Module quantmath::facade

Modules

c_interface
handle

Structs

Fmt

Functions

assert_approx_eq_reports	Checks that the two supplied JSON strings are sufficiently close, given the tolerances. The strings should contain vectors of reports.
calculate	Performs a calculation, outputting the price, and writing any reports that are requested.
currency_from_json	A currency in QuantMath normally represents a literal currency such as USD. For simplicity we recommend that only major currencies are used. Thus a penny is represented as 0.01 GBP rather than 1 gbp. Currencies may also be used to represent some precious metal commodities such a XAU.
fixing_table_from_json	A FixingTable contains historical fixings for one or more assets, defined by Date and time of day.
instrument_from_json	An instrument in QuantMath represents any tradable item. At simplest, it can be a currency, zero coupon bond, equity or commodity. At most complex, it can be a dynamic index or complex exotic product.
market_data_from_json	MarketData contains all the live market data required for pricing. This is spots, yield and borrow curves, dividends, volatilities, and correlations. You can instantiate a MarketData as here by deserializing it from json. It may be more efficient to instantiate it directly, by using methods in the data module.
pricer_factory_from_json	A PricerFactory is used to create pricers, given an instrument to price and a fixing table. It contains enough information to define how the pricing is done, for example whether it is Monte-Carlo, how many paths, and which model to use.
report_generator_from_json	A ReportGenerator takes a pricer and bumps and revalues it to generate a report of sensitivities to market data changes.
reports_from_json	Reports are normally generated by the calculate function, but this method allows us to reconstitute a vector of reports from its json representation, for example for testing or distribution.
write_results	Unpacks a set of calculation results to the given stream. For example, they may be written to a string buffer or to a file.