Utilities

Files
file	iborfallbackconfig.hpp
	ibor fallback configuration
file	calendaradjustmentconfig.hpp
	Interface for calendar modifications, additional holidays and business days.
file	blackscholesmodelbuilder.hpp
	builder for an array of black scholes processes
file	blackscholesmodelbuilderbase.hpp
	builder for an array of black scholes processes
file	calibrationpointcache.hpp
	cache for relevant points on curve / vol surfaces
file	localvolmodelbuilder.hpp
	builder for an array of local vol processes
file	commodityapomodelbuilder.hpp
	model builder for commodityapos
file	ast.hpp
	abstract syntax tree for payoff scripting
file	astprinter.hpp
	ast printer
file	asttoscriptconverter.hpp
	ast to script converter
file	computationgraphbuilder.hpp
	computation graph builder
file	context.hpp
	script engine context holding variable names and values
file	grammar.hpp
	payoff script grammar
file	amcmodel.hpp
	additional interface for amc enabled models
file	blackscholes.hpp
	black scholes / local vol model class for n underlyings (fx, equity or commodity)
file	dummymodel.hpp
	dummy model implementation
file	fdgaussiancam.hpp
	fd gaussian cross asset model for single underlying ir model
file	gaussiancam.hpp
	gaussian cross asset model for ir, fx, eq, com
file	gaussiancamcg.hpp
	Gaussian CAM model, cg variant.
file	model.hpp
	interface for model against which a script can be run
file	modelcg.hpp
	interface for model against which a script can be run
file	modelcgimpl.hpp
	basis implementation for a script engine model
file	modelimpl.hpp
	basis implementation for a script engine model
file	randomastgenerator.hpp
	random ast generator for testing purposes
file	safestack.hpp
	stack with safety checks and pop() that returns rvalue reference of top element
file	scriptengine.hpp
	scriptengine
file	scriptparser.hpp
	script parser
file	staticanalyser.hpp
	static script analyser
file	utilities.hpp
	some utility functions
file	value.hpp
	value type and operations
file	bondindexbuilder.hpp
	Interface for building a bond index.
file	calendarparser.hpp
	calendar parser singleton class
file	conventionsbasedfutureexpiry.hpp
	Base class for classes that perform date calculations for future contracts.
file	correlationmatrix.hpp
	configuration class for building correlation matrices
file	credit.hpp
	helper functions related to credit products
file	csvfilereader.hpp
	utility class to access CSV files
file	currencyparser.hpp
	currency parser singleton class
file	dependencies.hpp
	Utility functions for determining curve dependencies.
file	fileio.hpp
	Wrapper class for retrying file IO operations.
file	flowanalysis.hpp
	Extended QuantLib flow analysis.
file	indexnametranslator.hpp
	translates between QuantLib::Index::name() and ORE names
file	indexparser.hpp
	Map text representations to QuantLib/QuantExt types.
file	log.hpp
	Classes and functions for log message handling.
file	marketdata.hpp
	market data related utilties
file	osutils.hpp
	Various OS specific utilities.
file	parsers.hpp
	Map text representations to QuantLib/QuantExt types.
file	progressbar.hpp
	Classes for progress reporting.
file	serializationdaycounter.hpp
	support for QuantLib::DayCounter serialization
file	strike.hpp
	strike description
file	timeperiod.hpp
	non-contiguous time period handling
file	timer.hpp
	Utility function for recording times.
file	to_string.hpp
	string conversion utilities
file	vectorutils.hpp
	Utilities for sorting vectors using permutations.
file	wildcard.hpp
	utilities for wildcard handling
file	xmlutils.hpp
	XML utility functions.

