CouponVectors

functions to construct and use Leg objects.

The first step is to load the QuantLib package.

Needs["QuantLib`"]

Within the CouponVectors part there are several constructors and member functions available

In[55]:=

Select[Category[CouponVectors],QLConstructor[#]&]

Out[55]=

CouponVectors.HTML_1.gif

In[56]:=

Select[Category[CouponVectors],QLMember[#]&]

Out[56]=

CouponVectors.HTML_2.gif

In[57]:=

Select[Category[CouponVectors],QLProcedure[#]&]

Out[57]=

CouponVectors.HTML_3.gif

Constructors

FixedRateLeg

CouponVectors.HTML_4.gif

CouponVectors.HTML_5.gif

In[50]:=

CouponVectors.HTML_6.gif

In[54]:=

obj=FixedRateLeg[Nominals,ScheduleID,Coupons,DayCounter]

Out[54]=

CouponVectors.HTML_7.gif

IborLeg

CouponVectors.HTML_8.gif

CouponVectors.HTML_9.gif

CouponVectors.HTML_10.gif

obj=IborLeg[Nominals,ScheduleID,DayCounter,IborIndexID]

DigitalIborLeg

CouponVectors.HTML_11.gif

CouponVectors.HTML_12.gif

CouponVectors.HTML_13.gif

obj=DigitalIborLeg[Nominals,ScheduleID,DayCounter,IborIndex,CallSpecs,PutSpecs,Replication]

CmsLeg

CouponVectors.HTML_14.gif

CouponVectors.HTML_15.gif

CouponVectors.HTML_16.gif

obj=CmsLeg[Nominals,ScheduleID,DayCounter,SwapIndex]

DigitalCmsLeg

CouponVectors.HTML_17.gif

CouponVectors.HTML_18.gif

CouponVectors.HTML_19.gif

obj=DigitalCmsLeg[Nominals,ScheduleID,DayCounter,SwapIndex,CallSpecs,PutSpecs,Replication]

RangeAccrualLeg

CouponVectors.HTML_20.gif

CouponVectors.HTML_21.gif

CouponVectors.HTML_22.gif

obj=RangeAccrualLeg[Nominals,ScheduleID,DayCounter,IborIndex,ObservationsTenor]

CmsZeroLeg

CouponVectors.HTML_23.gif

CouponVectors.HTML_24.gif

CouponVectors.HTML_25.gif

obj=CmsZeroLeg[Nominals,ScheduleID,DayCounter,SwapIndex]

IborCouponPricer

CouponVectors.HTML_26.gif

CouponVectors.HTML_27.gif

obj=IborCouponPricer[Volatility,IborCouponPricerType]

CmsCouponPricer

CouponVectors.HTML_28.gif

CouponVectors.HTML_29.gif

obj=CmsCouponPricer[Volatility,CmsCouponPricerType,YieldCurveModel,MeanReversion]

ConundrumPricerByNumericalIntegration

CouponVectors.HTML_30.gif

CouponVectors.HTML_31.gif

CouponVectors.HTML_32.gif

obj=ConundrumPricerByNumericalIntegration[SwaptionVol,YieldCurveModel,MeanReversion]

DigitalReplication

CouponVectors.HTML_33.gif

CouponVectors.HTML_34.gif

CouponVectors.HTML_35.gif

obj=DigitalReplication[Replication]

Member function

ConundrumPricerByNumericalIntegrationUpperLimit

ConundrumPricerByNumericalIntegrationUpperLimit[obj]

Spikey Created with Wolfram Mathematica 7.0