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Upgrade reference to version 1.35
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lballabio committed Jul 19, 2024
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31 changes: 22 additions & 9 deletions reference/_basket_losses_8cpp-example.html
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<title>QuantLib: BasketLosses.cpp</title>
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<div id="projectname"><a href="https://www.quantlib.org">QuantLib</a>: a free/open-source library for quantitative finance
<div id="projectnumber">Reference manual - version 1.34</div>
<div id="projectnumber">Reference manual - version 1.35</div>
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<div class="line"> <span class="comment">// Sobol, many cores</span></div>
<div class="line"> <span class="keyword">auto</span> rdlmG = ext::make_shared&lt;<a id="_a10" name="_a10"></a><a class="code hl_class" href="class_quant_lib_1_1_random_default_l_m.html">RandomDefaultLM</a>&lt;<a id="_a11" name="_a11"></a><a class="code hl_struct" href="struct_quant_lib_1_1_gaussian_copula_policy.html">GaussianCopulaPolicy</a>,</div>
<div class="line"> <a id="_a12" name="_a12"></a><a class="code hl_class" href="class_quant_lib_1_1_random_sequence_generator.html" title="Random sequence generator based on a pseudo-random number generator.">RandomSequenceGenerator</a>&lt;</div>
<div class="line"> BoxMullerGaussianRng&lt;MersenneTwisterUniformRng&gt;&gt;&gt;&gt;(gLM,</div>
<div class="line"> <a id="_a13" name="_a13"></a><a class="code hl_class" href="class_quant_lib_1_1_box_muller_gaussian_rng.html" title="Gaussian random number generator.">BoxMullerGaussianRng&lt;MersenneTwisterUniformRng&gt;</a>&gt;&gt;&gt;(gLM,</div>
<div class="line"> recoveries, numSimulations, 1.e-6, 2863311530UL);</div>
<div class="line"> <span class="comment">//auto rdlmG = ext::make_shared&lt;RandomDefaultLM&lt;GaussianCopulaPolicy&gt;&gt;(gLM,</span></div>
<div class="line"> <span class="comment">// recoveries, numSimulations, 1.e-6, 2863311530);</span></div>
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<div class="line"> </div>
<div class="line"> <span class="comment">// --- StudentT Random model ---------------------</span></div>
<div class="line"> <span class="comment">// Sobol, many cores</span></div>
<div class="line"> <span class="keyword">auto</span> rdlmT = ext::make_shared&lt;<a class="code hl_class" href="class_quant_lib_1_1_random_default_l_m.html">RandomDefaultLM</a>&lt;<a id="_a13" name="_a13"></a><a class="code hl_class" href="class_quant_lib_1_1_t_copula_policy.html" title="Student-T Latent Model&#39;s copula policy.">TCopulaPolicy</a>,</div>
<div class="line"> <span class="keyword">auto</span> rdlmT = ext::make_shared&lt;<a class="code hl_class" href="class_quant_lib_1_1_random_default_l_m.html">RandomDefaultLM</a>&lt;<a id="_a14" name="_a14"></a><a class="code hl_class" href="class_quant_lib_1_1_t_copula_policy.html" title="Student-T Latent Model&#39;s copula policy.">TCopulaPolicy</a>,</div>
<div class="line"> <a class="code hl_class" href="class_quant_lib_1_1_random_sequence_generator.html" title="Random sequence generator based on a pseudo-random number generator.">RandomSequenceGenerator</a>&lt;</div>
<div class="line"> PolarStudentTRng&lt;MersenneTwisterUniformRng&gt;&gt;&gt;&gt;(ktTLossLM,</div>
<div class="line"> <a id="_a15" name="_a15"></a><a class="code hl_class" href="class_quant_lib_1_1_polar_student_t_rng.html" title="Student t random number generator.">PolarStudentTRng&lt;MersenneTwisterUniformRng&gt;</a>&gt;&gt;&gt;(ktTLossLM,</div>
<div class="line"> recoveries, numSimulations, 1.e-6, 2863311530UL);</div>
<div class="line"> <span class="comment">//auto rdlmT = ext::make_shared&lt;RandomDefaultLM&lt;TCopulaPolicy&gt;&gt;(ktTLossLM,</span></div>
<div class="line"> <span class="comment">// recoveries, numSimulations, 1.e-6, 2863311530);</span></div>