Classes
class	CorrelationMatrixBuilder
class	Logger
	The Base Custom Log Handler class. More...
class	StderrLogger
	Stderr Logger. More...
class	FileLogger
	FileLogger. More...
class	BufferLogger
	BufferLogger. More...
class	IndependentLogger
	Base Log handler class that utilises Boost logging to create log sinks. More...
class	Log
	Global static Log class. More...
class	ProgressIndicator
	Abstract Base class for a Progress Indicator. More...
class	ProgressReporter
	Base class for a Progress Reporter. More...
class	SimpleProgressBar
	Simple Progress Bar. More...
class	ProgressLog
	Progress Logger that writes the progress using the LOG macro. More...
class	TimePeriod
	Handles non-contiguous time period. More...
class	xml_node< Ch >
	XML Node. More...
class	xml_document< Ch >
	XML Document. More...
class	XMLDocument
	Small XML Document wrapper class. More...
class	XMLSerializable
	Base class for all serializable classes. More...
class	XMLUtils
	XML Utilities Class. More...

Functions
bool	tryParseCdsInformation (std::string strInfo, CdsReferenceInformation &cdsInfo)
void	addMarketObjectDependencies (std::map< std::string, std::map< ore::data::MarketObject, std::set< std::string > > > *objects, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs, const std::string &baseCcy, const std::string &baseCcyDiscountCurve, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig=QuantLib::ext::make_shared< IborFallbackConfig >(IborFallbackConfig::defaultConfig()))
	Add additional curve dependencies to the given map by MarketObject.
std::string	marketObjectToCurveSpec (const MarketObject &mo, const std::string &name, const string &baseCcy, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs)
	Generate the curve spec name for a market object.
std::string	currencyToDiscountCurve (const std::string &ccy, const std::string &baseCcy, const std::string &baseCcyDiscountCurve, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs)
std::string	swapIndexDiscountCurve (const std::string &ccy, const std::string &baseCcy=std::string(), const std::string &swapIndexConvId=std::string())
	Find an appropriate discount curve for a SwapIndex if non provided.
void	buildCollateralCurveConfig (const string &curveId, const std::string &baseCcy, const std::string &baseCcyDiscountCurve, const QuantLib::ext::shared_ptr< CurveConfigurations > &curveConfigs)
std::set< std::string >	getCollateralisedDiscountCcy (const std::string &ccy, const QuantLib::ext::shared_ptr< CurveConfigurations > &curveConfigs)
const bool	isCollateralCurve (const std::string &id, std::vector< std::string > &tokens)
std::vector< std::vector< std::string > >	flowAnalysis (const QuantLib::Leg &)
	Flow Analysis.
QuantLib::ext::shared_ptr< QuantExt::FxIndex >	parseFxIndex (const string &s, const Handle< Quote > &fxSpot=Handle< Quote >(), const Handle< YieldTermStructure > &sourceYts=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &targetYts=Handle< YieldTermStructure >(), const bool useConventions=false)
	Convert std::string to QuantExt::FxIndex.
QuantLib::ext::shared_ptr< IborIndex >	parseIborIndex (const string &s, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())
	Convert std::string to QuantLib::IborIndex.
QuantLib::ext::shared_ptr< IborIndex >	parseIborIndex (const std::string &strIndex, std::string &outTenor, const QuantLib::Handle< QuantLib::YieldTermStructure > &h=QuantLib::Handle< QuantLib::YieldTermStructure >())
