFlow, trigger = None)
qlZeroInflationCashFlowGrowthOnly(zero_inflation_cash_flow: ql.ZeroInflationCashFlow, trigger = None)
qlZeroInflationCashFlowObservationInterpolation(zero_inflation_cash_flow: ql.ZeroInflationCashFlow, trigger = None)
qlZeroInflationCashFlowZeroInflationIndex(zero_inflation_cash_flow: ql.ZeroInflationCashFlow, trigger = None)
qlBootstrapHelperQuote(bootstrap_helper, trigger = None)
qlBootstrapHelperLatestDate(bootstrap_helper, trigger = None)
qlBootstrapHelperEarliestDate(bootstrap_helper, trigger = None)
qlBootstrapHelperMaturityDate(bootstrap_helper, trigger = None)
qlBootstrapHelperLatestRelevantDate(bootstrap_helper, trigger = None)
qlBootstrapHelperPillarDate(bootstrap_helper, trigger = None)
qlBootstrapHelperImpliedQuote(bootstrap_helper, trigger = None)
qlBootstrapHelperQuoteError(bootstrap_helper, trigger = None)
qlZeroCouponInflationSwapHelper(quote: qQuoteHandle, lag: qPeriod, maturity: qDate, calendar: qCalendar, bdc: qBusinessDayConvention, day_counter: qDayCounter, index: ql.ZeroInflationIndex, observation_interpolation: qCPIInterpolationType, nominal_its: ql.YieldTermStructureHandle = None, trigger = None)
qlZeroCouponInflationSwapHelperSwap(helper: ql.ZeroCouponInflationSwapHelper, trigger = None)
qlYearOnYearInflationSwapHelper(quote: qQuoteHandle, lag: qPeriod, maturity: qDate, calendar: qCalendar, bdc: qBusinessDayConvention, day_counter: qDayCounter, index: ql.YoYInflationIndex, interpolation: qCPIInterpolationType, nominal_term_structure: ql.YieldTermStructureHandle, pillar: qPillarChoice = ql.Pillar.LastRelevantDate, custom_pillar_date: qDate = ql.Date(), trigger = None)
qlYearOnYearInflationSwapHelperSwap(helper: ql.YearOnYearInflationSwapHelper, trigger = None)
qlPiecewiseZeroInflation(reference_date: qDate, base_date: qDate, frequency: qFrequency, day_counter: qDayCounter, instruments: xlo.Array(dims=1), seasonality: ql.Seasonality = None, accuracy: float = 1.0e-12, trigger = None)
qlPiecewiseZeroInflationAsIts(reference_date: qDate, base_date: qDate, frequency: qFrequency, day_counter: qDayCounter, instruments: xlo.Array(dims=1), seasonality: ql.Seasonality = None, accuracy: float = 1.0e-12, trigger = None)
qlPiecewiseZeroInflationCurveDates(curve, trigger = None)
qlPiecewiseZeroInflationCurveTimes(curve, trigger = None)
qlPiecewiseZeroInflationCurveData(curve: ql.ZeroInflationTermStructure, trigger = None)
qlPiecewiseZeroInflationCurveNodes(curve, trigger = None)
qlPiecewiseYoYInflation(reference_date: qDate, base_date: qDate, base_yoy_rate: float, frequency: qFrequency, day_counter: qDayCounter, instruments: xlo.Array(dims=1), seasonality: ql.Seasonality = None, accuracy: float = 1.0e-12, trigger = None)
qlPiecewiseYoYInflationAsIts(reference_date: qDate, base_date: qDate, base_yoy_rate: float, frequency: qFrequency, day_counter: qDayCounter, instruments: xlo.Array(dims=1), seasonality: ql.Seasonality = None, accuracy: float = 1.0e-12, trigger = None)
qlPiecewiseYoYInflationCurveDates(curve, trigger = None)
qlPiecewiseYoYInflationCurveTimes(curve, trigger = None)
qlPiecewiseYoYInflationCurveData(curve, trigger = None)
qlPiecewiseYoYInflationCurveNodes(curve, trigger = None)
qlInflationPeriod(date: qDate, frequency: qFrequency, trigger = None)
qlInflationYearFraction(frequency: qFrequency, index_is_interpolated: bool, day_count: qDayCounter, date1: qDate, date2: qDate, trigger = None)
qlInflationBaseDate(reference_date: qDate, observation_lag: qPeriod, frequency: qFrequency, index_is_interpolated: bool, trigger = None)
qlYoYInflationCouponSetPricer(coupon_or_leg, pricer: ql.YoYInflationCouponPricer, trigger = None)
qlYoYInflationCoupon(payment_date: qDate, nominal: float, start_date: qDate, end_date: qDate, fixing_days: int, index: ql.YoYInflationIndex, observation_lag: qPeriod, interpolation: qCPIInterpolationType, day_counter: qDayCounter, gearing: float = 1.0, spread: float = 0.0, ref_period_start: qDate = ql.Date(), ref_period_end: qDate = ql.Date(), trigger = None)
qlYoYInflationCouponGearing(yoy_inflation_coupon: ql.YoYInflationCoupon, trigger = None)
qlYoYInflationCouponSpread(yoy_inflation_coupon: ql.YoYInflationCoupon, trigger = None)
qlYoYInflationCouponAdjustedFixing(yoy_inflation_coupon: ql.YoYInflationCoupon, trigger = None)
qlYoYInflationCouponYoYIndex(yoy_inflation_coupon: ql.YoYInflationCoupon, trigger = None)
qlYoYInflationCouponInterpolation(yoy_inflation_coupon: ql.YoYInflationCoupon, trigger = None)
qlCappedFlooredYoYInflationCoupon(payment_date: qDate, nominal: float, start_date: qDate, end_date: qDate, fixing_days: int, index: ql.YoYInflationIndex, observation_lag: qPeriod, interpolation: qCPIInterpolationType, day_counter: qDayCounter, gearing: float = 1.0, spread: float = 0.0, cap: float = ql.nullDouble(), floor: float = ql.nullDouble(), ref_period_start: qDate = ql.Date(), ref_period_end: qDate = ql.Date(), trigger = None)
qlCappedFlooredYoYInflationCouponRate(coupon: ql.CappedFlooredYoYInflationCoupon, trigger = None)
qlCappedFlooredYoYInflationCouponCap(coupon: ql.CappedFlooredYoYInflationCoupon, trigger = None)
qlCappedFlooredYoYInflationCouponFloor(coupon: ql.CappedFlooredYoYInflationCoupon, trigger = None)
qlCappedFlooredYoYInflationCouponEffectiveCap(coupon: ql.CappedFlooredYoYInflationCoupon, trigger = None)
qlCappedFlooredYoYInflationCouponEffectiveFloor(coupon: ql.CappedFlooredYoYInflationCoupon, trigger = None)
qlCappedFlooredYoYInflationCouponUnderlyingRate(coupon: ql.CappedFlooredYoYInflationCoupon, trigger = None)
qlCappedFlooredYoYInflationCouponIsCapped(coupon: ql.CappedFlooredYoYInflationCoupon, trigger = None)
qlCappedFlooredYoYInflationCouponIsFloored(coupon: ql.CappedFlooredYoYInflationCoupon, trigger = None)
qlYoYInflationLeg(schedule: ql.Schedule, calendar: qCalendar, index: ql.YoYInflationIndex, observation_lag: qPeriod, interpolation: qCPIInterpolationType, notionals: xlo.Array(dims=1), payment_day_counter: qDayCounter, payment_convention: qBusinessDayConvention = ql.Following, fixing_days: int = 0, gearings: xlo.Array(dims=1) = None, spreads: xlo.Array(dims=1) = None, caps: xlo.Array(dims=1) = None, floors: xlo.Array(dims=1) = None, trigger = None)
qlBlackYoYInflationCouponPricer(caplet_vol: ql.YoYOptionletVolatilitySurfaceHandle, nominal_term_structure: ql.YieldTermStructureHandle, trigger = None)
qlUnitDisplacedBlackYoYInflationCouponPricer(caplet_vol: ql.YoYOptionletVolatilitySurfaceHandle, nominal_term_structure: ql.YieldTermStructureHandle, trigger = None)
qlBachelierYoYInflationCouponPricer(caplet_vol: ql.YoYOptionletVolatilitySurfaceHandle, nominal_term_structure: ql.YieldTermStructureHandle, trigger = None)
qlZeroCouponInflationSwap(swap_type: qSwapType, nominal: float, start: qDate, maturity: qDate, calendar: qCalendar, convention: qBusinessDayConvention, day_counter: qDayCounter, fixed_rate: float, index: ql.ZeroInflationIndex, lag: qPeriod, observation_interpolation: qCPIInterpolationType, adjust_inf_obs_dates: bool = False, inf_calendar = None, inf_convention = None, trigger = None)
qlZeroCouponInflationSwapFairRate(swap: ql.ZeroCouponInflationSwap, trigger = None)
qlZeroCouponInflationSwapFixedLegNPV(swap: ql.ZeroCouponInflationSwap, trigger = None)
qlZeroCouponInflationSwapFixedLegBPS(swap: ql.ZeroCouponInflationSwap, trigger = None)
qlZeroCouponInflationSwapInflationLegNPV(swap: ql.ZeroCouponInflationSwap, trigger = None)
qlZeroCouponInflationSwapFixedLeg(swap: ql.ZeroCouponInflationSwap, trigger = None)
qlZeroCouponInflationSwapInflationLeg(swap: ql.ZeroCouponInflationSwap, trigger = None)
qlZeroCouponInflationSwapType(swap: ql.ZeroCouponInflationSwap, trigger = None)
qlYearOnYearInflationSwap(swap_type: qSwapType, nominal: float, fixed_schedule: ql.Schedule, fixed_rate: float, fixed_day_counter: qDayCounter, yoy_schedule: ql.Schedule, index: ql.YoYInflationIndex, lag: qPeriod, interpolation: qCPIInterpolationType, spread: float, yoy_day_counter: qDayCounter, payment_calendar: qCalendar, payment_convention: qBusinessDayConvention = ql.Following, trigger = None)
qlYearOnYearInflationSwapFairRate(swap: ql.YearOnYearInflationSwap, trigger = None)
qlYearOnYearInflationSwapFixedLegNPV(swap: ql.YearOnYearInflationSwap, trigger = None)
qlYearOnYearInflationSwapYoYLegNPV(swap: ql.YearOnYearInflationSwap, trigger = None)
qlYearOnYearInflationSwapFairSpread(swap: ql.YearOnYearInflationSwap, trigger = None)
qlYearOnYearInflationSwapFixedLeg(swap: ql.YearOnYearInflationSwap, trigger = None)
qlYearOnYearInflationSwapYoYLeg(swap: ql.YearOnYearInflationSwap, trigger = None)
qlCPISwap(swap_type: qSwapType, nominal: float, subtract_inflation_nominal: bool, spread: float, float_day_count: qDayCounter, float_schedule: ql.Schedule, float_roll: qBusinessDayConvention, fixing_days: int, float_index: ql.IborIndex, fixed_rate: float, base_cpi: float, fixed_day_count: qDayCounter, fixed_schedule: ql.Schedule, fixed_roll: qBusinessDayConvention, observation_lag: qPeriod, fixed_index: ql.ZeroInflationIndex, observation_interpolation: qCPIInterpolationType = ql.CPI.AsIndex, inflation_nominal: float = ql.nullDouble(), trigger = None)
qlCPISwapFairRate(swap: ql.CPISwap, trigger = None)
qlCPISwapFloatLegNPV(swap: ql.CPISwap, trigger = None)
qlCPISwapFairSpread(swap: ql.CPISwap, trigger = None)
qlCPISwapFixedLegNPV(swap: ql.CPISwap, trigger = None)
qlCPISwapCPILeg(swap: ql.CPISwap, trigger = None)
qlCPISwapFloatLeg(swap: ql.CPISwap, trigger = None)
qlYoYInflationCapFloor(capfloor_type: qYoYInflationCapFloorType, yoy_leg: ql.Leg, strikes: xlo.Array(dims=1), trigger = None)
qlYoYInflationCapFloorImpliedVolatility(capfloor: ql.YoYInflationCapFloor, price: float, curve: ql.YoYInflationTermStructureHandle, guess: float, accuracy: float = 1.0e-4, max_evaluations: int = 100, min_vol: float = 1.0e-7, max_vol: float = 4.0, trigger = None)
qlYoYInflationCapFloorOptionletPrices(capfloor: ql.YoYInflationCapFloor, trigger = None)
qlYoYInflationCap(leg: xlo.Array(dims=1), cap_rates: xlo.Array(dims=1), trigger = None)
qlYoYInflationFloor(leg: xlo.Array(dims=1), floor_rates: xlo.Array(dims=1), trigger = None)
qlYoYInflationCollar(leg: xlo.Array(dims=1), cap_rates: xlo.Array(dims=1), floor_rates: xlo.Array(dims=1), trigger = None)
qlZeroInflationCurve(reference_date: qDate, dates: xlo.Array(dims=1), rates: xlo.Array(dims=1), frequency: qFrequency, day_counter: qDayCounter, seasonality: ql.Seasonality = None, trigger = None)
qlZeroInflationCurveAsIts(reference_date: qDate, dates: xlo.Array(dims=1), rates: xlo.Array(dims=1), frequency: qFrequency, day_counter: qDayCounter, seasonality: ql.Seasonality = None, trigger = None)
qlZeroInflationCurveDates(curve: ql.ZeroInflationTermStructure, trigger = None)
qlZeroInflationCurveTimes(curve: ql.ZeroInflationTermStructure, trigger = None)
qlZeroInflationCurveData(curve: ql.ZeroInflationTermStructure, trigger = None)
qlZeroInflationCurveRates(curve: ql.ZeroInflationTermStructure, trigger = None)
qlZeroInflationCurveNodes(curve: ql.ZeroInflationTermStructure, trigger = None)
qlZeroInflationTermStructureHandle(curve: ql.ZeroInflationTermStructure, trigger = None)
qlYoYInflationTermStructureHandle(curve: ql.YoYInflationTermStructure, trigger = None)
qlYoYInflationCurve(reference_date: qDate, dates: xlo.Array(dims=1), rates: xlo.Array(dims=1), frequency: qFrequency, day_counter: qDayCounter, seasonality: ql.Seasonality = None, trigger = None)
qlYoYInflationCurveAsIts(reference_date: qDate, dates: xlo.Array(dims=1), rates: xlo.Array(dims=1), frequency: qFrequency, day_counter: qDayCounter, seasonality: ql.Seasonality = None, trigger = None)
qlYoYInflationCurveDates(curve: ql.YoYInflationTermStructure, trigger = None)
qlYoYInflationCurveTimes(curve: ql.YoYInflationTermStructure, trigger = None)
qlYoYInflationCurveRates(curve: ql.YoYInflationTermStructure, trigger = None)
qlYoYInflationCurveData(curve: ql.YoYInflationTermStructure, trigger = None)
qlYoYInflationCurveNodes(curve: ql.YoYInflationTermStructure, trigger = None)
qlYoYCapFloorTermPriceSurfaceAtmYoYSwapTimeRates(surface: ql.YoYCapFloorTermPriceSurface, trigger = None)
qlYoYCapFloorTermPriceSurfaceAtmYoYSwapDateRates(surface: ql.YoYCapFloorTermPriceSurface, trigger = None)
qlYoYCapFloorTermPriceSurfaceYoYTS(surface: ql.YoYCapFloorTermPriceSurface, trigger = None)
qlYoYCapFloorTermPriceSurfaceYoYIndex(surface: ql.YoYCapFloorTermPriceSurface, trigger = None)
qlYoYCapFloorTermPriceSurfaceBusinessDayConvention(surface: ql.YoYCapFloorTermPriceSurface, trigger = None)
qlYoYCapFloorTermPriceSurfaceObservationLag(surface: ql.YoYCapFloorTermPriceSurface, trigger = None)
qlYoYCapFloorTermPriceSurfaceFrequency(surface: ql.YoYCapFloorTermPriceSurface, trigger = None)
qlYoYCapFloorTermPriceSurfaceFixingDays(surface: ql.YoYCapFloorTermPriceSurface, trigger = None)
qlYoYCapFloorTermPriceSurfaceCapPrice(surface: ql.YoYCapFloorTermPriceSurface, date: qDate, strike: float, trigger = None)
