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Upgrade reference to version 1.36
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lballabio committed Oct 13, 2024
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8 changes: 4 additions & 4 deletions reference/_basket_losses_8cpp-example.html
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<title>QuantLib: BasketLosses.cpp</title>
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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 1.35</div>
<div id="projectnumber">Reference manual - version 1.36</div>
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22 changes: 11 additions & 11 deletions reference/_bermudan_swaption_8cpp-example.html
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<head>
<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
<meta http-equiv="X-UA-Compatible" content="IE=9"/>
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<title>QuantLib: BermudanSwaption.cpp</title>
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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 1.35</div>
<div id="projectnumber">Reference manual - version 1.36</div>
</div>
</td>
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</table>
</div>
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<div class="line"> </div>
<div class="line">Integer swapLengths[] = {</div>
<div class="line"> 1, 2, 3, 4, 5};</div>
<div class="line">Volatility swaptionVols[] = {</div>
<div class="line"><a class="code hl_typedef" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3" title="volatility">Volatility</a> swaptionVols[] = {</div>
<div class="line"> 0.1490, 0.1340, 0.1228, 0.1189, 0.1148,</div>
<div class="line"> 0.1290, 0.1201, 0.1146, 0.1108, 0.1040,</div>
<div class="line"> 0.1149, 0.1112, 0.1070, 0.1010, 0.0957,</div>
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<div class="line"> Size j = numCols - i -1; <span class="comment">// 1x5, 2x4, 3x3, 4x2, 5x1</span></div>
<div class="line"> Size k = i*numCols + j;</div>
<div class="line"> Real npv = swaptions[i]-&gt;modelValue();</div>
<div class="line"> Volatility implied = swaptions[i]-&gt;impliedVolatility(npv, 1e-4,</div>
<div class="line"> <a class="code hl_typedef" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3" title="volatility">Volatility</a> implied = swaptions[i]-&gt;impliedVolatility(npv, 1e-4,</div>
<div class="line"> 1000, 0.05, 0.50);</div>
<div class="line"> Volatility diff = implied - swaptionVols[k];</div>
<div class="line"> <a class="code hl_typedef" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3" title="volatility">Volatility</a> diff = implied - swaptionVols[k];</div>
<div class="line"> </div>
<div class="line"> std::cout &lt;&lt; i+1 &lt;&lt; <span class="stringliteral">&quot;x&quot;</span> &lt;&lt; swapLengths[j]</div>
<div class="line"> &lt;&lt; std::setprecision(5) &lt;&lt; std::noshowpos</div>
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<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"> <a class="code hl_typedef" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> 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="a9" name="a9"></a><a class="code hl_function" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(settlementDate,1,Years,</div>
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<div class="line"> floatSchedule, indexSixMonths, 0.0,</div>
<div class="line"> indexSixMonths-&gt;dayCounter());</div>
<div class="line"> swap-&gt;setPricingEngine(ext::make_shared&lt;DiscountingSwapEngine&gt;(rhTermStructure));</div>
<div class="line"> Rate fixedATMRate = swap-&gt;fairRate();</div>
<div class="line"> Rate fixedOTMRate = fixedATMRate * 1.2;</div>
<div class="line"> Rate fixedITMRate = fixedATMRate * 0.8;</div>
<div class="line"> <a class="code hl_typedef" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> fixedATMRate = swap-&gt;fairRate();</div>
<div class="line"> <a class="code hl_typedef" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> fixedOTMRate = fixedATMRate * 1.2;</div>
<div class="line"> <a class="code hl_typedef" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> fixedITMRate = fixedATMRate * 0.8;</div>
<div class="line"> </div>
<div class="line"> <span class="keyword">auto</span> atmSwap = ext::make_shared&lt;VanillaSwap&gt;(</div>
<div class="line"> type, 1000.0,</div>
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22 changes: 11 additions & 11 deletions reference/_bonds_8cpp-example.html
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<head>
<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
<meta http-equiv="X-UA-Compatible" content="IE=9"/>
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<title>QuantLib: Bonds.cpp</title>
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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 1.35</div>
<div id="projectnumber">Reference manual - version 1.36</div>
</div>
</td>
</tr>
</tbody>
</table>
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<div class="line"><span class="comment"> ******************************************/</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// 6m deposit</span></div>
<div class="line"> Rate d6mQuote=0.03385;</div>
<div class="line"> <a class="code hl_typedef" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> d6mQuote=0.03385;</div>
<div class="line"> <span class="comment">// swaps, fixed vs 6m</span></div>
<div class="line"> Rate s2yQuote=0.0295;</div>
<div class="line"> Rate s3yQuote=0.0323;</div>
<div class="line"> Rate s5yQuote=0.0359;</div>
<div class="line"> Rate s10yQuote=0.0412;</div>
<div class="line"> Rate s15yQuote=0.0433;</div>
<div class="line"> <a class="code hl_typedef" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s2yQuote=0.0295;</div>
<div class="line"> <a class="code hl_typedef" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s3yQuote=0.0323;</div>
<div class="line"> <a class="code hl_typedef" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s5yQuote=0.0359;</div>
<div class="line"> <a class="code hl_typedef" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s10yQuote=0.0412;</div>
<div class="line"> <a class="code hl_typedef" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s15yQuote=0.0433;</div>
<div class="line"> </div>
<div class="line"> <span class="keyword">auto</span> d6mRate = ext::make_shared&lt;SimpleQuote&gt;(d6mQuote);</div>
<div class="line"> <span class="keyword">auto</span> s2yRate = ext::make_shared&lt;SimpleQuote&gt;(s2yQuote);</div>
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<div class="line"> <span class="keyword">auto</span> pricer = ext::make_shared&lt;BlackIborCouponPricer&gt;();</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// optionLet volatilities</span></div>
<div class="line"> Volatility volatility = 0.0;</div>
<div class="line"> <a class="code hl_typedef" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3" title="volatility">Volatility</a> volatility = 0.0;</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;OptionletVolatilityStructure&gt;</a> vol;</div>
<div class="line"> vol = <a class="code hl_class" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle&lt;OptionletVolatilityStructure&gt;</a>(</div>
<div class="line"> ext::make_shared&lt;ConstantOptionletVolatility&gt;(</div>
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8 changes: 4 additions & 4 deletions reference/_c_d_s_8cpp-example.html
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<title>QuantLib: CDS.cpp</title>
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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 1.35</div>
<div id="projectnumber">Reference manual - version 1.36</div>
</div>
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