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lballabio merged 1 commit into from
Jan 13, 2026
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Update reference docs for v1.41 #17

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9 changes: 6 additions & 3 deletions _includes/LICENSE.TXT
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Expand Up @@ -102,7 +102,7 @@ Copyright (C) 2012 Samuel Tebege
Copyright (C) 2012 Simon Shakeshaft
Copyright (C) 2012 Édouard Tallent
Copyright (C) 2012, 2013 Grzegorz Andruszkiewicz
Copyright (C) 2012, 2013, 2014, 2015, 2016, 2017, 2018, 2023, 2024 Peter Caspers
Copyright (C) 2012, 2013, 2014, 2015, 2016, 2017, 2018, 2023, 2024, 2025 Peter Caspers

Copyright (C) 2013 BGC Partners L.P.
Copyright (C) 2013 Chris Higgs
Expand All @@ -127,7 +127,7 @@ Copyright (C) 2016 Nicholas Bertocchi
Copyright (C) 2016 Stefano Fondi
Copyright (C) 2016, 2017 Fabrice Lecuyer
Copyright (C) 2016, 2019, 2020 Eisuke Tani
Copyright (C) 2016, 2022 Quaternion Risk Management Ltd
Copyright (C) 2016, 2020, 2022 Quaternion Risk Management Ltd

Copyright (C) 2017 BN Algorithms Ltd
Copyright (C) 2017 Joseph Jeisman
Expand All @@ -152,7 +152,7 @@ Copyright (C) 2020 Leonardo Arcari
Copyright (C) 2020 Piotr Siejda
Copyright (C) 2020, 2021 Jack Gillett
Copyright (C) 2020, 2021 Lew Wei Hao
Copyright (C) 2020, 2021, 2022, 2023 Marcin Rybacki
Copyright (C) 2020, 2021, 2022, 2023, 2025 Marcin Rybacki

Copyright (C) 2021 Anubhav Pandey
Copyright (C) 2021 Magnus Mencke
Expand All @@ -171,9 +171,12 @@ Copyright (C) 2023 Paul Xi Cao
Copyright (C) 2024 Jacques du Toit
Copyright (C) 2024 Jongbong An

Copyright (C) 2025 Eugene Toder
Copyright (C) 2025 Hiroto Ogawa
Copyright (C) 2025 Kareem Fareed
Copyright (C) 2025 Paolo D'Elia
Copyright (C) 2025 Sotirios Papathanasopoulos
Copyright (C) 2025 Uzair Beg
Copyright (C) 2025 William Day