qlYoYCapFloorTermPriceSurfaceCapPrice2(surface: ql.YoYCapFloorTermPriceSurface, period: qPeriod, strike: float, trigger = None)
qlYoYCapFloorTermPriceSurfaceFloorPrice(surface: ql.YoYCapFloorTermPriceSurface, date: qDate, strike: float, trigger = None)
qlYoYCapFloorTermPriceSurfaceFloorPrice2(surface: ql.YoYCapFloorTermPriceSurface, period: qPeriod, strike: float, trigger = None)
qlYoYCapFloorTermPriceSurfacePrice(surface: ql.YoYCapFloorTermPriceSurface, date: qDate, strike: float, trigger = None)
qlYoYCapFloorTermPriceSurfacePrice2(surface: ql.YoYCapFloorTermPriceSurface, period: qPeriod, strike: float, trigger = None)
qlYoYCapFloorTermPriceSurfaceAtmYoYSwapRate(surface: ql.YoYCapFloorTermPriceSurface, date: qDate, extrapolate: bool = True, trigger = None)
qlYoYCapFloorTermPriceSurfaceAtmYoYSwapRate2(surface: ql.YoYCapFloorTermPriceSurface, period: qPeriod, extrapolate: bool = True, trigger = None)
qlYoYCapFloorTermPriceSurfaceAtmYoYRate(surface: ql.YoYCapFloorTermPriceSurface, date: qDate, observation_lag: qPeriod = ql.Period(-1, ql.Days), extrapolate: bool = True, trigger = None)
qlYoYCapFloorTermPriceSurfaceAtmYoYRate2(surface: ql.YoYCapFloorTermPriceSurface, period: qPeriod, observation_lag: qPeriod = ql.Period(-1, ql.Days), extrapolate: bool = True, trigger = None)
qlYoYCapFloorTermPriceSurfaceBaseDate(surface: ql.YoYCapFloorTermPriceSurface, trigger = None)
qlYoYCapFloorTermPriceSurfaceStrikes(surface: ql.YoYCapFloorTermPriceSurface, trigger = None)
qlYoYCapFloorTermPriceSurfaceCapStrikes(surface: ql.YoYCapFloorTermPriceSurface, trigger = None)
qlYoYCapFloorTermPriceSurfaceFloorStrikes(surface: ql.YoYCapFloorTermPriceSurface, trigger = None)
qlYoYCapFloorTermPriceSurfaceMaturities(surface: ql.YoYCapFloorTermPriceSurface, trigger = None)
qlYoYCapFloorTermPriceSurfaceMinStrike(surface: ql.YoYCapFloorTermPriceSurface, trigger = None)
qlYoYCapFloorTermPriceSurfaceMaxStrike(surface: ql.YoYCapFloorTermPriceSurface, trigger = None)
qlYoYCapFloorTermPriceSurfaceMinMaturity(surface: ql.YoYCapFloorTermPriceSurface, trigger = None)
qlYoYCapFloorTermPriceSurfaceMaxMaturity(surface: ql.YoYCapFloorTermPriceSurface, trigger = None)
qlYoYCapFloorTermPriceSurfaceYoyOptionDateFromTenor(surface: ql.YoYCapFloorTermPriceSurface, period: qPeriod, trigger = None)
qlYoYInflationCapFloorTermPriceSurface(fixing_days: int, yoy_lag: qPeriod, yoy_index: ql.YoYInflationIndex, interpolation: qCPIInterpolationType, nominal_term_structure: ql.YieldTermStructureHandle, day_counter: qDayCounter, calendar: qCalendar, business_day_convention: qBusinessDayConvention, cap_strikes: xlo.Array(dims=1), floor_strikes: xlo.Array(dims=1), maturities: xlo.Array(dims=1), cap_prices: xlo.Array(dims=2), floor_prices: xlo.Array(dims=2), trigger = None)
qlYoYInflationBlackCapFloorEngine(index: ql.YoYInflationIndex, vol: ql.YoYOptionletVolatilitySurfaceHandle, nominal_term_structure: ql.YieldTermStructureHandle, trigger = None)
qlYoYInflationUnitDisplacedBlackCapFloorEngine(index: ql.YoYInflationIndex, vol: ql.YoYOptionletVolatilitySurfaceHandle, nominal_term_structure: ql.YieldTermStructureHandle, trigger = None)
qlYoYInflationBachelierCapFloorEngine(index: ql.YoYInflationIndex, vol: ql.YoYOptionletVolatilitySurfaceHandle, nominal_term_structure: ql.YieldTermStructureHandle, trigger = None)
qlYoYOptionletHelper(price: qQuoteHandle, notional: float, cap_floor_type: qYoYInflationCapFloorType, lag: qPeriod, yoy_day_counter: qDayCounter, payment_calendar: qCalendar, fixing_days: int, index: ql.YoYInflationIndex, interpolation: qCPIInterpolationType, strike: float, n: int, pricer: ql.PricingEngine, trigger = None)
qlInterpolatedYoYInflationOptionletStripper(trigger = None)
qlYoYOptionletStripperInitialize(stripper: ql.YoYOptionletStripper, surf: ql.YoYCapFloorTermPriceSurface, pricer: ql.PricingEngine, slope: float, trigger = None)
qlYoYOptionletStripperMaxStrike(stripper: ql.YoYOptionletStripper, trigger = None)
qlYoYOptionletStripperStrikes(stripper: ql.YoYOptionletStripper, trigger = None)
qlYoYOptionletStripperSlice(stripper: ql.YoYOptionletStripper, date: qDate, trigger = None)
qlInterpolatedYoYInflationOptionletVolatilityCurve(settlement_days: int, calendar: qCalendar, bdc: qBusinessDayConvention, day_counter: qDayCounter, lag: qPeriod, frequency: qFrequency, index_is_interpolated: bool, dates: xlo.Array(dims=1), volatilities: xlo.Array(dims=1), min_strike: float, max_strike: float, trigger = None)
qlKInterpolatedYoYInflationOptionletVolatilitySurface(settlement_days: int, calendar: qCalendar, bdc: qBusinessDayConvention, day_counter: qDayCounter, lag: qPeriod, cap_floor_prices: ql.YoYCapFloorTermPriceSurface, pricer: ql.PricingEngine, yoy_optionlet_stripper: ql.YoYOptionletStripper, slope: float, trigger = None)
qlKInterpolatedYoYOptionletVolatilitySurfaceDslice(surface: ql.YoYOptionletVolatilitySurface, date: qDate, trigger = None)
Instruments¶
qlInstrumentNPV(instrument: ql.Instrument, trigger = None)
qlInstrumentErrorEstimate(instrument: ql.Instrument, trigger = None)
qlInstrumentIsExpired(instrument: ql.Instrument, trigger = None)
qlInstrumentSetPricingEngine(instrument: ql.Instrument, engine: ql.PricingEngine, trigger = None)
qlStock(quote: qQuoteHandle, trigger = None)
qlCompositeInstrument(instruments: xlo.Array(dims=1), multipliers: xlo.Array(dims=1) = None, trigger = None)
Interpolatedyieldcurves¶
qlInterpolatedYieldCurve(dates: xlo.Array(dims=1), values: xlo.Array(dims=1), daycounter: qDayCounter, calendar: qCalendar, traits: str, interpolator: str, mixed_interpolation_behavior: str = None, mixed_interpolation_n: int = None, trigger = None)
qlDiscountCurve(dates: xlo.Array(dims=1), discounts: xlo.Array(dims=1), daycounter: qDayCounter, calendar = None, trigger = None)
qlForwardCurve(dates: xlo.Array(dims=1), forwards: xlo.Array(dims=1), daycounter: qDayCounter, calendar = None, trigger = None)
qlZeroCurve(dates: xlo.Array(dims=1), zerorates: xlo.Array(dims=1), daycounter: qDayCounter = ql.Actual365Fixed(), calendar = None, trigger = None)
Localvolatilities¶
qFixedLocalVolSurfaceExtrapolation(s: str)
qlLocalConstantVol(reference_date: qDate, volatility: float, day_counter: qDayCounter, trigger = None)
qlLocalVolSurface(black_vol_tsh: ql.BlackVolTermStructureHandle, risk_free_ytsh: ql.YieldTermStructureHandle, dividend_ytsh: ql.YieldTermStructureHandle, underlying: qQuoteHandle, trigger = None)
qlNoExceptLocalVolSurface(black_vol_tsh: ql.BlackVolTermStructureHandle, risk_free_ytsh: ql.YieldTermStructureHandle, dividend_ytsh: ql.YieldTermStructureHandle, underlying: qQuoteHandle, illegal_local_vol_overwrite: float, trigger = None)
qlFixedLocalVolSurface(reference_date: qDate, dates: xlo.Array(dims=1), strikes: xlo.Array(dims=1), local_vol_matrix: xlo.Array(dims=2), day_counter: qDayCounter, interpolation_str: str = “LINEAR”, lowerExtrapolation: qFixedLocalVolSurfaceExtrapolation = ql.FixedLocalVolSurface.ConstantExtrapolation, upperExtrapolation: qFixedLocalVolSurfaceExtrapolation = ql.FixedLocalVolSurface.ConstantExtrapolation, trigger = None)
Optimizers¶
qEndCriteriaType(s: str)
qlNoConstraint(trigger = None)
qlPositiveConstraint(trigger = None)
qlBoundaryConstraint(lower: float, upper: float, trigger = None)
qlCompositeConstraint(constraint_1: ql.Constraint, constraint_2: ql.Constraint, trigger = None)
qlNonhomogeneousBoundaryConstraint(lower: xlo.Array(dims=1), upper: xlo.Array(dims=1), trigger = None)
qlEndCriteria(max_iterations: int, max_stationary_state_iterations: int, root_epsilon: float, function_epsilon: float, gradient_norm_epsilon: float, trigger = None)
qlEndCriteriaSucceded(end_criteria: ql.EndCriteria, ec_type: qEndCriteriaType, trigger = None)
qlLevenbergMarquardt(epsfcn: float = 1.0e-8, xtol: float = 1.0e-8, gtol: float = 1.0e-8, use_cost_functions_jacobian: bool = False, trigger = None)
Options¶
qCashDividendModel(s: str)
qBinomialEngineType(s: str)
qMCTraits(s: str)
qLsmBasisSystemPolynomialType(s: str)
qAnalyticHestonComplexLogFormula(s: str)
qAnalyticPTDHestonComplexLogFormula(s: str)
qAnalyticHestonEngineIntegration(name: str)
qFdmSchemeType(s: str)
qFdmSchemeDesc(s: str)
qFdBlackScholesCashDividendModel(s: str)
qQdPlusSolverType(s: str)
qQdFpFixedPointEquation(s: str)
qQdFpIterationScheme(s: str)
qDeltaVolQuoteDeltaType(s: str)
qDeltaVolQuoteAtmType(s: str)
qlOptionTypeName(option_type: qOptionType, trigger = None)
qlOptionPayoff(option: ql.Option, trigger = None)
qlOptionExercise(option: ql.Option, trigger = None)
qlOneAssetOptionDelta(option: ql.OneAssetOption, trigger = None)
qlOneAssetOptionDeltaForward(option: ql.OneAssetOption, trigger = None)
qlOneAssetOptionElasticity(option: ql.OneAssetOption, trigger = None)
qlOneAssetOptionGamma(option: ql.OneAssetOption, trigger = None)
qlOneAssetOptionTheta(option: ql.OneAssetOption, trigger = None)
qlOneAssetOptionThetaPerDay(option: ql.OneAssetOption, trigger = None)
qlOneAssetOptionVega(option: ql.OneAssetOption, trigger = None)
qlOneAssetOptionRho(option: ql.OneAssetOption, trigger = None)
qlOneAssetOptionDividendRho(option: ql.OneAssetOption, trigger = None)
qlOneAssetOptionStrikeSensitivity(option: ql.OneAssetOption, trigger = None)
qlOneAssetOptionITMCashProbability(option: ql.OneAssetOption, trigger = None)
qlVanillaOption(payoff: ql.StrikedTypePayoff, exercise: ql.Exercise, trigger = None)
qlVanillaOptionImpliedVolatility(option: ql.VanillaOption, target_value: float, process: ql.GeneralizedBlackScholesProcess, dividends: xlo.Array(dims=1) = None, accuracy: float = 1.0e-4, max_evaluations: int = 100, min_vol: float = 1.0e-4, max_vol: float = 4.0, trigger = None)
qlEuropeanOption(payoff: ql.StrikedTypePayoff, exercise: ql.Exercise, trigger = None)
qlForwardVanillaOption(moneyness: float, reset_date: qDate, payoff: ql.StrikedTypePayoff, exercise: ql.Exercise, trigger = None)
qlQuantoVanillaOption(payoff: ql.StrikedTypePayoff, exercise: ql.Exercise, trigger = None)
qlQuantoVanillaOptionQVega(option: ql.QuantoVanillaOption, trigger = None)
qlQuantoVanillaOptionQRho(option: ql.QuantoVanillaOption, trigger = None)
qlQuantoVanillaOptionQLambda(option: ql.QuantoVanillaOption, trigger = None)
qlQuantoForwardVanillaOption(moneyness: float, reset_date: qDate, payoff: ql.StrikedTypePayoff, exercise: ql.Exercise, trigger = None)
qlMultiAssetOptionDelta(option: ql.MultiAssetOption, trigger = None)
qlMultiAssetOptionGamma(option: ql.MultiAssetOption, trigger = None)
qlMultiAssetOptionTheta(option: ql.MultiAssetOption, trigger = None)
qlMultiAssetOptionVega(option: ql.MultiAssetOption, trigger = None)
qlMultiAssetOptionRho(option: ql.MultiAssetOption, trigger = None)
qlMultiAssetOptionDividendRho(option: ql.MultiAssetOption, trigger = None)
qlMargrabeOption(q1: int, q2: int, exercise: ql.Exercise, trigger = None)
qlMargrabeOptionDelta1(option: ql.MargrabeOption, trigger = None)
qlMargrabeOptionDelta2(option: ql.MargrabeOption, trigger = None)
qlMargrabeOptionGamma1(option: ql.MargrabeOption, trigger = None)
qlMargrabeOptionGamma2(option: ql.MargrabeOption, trigger = None)
qlTwoAssetCorrelationOption(option_type: qOptionType, strike1: float, strike2: float, exercise: ql.Exercise, trigger = None)
qlCompoundOption(mother_payoff: ql.StrikedTypePayoff, mother_exercise: ql.Exercise, daughter_payoff: ql.StrikedTypePayoff, daughter_exercise: ql.Exercise, trigger = None)
qlSimpleChooserOption(choosing_date: qDate, strike: float, exercise: ql.Exercise, trigger = None)
qlComplexChooserOption(choosing_date: qDate, strike_call: float, strike_put: float, exercise_call: ql.Exercise, exercise_put: ql.Exercise, trigger = None)
qlHolderExtensibleOption(option_type: qOptionType, premium: float, second_expiry_date: qDate, second_strike: float, payoff: ql.StrikedTypePayoff, exercise: ql.Exercise, trigger = None)
qlWriterExtensibleOption(payoff1: ql.PlainVanillaPayoff, exercise1: ql.Exercise, payoff2: ql.PlainVanillaPayoff, exercise2: ql.Exercise, trigger = None)
qlAnalyticEuropeanEngine(process: ql.GeneralizedBlackScholesProcess, discount_curve: ql.YieldTermStructureHandle = None, trigger = None)
qlAnalyticDividendEuropeanEngine(process: ql.GeneralizedBlackScholesProcess, dividends: xlo.Array(dims=1), trigger = None)
qlCashDividendEuropeanEngine(process: ql.GeneralizedBlackScholesProcess, dividends: xlo.Array(dims=1), cash_dividend_model: qCashDividendModel = ql.CashDividendEuropeanEngine.Spot, trigger = None)
qlIntegralEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlForwardEuropeanEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlQuantoEuropeanEngine(process: ql.GeneralizedBlackScholesProcess, foreign_risk_free_rate: ql.YieldTermStructureHandle, exchange_rate_volatility: ql.BlackVolTermStructureHandle, correlation: qQuoteHandle, trigger = None)
qlQuantoForwardEuropeanEngine(process: ql.GeneralizedBlackScholesProcess, foreign_risk_free_rate: ql.YieldTermStructureHandle, exchange_rate_volatility: ql.BlackVolTermStructureHandle, correlation: qQuoteHandle, trigger = None)
qlBaroneAdesiWhaleyApproximationEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlBjerksundStenslandApproximationEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlJuQuadraticApproximationEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlAnalyticDigitalAmericanEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlAnalyticEuropeanMargrabeEngine(process1: ql.GeneralizedBlackScholesProcess, process2: ql.GeneralizedBlackScholesProcess, correlation: float, trigger = None)
qlAnalyticAmericanMargrabeEngine(process1: ql.GeneralizedBlackScholesProcess, process2: ql.GeneralizedBlackScholesProcess, correlation: float, trigger = None)
qlAnalyticCompoundOptionEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlAnalyticSimpleChooserEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlAnalyticComplexChooserEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlAnalyticHolderExtensibleOptionEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlAnalyticWriterExtensibleOptionEngine(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlAnalyticTwoAssetCorrelationEngine(process1: ql.GeneralizedBlackScholesProcess, process2: ql.GeneralizedBlackScholesProcess, correlation: qQuoteHandle, trigger = None)
qlHestonModel(process: ql.HestonProcess, trigger = None)
qlHestonModelHandle(model: ql.HestonModel, trigger = None)
qlHestonModelHandleCurrentLink(model_handle: ql.HestonModelHandle, trigger = None)
qlHestonModelTheta(model: ql.HestonModel, trigger = None)
qlHestonModelKappa(model: ql.HestonModel, trigger = None)
qlHestonModelSigma(model: ql.HestonModel, trigger = None)
qlHestonModelRho(model: ql.HestonModel, trigger = None)
qlHestonModelV0(model: ql.HestonModel, trigger = None)
qlHestonModelProcess(model: ql.HestonModel, trigger = None)
qlPiecewiseTimeDependentHestonModel(risk_free_rate: ql.YieldTermStructureHandle, dividend_yield: ql.YieldTermStructureHandle, s0: qQuoteHandle, v0: float, theta: ql.Parameter, kappa: ql.Parameter, sigma: ql.Parameter, rho: ql.Parameter, time_grid: ql.TimeGrid, trigger = None)
qlPiecewiseTimeDependentHestonModelTheta(model: ql.PiecewiseTimeDependentHestonModel, t: float, trigger = None)
qlPiecewiseTimeDependentHestonModelKappa(model: ql.PiecewiseTimeDependentHestonModel, t: float, trigger = None)
qlPiecewiseTimeDependentHestonModelSigma(model: ql.PiecewiseTimeDependentHestonModel, t: float, trigger = None)
qlPiecewiseTimeDependentHestonModelRho(model: ql.PiecewiseTimeDependentHestonModel, t: float, trigger = None)
qlPiecewiseTimeDependentHestonModelV0(model: ql.PiecewiseTimeDependentHestonModel, trigger = None)
qlPiecewiseTimeDependentHestonModelS0(model: ql.PiecewiseTimeDependentHestonModel, trigger = None)
qlAnalyticHestonEngineIntegrationGaussLaguerre(integration_order: int = 128, trigger = None)
qlAnalyticHestonEngineIntegrationNumberOfEvaluations(integration: ql.AnalyticHestonEngine_Integration, trigger = None)
qlAnalyticHestonEngineIntegrationIsAdaptive(integration: ql.AnalyticHestonEngine_Integration, trigger = None)
qlAnalyticHestonEngineIntegrationAndersenPiterbargIntegrationLimit(c_inf: float, epsilon: float, v0: float, t: float, trigger = None)
qlAnalyticHestonEngineOptimalAlpha(t: float, engine: ql.AnalyticHestonEngine, trigger = None)
qlAnalyticHestonEngineOptimalAlphaValue(optimal_alpha: ql.AnalyticHestonEngine_OptimalAlpha, strike: float, trigger = None)
qlAnalyticHestonEngineOptimalAlphaBounds(optimal_alpha: ql.AnalyticHestonEngine_OptimalAlpha, strike: float, trigger = None)
qlAnalyticHestonEngine(model: ql.HestonModel, integration_order: int = 144, rel_tolerance: float = None, abs_tolerance: float = None, max_evaluations: int = None, complex_log_formula: qAnalyticHestonComplexLogFormula = ql.AnalyticHestonEngine.Gatheral, integration: qAnalyticHestonEngineIntegration = None, andersen_piterbarg_epsilon: float = 1.0e-8, trigger = None)
qlAnalyticHestonEngineNumberOfEvaluations(engine: ql.AnalyticHestonEngine, trigger = None)
qlCOSHestonEngine(model: ql.HestonModel, l: float = 16.0, n: int = 200, trigger = None)
qlExponentialFittingHestonEngine(model: ql.HestonModel, control_variate: qAnalyticHestonComplexLogFormula = ql.AnalyticHestonEngine.OptimalCV, scaling: float = ql.nullDouble(), alpha: float = -0.5, trigger = None)
qlAnalyticPDFHestonEngine(model: ql.HestonModel, gauss_lobatto_eps: float = 1.0e-6, gauss_lobatto_integration_order: int = 10000, trigger = None)
qlAnalyticHestonForwardEuropeanEngine(process: ql.HestonProcess, integration_order: int = 144, trigger = None)
qlAnalyticPTDHestonEngine(model: ql.PiecewiseTimeDependentHestonModel, integration_order: int = 144, rel_tolerance: float = None, abs_tolerance: float = None, max_evaluations: int = None, complex_log_formula: qAnalyticPTDHestonComplexLogFormula = ql.AnalyticPTDHestonEngine.Gatheral, integration: qAnalyticHestonEngineIntegration = None, andersen_piterbarg_epsilon: float = 1.0e-8, trigger = None)
qlAnalyticHestonHullWhiteEngine(heston_model: ql.HestonModel, hull_white_model: ql.HullWhite, integration_order: int = 144, rel_tolerance: float = None, max_evaluations: int = None, trigger = None)
qlAnalyticH1HWEngine(heston_model: ql.HestonModel, hull_white_model: ql.HullWhite, rho_sr: float, integration_order: int = 144, rel_tolerance: float = None, max_evaluations: int = None, trigger = None)
qlBinomialVanillaEngine(process: ql.GeneralizedBlackScholesProcess, engine_type: qBinomialEngineType, steps: int, trigger = None)
qlFdmSchemeDesc(scheme_type: qFdmSchemeType = ql.FdmSchemeDesc.DouglasType, theta: float = 0.5, mu: float = 0.0, trigger = None)
qlFdmSchemeDescByName(scheme_desc: qFdmSchemeDesc, trigger = None)
qlFdmQuantoHelper(domestic_ts: ql.YieldTermStructureHandle, foreign_ts: ql.YieldTermStructureHandle, fx_vol_ts: ql.BlackVolTermStructureHandle, equity_fx_correlation: float, exchange_rate_atm_level: float, trigger = None)
qlFdBlackScholesVanillaEngine(process: ql.GeneralizedBlackScholesProcess, dividends: xlo.Array(dims=1) = None, quanto_helper: ql.FdmQuantoHelper = None, t_grid: int = 100, x_grid: int = 100, damping_steps: int = 0, scheme_desc: ql.FdmSchemeDesc = ql.FdmSchemeDesc.Douglas(), local_vol: bool = False, illegal_local_vol_overwrite: float = -ql.nullDouble(), cash_dividend_model: qFdBlackScholesCashDividendModel = ql.FdBlackScholesVanillaEngine.Spot, trigger = None)
qlFdBlackScholesShoutEngine(process: ql.GeneralizedBlackScholesProcess, dividends: xlo.Array(dims=1) = None, t_grid: int = 100, x_grid: int = 100, damping_steps: int = 0, scheme_desc: ql.FdmSchemeDesc = ql.FdmSchemeDesc.Douglas(), trigger = None)
qlFdOrnsteinUhlenbeckVanillaEngine(process: ql.OrnsteinUhlenbeckProcess, discount_curve: ql.YieldTermStructureHandle, dividends: xlo.Array(dims=1) = None, t_grid: int = 100, x_grid: int = 100, damping_steps: int = 0, epsilon: float = 1.0e-4, scheme_desc: ql.FdmSchemeDesc = ql.FdmSchemeDesc.Douglas(), trigger = None)
qlFdBatesVanillaEngine(model: ql.BatesModel, dividends: xlo.Array(dims=1) = None, t_grid: int = 100, x_grid: int = 100, v_grid: int = 50, damping_steps: int = 0, scheme_desc: ql.FdmSchemeDesc = ql.FdmSchemeDesc.Hundsdorfer(), trigger = None)
qlFdHestonVanillaEngine(model: ql.HestonModel, dividends: xlo.Array(dims=1) = None, quanto_helper: ql.FdmQuantoHelper = None, t_grid: int = 100, x_grid: int = 100, v_grid: int = 50, damping_steps: int = 0, scheme_desc: ql.FdmSchemeDesc = ql.FdmSchemeDesc.Hundsdorfer(), leverage_fct: ql.LocalVolTermStructureHandle = None, mixing_factor: float = 1.0, trigger = None)
qlFdCEVVanillaEngine(f0: float, alpha: float, beta: float, discount_curve: ql.YieldTermStructureHandle, t_grid: int = 50, x_grid: int = 400, damping_steps: int = 0, scaling_factor: float = 1.0, eps: float = 1.0e-4, scheme_desc: ql.FdmSchemeDesc = ql.FdmSchemeDesc.Douglas(), trigger = None)
qlFdSabrVanillaEngine(f0: float, alpha: float, beta: float, nu: float, rho: float, discount_curve: ql.YieldTermStructureHandle, t_grid: int = 50, f_grid: int = 400, x_grid: int = 50, damping_steps: int = 0, scaling_factor: float = 1.0, eps: float = 1.0e-4, scheme_desc: ql.FdmSchemeDesc = ql.FdmSchemeDesc.Hundsdorfer(), trigger = None)
qlFdHestonHullWhiteVanillaEngine(model: ql.HestonModel, hull_white_process: ql.HullWhiteProcess, corr_equity_short_rate: float, dividends: xlo.Array(dims=1) = None, t_grid: int = 50, x_grid: int = 100, v_grid: int = 40, r_grid: int = 20, damping_steps: int = 0, control_variate: bool = True, scheme_desc: ql.FdmSchemeDesc = ql.FdmSchemeDesc.Hundsdorfer(), trigger = None)
qlMCEuropeanEngine(process: ql.GeneralizedBlackScholesProcess, traits: qMCTraits, time_steps: int = ql.nullInt(), time_steps_per_year: int = ql.nullInt(), brownian_bridge: bool = False, antithetic_variate: bool = False, required_samples: int = ql.nullInt(), required_tolerance: float = ql.nullDouble(), max_samples: int = ql.nullInt(), seed: int = 0, trigger = None)
qlMCAmericanEngine(process: ql.GeneralizedBlackScholesProcess, traits: qMCTraits, time_steps: int = ql.nullInt(), time_steps_per_year: int = ql.nullInt(), antithetic_variate: bool = False, control_variate: bool = False, required_samples: int = ql.nullInt(), required_tolerance: float = ql.nullDouble(), max_samples: int = ql.nullInt(), seed: int = 0, polynom_order: int = 2, polynom_type: qLsmBasisSystemPolynomialType = ql.LsmBasisSystem.Monomial, n_calibration_samples: int = 2048, antithetic_variate_calibration: bool = None, seed_calibration: int = ql.nullInt(), trigger = None)
qlMCDigitalEngine(process: ql.GeneralizedBlackScholesProcess, traits: qMCTraits, time_steps: int = ql.nullInt(), time_steps_per_year: int = ql.nullInt(), brownian_bridge: bool = False, antithetic_variate: bool = False, required_samples: int = ql.nullInt(), required_tolerance: float = ql.nullDouble(), max_samples: int = ql.nullInt(), seed: int = 0, trigger = None)
qlMCEuropeanHestonEngine(process: ql.HestonProcess, traits: qMCTraits, time_steps: int = ql.nullInt(), time_steps_per_year: int = ql.nullInt(), antithetic_variate: bool = False, required_samples: int = ql.nullInt(), required_tolerance: float = ql.nullDouble(), max_samples: int = ql.nullInt(), seed: int = 0, trigger = None)
qlMCForwardEuropeanBSEngine(process: ql.GeneralizedBlackScholesProcess, traits: qMCTraits, time_steps: int = ql.nullInt(), time_steps_per_year: int = ql.nullInt(), brownian_bridge: bool = False, antithetic_variate: bool = False, required_samples: int = ql.nullInt(), required_tolerance: float = ql.nullDouble(), max_samples: int = ql.nullInt(), seed: int = 0, trigger = None)
qlMCForwardEuropeanHestonEngine(process: ql.HestonProcess, traits: qMCTraits, time_steps: int = ql.nullInt(), time_steps_per_year: int = ql.nullInt(), antithetic_variate: bool = False, required_samples: int = ql.nullInt(), required_tolerance: float = ql.nullDouble(), max_samples: int = ql.nullInt(), seed: int = 0, control_variate: bool = False, trigger = None)
qlQdPlusAmericanEngine(process: ql.GeneralizedBlackScholesProcess, interpolation_points: int = 8, solver_type: qQdPlusSolverType = ql.QdPlusAmericanEngine.Halley, eps: float = 1.0e-6, max_iter: int = ql.nullInt(), trigger = None)
qlQdFpLegendreScheme(l: int, m: int, n: int, p: int, trigger = None)
qlQdFpLegendreTanhSinhScheme(l: int, m: int, n: int, eps: float, trigger = None)
qlQdFpTanhSinhIterationScheme(m: int, n: int, eps: float, trigger = None)
qlQdFpAmericanEngineFastScheme(trigger = None)
qlQdFpAmericanEngineAccurateScheme(trigger = None)
qlQdFpAmericanEngineHighPrecisionScheme(trigger = None)
qlQdFpAmericanEngine(process: ql.GeneralizedBlackScholesProcess, iteration_scheme: qQdFpIterationScheme = ql.QdFpAmericanEngine.accurateScheme(), fixed_point_equation: qQdFpFixedPointEquation = ql.QdFpAmericanEngine.Auto, trigger = None)
qlAnalyticCEVEngine(f0: float, alpha: float, beta: float, discount_curve: ql.YieldTermStructureHandle, trigger = None)
qlBatesModel(process: ql.BatesProcess, trigger = None)
qlBatesEngine(model: ql.BatesModel, integration_order: int = 144, rel_tolerance: float = None, max_evaluations: int = None, trigger = None)
qlVarianceGammaEngine(process: ql.VarianceGammaProcess, trigger = None)
qlFFTVarianceGammaEngine(process: ql.VarianceGammaProcess, log_strike_spacing: float = 0.001, trigger = None)
qlGJRGARCHModel(process: ql.GJRGARCHProcess, trigger = None)
qlAnalyticGJRGARCHEngine(model: ql.GJRGARCHModel, trigger = None)
qlBlackCalculator(payoff: ql.StrikedTypePayoff, forward: float, std_dev: float, discount: float = 1.0, trigger = None)
qlBlackCalculatorValue(calculator: ql.BlackCalculator, trigger = None)
qlBlackCalculatorDelta(calculator: ql.BlackCalculator, spot: float, trigger = None)
qlBlackCalculatorGamma(calculator: ql.BlackCalculator, spot: float, trigger = None)
qlBlackCalculatorVega(calculator: ql.BlackCalculator, maturity: float = 1.0, trigger = None)
qlBlackCalculatorTheta(calculator: ql.BlackCalculator, spot: float, maturity: float = 1.0, trigger = None)