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<div class="line"> bcLossPercentages,</div>
<div class="line"> correls,</div>
<div class="line"> <a class="code hl_class" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>());</div>
<div class="line"> Handle&lt;BaseCorrelationTermStructure&lt;BilinearInterpolation&gt;&gt; correlHandle(correlSurface);</div>
<div class="line"> <a id="_a16" name="_a16"></a><a class="code hl_class" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle&lt;BaseCorrelationTermStructure&lt;BilinearInterpolation&gt;</a>&gt; correlHandle(correlSurface);</div>
<div class="line"> <span class="keyword">auto</span> bcLMG_LHP_Bilin = ext::make_shared&lt;GaussianLHPFlatBCLM&gt;(correlHandle, recoveries,</div>
<div class="line"> GaussianCopulaPolicy::initTraits());</div>
<div class="line"> </div>
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41 changes: 27 additions & 14 deletions reference/_bermudan_swaption_8cpp-example.html
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<tr style="height: 56px;">
<td id="projectalign" style="padding-left: 0.5em;">
<div id="projectname"><a href="https://www.quantlib.org">QuantLib</a>: a free/open-source library for quantitative finance
<div id="projectnumber">Reference manual - version 1.34</div>
<div id="projectnumber">Reference manual - version 1.35</div>
</div>
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<div class="line"> </div>
<div class="line"> <span class="comment">// flat yield term structure impling 1x5 swap at 5%</span></div>
<div class="line"> <span class="keyword">auto</span> flatRate = ext::make_shared&lt;SimpleQuote&gt;(0.04875825);</div>
<div class="line"> Handle&lt;YieldTermStructure&gt; rhTermStructure(</div>
<div class="line"> <a id="_a5" name="_a5"></a><a class="code hl_class" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle&lt;YieldTermStructure&gt;</a> rhTermStructure(</div>
<div class="line"> ext::make_shared&lt;FlatForward&gt;(</div>
<div class="line"> settlementDate, Handle&lt;Quote&gt;(flatRate),</div>
<div class="line"> <a id="_a5" name="_a5"></a><a class="code hl_class" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>()));</div>
<div class="line"> settlementDate, <a class="code hl_class" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle&lt;Quote&gt;</a>(flatRate),</div>
<div class="line"> <a id="_a6" name="_a6"></a><a class="code hl_class" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>()));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Define the ATM/OTM/ITM swaps</span></div>
<div class="line"> Frequency fixedLegFrequency = <a class="code hl_enumvalue" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>;</div>
<div class="line"> BusinessDayConvention fixedLegConvention = <a class="code hl_enumvalue" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>;</div>
<div class="line"> BusinessDayConvention floatingLegConvention = <a class="code hl_enumvalue" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>;</div>
<div class="line"> <a id="_a6" name="_a6"></a><a class="code hl_class" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> fixedLegDayCounter = <a id="_a7" name="_a7"></a><a class="code hl_class" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(Thirty360::European);</div>
<div class="line"> <a id="_a7" name="_a7"></a><a class="code hl_class" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> fixedLegDayCounter = <a id="_a8" name="_a8"></a><a class="code hl_class" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(Thirty360::European);</div>
<div class="line"> Frequency floatingLegFrequency = <a class="code hl_enumvalue" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaad1a5868a1c314bb7f6ab68e2fa182b2d" title="twice a year">Semiannual</a>;</div>
<div class="line"> <a class="code hl_enumeration" href="class_quant_lib_1_1_swap.html#a1d1cfd8ffb84e947f82999c682b666a7">Swap::Type</a> type = Swap::Payer;</div>
<div class="line"> Rate dummyFixedRate = 0.03;</div>