	Convert std::string to QuantLib::IborIndex and return the tenor string component of the index.
bool	tryParseIborIndex (const string &s, QuantLib::ext::shared_ptr< IborIndex > &index)
	Try to convert std::string to QuantLib::IborIndex.
bool	isGenericIborIndex (const string &indexName)
	Return true if the indexName is that of a generic ibor index, otherwise false.
std::pair< bool, QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > >	isInflationIndex (const std::string &indexName)
bool	isIborIndex (const std::string &indexName)
	Return true if the indexName is that of an IborIndex, otherwise false.
bool	isEquityIndex (const std::string &indexName)
	Return true if the indexName is that of an EquityIndex, otherwise false.
bool	isCommodityIndex (const std::string &indexName)
	Return true if the indexName is that of an CommodityIndex, otherwise false.
bool	isBondFuturesIndex (const std::string &indexName)
	Return true if the indexName is that of a BondFuturesIndex, otherwise false.
bool	isGenericIndex (const std::string &indexName)
QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 >	parseEquityIndex (const string &s)
	Convert std::string (e.g SP5) to QuantExt::EquityIndex.
QuantLib::ext::shared_ptr< SwapIndex >	parseSwapIndex (const string &s, const Handle< YieldTermStructure > &forwarding=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &discounting=Handle< YieldTermStructure >())
	Convert std::string to QuantLib::SwapIndex.
QuantLib::ext::shared_ptr< ZeroInflationIndex >	parseZeroInflationIndex (const string &s, const Handle< ZeroInflationTermStructure > &h=Handle< ZeroInflationTermStructure >())
	Convert std::string to QuantLib::ZeroInflationIndex.
QuantLib::ext::shared_ptr< QuantLib::Index >	parseBondIndex (const string &s)
	Convert std::string to QuantExt::BondIndex or BondFuturesIndex (if expiry is given in the name, deprecated).
QuantLib::ext::shared_ptr< QuantExt::BondFuturesIndex >	parseBondFuturesIndex (const string &s)
	Convert std::string to QuantExt::BondFuturesIndex.
QuantLib::ext::shared_ptr< QuantExt::ConstantMaturityBondIndex >	parseConstantMaturityBondIndex (const string &s)
	Convert std::string to QuantExt::ConstantMaturityBondIndex.
QuantLib::ext::shared_ptr< QuantExt::CommodityIndex >	parseCommodityIndex (const std::string &name, bool hasPrefix=true, const QuantLib::Handle< QuantExt::PriceTermStructure > &ts=QuantLib::Handle< QuantExt::PriceTermStructure >(), const QuantLib::Calendar &cal=QuantLib::NullCalendar(), const bool enforceFutureIndex=true)
QuantLib::ext::shared_ptr< QuantLib::Index >	parseGenericIndex (const string &s)
	Convert std::string (GENERIC-...) to QuantExt::Index.
QuantLib::ext::shared_ptr< Index >	parseIndex (const string &s)
	Convert std::string to QuantLib::Index.
bool	isOvernightIndex (const std::string &indexName)
	Return true if the indexName is that of an overnight index, otherwise false.
bool	isBmaIndex (const std::string &indexName)
	Return true if the indexName is that of an bma/sifma index, otherwise false.
std::string	internalIndexName (const std::string &indexName)
std::string	getOsName ()
	Returns the OS Name.
std::string	getOsVersion ()
	Returns the OS Version.
std::string	getCpuName ()
	Returns the CPU name (e.g. "Intel(R) Core(TM) i7-3720QM CPU @ 2.60GHz".
unsigned int	getNumberCores ()