qlBlackCalculatorThetaPerDay(calculator: ql.BlackCalculator, spot: float, maturity: float = 1.0, trigger = None)
qlBlackCalculatorRho(calculator: ql.BlackCalculator, maturity: float = 1.0, trigger = None)
qlBlackCalculatorDividendRho(calculator: ql.BlackCalculator, maturity: float = 1.0, trigger = None)
qlBlackCalculatorDeltaForward(calculator: ql.BlackCalculator, trigger = None)
qlBlackCalculatorGammaForward(calculator: ql.BlackCalculator, trigger = None)
qlBlackCalculatorElasticity(calculator: ql.BlackCalculator, spot: float, trigger = None)
qlBlackCalculatorElasticityForward(calculator: ql.BlackCalculator, trigger = None)
qlBlackCalculatorITMCashProbability(calculator: ql.BlackCalculator, trigger = None)
qlBlackCalculatorITMAssetProbability(calculator: ql.BlackCalculator, trigger = None)
qlBlackCalculatorStrikeSensitivity(calculator: ql.BlackCalculator, trigger = None)
qlBlackCalculatorStrikeGamma(calculator: ql.BlackCalculator, trigger = None)
qlBlackCalculatorAlpha(calculator: ql.BlackCalculator, trigger = None)
qlBlackCalculatorVanna(calculator: ql.BlackCalculator, spot: float, maturity: float = 1.0, trigger = None)
qlBlackCalculatorVolga(calculator: ql.BlackCalculator, maturity: float = 1.0, trigger = None)
qlBlackCalculatorBeta(calculator: ql.BlackCalculator, trigger = None)
qlBachelierCalculator(payoff: ql.StrikedTypePayoff, forward: float, std_dev: float, discount: float = 1.0, trigger = None)
qlBachelierCalculatorValue(calculator: ql.BachelierCalculator, trigger = None)
qlBachelierCalculatorDelta(calculator: ql.BachelierCalculator, spot: float, trigger = None)
qlBachelierCalculatorGamma(calculator: ql.BachelierCalculator, spot: float, trigger = None)
qlBachelierCalculatorVega(calculator: ql.BachelierCalculator, maturity: float = 1.0, trigger = None)
qlBachelierCalculatorTheta(calculator: ql.BachelierCalculator, spot: float, maturity: float = 1.0, trigger = None)
qlBachelierCalculatorThetaPerDay(calculator: ql.BachelierCalculator, spot: float, maturity: float = 1.0, trigger = None)
qlBachelierCalculatorRho(calculator: ql.BachelierCalculator, maturity: float = 1.0, trigger = None)
qlBachelierCalculatorDividendRho(calculator: ql.BachelierCalculator, maturity: float = 1.0, trigger = None)
qlBachelierCalculatorDeltaForward(calculator: ql.BachelierCalculator, trigger = None)
qlBachelierCalculatorGammaForward(calculator: ql.BachelierCalculator, trigger = None)
qlBachelierCalculatorElasticity(calculator: ql.BachelierCalculator, spot: float, trigger = None)
qlBachelierCalculatorElasticityForward(calculator: ql.BachelierCalculator, trigger = None)
qlBachelierCalculatorITMCashProbability(calculator: ql.BachelierCalculator, trigger = None)
qlBachelierCalculatorITMAssetProbability(calculator: ql.BachelierCalculator, trigger = None)
qlBachelierCalculatorStrikeSensitivity(calculator: ql.BachelierCalculator, trigger = None)
qlBachelierCalculatorStrikeGamma(calculator: ql.BachelierCalculator, trigger = None)
qlBachelierCalculatorAlpha(calculator: ql.BachelierCalculator, trigger = None)
qlBachelierCalculatorVanna(calculator: ql.BachelierCalculator, maturity: float = 1.0, trigger = None)
qlBachelierCalculatorVolga(calculator: ql.BachelierCalculator, maturity: float = 1.0, trigger = None)
qlBachelierCalculatorBeta(calculator: ql.BachelierCalculator, trigger = None)
qlDeltaVolQuote(delta: float, vol: qQuoteHandle, maturity: float, delta_type: qDeltaVolQuoteDeltaType, trigger = None)
qlDeltaVolQuoteAtm(vol: qQuoteHandle, delta_type: qDeltaVolQuoteDeltaType, maturity: float, atm_type: qDeltaVolQuoteAtmType)
qlDeltaVolQuoteDelta(quote: ql.DeltaVolQuote, trigger = None)
qlDeltaVolQuoteMaturity(quote: ql.DeltaVolQuote, trigger = None)
qlDeltaVolQuoteDeltaType(quote: ql.DeltaVolQuote, trigger = None)
qlDeltaVolQuoteAtmType(quote: ql.DeltaVolQuote, trigger = None)
qlDeltaVolQuoteValue(quote: ql.DeltaVolQuote, trigger = None)
qlDeltaVolQuoteIsValid(quote: ql.DeltaVolQuote, trigger = None)
Parameter¶
qlParameterParams(parameter: ql.Parameter, trigger = None)
qlParameterSetParam(parameter: ql.Parameter, idx: int, x: float, trigger = None)
qlParameterTestParams(parameter: ql.Parameter, params: xlo.Array(dims=1), trigger = None)
qlParameterSize(parameter: ql.Parameter, trigger = None)
qlParameterAtTime(parameter: ql.Parameter, t: float, trigger = None)
qlParameterConstraint(parameter: ql.Parameter, trigger = None)
qlNullParameter(trigger = None)
qlConstantParameter(constraint: ql.Constraint, value: float = None, trigger = None)
qlPiecewiseConstantParameter(times: xlo.Array(dims=1), values: xlo.Array(dims=1), constraint: ql.Constraint = ql.NoConstraint(), trigger = None)
Payoffs¶
qOptionType(option_type: str)
qlPayoffValue(payoff: ql.Payoff, price: float, trigger = None)
qlTypePayoffOptionType(payoff: ql.TypePayoff, trigger = None)
qlStrikedTypePayoffStrike(payoff: ql.StrikedTypePayoff, trigger = None)
qlPlainVanillaPayoff(option_type: qOptionType, strike: float, trigger = None)
qlAsPlainVanillaPayoff(payoff: ql.Payoff, trigger = None)
qlPercentageStrikePayoff(option_type: qOptionType, moneyness: float, trigger = None)
qlCashOrNothingPayoff(option_type: qOptionType, strike: float, cash_payoff: float, trigger = None)
qlAssetOrNothingPayoff(option_type: qOptionType, strike: float, trigger = None)
qlSuperSharePayoff(option_type: qOptionType, strike: float, increment: float, trigger = None)
qlGapPayoff(option_type: qOptionType, strike: float, strike_payoff: float, trigger = None)
qlVanillaForwardPayoff(option_type: qOptionType, strike: float, trigger = None)
Piecewiseyieldcurve¶
qlYieldTermStructureHandle(curve: ql.YieldTermStructure, trigger = None)
qlPiecewiseYieldCurveDates(curve: ql.YieldTermStructure, trigger = None)
qlPiecewiseYieldCurveTimes(curve: ql.YieldTermStructure, trigger = None)
qlPiecewiseYieldCurveData(curve: ql.YieldTermStructure, trigger = None)
qlPiecewiseYieldCurveAsYts(reference_date: qDate, instruments: xlo.Array(dims=1), daycounter: qDayCounter, traits: str, interpolator: str, mixed_interpolation_behavior: str = None, mixed_interpolation_n: int = None, trigger = None)
qlPiecewiseYieldCurve(reference_date: qDate, instruments: xlo.Array(dims=1), daycounter: qDayCounter, traits: str, interpolator: str, mixed_interpolation_behavior: str = None, mixed_interpolation_n: int = None, trigger = None)
qlPiecewiseYieldCurveWithJumpsAsYts(reference_date: qDate, instruments: xlo.Array(dims=1), daycounter: qDayCounter, jumps: xlo.Array(dims=1), jump_dates: xlo.Array(dims=1), traits: str, interpolator: str, mixed_interpolation_behavior: str = None, mixed_interpolation_n: int = None, trigger = None)
qlPiecewiseYieldCurveWithJumps(reference_date: qDate, instruments: xlo.Array(dims=1), daycounter: qDayCounter, jumps: xlo.Array(dims=1), jump_dates: xlo.Array(dims=1), traits: str, interpolator: str, mixed_interpolation_behavior: str = None, mixed_interpolation_n: int = None, trigger = None)
qlPiecewiseSpreadYieldCurveAsYts(base_curve: ql.YieldTermStructureHandle, instruments: xlo.Array(dims=1), traits: str, interpolator: str, mixed_interpolation_behavior: str = None, mixed_interpolation_n: int = None, trigger = None)
qlPiecewiseSpreadYieldCurve(base_curve: ql.YieldTermStructureHandle, instruments: xlo.Array(dims=1), traits: str, interpolator: str, mixed_interpolation_behavior: str = None, mixed_interpolation_n: int = None, trigger = None)
Quantlib_¶
qlVersion(trigger = None)
qlHexVersion(trigger = None)
Ratehelpers¶
qBondPriceType(bond_price_type: str)
qFuturesType(s: str)
qPillarChoice(s: str)
qQuoteHandle(rate)
qlRateHelperQuote(rate_helper: ql.RateHelper, trigger = None)
qlRateHelperLatestDate(rate_helper: ql.RateHelper, trigger = None)
qlRateHelperEarliestDate(rate_helper: ql.RateHelper, trigger = None)
qlRateHelperMaturityDate(rate_helper: ql.RateHelper, trigger = None)
qlRateHelperLatestRelevantDate(rate_helper: ql.RateHelper, trigger = None)
qlRateHelperPillarDate(rate_helper: ql.RateHelper, trigger = None)
qlRateHelperImpliedQuote(rate_helper: ql.RateHelper, trigger = None)
qlRateHelperQuoteError(rate_helper: ql.RateHelper, trigger = None)
qlDepositRateHelper(rate: qQuoteHandle, tenor: qPeriod, fixing_days: int, calendar: qCalendar, business_day_convention: qBusinessDayConvention, end_of_month: bool, daycounter: qDayCounter, trigger = None)
qlDepositRateHelper2(rate: qQuoteHandle, index: ql.IborIndex, trigger = None)
qlDepositRateHelper3(rate: qQuoteHandle, fixing_date: qDate, index: ql.IborIndex, trigger = None)
qlFRARateHelper(rate: qQuoteHandle, month_to_start: int, month_to_end: int, fixing_days: int, calendar: qCalendar, business_day_convention: qBusinessDayConvention, end_of_month: bool, day_counter: qDayCounter, pillar: qPillarChoice = ql.Pillar.LastRelevantDate, custom_pillar_date: qDate = ql.Date(), use_indexed_coupon: bool = True, trigger = None)
qlFRARateHelper2(rate: qQuoteHandle, month_to_start: int, index: ql.IborIndex, pillar: qPillarChoice = ql.Pillar.LastRelevantDate, custom_pillar_date: qDate = ql.Date(), use_indexed_coupon: bool = True, trigger = None)
qlFRARateHelper3(rate: qQuoteHandle, imm_offset_start: int, imm_offset_end: int, index: ql.IborIndex, pillar: qPillarChoice = ql.Pillar.LastRelevantDate, custom_pillar_date: qDate = ql.Date(), use_indexed_coupon: bool = True, trigger = None)
qlFRARateHelper4(rate: qQuoteHandle, period_to_start: qPeriod, index: ql.IborIndex, pillar: qPillarChoice = ql.Pillar.LastRelevantDate, custom_pillar_date: qDate = ql.Date(), use_indexed_coupon: bool = True, trigger = None)
qlFRARateHelperForDates(rate: qQuoteHandle, start_date: qDate, end_date: qDate, index: ql.IborIndex, pillar: qPillarChoice = ql.Pillar.LastRelevantDate, custom_pillar_date: qDate = ql.Date(), use_indexed_coupon: bool = True, trigger = None)
qlFuturesRateHelper(price: qQuoteHandle, ibor_start_date: qDate, n_months: int, calendar: qCalendar, business_day_convention: qBusinessDayConvention, end_of_month: bool, day_counter: qDayCounter, convexity_adjustment: qQuoteHandle = ql.QuoteHandle(), type: qFuturesType = ql.Futures.IMM, trigger = None)
qlFuturesRateHelper2(price: qQuoteHandle, ibor_start_date: qDate, ibor_end_date: qDate, day_counter: qDayCounter, convexity_adjustment: qQuoteHandle = ql.QuoteHandle(), type: qFuturesType = ql.Futures.IMM, trigger = None)
qlFuturesRateHelper3(price: qQuoteHandle, ibor_start_date: qDate, index: ql.IborIndex, convexity_adjustment: qQuoteHandle = ql.QuoteHandle(), type: qFuturesType = ql.Futures.IMM, trigger = None)
qlFuturesRateConvexityAdjustment(futures_rate_helper: ql.FuturesRateHelper, trigger = None)
qlSwapRateHelper(rate: qQuoteHandle, tenor: qPeriod, calendar: qCalendar, fixed_frequency: qFrequency, fixed_convention: qBusinessDayConvention, fixed_daycount: qDayCounter, ibor_index: ql.IborIndex, spread: float = 0.0, fwd_start: qPeriod = ql.Period(0, ql.Days), discounting_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), settlement_days: int = ql.nullInt(), pillar: qPillarChoice = ql.Pillar.LastRelevantDate, custom_pillar_date: qDate = ql.Date(), end_of_month: bool = False, with_indexed_coupons: bool = False, trigger = None)
qlSwapRateHelper2(rate: qQuoteHandle, index: ql.SwapIndex, spread: float = 0.0, fwd_start: qPeriod = ql.Period(0, ql.Days), discounting_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), pillar: qPillarChoice = ql.Pillar.LastRelevantDate, custom_pillar_date: qDate = ql.Date(), end_of_month: bool = False, with_indexed_coupons: bool = False, trigger = None)
qlSwapRateForDates(rate: qQuoteHandle, start_date: qDate, end_date: qDate, calendar: qCalendar, fixed_frequencies: qFrequency, business_day_convention: qBusinessDayConvention, day_counter: qDayCounter, index: ql.IborIndex, spread: float = 0.0, discounting_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), pillar: ql.Pillar = ql.Pillar.LastRelevantDate, custom_pillar_date: qDate = ql.Date(), end_of_month: bool = False, with_indexed_coupons: bool = False, trigger = None)
qlSwapRateHelperSpread(swap_rate_helper: ql.SwapRateHelper, trigger = None)
qlSwapRateHelperSwap(swap_rate_helper: ql.SwapRateHelper, trigger = None)
qlBondHelper(quote: float, bond: ql.Bond, price_type: qBondPriceType = ql.BondPrice.Clean, trigger = None)
qlFixedRateBondHelper(clean_price: float, settlement_days: int, face_amount: float, schedule: ql.Schedule, coupons: list[float], day_counter: qDayCounter, business_day_convention: qBusinessDayConvention = ql.Following, redemption: float = 100.0, issue_date: qDate = ql.Date(), payment_calendar = None, ex_coupon_period: qPeriod = ql.Period(), ex_coupon_calendar = None, ex_coupon_convention: qBusinessDayConvention = ql.Unadjusted, ex_coupon_end_of_month: bool = False, price_type: qBondPriceType = ql.BondPrice.Clean, trigger = None)