<div class="line"> <span class="keyword">auto</span> indexSixMonths = ext::make_shared&lt;Euribor6M&gt;(rhTermStructure);</div>
<div class="line"> </div>
<div class="line"> <a class="code hl_class" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> startDate = calendar.<a id="a8" name="a8"></a><a class="code hl_function" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(settlementDate,1,Years,</div>
<div class="line"> <a class="code hl_class" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> startDate = calendar.<a id="a9" name="a9"></a><a class="code hl_function" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(settlementDate,1,Years,</div>
<div class="line"> floatingLegConvention);</div>
<div class="line"> <a class="code hl_class" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> maturity = calendar.<a class="code hl_function" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(startDate,5,Years,</div>
<div class="line"> floatingLegConvention);</div>
<div class="line"> <a id="_a9" name="_a9"></a><a class="code hl_class" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> fixedSchedule(startDate,maturity,<a id="_a10" name="_a10"></a><a class="code hl_class" href="class_quant_lib_1_1_period.html">Period</a>(fixedLegFrequency),</div>
<div class="line"> <a id="_a10" name="_a10"></a><a class="code hl_class" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> fixedSchedule(startDate,maturity,<a id="_a11" name="_a11"></a><a class="code hl_class" href="class_quant_lib_1_1_period.html">Period</a>(fixedLegFrequency),</div>
<div class="line"> calendar,fixedLegConvention,fixedLegConvention,</div>
<div class="line"> DateGeneration::Forward,<span class="keyword">false</span>);</div>
<div class="line"> <a class="code hl_class" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> floatSchedule(startDate,maturity,<a class="code hl_class" href="class_quant_lib_1_1_period.html">Period</a>(floatingLegFrequency),</div>
Expand Down Expand Up @@ -243,7 +256,7 @@
<div class="line"> swaptions.push_back(ext::make_shared&lt;SwaptionHelper&gt;(</div>
<div class="line"> swaptionMaturities[i],</div>
<div class="line"> <a class="code hl_class" href="class_quant_lib_1_1_period.html">Period</a>(swapLengths[j], Years),</div>
<div class="line"> Handle&lt;Quote&gt;(vol),</div>
<div class="line"> <a class="code hl_class" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle&lt;Quote&gt;</a>(vol),</div>
<div class="line"> indexSixMonths,</div>
<div class="line"> indexSixMonths-&gt;tenor(),</div>
<div class="line"> indexSixMonths-&gt;dayCounter(),</div>
Expand All @@ -254,7 +267,7 @@
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Building time-grid</span></div>
<div class="line"> <a id="_a11" name="_a11"></a><a class="code hl_class" href="class_quant_lib_1_1_time_grid.html" title="time grid class">TimeGrid</a> grid(times.begin(), times.end(), 30);</div>
<div class="line"> <a id="_a12" name="_a12"></a><a class="code hl_class" href="class_quant_lib_1_1_time_grid.html" title="time grid class">TimeGrid</a> grid(times.begin(), times.end(), 30);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="comment">// defining the models</span></div>
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<div class="line"> </div>
<div class="line"> <span class="keyword">auto</span> bermudanExercise = ext::make_shared&lt;BermudanExercise&gt;(bermudanDates);</div>
<div class="line"> </div>
<div class="line"> <a id="_a12" name="_a12"></a><a class="code hl_class" href="class_quant_lib_1_1_swaption.html" title="Swaption class">Swaption</a> bermudanSwaption(atmSwap, bermudanExercise);</div>
<div class="line"> <a id="_a13" name="_a13"></a><a class="code hl_class" href="class_quant_lib_1_1_swaption.html" title="Swaption class">Swaption</a> bermudanSwaption(atmSwap, bermudanExercise);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Do the pricing for each model</span></div>
<div class="line"> </div>
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