	Returns the number of Cores available to the OS.
std::string	getMemoryRAM ()
	Returns the total amount of memory available (installed RAM).
std::string	getMemoryUsage ()
	Returns the current process memory usage.
std::string	getPeakMemoryUsage ()
	Returns the current process peak memory usage.
unsigned long long	getMemoryUsageBytes ()
unsigned long long	getPeakMemoryUsageBytes ()
	Returns the current process peak memory usage in bytes.
std::string	getUsername ()
	Returns the current username.
std::string	getHostname ()
	Returns the machine name.
std::string	getSystemDetails ()
	Returns all the above system details in a single string.
void	dumpStacktrace ()
	Write the current stacktrace to stderr and LOG() with level = ALERT.
void	setAssertHandler ()
	Set an assert handler that logs the stacktrace.
QuantLib::Date	parseDate (const string &s)
	Convert std::string to QuantLib::Date.
QuantLib::Real	parseReal (const string &s)
	Convert text to Real.
Real	parseRealOrNull (const string &s)
	Convert text to Real, empty string to Null<Real>().
bool	tryParseReal (const string &s, QuantLib::Real &result)
	Attempt to convert text to Real.
QuantLib::Integer	parseInteger (const string &s)
	Convert text to QuantLib::Integer.
bool	parseBool (const string &s)
	Convert text to bool.
QuantLib::Calendar	parseCalendar (const string &s)
	Convert text to QuantLib::Calendar.
QuantLib::Period	parsePeriod (const string &s)
	Convert text to QuantLib::Period.
QuantLib::BusinessDayConvention	parseBusinessDayConvention (const string &s)
	Convert text to QuantLib::BusinessDayConvention.
QuantLib::DayCounter	parseDayCounter (const string &s)
	Convert text to QuantLib::DayCounter.
QuantLib::Currency	parseCurrency (const string &s)
	Convert text to QuantLib::Currency.
QuantExt::ConfigurableCurrency::Type	parseCurrencyType (const string &s)
	Convert text to QuantExt::ConfigurableCurrency::Type (Major, Minor, Metal, Crypto).
QuantLib::Currency	parseMinorCurrency (const string &s)
	Convert text to QuantLib::Currency for minor currencies e.g GBp -> GBPCurrency().
QuantLib::Currency	parseCurrencyWithMinors (const string &s)
	Convert text to QuantLib::Currency.
std::pair< QuantLib::Currency, QuantLib::Currency >	parseCurrencyPair (const string &s, const string &delimiters)
	Convert text to std::pair<QuantLib::Currency, QuantLib::Currency>.
bool	checkCurrency (const string &code)
	check for vaid currency code, including minors and pseudo currencies
bool	isPseudoCurrency (const string &code)
	check for pseudo currency = precious metal or crypto currency *‍/
bool	isPreciousMetal (const string &code)
	check for precious metal *‍/
bool	isCryptoCurrency (const string &code)
	check for crypto currency *‍/
QuantLib::Real	convertMinorToMajorCurrency (const std::string &s, QuantLib::Real value)
	Convert a value from a minor ccy to major.
QuantLib::DateGeneration::Rule	parseDateGenerationRule (const string &s)
	Convert text to QuantLib::DateGeneration::Rule.
QuantLib::Frequency	parseFrequency (const string &s)
	Convert text to QuantLib::Frequency.
QuantLib::Compounding	parseCompounding (const string &s)
	Convert text to QuantLib::Compounding;.
QuantLib::Position::Type	parsePositionType (const string &s)
	Convert text to QuantLib::Position::Type.
QuantLib::Protection::Side	parseProtectionSide (const string &s)
	Convert text to QuantLib::Protection::Side.