qlOISRateHelper(settlement_days: int, tenor: qPeriod, fixed_rate: qQuoteHandle, overnight_index: ql.OvernightIndex, discounting_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), telescopic_value_dates: bool = False, payment_lag: int = 0, payment_convention: qBusinessDayConvention = ql.Following, payment_frequency: qFrequency = ql.Annual, payment_calendar = None, forward_start: qPeriod = ql.Period(0, ql.Days), overnight_spread: float = 0.0, pillar: qPillarChoice = ql.Pillar.LastRelevantDate, custom_pillar_date: qDate = ql.Date(), averaging_method: qRateAveragingType = ql.RateAveraging.Compound, end_of_month: bool = None, fixed_payment_frequency = None, fixed_calendar = None, look_back_days: int = ql.nullInt(), lock_out_days: int = 0, apply_observation_shift: bool = False, pricer: ql.FloatingRateCouponPricer = None, rule: qDateGenerationRule = ql.DateGeneration.Backward, overnight_calendar = None, convention: qBusinessDayConvention = ql.ModifiedFollowing, trigger = None)
qlOISRateHelperForDates(start_date: qDate, end_date: qDate, fixed_rate: float, overnight_index: ql.OvernightIndex, discounting_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), telescopic_value_dates: bool = False, payment_lag: int = 0, payment_convention: qBusinessDayConvention = ql.Following, payment_frequency: qFrequency = ql.Annual, payment_calendar = None, overnight_spread: float = 0.0, pillar: ql.Pillar = ql.Pillar.LastRelevantDate, custom_pillar_date: qDate = ql.Date(), averaging_method: qRateAveragingType = ql.RateAveraging.Compound, end_of_month: bool = None, fixed_payment_frequency = None, fixed_calendar = None, look_back_days: int = ql.nullInt(), lock_out_days: int = ql.nullInt(), apply_observation_shift: bool = False, pricer: ql.FloatingRateCouponPricer = None, rule: qDateGenerationRule = ql.DateGeneration.Backward, overnight_calendar = None, convention: qBusinessDayConvention = ql.ModifiedFollowing, trigger = None)
qlOISRateHelperSwap(ois_rate_helper: ql.OISRateHelper, trigger = None)
qlFxSwapRateHelper(fwd_point: qQuoteHandle, spot_fx: qQuoteHandle, tenor: qPeriod, fixing_days: int, calendar: qCalendar, business_day_convention: qBusinessDayConvention, end_of_month: bool, is_fx_base_currency_collateral_currency: bool, collateral_curve: ql.YieldTermStructureHandle, trading_calendar = None, trigger = None)
qlFxSwapRateHelperForDates(fwd_point: qQuoteHandle, spot_fx: qQuoteHandle, start_date: qDate, end_date: qDate, is_fx_base_currency_collateral_currency: bool, collateral_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlFxSwapRateHelperSpot(fx_swap_rate_helper: ql.FxSwapRateHelper, trigger = None)
qlFxSwapRateHelperTenor(fx_swap_rate_helper: ql.FxSwapRateHelper, trigger = None)
qlFxSwapRateHelperFixingDays(fx_swap_rate_helper: ql.FxSwapRateHelper, trigger = None)
qlFxSwapRateHelperCalendar(fx_swap_rate_helper: ql.FxSwapRateHelper, trigger = None)
qlFxSwapRateHelperBusinessDayConvention(fx_swap_rate_helper: ql.FxSwapRateHelper, trigger = None)
qlFxSwapRateHelperEndOfMonth(fx_swap_rate_helper: ql.FxSwapRateHelper, trigger = None)
qlFxSwapRateHelperIsFxBaseCurrencyCollateralCurrency(fx_swap_rate_helper: ql.FxSwapRateHelper, trigger = None)
qlFxSwapRateHelperTradingCalendar(fx_swap_rate_helper: ql.FxSwapRateHelper, trigger = None)
qlFxSwapRateHelperAdjustmentCalendar(fx_swap_rate_helper: ql.FxSwapRateHelper, trigger = None)
qlOvernightIndexFutureRateHelper(price: qQuoteHandle, value_date: qDate, maturity_date: qDate, index: ql.OvernightIndex, convexity_adjustment: qQuoteHandle = ql.QuoteHandle(), averaging_method: qRateAveragingType = ql.RateAveraging.Compound, pillar: qPillarChoice = ql.Pillar.LastRelevantDate, custom_pillar_date: qDate = ql.Date(), trigger = None)
qlOvernightIndexFutureRateHelperConvexityAdjustment(overnight_index_future_rate_helper: ql.OvernightIndexFutureRateHelper, trigger = None)
qlSofrFutureRateHelper(price: qQuoteHandle, reference_month: int, reference_year: int, frequency: qFrequency, convexity_adjustment: qQuoteHandle = ql.QuoteHandle(), pillar: qPillarChoice = ql.Pillar.LastRelevantDate, custom_pillar_date: qDate = ql.Date(), trigger = None)
qlMultipleResetsSwapRateHelper(settlement_days: int, tenor: qPeriod, fixed_rate: qQuoteHandle, ibor_index: ql.IborIndex, resets_per_coupon: int, discounting_curve: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), averaging_method: qRateAveragingType = ql.RateAveraging.Compound, spread: float = 0.0, fixed_frequency: qFrequency = ql.NoFrequency, fixed_day_count: qDayCounter = ql.Actual365Fixed(), fixed_convention: qBusinessDayConvention = ql.ModifiedFollowing, trigger = None)
qlConstNotionalCrossCurrencySwapRateHelper(fixed_rate: qQuoteHandle, tenor: qPeriod, fixing_days: int, calendar: qCalendar, convention: qBusinessDayConvention, end_of_month: bool, fixed_frequency: qFrequency, fixed_day_count: qDayCounter, float_index: ql.IborIndex, collateral_curve: ql.YieldTermStructureHandle, collateral_on_fixed_leg: bool, payment_lag: int = 0, trigger = None)
qlConstNotionalCrossCurrencyBasisSwapRateHelper(basis: qQuoteHandle, tenor: qPeriod, fixing_days: int, calendar: qCalendar, convention: qBusinessDayConvention, end_of_month: bool, base_currency_index: ql.IborIndex, quote_currency_index: ql.IborIndex, collateral_curve: ql.YieldTermStructureHandle, is_fx_base_currency_collateral_currency: bool, is_basis_on_fx_base_currency_leg: bool, payment_frequency: qFrequency = ql.NoFrequency, payment_lag: int = 0, trigger = None)
qlMtMCrossCurrencyBasisSwapRateHelper(basis: qQuoteHandle, tenor: qPeriod, fixing_days: int, calendar: qCalendar, convention: qBusinessDayConvention, end_of_month: bool, base_currency_index: ql.IborIndex, quote_currency_index: ql.IborIndex, collateral_curve: ql.YieldTermStructureHandle, is_fx_base_currency_collateral_currency: bool, is_basis_on_fx_base_currency_leg: bool, is_fx_base_currency_leg_resettable: bool, payment_frequency: qFrequency = ql.NoFrequency, payment_lag: int = 0, trigger = None)
qlIborIborBasisSwapRateHelper(basis: qQuoteHandle, tenor: qPeriod, settlement_days: int, calendar: qCalendar, convention: qBusinessDayConvention, end_of_month: bool, base_index: ql.IborIndex, other_index: ql.IborIndex, discount_handle: ql.YieldTermStructureHandle, bootstrap_base_curve: bool, trigger = None)
qlIborIborBasisSwapRateHelperSwap(ibor_ibor_basis_swap_rate_helper: ql.IborIborBasisSwapRateHelper, trigger = None)
qlOvernightIborBasisSwapRateHelper(basis: qQuoteHandle, tenor: qPeriod, settlement_days: int, calendar: qCalendar, convention: qBusinessDayConvention, end_of_month: bool, base_index: ql.IborIndex, other_index: ql.IborIndex, discount_handle: ql.YieldTermStructureHandle, trigger = None)
qlOvernightIborBasisSwapRateHelperSwap(overnight_ibor_basis_swap_rate_helper: ql.OvernightIborBasisSwapRateHelper, trigger = None)
Rounding¶
qRoundingMethod(method: str)
qlRounding(method: qRoundingMethod, precision: int, digit: int = 5, trigger = None)
qlRoundingApply(rounding: ql.Rounding, value: float, trigger = None)
Scheduler¶
qDateGenerationRule(rule: str)
qlSchedule(effective_date: qDate, termination_date: qDate, tenor: qPeriod, calendar: qCalendar, convention: qBusinessDayConvention, termination_date_convention: qBusinessDayConvention, date_generation_rule: qDateGenerationRule, end_of_month: bool, first_date: qDate = ql.Date(), last_date: qDate = ql.Date(), trigger = None)
qlScheduleFromDates(dates: xlo.Array(dims=1), calendar: qCalendar = ql.NullCalendar(), convention: qBusinessDayConvention = ql.Unadjusted, trigger = None)
qlScheduleDates(schedule: ql.Schedule, trigger = None)
qlSchedulePreviousDate(schedule: ql.Schedule, ref_date: qDate, trigger = None)
qlScheduleNextDate(schedule: ql.Schedule, ref_date: qDate, trigger = None)
qlScheduleHasIsRegular(schedule: ql.Schedule, trigger = None)
qlScheduleIsRegular(schedule: ql.Schedule, i: int, trigger = None)
qlScheduleIsRegular2(schedule: ql.Schedule, trigger = None)
qlScheduleCalendar(schedule: ql.Schedule, trigger = None)
qlScheduleStartDate(schedule: ql.Schedule, trigger = None)
qlScheduleEndDate(schedule: ql.Schedule, trigger = None)
qlScheduleHasTenor(schedule: ql.Schedule, trigger = None)
qlScheduleTenor(schedule: ql.Schedule, trigger = None)
qlScheduleBusinessDayConvention(schedule: ql.Schedule, trigger = None)
qlScheduleHasTerminationDateBusinessDayConvention(schedule: ql.Schedule, trigger = None)
qlScheduleTerminationDateBusinessDayConvention(schedule: ql.Schedule, trigger = None)
qlScheduleHasRule(schedule: ql.Schedule, trigger = None)
qlScheduleRule(schedule: ql.Schedule, trigger = None)
qlScheduleHasEndOfMonth(schedule: ql.Schedule, trigger = None)
qlScheduleEndOfMonth(schedule: ql.Schedule, trigger = None)
qlScheduleAfter(schedule: ql.Schedule, truncation_date: qDate, trigger = None)
qlScheduleUntil(schedule: ql.Schedule, truncation_date: qDate, trigger = None)
qlMakeSchedule(effective_date = None, termination_date = None, tenor = None, frequency = None, calendar = None, convention = None, terminal_date_convention = None, rule = None, forwards = False, backwards = False, end_of_month = None, first_date = None, next_to_last_date = None, trigger = None)
Settings¶
qlSettingsGetEvaluationDate(trigger = None)
qlSettingsSetEvaluationDate(date: qDate, trigger = None)
qlSettingsGetEnforcesTodaysHistoricFixings(trigger = None)
qlSettingsSetEnforcesTodaysHistoricFixings(enforces: bool, trigger = None)
qlSettingsGetIncludeReferenceDateEvents(trigger = None)
qlSettingsSetIncludeReferenceDateEvents(include: bool, trigger = None)
qlSettingsGetIncludeTodaysCashFlows(trigger = None)
qlSettingsSetIncludeTodaysCashFlows(include: bool, trigger = None)
qlSettingsAnchorEvaluationDate(trigger = None)
qlSettingsResetEvaluationDate(trigger = None)
Shortratemodels¶
qllOneFactorAffineModelDiscount(model: ql.OneFactorAffineModel, t: float, trigger = None)
qlOneFactorAffineModelDiscountBond(model: ql.OneFactorAffineModel, now: float, maturity: float, factors: xlo.Array(dims=1), trigger = None)
qlOneFactorAffineModelDiscountBond2(model: ql.OneFactorAffineModel, now: float, maturity: float, rate: float, trigger = None)
qlOneFactorAffineModelDiscountBondOption(model: ql.OneFactorAffineModel, option_type: qOptionType, strike: float, maturity: float, bond_maturity: float, trigger = None)
qlVasicek(r0: float = 0.05, a: float = 0.1, b: float = 0.05, sigma: float = 0.01, lambda_: float = 0.0, trigger = None)
qlHullWhite(term_structure: ql.YieldTermStructureHandle, a: float = 0.1, sigma: float = 0.01, trigger = None)
qlHullWhiteConvexityBias(future_price: float, t: float, T: float, sigma: float, a: float, trigger = None)
qlHullWhiteTermStructure(model: ql.HullWhite, trigger = None)
qlBlackKarasinski(term_structure: ql.YieldTermStructureHandle, a: float = 0.1, sigma: float = 0.1, trigger = None)
qlBlackKarasinskiTermStructure(model: ql.BlackKarasinski, trigger = None)
qlCoxIngersollRoss(r0: float = 0.01, theta: float = 0.1, k: float = 0.1, sigma: float = 0.1, trigger = None)
qlExtendedCoxIngersollRoss(term_structure: ql.YieldTermStructureHandle, theta: float = 0.1, k: float = 0.1, sigma: float = 0.1, x0: float = 0.05, trigger = None)
qlExtendedCoxIngersollRossTermStructure(model: ql.ExtendedCoxIngersollRoss, trigger = None)
qlG2Model(term_structure: ql.YieldTermStructureHandle, a: float = 0.1, sigma: float = 0.01, b: float = 0.1, eta: float = 0.01, rho: float = -0.75, trigger = None)
qlG2TermStructure(model: ql.G2, trigger = None)
qlG2Discount(model: ql.G2, t: float, trigger = None)
qlG2DiscountBond(model: ql.G2, now: float, maturity: float, factors: xlo.Array(dims=1), trigger = None)
qlG2DiscountBondOption(model: ql.G2, option_type: qOptionType, strike: float, maturity: float, bond_maturity: float, trigger = None)
qlJamshidianSwaptionEngine(model: ql.OneFactorAffineModel, term_structure: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlTreeSwaptionEngine(model: ql.ShortRateModel, time_steps: int, term_structure: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlTreeSwaptionEngine2(model: ql.ShortRateModel, grid: xlo.Array(dims=1), term_structure: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlAnalyticCapFloorEngine(model: ql.OneFactorAffineModel, term_structure: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlTreeCapFloorEngine(model: ql.ShortRateModel, time_steps: int, term_structure: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlTreeCapFloorEngine2(model: ql.ShortRateModel, grid: xlo.Array(dims=1), term_structure: ql.YieldTermStructureHandle = ql.YieldTermStructureHandle(), trigger = None)
qlG2SwaptionEngine(model: ql.G2, range_: float, intervals: int, trigger = None)
qlFdG2SwaptionEngine(model: ql.G2, t_grid: int = 100, x_grid: int = 50, y_grid: int = 50, damping_steps: int = 0, inv_eps: float = 1e-5, scheme_desc: ql.FdmSchemeDesc = ql.FdmSchemeDesc.Hundsdorfer(), trigger = None)
qlFdHullWhiteSwaptionEngine(model: ql.HullWhite, t_grid: int = 100, x_grid: int = 100, damping_steps: int = 0, inv_eps: float = 1e-5, scheme_desc: ql.FdmSchemeDesc = ql.FdmSchemeDesc.Douglas(), trigger = None)