QuantLib includes code taken from Peter Jäckel's book "Monte Carlo
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8 changes: 4 additions & 4 deletions reference/_basket_losses_8cpp-example.html
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Expand Down Expand Up @@ -32,15 +32,15 @@
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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 1.40</div>
<div id="projectnumber">Reference manual - version 1.41</div>
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62 changes: 31 additions & 31 deletions reference/_bermudan_swaption_8cpp-example.html
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58 changes: 29 additions & 29 deletions reference/_bonds_8cpp-example.html
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8 changes: 4 additions & 4 deletions reference/_c_d_s_8cpp-example.html
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<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 1.40</div>
<div id="projectnumber">Reference manual - version 1.41</div>
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34 changes: 17 additions & 17 deletions reference/_c_v_a_i_r_s_8cpp-example.html
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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 1.40</div>
<div id="projectnumber">Reference manual - version 1.41</div>
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Expand Down Expand Up @@ -150,7 +150,7 @@
<div class="line"> Size tenorsSwapMkt[] = {5, 10, 15, 20, 25, 30};</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// rates ignoring counterparty risk:</span></div>
<div class="line"> <a id="_a5" name="_a5"></a><a class="code hl_typedef" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> ratesSwapmkt[] = {.03249, .04074, .04463, .04675, .04775, .04811};</div>
<div class="line"> Rate ratesSwapmkt[] = {.03249, .04074, .04463, .04675, .04775, .04811};</div>
<div class="line"> </div>
<div class="line"> vector&lt;ext::shared_ptr&lt;RateHelper&gt;&gt; swapHelpers;</div>
<div class="line"> swapHelpers.reserve(<span class="keyword">sizeof</span>(tenorsSwapMkt)/<span class="keyword">sizeof</span>(Size));</div>
Expand All @@ -159,17 +159,17 @@
<div class="line"> makeQuoteHandle(ratesSwapmkt[i]),</div>
<div class="line"> tenorsSwapMkt[i] * Years,</div>
<div class="line"> <a class="code hl_class" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(),</div>
<div class="line"> <a id="_a6" name="_a6"></a><a class="code hl_enumvalue" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>,</div>
<div class="line"> <a id="_a7" name="_a7"></a><a class="code hl_enumvalue" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <a id="_a8" name="_a8"></a><a class="code hl_class" href="class_quant_lib_1_1_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::ISDA),</div>
<div class="line"> <a id="_a5" name="_a5"></a><a class="code hl_enumvalue" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>,</div>
<div class="line"> <a id="_a6" name="_a6"></a><a class="code hl_enumvalue" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <a id="_a7" name="_a7"></a><a class="code hl_class" href="class_quant_lib_1_1_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::ISDA),</div>
<div class="line"> yieldIndx));</div>
<div class="line"> </div>
<div class="line"> <span class="keyword">auto</span> swapTS = ext::make_shared&lt;PiecewiseYieldCurve&lt;Discount, LogLinear&gt;&gt;(</div>
<div class="line"> 2, <a class="code hl_class" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), swapHelpers, <a class="code hl_class" href="class_quant_lib_1_1_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::ISDA));</div>
<div class="line"> swapTS-&gt;enableExtrapolation();</div>
<div class="line"> </div>
<div class="line"> <span class="keyword">auto</span> riskFreeEngine = ext::make_shared&lt;DiscountingSwapEngine&gt;(</div>
<div class="line"> <a id="_a9" name="_a9"></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>(swapTS));</div>
<div class="line"> <a id="_a8" name="_a8"></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>(swapTS));</div>
<div class="line"> </div>
<div class="line"> std::vector&lt;Handle&lt;DefaultProbabilityTermStructure&gt;&gt;</div>
<div class="line"> defaultIntensityTS;</div>
Expand All @@ -193,23 +193,23 @@
<div class="line"> </div>
<div class="line"> <span class="keywordflow">for</span>(Size i=0; i&lt;<span class="keyword">sizeof</span>(defaultTenors)/<span class="keyword">sizeof</span>(Size); i++) {</div>
<div class="line"> defaultTSDates.push_back(<a class="code hl_class" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>().advance(todaysDate, </div>
<div class="line"> <a id="_a10" name="_a10"></a><a class="code hl_class" href="class_quant_lib_1_1_period.html">Period</a>(defaultTenors[i], Months)));</div>
<div class="line"> <a id="_a9" name="_a9"></a><a class="code hl_class" href="class_quant_lib_1_1_period.html">Period</a>(defaultTenors[i], Months)));</div>
<div class="line"> intesitiesVLow.push_back(intensitiesLow[i]);</div>
<div class="line"> intesitiesVMedium.push_back(intensitiesMedium[i]);</div>
<div class="line"> intesitiesVHigh.push_back(intensitiesHigh[i]);</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> defaultIntensityTS.emplace_back(</div>
<div class="line"> ext::make_shared&lt;<a id="_a11" name="_a11"></a><a class="code hl_class" href="class_quant_lib_1_1_interpolated_hazard_rate_curve.html" title="DefaultProbabilityTermStructure based on interpolation of hazard rates.">InterpolatedHazardRateCurve&lt;BackwardFlat&gt;</a>&gt;(defaultTSDates, intesitiesVLow,</div>
<div class="line"> <a id="_a12" name="_a12"></a><a class="code hl_class" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(), <a class="code hl_class" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>()));</div>