QuantLib::Settlement::Type	parseSettlementType (const string &s)
	Convert text to QuantLib::Settlement::Type.
QuantLib::Settlement::Method	parseSettlementMethod (const string &s)
	Convert text to QuantLib::Settlement::Method.
QuantLib::Exercise::Type	parseExerciseType (const string &s)
	Convert text to QuantLib::Exercise::Type.
QuantLib::Option::Type	parseOptionType (const string &s)
	Convert text to QuantLib::Option::Type.
QuantLib::Bond::Price::Type	parseBondPriceType (const string &s)
	Convert text to QuantLib::Bond::Price::Type.
boost::variant< QuantLib::Date, QuantLib::Period >	parseDateOrPeriod (const string &s)
	Convert text to QuantLib::Period or QuantLib::Date.
void	parseDateOrPeriod (const string &s, QuantLib::Date &d, QuantLib::Period &p, bool &isDate)
	Convert text to QuantLib::Period or QuantLib::Date (deprecated version).
QuantLib::LsmBasisSystem::PolynomialType	parsePolynomType (const std::string &s)
	Convert text to QuantLib::LsmBasisSystem::PolynomialType.
std::ostream &	operator<< (std::ostream &os, QuantLib::LsmBasisSystem::PolynomialType a)
	Write QuantLib::LsmBasisSystem::PolynomialType to stream.
QuantLib::SobolBrownianGenerator::Ordering	parseSobolBrownianGeneratorOrdering (const std::string &s)
	Convert text to QuantLib::SobolBrownianGenerator::Ordering.
QuantLib::SobolRsg::DirectionIntegers	parseSobolRsgDirectionIntegers (const std::string &s)
	Convert text to QuantLib::SobolRsg::DirectionIntegers.
QuantLib::Weekday	parseWeekday (const std::string &s)
QuantLib::Month	parseMonth (const std::string &s)
PaymentLag	parsePaymentLag (const string &s)
	Convert text to PaymentLag.
template<class T>
std::vector< T >	parseListOfValues (string s, std::function< T(string)> parser)
	Convert comma separated list of values to vector of values.
QuantExt::SequenceType	parseSequenceType (const std::string &s)
	Convert string to sequence type.
QuantLib::CPI::InterpolationType	parseObservationInterpolation (const std::string &s)
	Convert string to observation interpolation.
QuantLib::FdmSchemeDesc	parseFdmSchemeDesc (const std::string &s)
	Convert string to fdm scheme desc.
AssetClass	parseAssetClass (const std::string &s)
	Convert text to ore::data::AssetClass.
std::ostream &	operator<< (std::ostream &os, AssetClass a)
	Write ore::data::AssetClass to stream.
QuantLib::DeltaVolQuote::AtmType	parseAtmType (const std::string &s)
	Convert text to QuantLib::DeltaVolQuote::AtmType.
QuantLib::DeltaVolQuote::DeltaType	parseDeltaType (const std::string &s)
	Convert text to QuantLib::DeltaVolQuote::DeltaType.
QuantLib::Rounding::Type	parseRoundingType (const std::string &s)
	Convert text to QuantLib::Rounding.
QuantLib::Barrier::Type	parseBarrierType (const string &s)
	Convert std::string to QuantLib::BarrierType.
QuantLib::DoubleBarrier::Type	parseDoubleBarrierType (const string &s)
	Convert std::string to QuantLib::DoubleBarrierType.
template<class T>
bool	tryParse (const std::string &str, T &obj, std::function< T(const std::string &)> parser)
QuantLib::VolatilityType	parseVolatilityQuoteType (const std::string &s)
QuantLib::CapFloor::Type	parseCapFloorType (const std::string &s)
QuantLib::YoYInflationCapFloor::Type	parseYoYInflationCapFloorType (const std::string &s)
QuantExt::CrossAssetModel::AssetType	parseCamAssetType (const std::string &s)
std::pair< string, string >	parseBoostAny (const QuantLib::ext::any &anyType, Size precision=8)