qlAnalyticBSMHullWhiteEngine(equity_short_rate_correlation: float, process: ql.GeneralizedBlackScholesProcess, model: ql.HullWhite, trigger = None)
Stochasticprocess¶
qGJRGARCHProcessDiscretization(discretization: str)
qHestonProcessDiscretization(discretization: str)
qlStochasticProcessSize(process: ql.StochasticProcess, trigger = None)
qlStochasticProcessFactors(process: ql.StochasticProcess, trigger = None)
qlStochasticProcessInitialValues(process: ql.StochasticProcess, trigger = None)
qlStochasticProcessDrift(process: ql.StochasticProcess, t: float, x: xlo.Array(dims=1), trigger = None)
qlStochasticProcessDiffusion(process: ql.StochasticProcess, t: float, x: xlo.Array(dims=1), trigger = None)
qlStochasticProcessExpectation(process: ql.StochasticProcess, t0: float, x0: xlo.Array(dims=1), dt: float, trigger = None)
qlStochasticProcessStdDeviation(process: ql.StochasticProcess, t0: float, x0: xlo.Array(dims=1), dt: float, trigger = None)
qlStochasticProcessCovariance(process: ql.StochasticProcess, t0: float, x0: xlo.Array(dims=1), dt: float, trigger = None)
qlStochasticProcessEvolve(process: ql.StochasticProcess, t0: float, x0: xlo.Array(dims=1), dt: float, dw: xlo.Array(dims=1), trigger = None)
qlStochasticProcess1DX0(process: ql.StochasticProcess1D, trigger = None)
qlStochasticProcess1DDrift(process: ql.StochasticProcess1D, t: float, x: float, trigger = None)
qlStochasticProcess1DDiffusion(process: ql.StochasticProcess1D, t: float, x: float, trigger = None)
qlStochasticProcess1DExpectation(process: ql.StochasticProcess1D, t0: float, x0: float, dt: float, trigger = None)
qlStochasticProcess1DStdDeviation(process: ql.StochasticProcess1D, t0: float, x0: float, dt: float, trigger = None)
qlStochasticProcess1DVariance(process: ql.StochasticProcess1D, t0: float, x0: float, dt: float, trigger = None)
qlStochasticProcess1DEvolve(process: ql.StochasticProcess1D, t0: float, x0: float, dt: float, dw: float, trigger = None)
qlStochasticProcess1DApply(process: ql.StochasticProcess1D, x0: float, dx: float, trigger = None)
qlGeneralizedBlackScholesProcess(s0: qQuoteHandle, dividend_ts: ql.YieldTermStructureHandle, risk_free_ts: ql.YieldTermStructureHandle, vol_ts: ql.BlackVolTermStructureHandle, local_vol_ts: ql.LocalVolTermStructureHandle = None, trigger = None)
qlGeneralizedBlackScholesProcessStateVariable(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlGeneralizedBlackScholesProcessDividendYield(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlGeneralizedBlackScholesProcessRiskFreeRate(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlGeneralizedBlackScholesProcessBlackVolatility(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlGeneralizedBlackScholesProcessLocalVolatility(process: ql.GeneralizedBlackScholesProcess, trigger = None)
qlBlackScholesProcess(s0: qQuoteHandle, risk_free_ts: ql.YieldTermStructureHandle, vol_ts: ql.BlackVolTermStructureHandle, trigger = None)
qlBlackScholesMertonProcess(s0: qQuoteHandle, dividend_ts: ql.YieldTermStructureHandle, risk_free_ts: ql.YieldTermStructureHandle, vol_ts: ql.BlackVolTermStructureHandle, trigger = None)
qlBlackProcess(s0: qQuoteHandle, risk_free_ts: ql.YieldTermStructureHandle, vol_ts: ql.BlackVolTermStructureHandle, trigger = None)
qlGarmanKohlagenProcess(s0: qQuoteHandle, foreign_risk_free_ts: ql.YieldTermStructureHandle, domestic_risk_free_ts: ql.YieldTermStructureHandle, vol_ts: ql.BlackVolTermStructureHandle, trigger = None)
qlMerton76Process(state_variable: qQuoteHandle, dividend_ts: ql.YieldTermStructureHandle, risk_free_ts: ql.YieldTermStructureHandle, vol_ts: ql.BlackVolTermStructureHandle, jump_intensity: qQuoteHandle, mean_log_jump: qQuoteHandle, jump_volatility: qQuoteHandle, trigger = None)
qlStochasticProcessArray(array: xlo.Array(dims=1), correlation: xlo.Array(dims=2), trigger = None)
qlGeometricBrownianMotionProcess(initial_value: float, mu: float, sigma: float, trigger = None)
qlVarianceGammaProcess(s0: qQuoteHandle, dividend_yield: ql.YieldTermStructureHandle, risk_free_rate: ql.YieldTermStructureHandle, sigma: float, nu: float, theta: float, trigger = None)
qlHestonProcess(risk_free_ts: ql.YieldTermStructureHandle, dividend_ts: ql.YieldTermStructureHandle, s0: qQuoteHandle, v0: float, kappa: float, theta: float, sigma: float, rho: float, discretization: qHestonProcessDiscretization = ql.HestonProcess.QuadraticExponentialMartingale, trigger = None)
qlHestonProcessS0(process: ql.HestonProcess, trigger = None)
qlHestonProcessDividendYield(process: ql.HestonProcess, trigger = None)
qlHestonProcessRiskFreeRate(process: ql.HestonProcess, trigger = None)
qlBatesProcess(risk_free_rate: ql.YieldTermStructureHandle, dividend_yield: ql.YieldTermStructureHandle, s0: qQuoteHandle, v0: float, kappa: float, theta: float, sigma: float, rho: float, lambda_parameter: float, nu: float, delta: float, trigger = None)
qlHullWhiteProcess(risk_free_ts: ql.YieldTermStructureHandle, a: float, sigma: float, trigger = None)
qlHullWhiteForwardProcess(risk_free_ts: ql.YieldTermStructureHandle, a: float, sigma: float, trigger = None)
qlHullWhiteForwardProcessAlpha(process: ql.HullWhiteForwardProcess, t: float, trigger = None)
qlHullWhiteForwardProcessMT(process: ql.HullWhiteForwardProcess, s: float, t: float, t_measure: float, trigger = None)
qlHullWhiteForwardProcessB(process: ql.HullWhiteForwardProcess, s: float, t: float, trigger = None)
qlHullWhiteForwardProcessSetForwardMeasureTime(process: ql.HullWhiteForwardProcess, t: float, trigger = None)
qlG2Process(a: float, sigma: float, b: float, eta: float, rho: float, trigger = None)
qlG2ForwardProcess(a: float, sigma: float, b: float, eta: float, rho: float, trigger = None)
qlG2ForwardProcessSetForwardMeasureTime(process: ql.G2ForwardProcess, t: float, trigger = None)
qlGsrProcess(times: xlo.Array(dims=1), vols: xlo.Array(dims=1), reversions: xlo.Array(dims=1), t: float = 60.0, trigger = None)
qlGsrProcessSigma(process: ql.GsrProcess, t: float, trigger = None)
qlGsrProcessReversion(process: ql.GsrProcess, t: float, trigger = None)
qlGsrProcessY(process: ql.GsrProcess, t: float, trigger = None)
qlGsrProcessG(process: ql.GsrProcess, t: float, T: float, x: float, trigger = None)
qlGsrProcessSetForwardMeasureTime(process: ql.GsrProcess, t: float, trigger = None)
qlOrnsteinUhlenbeckProcess(speed: float, vol: float, x0: float = 0.0, level: float = 0.0, trigger = None)
qlOrnsteinUhlenbeckProcessSpeed(process: ql.OrnsteinUhlenbeckProcess, trigger = None)
qlOrnsteinUhlenbeckProcessVolatility(process: ql.OrnsteinUhlenbeckProcess, trigger = None)
qlOrnsteinUhlenbeckProcessLevel(process: ql.OrnsteinUhlenbeckProcess, trigger = None)
qlExtendedOrnsteinUhlenbeckProcess(speed: float, sigma: float, x0: float, function, int_eps: float = 1.0e-4, trigger = None)
qlExtendedOrnsteinUhlenbeckProcessConstantFunction(x: float)
qlExtOUWithJumpsProcess(process: ql.ExtendedOrnsteinUhlenbeckProcess, Y0: float, beta: float, jump_intensity: float, eta: float, trigger = None)
qlKlugeExtOUProcess(rho: float, kluge: ql.ExtOUWithJumpsProcess, ext_ou: ql.ExtendedOrnsteinUhlenbeckProcess, trigger = None)
qlGJRGARCHProcess(risk_free_rate: ql.YieldTermStructureHandle, dividend_yield: ql.YieldTermStructureHandle, s0: qQuoteHandle, v0: float, omega: float, alpha: float, beta: float, gamma: float, lambda_parameter: float, days_per_year: float = 252.0, discretization: qGJRGARCHProcessDiscretization = ql.GJRGARCHProcess.FullTruncation, trigger = None)
qlGJRGARCHProcessS0(process: ql.GJRGARCHProcess, trigger = None)
qlGJRGARCHProcessDividendYield(process: ql.GJRGARCHProcess, trigger = None)
qlGJRGARCHProcessRiskFreeRate(process: ql.GJRGARCHProcess, trigger = None)
Swap¶
qSwapType(swap_type: str | int | float)
qlSwap(first_leg: xlo.Array(dims=1), second_leg: xlo.Array(dims=1), trigger = None)
qlSwap2(legs: xlo.Array(dims=1), payer: xlo.Array(dims=1), trigger = None)
qlSwapNumberOfLegs(swap: ql.Swap, trigger = None)
qlSwapStartDate(swap: ql.Swap, trigger = None)
qlSwapMaturityDate(swap: ql.Swap, trigger = None)
qlSwapLeg(swap: ql.Swap, i: int, trigger = None)
qlSwapLegNPV(swap: ql.Swap, j: int, trigger = None)
qlSwapLegBPS(swap: ql.Swap, k: int, trigger = None)
qlSwapStartDiscounts(swap: ql.Swap, j: int, trigger = None)
qlSwapEndDiscounts(swap: ql.Swap, j: int, trigger = None)
qlSwapNpvDateDiscount(swap: ql.Swap, trigger = None)
qlSwapPayer(swap: ql.Swap, j: int, trigger = None)
qlFixedVsFloatingSwapType(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapNominal(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapNominals(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapFixedNominals(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapFixedSchedule(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapFixedRate(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapFixedDayCount(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapFloatingNominals(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapFloatingSchedule(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapIborIndex(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapSpread(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapFloatingDayCount(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapPaymentConvention(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapFixedLeg(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapFloatingLeg(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapFixedLegBPS(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapFixedLegNPV(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapFairRate(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapFloatingLegBPS(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapFloatingLegNPV(swap: ql.FixedVsFloatingSwap, trigger = None)
qlFixedVsFloatingSwapFairSpread(swap: ql.FixedVsFloatingSwap, trigger = None)
qlVanillaSwap(type: qSwapType, nominal: float, fixed_schedule: ql.Schedule, fixed_rate: float, fixed_day_count: qDayCounter, float_schedule: ql.Schedule, index: ql.IborIndex, spread: float, floating_day_count: qDayCounter, payment_convention = None, with_indexed_coupons = None, trigger = None)
qlMakeVanillaSwap(swap_tenor: qPeriod, ibor_index: ql.IborIndex, fixed_rate = None, forward_start: qPeriod = ql.Period(0, ql.Days), receive_fixed = None, swap_type = None, nominal = None, settlement_days = None, effective_date = None, termination_date = None, date_generation_rule = None, payment_convention = None, fixed_leg_tenor = None, fixed_leg_calendar = None, fixed_leg_convention = None, fixed_leg_termination_date_convention = None, fixed_leg_date_gen_rule = None, fixed_leg_end_of_month = None, fixed_leg_first_date = None, fixed_leg_next_to_last_date = None, fixed_leg_day_count = None, floating_leg_tenor = None, floating_leg_calendar = None, floating_leg_convention = None, floating_leg_termination_date_convention = None, floating_leg_date_gen_rule = None, floating_leg_end_of_month = None, floating_leg_first_date = None, floating_leg_next_to_last_date = None, floating_leg_day_count = None, floating_leg_spread = None, discounting_term_structure = None, pricing_engine = None, indexed_coupons = None, at_par_coupons = None, maturity_end_of_month = None, trigger = None)
qlNonstandardSwap(type: qSwapType, fixed_nominal: xlo.Array(dims=1), floating_nominal: xlo.Array(dims=1), fixed_schedule: ql.Schedule, fixed_rate: xlo.Array(dims=1), fixed_day_count: qDayCounter, float_schedule: ql.Schedule, index: ql.IborIndex, gearing: xlo.Array(dims=1), spread: xlo.Array(dims=1), float_day_count: qDayCounter, intermediate_capital_exchange: bool = False, final_capital_exchange: bool = False, payment_convention: qBusinessDayConvention = ql.Following, trigger = None)
qlNonstandardSwapType(swap: ql.NonstandardSwap, trigger = None)
qlNonstandardSwapFixedNominal(swap: ql.NonstandardSwap, trigger = None)
qlNonstandardSwapFloatingNominal(swap: ql.NonstandardSwap, trigger = None)
qlNonstandardSwapFixedSchedule(swap: ql.NonstandardSwap, trigger = None)
qlNonstandardSwapFixedRate(swap: ql.NonstandardSwap, trigger = None)
qlNonstandardSwapFixedDayCount(swap: ql.NonstandardSwap, trigger = None)
qlNonstandardSwapFloatingSchedule(swap: ql.NonstandardSwap, trigger = None)
qlNonstandardSwapIborIndex(swap: ql.NonstandardSwap, trigger = None)
qlNonstandardSwapSpread(swap: ql.NonstandardSwap, trigger = None)
qlNonstandardSwapGearing(swap: ql.NonstandardSwap, trigger = None)
qlNonstandardSwapSpreads(swap: ql.NonstandardSwap, trigger = None)
qlNonstandardSwapGearings(swap: ql.NonstandardSwap, trigger = None)
qlNonstandardSwapFloatingDayCount(swap: ql.NonstandardSwap, trigger = None)
qlNonstandardSwapPaymentConvention(swap: ql.NonstandardSwap, trigger = None)
qlNonstandardSwapFixedLeg(swap: ql.NonstandardSwap, trigger = None)
qlNonstandardSwapFloatingLeg(swap: ql.NonstandardSwap, trigger = None)
