1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>ql/models/marketmodels/historicalforwardratesanalysis.hpp File Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="185" height="50" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 1.2</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.7.6.1 -->
</div>
<div class="header">
<div class="summary">
<a href="#nested-classes">Classes</a> |
<a href="#func-members">Functions</a> </div>
<div class="headertitle">
<div class="title">ql/models/marketmodels/historicalforwardratesanalysis.hpp File Reference</div> </div>
</div><!--header-->
<div class="contents">
<p>Statistical analysis of historical forward rates.
<a href="#details">More...</a></p>
<div class="textblock"><code>#include <<a class="el" href="matrix_8hpp.html">ql/math/matrix.hpp</a>></code><br/>
<code>#include <<a class="el" href="calendar_8hpp.html">ql/time/calendar.hpp</a>></code><br/>
<code>#include <<a class="el" href="iborindex_8hpp.html">ql/indexes/iborindex.hpp</a>></code><br/>
<code>#include <<a class="el" href="swapindex_8hpp.html">ql/indexes/swapindex.hpp</a>></code><br/>
<code>#include <<a class="el" href="piecewiseyieldcurve_8hpp.html">ql/termstructures/yield/piecewiseyieldcurve.hpp</a>></code><br/>
<code>#include <<a class="el" href="ratehelpers_8hpp.html">ql/termstructures/yield/ratehelpers.hpp</a>></code><br/>
<code>#include <<a class="el" href="simplequote_8hpp.html">ql/quotes/simplequote.hpp</a>></code><br/>
<code>#include <<a class="el" href="sequencestatistics_8hpp.html">ql/math/statistics/sequencestatistics.hpp</a>></code><br/>
<code>#include <<a class="el" href="date_8hpp.html">ql/time/date.hpp</a>></code><br/>
</div><div class="textblock"><div class="dynheader">
Include dependency graph for historicalforwardratesanalysis.hpp:</div>
<div class="dyncontent">
<div class="center"><img src="historicalforwardratesanalysis_8hpp__incl.png" border="0" usemap="#ql_2models_2marketmodels_2historicalforwardratesanalysis_8hpp" alt=""/></div>
<map name="ql_2models_2marketmodels_2historicalforwardratesanalysis_8hpp" id="ql_2models_2marketmodels_2historicalforwardratesanalysis_8hpp">
<area shape="rect" id="node3" href="matrix_8hpp.html" title="matrix used in linear algebra." alt="" coords="1320,166,1451,197"/><area shape="rect" id="node5" href="calendar_8hpp.html" title="calendar class" alt="" coords="160,166,299,197"/><area shape="rect" id="node7" href="date_8hpp.html" title="date- and time-related classes, typedefs and enumerations" alt="" coords="225,246,340,277"/><area shape="rect" id="node9" href="iborindex_8hpp.html" title="base class for Inter-Bank-Offered-Rate indexes" alt="" coords="373,86,536,117"/><area shape="rect" id="node11" href="swapindex_8hpp.html" title="swap-rate indexes" alt="" coords="560,86,731,117"/><area shape="rect" id="node13" href="piecewiseyieldcurve_8hpp.html" title="piecewise-interpolated term structure" alt="" coords="755,86,1051,117"/><area shape="rect" id="node15" href="ratehelpers_8hpp.html" title="deposit, FRA, futures, and swap rate helpers" alt="" coords="5,86,248,117"/><area shape="rect" id="node18" href="simplequote_8hpp.html" title="simple quote class" alt="" coords="1357,86,1531,117"/><area shape="rect" id="node20" href="sequencestatistics_8hpp.html" title="Statistics tools for sequence (vector, list, array) samples." alt="" coords="1075,86,1333,117"/></map>
</div>
</div><table class="memberdecls">
<tr><td colspan="2"><h2><a name="nested-classes"></a>
Classes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_historical_forward_rates_analysis_impl.html">HistoricalForwardRatesAnalysisImpl< Traits, Interpolator ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Historical correlation class <a href="class_quant_lib_1_1_historical_forward_rates_analysis_impl.html#details">More...</a><br/></td></tr>
<tr><td colspan="2"><h2><a name="func-members"></a>
Functions</h2></td></tr>
<tr><td class="memTemplParams" colspan="2"><a class="anchor" id="a8acd5172808fd91d553612d94dbce2ce"></a><!-- doxytag: member="historicalforwardratesanalysis.hpp::historicalForwardRatesAnalysis" ref="a8acd5172808fd91d553612d94dbce2ce" args="(SequenceStatistics &statistics, std::vector< Date > &skippedDates, std::vector< std::string > &skippedDatesErrorMessage, std::vector< Date > &failedDates, std::vector< std::string > &failedDatesErrorMessage, std::vector< Period > &fixingPeriods, const Date &startDate, const Date &endDate, const Period &step, const boost::shared_ptr< InterestRateIndex > &fwdIndex, const Period &initialGap, const Period &horizon, const std::vector< boost::shared_ptr< IborIndex > > &iborIndexes, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const DayCounter &yieldCurveDayCounter, Real yieldCurveAccuracy=1.0e-12, const Interpolator &i=Interpolator())" -->
template<class Traits , class Interpolator > </td></tr>
<tr><td class="memTemplItemLeft" align="right" valign="top">void </td><td class="memTemplItemRight" valign="bottom"><b>historicalForwardRatesAnalysis</b> (SequenceStatistics &statistics, std::vector< Date > &skippedDates, std::vector< std::string > &skippedDatesErrorMessage, std::vector< Date > &failedDates, std::vector< std::string > &failedDatesErrorMessage, std::vector< Period > &fixingPeriods, const Date &startDate, const Date &endDate, const Period &step, const boost::shared_ptr< InterestRateIndex > &fwdIndex, const Period &initialGap, const Period &horizon, const std::vector< boost::shared_ptr< IborIndex > > &iborIndexes, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const DayCounter &yieldCurveDayCounter, Real yieldCurveAccuracy=1.0e-12, const Interpolator &i=Interpolator())</td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Statistical analysis of historical forward rates. </p>
</div></div><!-- contents -->
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.7.6.1
</div>
</div>
</div>
</body>
</html>
|