QuantExt::CdsOption::StrikeType	parseCdsOptionStrikeType (const std::string &s)
QuantLib::Average::Type	parseAverageType (const std::string &s)
QuantExt::BondIndex::PriceQuoteMethod	parsePriceQuoteMethod (const std::string &s)
string	fxDominance (const string &s1, const string &s2)
	Convert FX pair to market standard dominance.
MomentType	parseMomentType (const std::string &s)
	Convert text to ore::data::MomentType.
QuantLib::Pillar::Choice	parsePillarChoice (const std::string &s)
	Convert text to QuantLib::Pillar::Choice.
QuantExt::McMultiLegBaseEngine::RegressorModel	parseRegressorModel (const std::string &s)
	Convert text to QuantExt::McMultiLegBaseEngine::RegressorModel.
QuantExt::McMultiLegBaseEngine::VarGroupMode	parseVarGroupMode (const std::string &s)
	Convert text to QuantExt::McMultiLegBaseEngine::VarGroupMode.
MporCashFlowMode	parseMporCashFlowMode (const std::string &s)
	Convert text to MporCashFlowMode.
std::ostream &	operator<< (std::ostream &os, MporCashFlowMode t)
	Write MporCashFlowMode to stream.
QuantExt::SabrParametricVolatility::ModelVariant	parseSabrParametricVolatilityModelVariant (const std::string &s)
	Parse SabrParametricVolatility::ModelVariant.
std::ostream &	operator<< (std::ostream &out, QuantExt::SabrParametricVolatility::ModelVariant m)
	Write SabrParametricVolatility::ModelVariant.
std::ostream &	operator<< (std::ostream &os, QuantLib::Exercise::Type type)
	Write QuantLib::Exercise::Type.
std::ostream &	operator<< (std::ostream &os, SalvagingAlgorithm::Type type)
	Write SalvagingAlgorithm type.
ParConversionMatrixRegularisation	parseParConversionMatrixRegularisation (const std::string &s)
	Convert text to ParConversionMatrixRegularisation.
std::ostream &	operator<< (std::ostream &os, ParConversionMatrixRegularisation regularisation)
	Write ParConversionMatrixRegularisation.
template<class Archive>
void	serialize (Archive &ar, QuantLib::DayCounter &dc, const unsigned int)
	Allow for serialization of QuantLib::Period without amending its class (non-intrusive).
Strike	parseStrike (const std::string &s)
	Convert text to Strike.
std::ostream &	operator<< (std::ostream &out, const Strike &s)
	Convert Strike to text.
bool	operator== (const Strike &s1, const Strike &s2)
	Logical comparison of strikes.
QuantLib::Real	computeAbsoluteStrike (const Strike &s, const QuantLib::Real atm, const QuantLib::Real atmf)
	Convenience function that computes an absolute strike.
std::string	to_string (const QuantLib::Date &date)
	Convert QuantLib::Date to std::string.
std::string	to_string (bool aBool)
	Convert bool to std::string.
std::string	to_string (const QuantLib::Period &period)
	Convert QuantLib::Period to std::string.
template<class T>
std::string	to_string (const std::vector< T > &vec, const std::string &sep=",")
	Convert vector to std::string.
template<class T>
std::string	to_string (const std::set< T > &set, const std::string &sep=",")
	Convert set to std::string.
template<class T>
std::string	to_string (const T &t)
	Convert type to std::string.
template<typename T, typename Compare>
std::vector< std::size_t >	sort_permutation (const std::vector< T > &vec, Compare &compare)
template<typename T>
std::vector< T >	apply_permutation (const std::vector< T > &vec, const std::vector< std::size_t > &p)
template<typename T>
void	apply_permutation_in_place (std::vector< T > &vec, const std::vector< std::size_t > &p)