qlDiscountingSwapEngine(discount_curve: ql.YieldTermStructureHandle, include_settlement_date_flows: bool, settlement_date: qDate = ql.Date(), npv_date: qDate = ql.Date(), trigger = None)
qlDiscountingSwapEngine2(discount_curve: ql.YieldTermStructureHandle, settlement_date: qDate = ql.Date(), npv_date: qDate = ql.Date(), trigger = None)
qlAssetSwap(pay_fixed_rate: bool, bond: ql.Bond, bond_clean_price: float, index: ql.IborIndex, spread: float, float_schedule: ql.Schedule = ql.Schedule(), floating_day_count = None, par_asset_swap: bool = True, gearing: float = 1.0, non_par_repayment: float = 0, deal_maturity: qDate = ql.Date(), trigger = None)
qlAssetSwapFairCleanPrice(swap: ql.AssetSwap, trigger = None)
qlAssetSwapFairSpread(swap: ql.AssetSwap, trigger = None)
qlFloatFloatSwap(type: qSwapType, nominal1: xlo.Array(dims=1), nominal2: xlo.Array(dims=1), schedule1: ql.Schedule, index1: ql.InterestRateIndex, day_count1: qDayCounter, schedule2: ql.Schedule, index2: ql.InterestRateIndex, day_count2: qDayCounter, intermediate_capital_exchange: bool = False, final_capital_exchange: bool = False, gearing1: xlo.Array(dims=1) = None, spread1: xlo.Array(dims=1) = None, capped_rate1: xlo.Array(dims=1) = None, floored_rate1: xlo.Array(dims=1) = None, gearing2: xlo.Array(dims=1) = None, spread2: xlo.Array(dims=1) = None, capped_rate2: xlo.Array(dims=1) = None, floored_rate2: xlo.Array(dims=1) = None, payment_convention1: qBusinessDayConvention = ql.Following, payment_convention2: qBusinessDayConvention = ql.Following, trigger = None)
qlFloatFloatSwapFairSpread1(swap: ql.FloatFloatSwap, trigger = None)
qlFloatFloatSwapFairSpread2(swap: ql.FloatFloatSwap, trigger = None)
qlOvernightIndexedSwap(type: qSwapType, nominal: float, schedule: ql.Schedule, fixed_rate: float, fixed_dc: qDayCounter, index: ql.OvernightIndex, spread: float, payment_lag: int, payment_adjustment: qBusinessDayConvention, payment_calendar: qCalendar, telescopic_value_dates: bool = False, averaging_method: qRateAveragingType = ql.RateAveraging.Compound, lookback_days: int = ql.nullInt(), lockout_days: int = 0, apply_observation_shift: bool = False, trigger = None)
qlOvernightIndexedSwap2(type: qSwapType, fixed_nominals: xlo.Array(dims=1), fixed_schedule: ql.Schedule, fixed_rate: float, fixed_dc: qDayCounter, overnight_nominals: xlo.Array(dims=1), overnight_schedule: ql.Schedule, overnight_index: ql.OvernightIndex, spread: float, payment_lag: int, payment_adjustment: qBusinessDayConvention, payment_calendar: qCalendar, telescopic_value_dates: bool = False, averaging_method: qRateAveragingType = ql.RateAveraging.Compound, lookback_days: int = ql.nullInt(), lockout_days: int = 0, apply_observation_shift: bool = False, trigger = None)
qlOvernightIndexedSwapOvernightLegBPS(swap: ql.OvernightIndexedSwap, trigger = None)
qlOvernightIndexedSwapOvernightLegNPV(swap: ql.OvernightIndexedSwap, trigger = None)
qlOvernightIndexedSwapPaymentFrequency(swap: ql.OvernightIndexedSwap, trigger = None)
qlOvernightIndexedSwapOvernightIndex(swap: ql.OvernightIndexedSwap, trigger = None)
qlOvernightIndexedSwapOvernightLeg(swap: ql.OvernightIndexedSwap, trigger = None)
qlOvernightIndexedSwapAveragingMethod(swap: ql.OvernightIndexedSwap, trigger = None)
qlOvernightIndexedSwapLookbackDays(swap: ql.OvernightIndexedSwap, trigger = None)
qlOvernightIndexedSwapLockoutDays(swap: ql.OvernightIndexedSwap, trigger = None)
qlOvernightIndexedSwapApplyObservationShift(swap: ql.OvernightIndexedSwap, trigger = None)
qlMakeOIS(swap_tenor: qPeriod, overnight_index: ql.OvernightIndex, fixed_rate: float = None, fwd_start: qPeriod = ql.Period(0, ql.Days), receive_fixed = None, swap_type = None, nominal = None, settlement_days = None, effective_date = None, termination_date = None, date_generation_rule = None, fixed_leg_rule = None, overnight_leg_rule = None, payment_frequency = None, fixed_leg_payment_frequency = None, overnight_leg_payment_frequency = None, payment_adjustment_convention = None, payment_lag = None, payment_calendar = None, calendar = None, fixed_leg_calendar = None, overnight_leg_calendar = None, convention = None, fixed_leg_convention = None, overnight_leg_convention = None, termination_date_convention = None, fixed_leg_termination_date_convention = None, overnight_leg_termination_date_convention = None, end_of_month = None, fixed_leg_end_of_month = None, overnight_leg_end_of_month = None, fixed_leg_day_count = None, overnight_leg_spread = None, discounting_term_structure = None, telescopic_value_dates = None, averaging_method = None, lookback_days = None, lockout_days = None, pricing_engine = None, maturity_end_of_month = None, trigger = None)
qlMultipleResetsSwap(type: qSwapType, nominal: float, fixed_schedule: ql.Schedule, fixed_rate: float, fixed_day_count: qDayCounter, full_reset_schedule: ql.Schedule, ibor_index: ql.IborIndex, resets_per_coupon: int, spread: float = 0.0, averaging_method: qRateAveragingType = ql.RateAveraging.Compound, payment_convention = None, payment_lag: int = 0, payment_calendar = None, trigger = None)
qlMakeMultipleResetsSwap(swap_tenor: qPeriod, ibor_index: ql.IborIndex, resets_per_coupon: int, receive_fixed = None, swap_type = None, nominal = None, fixed_rate = None, settlement_days = None, effective_date = None, termination_date = None, forward_start = None, fixed_leg_frequency = None, fixed_leg_day_count = None, fixed_leg_convention = None, floating_leg_spread = None, averaging_method = None, discounting_term_structure = None, pricing_engine = None, trigger = None)
qlMultipleResetsSwapFullResetSchedule(swap: ql.MultipleResetsSwap, trigger = None)
qlMultipleResetsSwapResetsPerCoupon(swap: ql.MultipleResetsSwap, trigger = None)
qlMultipleResetsSwapAveragingMethod(swap: ql.MultipleResetsSwap, trigger = None)
qlOvernightIndexedSwapIndex(family_name: str, tenor: qPeriod, settlement_days: int, currency: qCurrency, overnight_index: ql.OvernightIndex, telescopic_value_dates: bool = False, averaging_method: qRateAveragingType = ql.RateAveraging.Compound, trigger = None)
qlOvernightIndexedSwapIndexOvernightIndex(index: ql.OvernightIndexedSwapIndex, trigger = None)
qlOvernightIndexedSwapIndexUnderlyingSwap(index: ql.OvernightIndexedSwapIndex, fixing_date: qDate, trigger = None)
qlAsOvernightSwapIndex(index: ql.InterestRateIndex, trigger = None)
qlZeroCouponSwap(type: qSwapType, base_nominal: float, start_date: qDate, maturity_date: qDate, fixed_payment: float, ibor_index: ql.IborIndex, payment_calendar: qCalendar, payment_convention: qBusinessDayConvention = ql.Following, payment_delay: int = 0, trigger = None)
qlZeroCouponSwap2(type: qSwapType, base_nominal: float, start_date: qDate, maturity_date: qDate, fixed_rate: float, fixed_day_counter: qDayCounter, ibor_index: ql.IborIndex, payment_calendar: qCalendar, payment_convention: qBusinessDayConvention = ql.Following, payment_delay: int = 0, trigger = None)
qlZeroCouponSwapType(swap: ql.ZeroCouponSwap, trigger = None)
qlZeroCouponSwapBaseNominal(swap: ql.ZeroCouponSwap, trigger = None)
qlZeroCouponSwapIborIndex(swap: ql.ZeroCouponSwap, trigger = None)
qlZeroCouponSwapFixedLeg(swap: ql.ZeroCouponSwap, trigger = None)
qlZeroCouponSwapFloatingLeg(swap: ql.ZeroCouponSwap, trigger = None)
qlZeroCouponSwapFixedPayment(swap: ql.ZeroCouponSwap, trigger = None)
qlZeroCouponSwapFixedLegNPV(swap: ql.ZeroCouponSwap, trigger = None)
qlZeroCouponSwapFloatingLegNPV(swap: ql.ZeroCouponSwap, trigger = None)
qlZeroCouponSwapFairFixedPayment(swap: ql.ZeroCouponSwap, trigger = None)
qlZeroCouponSwapFairFixedRate(swap: ql.ZeroCouponSwap, day_counter: qDayCounter, trigger = None)
qlEquityTotalReturnSwap(type: qSwapType, nominal: float, schedule: ql.Schedule, equity_index: ql.EquityIndex, interest_rate_index: ql.IborIndex, day_counter: qDayCounter, margin: float, gearing: float, payment_calendar: qCalendar, payment_convention: qBusinessDayConvention = ql.Unadjusted, payment_delay: int = 0, trigger = None)
qlEquityTotalReturnSwapType(swap: ql.EquityTotalReturnSwap, trigger = None)
qlEquityTotalReturnSwapNominal(swap: ql.EquityTotalReturnSwap, trigger = None)
qlEquityTotalReturnSwapEquityIndex(swap: ql.EquityTotalReturnSwap, trigger = None)
qlEquityTotalReturnSwapInterestRateIndex(swap: ql.EquityTotalReturnSwap, trigger = None)
qlEquityTotalReturnSwapSchedule(swap: ql.EquityTotalReturnSwap, trigger = None)
qlEquityTotalReturnSwapDayCounter(swap: ql.EquityTotalReturnSwap, trigger = None)
qlEquityTotalReturnSwapMargin(swap: ql.EquityTotalReturnSwap, trigger = None)
qlEquityTotalReturnSwapGearing(swap: ql.EquityTotalReturnSwap, trigger = None)
qlEquityTotalReturnSwapPaymentCalendar(swap: ql.EquityTotalReturnSwap, trigger = None)
qlEquityTotalReturnSwapPaymentConvention(swap: ql.EquityTotalReturnSwap, trigger = None)
qlEquityTotalReturnSwapPaymentDelay(swap: ql.EquityTotalReturnSwap, trigger = None)
qlEquityTotalReturnSwapEquityLeg(swap: ql.EquityTotalReturnSwap, trigger = None)
qlEquityTotalReturnSwapInterestRateLeg(swap: ql.EquityTotalReturnSwap, trigger = None)
qlEquityTotalReturnSwapEquityLegNPV(swap: ql.EquityTotalReturnSwap, trigger = None)
qlEquityTotalReturnSwapInterestRateLegNPV(swap: ql.EquityTotalReturnSwap, trigger = None)
qlEquityTotalReturnSwapFairMargin(swap: ql.EquityTotalReturnSwap, trigger = None)
Swaption¶
qSettlementType(s: str)
qSettlementMethod(s: str)
qSwaptionPriceType(s: str)
qCashAnnuityModel(s: str)
qlSwaption(swap: ql.FixedVsFloatingSwap, exercise: ql.Exercise, settlement_type: qSettlementType = ql.Settlement.Physical, settlement_method: qSettlementMethod = ql.Settlement.PhysicalOTC, trigger = None)
qlSwaptionSettlementType(swaption: ql.Swaption, trigger = None)
qlSwaptionSettlementMethod(swaption: ql.Swaption, trigger = None)
qlSwaptionType(swaption: ql.Swaption, trigger = None)
qlSwaptionUnderlying(swaption: ql.Swaption, trigger = None)
qlSwaptionImpliedVolatility(swaption: ql.Swaption, price: float, discount_curve: ql.YieldTermStructureHandle, guess: float, accuracy: float = 1.0e-4, max_evaluations: int = 100, min_vol: float = 1.0e-7, max_vol: float = 4.0, volatility_type: qVolatilityType = ql.ShiftedLognormal, displacement: float = 0.0, price_type: qSwaptionPriceType = ql.Swaption.Spot, trigger = None)
qlSwaptionVega(swaption: ql.Swaption, trigger = None)
qlSwaptionDelta(swaption: ql.Swaption, trigger = None)
qlSwaptionAnnuity(swaption: ql.Swaption, trigger = None)
qlSwaptionForwardPrice(swaption: ql.Swaption, trigger = None)
qlNonstandardSwaption(swap: ql.NonstandardSwap, exercise: ql.Exercise, settlement_type: qSettlementType = ql.Settlement.Physical, settlement_method: qSettlementMethod = ql.Settlement.PhysicalOTC, trigger = None)
qlNonstandardSwaptionUnderlyingSwap(swaption: ql.NonstandardSwaption, trigger = None)
qlNonstandardSwaptionProbabilities(swaption: ql.NonstandardSwaption, trigger = None)
qlNonstandardSwaptionCalibrationBasket(swaption: ql.NonstandardSwaption, swap_index, swaption_volatility: ql.SwaptionVolatilityStructureHandle, type_str: str = “Naive”, trigger = None)
qlFloatFloatSwaption(swap, exercise, delivery: qSettlementType = ql.Settlement.Physical, settlement_method: qSettlementMethod = ql.Settlement.PhysicalOTC, trigger = None)
qlFloatFloatSwaptionUnderlyingSwap(swaption: ql.FloatFloatSwaption, trigger = None)
qlFloatFloatSwaptionUnderlyingValue(swaption: ql.FloatFloatSwaption, trigger = None)
qlFloatFloatSwaptionProbabilities(swaption: ql.FloatFloatSwaption, trigger = None)
qlFloatFloatSwaptionCalibrationBasket(swaption: ql.FloatFloatSwaption, swap_index, swaption_volatility: ql.SwaptionVolatilityStructureHandle, type_str: str = “Naive”, trigger = None)
qlBlackSwaptionEngine(discount_curve: ql.YieldTermStructureHandle, swaption_volatility: ql.SwaptionVolatilityStructureHandle, model: qCashAnnuityModel = ql.BlackSwaptionEngine.DiscountCurve, trigger = None)
qlBlackSwaptionEngineFromQuote(discount_curve: ql.YieldTermStructureHandle, volatility: qQuoteHandle, day_counter: qDayCounter = ql.Actual365Fixed(), displacement: float = 0.0, model: qCashAnnuityModel = ql.BlackSwaptionEngine.DiscountCurve, trigger = None)
qlBachelierSwaptionEngine(discount_curve: ql.YieldTermStructureHandle, swaption_volatility: ql.SwaptionVolatilityStructureHandle, model: qCashAnnuityModel = ql.BachelierSwaptionEngine.DiscountCurve, trigger = None)
qlBachelierSwaptionEngineFromQuote(discount_curve: ql.YieldTermStructureHandle, volatility: qQuoteHandle, day_counter: qDayCounter = ql.Actual365Fixed(), model: qCashAnnuityModel = ql.BachelierSwaptionEngine.DiscountCurve, trigger = None)
qlMakeSwaption(swap_index: ql.SwapIndex, option_tenor: qPeriod, strike = None, nominal = None, settlement_type = None, settlement_method = None, option_convention = None, exercise_date = None, underlying_type = None, exercise_calendar = None, pricing_engine = None, indexed_coupons = None, at_par_coupons = None, trigger = None)
Termstructures¶
qCompounding(compounding: str)
qlTermStructureDayCounter(ytsh: ql.YieldTermStructureHandle, trigger = None)