<div class="line"> ext::make_shared&lt;<a id="_a10" name="_a10"></a><a class="code hl_class" href="class_quant_lib_1_1_interpolated_hazard_rate_curve.html" title="DefaultProbabilityTermStructure based on interpolation of hazard rates.">InterpolatedHazardRateCurve&lt;BackwardFlat&gt;</a>&gt;(defaultTSDates, intesitiesVLow,</div>
<div class="line"> <a id="_a11" name="_a11"></a><a class="code hl_class" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(), <a class="code hl_class" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>()));</div>
<div class="line"> defaultIntensityTS.emplace_back(</div>
<div class="line"> ext::make_shared&lt;<a class="code hl_class" href="class_quant_lib_1_1_interpolated_hazard_rate_curve.html" title="DefaultProbabilityTermStructure based on interpolation of hazard rates.">InterpolatedHazardRateCurve&lt;BackwardFlat&gt;</a>&gt;(defaultTSDates, intesitiesVMedium,</div>
<div class="line"> <a class="code hl_class" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(), <a class="code hl_class" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>()));</div>
<div class="line"> defaultIntensityTS.emplace_back(</div>
<div class="line"> ext::make_shared&lt;<a class="code hl_class" href="class_quant_lib_1_1_interpolated_hazard_rate_curve.html" title="DefaultProbabilityTermStructure based on interpolation of hazard rates.">InterpolatedHazardRateCurve&lt;BackwardFlat&gt;</a>&gt;(defaultTSDates, intesitiesVHigh,</div>
<div class="line"> <a class="code hl_class" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(), <a class="code hl_class" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>()));</div>
<div class="line"> </div>
<div class="line"> <a id="_a13" name="_a13"></a><a class="code hl_typedef" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3" title="volatility">Volatility</a> blackVol = 0.15; </div>
<div class="line"> Volatility blackVol = 0.15; </div>
<div class="line"> <span class="keyword">auto</span> ctptySwapCvaLow = ext::make_shared&lt;CounterpartyAdjSwapEngine&gt;(</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;YieldTermStructure&gt;</a>(swapTS), </div>
<div class="line"> blackVol,</div>
Expand All @@ -236,15 +236,15 @@
<div class="line"> <span class="comment">// fixed leg</span></div>
<div class="line"> Frequency fixedLegFrequency = <a class="code hl_enumvalue" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>;</div>
<div class="line"> BusinessDayConvention fixedLegConvention = <a class="code hl_enumvalue" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>;</div>
<div class="line"> <a id="_a14" name="_a14"></a><a class="code hl_class" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> fixedLegDayCounter = <a class="code hl_class" href="class_quant_lib_1_1_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::ISDA);</div>
<div class="line"> <a id="_a12" name="_a12"></a><a class="code hl_class" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> fixedLegDayCounter = <a class="code hl_class" href="class_quant_lib_1_1_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::ISDA);</div>
<div class="line"> <a class="code hl_class" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> floatingLegDayCounter = <a class="code hl_class" href="class_quant_lib_1_1_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::ISDA);</div>
<div class="line"> </div>
<div class="line"> <a id="_a15" name="_a15"></a><a class="code hl_enumeration" href="class_quant_lib_1_1_swap.html#a1d1cfd8ffb84e947f82999c682b666a7">Swap::Type</a> swapType = Swap::Payer;</div>
<div class="line"> <a id="_a13" name="_a13"></a><a class="code hl_enumeration" href="class_quant_lib_1_1_swap.html#a1d1cfd8ffb84e947f82999c682b666a7">Swap::Type</a> swapType = Swap::Payer;</div>
<div class="line"> <span class="keyword">auto</span> yieldIndxS = ext::make_shared&lt;Euribor3M&gt;(<a class="code hl_class" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle&lt;YieldTermStructure&gt;</a>(swapTS));</div>
<div class="line"> std::vector&lt;VanillaSwap&gt; riskySwaps;</div>
<div class="line"> riskySwaps.reserve(<span class="keyword">sizeof</span>(tenorsSwapMkt)/<span class="keyword">sizeof</span>(Size));</div>
<div class="line"> <span class="keywordflow">for</span>(Size i=0; i&lt;<span class="keyword">sizeof</span>(tenorsSwapMkt)/<span class="keyword">sizeof</span>(Size); i++) </div>
<div class="line"> riskySwaps.push_back(<a id="_a16" name="_a16"></a><a class="code hl_class" href="class_quant_lib_1_1_make_vanilla_swap.html" title="helper class">MakeVanillaSwap</a>(tenorsSwapMkt[i]*Years,</div>
<div class="line"> riskySwaps.push_back(<a id="_a14" name="_a14"></a><a class="code hl_class" href="class_quant_lib_1_1_make_vanilla_swap.html" title="helper class">MakeVanillaSwap</a>(tenorsSwapMkt[i]*Years,</div>
<div class="line"> yieldIndxS,</div>
<div class="line"> ratesSwapmkt[i], </div>
<div class="line"> 0*Days)</div>
Expand All @@ -271,7 +271,7 @@
<div class="line"> cout &lt;&lt; tenorsSwapMkt[i];</div>
<div class="line"> cout &lt;&lt; setw(5);</div>
<div class="line"> </div>
<div class="line"> cout &lt;&lt; <span class="stringliteral">&quot; | &quot;</span> &lt;&lt; <a id="_a17" name="_a17"></a><a class="code hl_function" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(nonRiskyFair);</div>
<div class="line"> cout &lt;&lt; <span class="stringliteral">&quot; | &quot;</span> &lt;&lt; <a id="_a15" name="_a15"></a><a class="code hl_function" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(nonRiskyFair);</div>
<div class="line"> cout &lt;&lt; fixed &lt;&lt; setprecision(2);</div>
<div class="line"> cout &lt;&lt; setw(5);</div>
<div class="line"> <span class="comment">// Low Risk:</span></div>
Expand Down Expand Up @@ -311,7 +311,7 @@
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