functions to construct and use Abcd objects.
The first step is to load the QuantLib package.
In[2]:=
Needs["QuantLib`"]
Within the ABCD part there are several constructors and member functions available
In[5]:=
Select[Category[Abcd],QLConstructor[#]&]
Out[5]=
In[6]:=
Select[Category[Abcd],QLMember[#]&]
Out[6]=
In[7]:=
Select[Category[Abcd],QLProcedure[#]&]
Out[7]=
AbcdFunction
obj=AbcdFunction[]
AbcdCalibration
In[22]:=
In[21]:=
obj=AbcdCalibration[CTimes,BlackVols]
Out[21]=
AbcdFunctionInstantaneousValue
AbcdFunctionInstantaneousValue[obj,U]
AbcdFunctionInstantaneousCovariance
AbcdFunctionInstantaneousCovariance[obj,U,T,S]
AbcdFunctionInstantaneousVariance
AbcdFunctionInstantaneousVariance[obj,U,T]
AbcdFunctionInstantaneousVolatility
AbcdFunctionInstantaneousVolatility[obj,U,T]
AbcdFunctionCovariance
AbcdFunctionCovariance[obj,TMin,TMax,T,S]
AbcdFunctionVariance
AbcdFunctionVariance[obj,TMin,TMax,T]
AbcdFunctionVolatility
AbcdFunctionVolatility[obj,TMin,TMax,T]
AbcdFunctionShortTermVolatility
AbcdFunctionShortTermVolatility[obj]
AbcdFunctionLongTermVolatility
AbcdFunctionLongTermVolatility[obj]
AbcdFunctionMaximumLocation
AbcdFunctionMaximumLocation[obj]
AbcdFunctionMaximumVolatility
AbcdFunctionMaximumVolatility[obj]
AbcdFunctionA
AbcdFunctionA[obj]
AbcdFunctionB
AbcdFunctionB[obj]
AbcdFunctionC
AbcdFunctionC[obj]
AbcdFunctionD
AbcdFunctionD[obj]
AbcdDFunction
AbcdDFunction[obj]
AbcdCalibrationCompute
AbcdCalibrationCompute[obj]
AbcdCalibrationK
AbcdCalibrationK[obj,Times,BlackVols]
AbcdCalibrationError
AbcdCalibrationError[obj]
AbcdCalibrationMaxError
AbcdCalibrationMaxError[obj]
AbcdCalibrationEndCriteria
AbcdCalibrationEndCriteria[obj]
AbcdCalibrationA
AbcdCalibrationA[obj]
AbcdCalibrationB
AbcdCalibrationB[obj]
AbcdCalibrationC
AbcdCalibrationC[obj]
AbcdCalibrationD
AbcdCalibrationD[obj]