qlTermStructureTimeFromReference(ytsh: ql.YieldTermStructureHandle, date: qDate, trigger = None)
qlTermStructureCalendar(ytsh: ql.YieldTermStructureHandle, trigger = None)
qlTermStructureReferenceDate(ytsh: ql.YieldTermStructureHandle, trigger = None)
qlTermStructureMaxDate(ytsh: ql.YieldTermStructureHandle, trigger = None)
qlTermStructureMaxTime(ytsh: ql.YieldTermStructureHandle)
qlTermStructureEnableExrapolation(ytsh: ql.YieldTermStructureHandle, trigger = None)
qlTermStructureDisableExrapolation(ytsh: ql.YieldTermStructureHandle, trigger = None)
qlTermStructureAllowsExtrapolation(ytsh: ql.YieldTermStructureHandle, trigger = None)
qlYieldTermStructureDiscount(ytsh: ql.YieldTermStructureHandle, date: qDate, extrapolate: bool = False, trigger = None)
qlYieldTermStructureDiscountFromTime(ytsh: ql.YieldTermStructureHandle, time: float, extrapolate: bool = False, trigger = None)
qlYieldTermStructureZeroRate(ytsh: ql.YieldTermStructureHandle, date: qDate, daycounter: qDayCounter, compounding: qCompounding, frequency: qFrequency, extrapolate: bool = False, trigger = None)
qlYieldTermStructureZeroRateFromTime(ytsh: ql.YieldTermStructureHandle, time: float, compounding: qCompounding, frequency: qFrequency, extrapolate: bool = False, trigger = None)
qlYieldTermStructureForwardRate(ytsh: ql.YieldTermStructureHandle, date1: qDate, date2: qDate, daycounter: qDayCounter, compounding: qCompounding, frequency: qFrequency, extrapolate: bool = False, trigger = None)
qlYieldTermStructureForwardRateFromTime(ytsh: ql.YieldTermStructureHandle, time1: float, time2: float, compounding: qCompounding, frequency: qFrequency, extrapolate: bool = False, trigger = None)
qlFlatForward(reference_date: qDate, forward_rate: float, daycounter: qDayCounter, compounding: qCompounding = ql.Continuous, frequency: qFrequency = ql.Annual, trigger = None)
qlFlatForward2(settlement_days: int, calendar: qCalendar, forward_rate: float, daycounter: qDayCounter, compounding: qCompounding = ql.Continuous, frequency: qFrequency = ql.Annual, trigger = None)
qlImpliedTermStructure(ytsh: ql.YieldTermStructureHandle, reference_date: qDate, trigger = None)
qlZeroSpreadedTermStructure(base: ql.YieldTermStructureHandle, spread: float, compounding: qCompounding = ql.Continuous, frequency: qFrequency = ql.NoFrequency, daycounter = None, trigger = None)
qlForwardSpreadedTermStructure(base: ql.YieldTermStructureHandle, spread: float, trigger = None)
qlCompositeZeroYieldStructure(curve1: ql.YieldTermStructureHandle, curve2: ql.YieldTermStructureHandle, operator: str, trigger = None)
qlUltimateForwardTermStructure(ytsh: ql.YieldTermStructureHandle, last_liquid_forward: float, ultimate_forward: float, first_smoothing_point: ql.Period, alpha: float, rounding_digits: int = None, compounding: qCompounding = ql.Compounded, frequency: qFrequency = ql.Annual, trigger = None)
qlPiecewiseZeroSpreadedTermStructure(base_curve: ql.YieldTermStructureHandle, spreads: xlo.Array(dims=1), dates: xlo.Array(dims=1), compounding: qCompounding = ql.Continuous, frequency: qFrequency = ql.NoFrequency, daycounter = None, trigger = None)
qlSpreadedLinearZeroInterpolatedTermStructure(base_curve: ql.YieldTermStructureHandle, spreads: xlo.Array(dims=1), dates: xlo.Array(dims=1), compounding: qCompounding = ql.Continuous, frequency: qFrequency = ql.NoFrequency, daycounter = None, trigger = None)
qlSpreadedBackwardFlatZeroInterpolatedTermStructure(base_curve: ql.YieldTermStructureHandle, spreads: xlo.Array(dims=1), dates: xlo.Array(dims=1), compounding: qCompounding = ql.Continuous, frequency: qFrequency = ql.NoFrequency, daycounter = None, trigger = None)
qlSpreadedCubicZeroInterpolatedTermStructure(base_curve: ql.YieldTermStructureHandle, spreads: xlo.Array(dims=1), dates: xlo.Array(dims=1), compounding: qCompounding = ql.Continuous, frequency: qFrequency = ql.NoFrequency, daycounter = None, trigger = None)
qlSpreadedKrugerZeroInterpolatedTermStructure(base_curve: ql.YieldTermStructureHandle, spreads: xlo.Array(dims=1), dates: xlo.Array(dims=1), compounding: qCompounding = ql.Continuous, frequency: qFrequency = ql.NoFrequency, daycounter = None, trigger = None)
qlSpreadedSplineCubicZeroInterpolatedTermStructure(base_curve: ql.YieldTermStructureHandle, spreads: xlo.Array(dims=1), dates: xlo.Array(dims=1), compounding: qCompounding = ql.Continuous, frequency: qFrequency = ql.NoFrequency, daycounter = None, trigger = None)
qlSpreadedParabolicCubicZeroInterpolatedTermStructure(base_curve: ql.YieldTermStructureHandle, spreads: xlo.Array(dims=1), dates: xlo.Array(dims=1), compounding: qCompounding = ql.Continuous, frequency: qFrequency = ql.NoFrequency, daycounter = None, trigger = None)
qlSpreadedMonotonicParabolicCubicZeroInterpolatedTermStructure(base_curve: ql.YieldTermStructureHandle, spreads: xlo.Array(dims=1), dates: xlo.Array(dims=1), compounding: qCompounding = ql.Continuous, frequency: qFrequency = ql.NoFrequency, daycounter = None, trigger = None)
qlPiecewiseForwardSpreadedTermStructure(base_curve: ql.YieldTermStructureHandle, spreads: xlo.Array(dims=1), dates: xlo.Array(dims=1), daycounter = None, trigger = None)
qlPiecewiseLinearForwardSpreadedTermStructure(base_curve: ql.YieldTermStructureHandle, spreads: xlo.Array(dims=1), dates: xlo.Array(dims=1), daycounter = None, trigger = None)
qlQuantoTermStructure(underlying_dividend_ts: ql.YieldTermStructureHandle, risk_free_ts: ql.YieldTermStructureHandle, foreign_risk_free_ts: ql.YieldTermStructureHandle, underlying_black_vol_ts: ql.BlackVolTermStructureHandle, strike: float, exch_rate_black_vol_ts: ql.BlackVolTermStructureHandle, exch_rate_atm_level: float, underlying_exch_rate_correlation: float, trigger = None)
Volatilities¶
qVolatilityType(s: str)
qBlackVolTimeExtrapolation(s: str)
qlBlackVolTermStructureMinStrike(vol_tsh: ql.BlackVolTermStructureHandle, trigger = None)
qlBlackVolTermStructureMaxStrike(vol_tsh: ql.BlackVolTermStructureHandle, trigger = None)
qlBlackVolTermStructureBlackVol(vol_tsh: ql.BlackVolTermStructureHandle, expiry_date: qDate, strike: float, extrapolate: bool = False, trigger = None)
qlBlackVolTermStructureBlackVolFromTime(vol_tsh: ql.BlackVolTermStructureHandle, expiry_time: float, strike: float, extrapolate: bool = False, trigger = None)
qlBlackVolTermStructureBlackVariance(vol_tsh: ql.BlackVolTermStructureHandle, expiry_date: qDate, strike: float, extrapolate: bool = False, trigger = None)
qlBlackVolTermStructureBlackVarianceFromTime(vol_tsh: ql.BlackVolTermStructureHandle, expiry_time: float, strike: float, extrapolate: bool = False, trigger = None)
qlBlackVolTermStructureBlackForwardVol(vol_tsh: ql.BlackVolTermStructureHandle, date_start: qDate, date_end: qDate, strike: float, extrapolate: bool = False, trigger = None)
qlBlackVolTermStructureBlackForwardVolFromTime(vol_tsh: ql.BlackVolTermStructureHandle, time_start: float, time_end: float, strike: float, extrapolate: bool = False, trigger = None)
qlBlackVolTermStructureBlackForwardVariance(vol_tsh: ql.BlackVolTermStructureHandle, date_start: qDate, date_end: qDate, strike: float, extrapolate: bool = False, trigger = None)
qlBlackVolTermStructureBlackForwardVarianceFromTime(vol_tsh: ql.BlackVolTermStructureHandle, time_start: float, time_end: float, strike: float, extrapolate: bool = False, trigger = None)
qlBlackConstantVol(reference_date: qDate, calendar: qCalendar, volatility: float, day_counter: qDayCounter, trigger = None)
qlBlackVarianceCurve(reference_date: qDate, dates: xlo.Array(dims=1), volatilities: xlo.Array(dims=1), day_counter: qDayCounter, force_monotone_variance: bool = True, time_extrapolation_type: qBlackVolTimeExtrapolation = ql.BlackVolTimeExtrapolation.FlatVolatility, trigger = None)
qlLocalVolTermStructureLocalVol(vol_tsh: ql.LocalVolTermStructureHandle, expiry_date: qDate, strike: float, extrapolate: bool = False, trigger = None)
qlLocalVolTermStructureLocalVolFromTime(vol_tsh: ql.LocalVolTermStructureHandle, expiry_time: float, strike: float, extrapolate: bool = False, trigger = None)
qlOptionletVolatilityStructureVolatility(vol_tsh: ql.OptionletVolatilityStructureHandle, option_date: qDate, strike: float, extrapolate: bool = False, trigger = None)
qlOptionletVolatilityStructureVolatilityFromTime(vol_tsh: ql.OptionletVolatilityStructureHandle, option_time: float, strike: float, extrapolate: bool = False, trigger = None)
qlOptionletVolatilityStructureBlackVariance(vol_tsh: ql.OptionletVolatilityStructureHandle, option_date: qDate, strike: float, extrapolate: bool = False, trigger = None)
qlOptionletVolatilityStructureBlackVarianceFromTime(vol_tsh: ql.OptionletVolatilityStructureHandle, option_time: float, strike: float, extrapolate: bool = False, trigger = None)
qlConstantOptionletVolatility(reference_date: qDate, calendar: qCalendar, business_day_convention: qBusinessDayConvention, volatility: qQuoteHandle, day_counter: qDayCounter, volatility_type: qVolatilityType = ql.ShiftedLognormal, shift: float = 0.0, trigger = None)
qlYoYOptionletVolatilitySurfaceObservationLag(vol_tsh: ql.YoYOptionletVolatilitySurfaceHandle, trigger = None)
qlYoYOptionletVolatilitySurfaceFrequency(vol_tsh: ql.YoYOptionletVolatilitySurfaceHandle, trigger = None)
qlYoYOptionletVolatilitySurfaceIndexIsInterpolated(vol_tsh: ql.YoYOptionletVolatilitySurfaceHandle, trigger = None)
qlYoYOptionletVolatilitySurfaceBaseDate(vol_tsh: ql.YoYOptionletVolatilitySurfaceHandle, trigger = None)
qlYoYOptionletVolatilitySurfaceTimeFromBaseDate(vol_tsh: ql.YoYOptionletVolatilitySurfaceHandle, date: ql.Date, trigger = None)
qlYoYOptionletVolatilitySurfaceMinStrike(vol_tsh: ql.YoYOptionletVolatilitySurfaceHandle, trigger = None)
qlYoYOptionletVolatilitySurfaceMaxStrike(vol_tsh: ql.YoYOptionletVolatilitySurfaceHandle, trigger = None)
qlYoYOptionletVolatilitySurfaceBaseLevel(vol_tsh: ql.YoYOptionletVolatilitySurfaceHandle, trigger = None)
qlYoYOptionletVolatilitySurfaceVolatility(vol_tsh: ql.YoYOptionletVolatilitySurfaceHandle, maturity_date: qDate, strike: float, observation_lag: qPeriod = ql.Period(-1, ql.Days), extrapolate: bool = False, trigger = None)
qlYoYOptionletVolatilitySurfaceVolatilityFromTime(vol_tsh: ql.YoYOptionletVolatilitySurfaceHandle, maturity_time: float, strike: float, observation_lag: qPeriod = ql.Period(-1, ql.Days), extrapolate: bool = False, trigger = None)
qlYoYOptionletVolatilitySurfaceTotalVariance(vol_tsh: ql.YoYOptionletVolatilitySurfaceHandle, exercise_date: qDate, strike: float, observation_lag: qPeriod = ql.Period(-1, ql.Days), extrapolate: bool = False, trigger = None)
qlYoYOptionletVolatilitySurfaceTotalVarianceFromTime(vol_tsh: ql.YoYOptionletVolatilitySurfaceHandle, exercise_time: float, strike: float, observation_lag: qPeriod = ql.Period(-1, ql.Days), extrapolate: bool = False, trigger = None)
qlSwaptionVolatilityStructureVolatility(vol_tsh: ql.SwaptionVolatilityStructureHandle, option_date: qDate, swap_tenor: qPeriod, strike: float, extrapolate: bool = False, trigger = None)
qlSwaptionVolatilityStructureVolatilityFromTime(vol_tsh: ql.SwaptionVolatilityStructureHandle, option_time: float, swap_length: float, strike: float, extrapolate: bool = False, trigger = None)
qlSwaptionVolatilityStructureBlackVariance(vol_tsh: ql.SwaptionVolatilityStructureHandle, option_date: qDate, swap_tenor: qPeriod, strike: float, extrapolate: bool = False, trigger = None)
qlSwaptionVolatilityStructureBlackVarianceFromTime(vol_tsh: ql.SwaptionVolatilityStructureHandle, option_time: float, swap_length: float, strike: float, extrapolate: bool = False, trigger = None)
qlSwaptionVolatilityStructureOptionDateFromTenor(vol_tsh: ql.SwaptionVolatilityStructureHandle, option_tenor: qPeriod, trigger = None)
qlSwaptionVolatilityStructureShift(vol_tsh: ql.SwaptionVolatilityStructureHandle, option_date: qDate, swap_tenor: qPeriod, extrapolate: bool = False, trigger = None)
qlSwaptionVolatilityStructureShiftFromTime(vol_tsh: ql.SwaptionVolatilityStructureHandle, option_time: float, swap_length: float, extrapolate: bool = False, trigger = None)
qlSwaptionVolatilityStructureSmileSection(vol_tsh: ql.SwaptionVolatilityStructureHandle, option_date: qDate, swap_tenor: qPeriod, extrapolate: bool = False, trigger = None)
qlSwaptionVolatilityStructureSmileSectionFromTime(vol_tsh: ql.SwaptionVolatilityStructureHandle, option_time: float, swap_length: float, extrapolate: bool = False, trigger = None)
qlConstantSwaptionVolatility(reference_date: qDate, calendar: qCalendar, business_day_convention: qBusinessDayConvention, volatility: qQuoteHandle, day_counter: qDayCounter, volatility_type: qVolatilityType = ql.ShiftedLognormal, shift: float = 0.0, trigger = None)
qlSwaptionVolatilityMatrix(reference_date: qDate, expiry_dates: xlo.Array(dims=1), lengths: xlo.Array(dims=1), vols: xlo.Array(dims=2), day_counter: qDayCounter, flat_extrapolation: bool = False, volatility_type: qVolatilityType = ql.ShiftedLognormal, shifts: xlo.Array(dims=2) = None, trigger = None)