Detailed Description

Grouping of all utility related classes, functions and files

Reference: http://stackoverflow.com/questions/17074324/how-can-i-sort-two-vectors-in-the-same-way-with-criteria-that-uses-only-one-of

Function Documentation

tryParseCdsInformation()

bool tryParseCdsInformation	(	std::string	strInfo,
		CdsReferenceInformation &	cdsInfo )

Attempt to parse string to CdsReferenceInformation

Parameters

[in]	strInfo	The string we wish to convert to CdsReferenceInformation
[out]	cdsInfo	The resulting CdsReferenceInformation if the parsing was successful.

Returns

true if the parsing was successful and false if not.

If the function receives a strInfo of the form ID|TIER|CCY|DOCCLAUSE with CCY being a valid ISO currency code, TIER being a valid CDS debt tier and DOCCLAUSE being a valid CDS documentation clause, the parsing should be successful. Here, DOCCLAUSE is optional.

currencyToDiscountCurve()

std::string currencyToDiscountCurve	(	const std::string &	ccy,
		const std::string &	baseCcy,
		const std::string &	baseCcyDiscountCurve,
		const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &	curveConfigs )

Get the discount curve for the currency ccy.

• if the ccy is the base currency, determines the discount curve from the config
• if the ccy is not the base currency, the discount curve is by convention ccy-IN-base

buildCollateralCurveConfig()

void buildCollateralCurveConfig	(	const string &	curveId,
		const std::string &	baseCcy,
		const std::string &	baseCcyDiscountCurve,
		const QuantLib::ext::shared_ptr< CurveConfigurations > &	curveConfigs )

Auto build a curve config for a curveId of form CCY1-IN-CCY2, which represents a curve of CCY1 collateralised in CCY 2

getCollateralisedDiscountCcy()

std::set< std::string > getCollateralisedDiscountCcy	(	const std::string &	ccy,
		const QuantLib::ext::shared_ptr< CurveConfigurations > &	curveConfigs )

Get a list of ccy's for which we have a discount curve that the given ccy is collateralised in e.g. given ccy is CHF, we have CHF-IN-EUR, CHF-IN-USD, method returns EUR, USD

isCollateralCurve()

const bool isCollateralCurve	(	const std::string &	id,
		std::vector< std::string > &	tokens )

Check if curve of form CCY1-IN-CCY2

parseIborIndex()

QuantLib::ext::shared_ptr< IborIndex > parseIborIndex	(	const std::string &	strIndex,
		std::string &	outTenor,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	h = QuantLib::Handle< QuantLib::YieldTermStructure >() )

Convert std::string to QuantLib::IborIndex and return the tenor string component of the index.

In some cases, after parsing the IborIndex, we would like to know the exact tenor string that was part of the strIndex that was parsed. If we ask the resulting index for its tenor via the method Period InterestRateIndex::tenor(), it can be difficult to deduce the original tenor string. A simple example of this is MXN-TIIE-28D where if you call tenor() and then to_string(), you get 4W which is different than the original 28D that is passed in.

Warning

If the strIndex does not have a tenor component, as is the usual case for overnight indices, outTenor will be populated with the empty string.

isInflationIndex()

std::pair< bool, QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > > isInflationIndex

(

const std::string &

indexName

)

Returns true as the first element in the pair if the indexName is that of an InflationIndex. The second element in the pair is an instance of the inflation index. If indexName is not an inflation index, the first element in the pair is false and the second element is a nullptr.

If inflation indices have been set up via ZeroInflationIndex entries in the Conventions, the conventions should be passed here. If not, the default nullptr parameter will be sufficient.

isGenericIndex()

bool isGenericIndex

(

const std::string &

indexName

)

Return true if the indexName is that of an GenericIndex, otherwise false

parseCommodityIndex()

QuantLib::ext::shared_ptr< QuantExt::CommodityIndex > parseCommodityIndex	(	const std::string &	name,
		bool	hasPrefix = true,
		const QuantLib::Handle< QuantExt::PriceTermStructure > &	ts = QuantLib::Handle< QuantExt::PriceTermStructure >(),
		const QuantLib::Calendar &	cal = QuantLib::NullCalendar(),
		const bool	enforceFutureIndex = true )

Convert std::string to QuantExt::ComodityIndex

This function can be used to parse commodity spot indices or commodity future indices:

• for spot indices, the name is of the form COMM-EXCHANGE:COMMODITY
• for future indices, the name is of the form COMM-EXCHANGE:CONTRACT:YYYY-MM or COMM-EXCHANGE:CONTRACT:YYYY-MM-DD

internalIndexName()

std::string internalIndexName

(

const std::string &

indexName

)

In some cases, we allow multiple external ibor index names to represent the same QuantLib index. This function returns the unique index name that we use internally to represent the QuantLib index.

For example, we allow:

• USD-FedFunds-1D and USD-FedFunds externally but we use USD-FedFunds internally
• CAD-BA-tenor and CAD-CDOR-tenor externally but we use CAD-CDOR-tenor internally

getMemoryUsageBytes()

unsigned long long getMemoryUsageBytes

(

)

Returns the current process memory usage in bytes Parts of code taken from: http://nadeausoftware.com/articles/2012/07/c_c_tip_how_get_process_resident_set_size_physical_memory_use

tryParseReal()

bool tryParseReal	(	const string &	s,
		QuantLib::Real &	result )

Attempt to convert text to Real.

Attempts to convert text to Real

Parameters

[in]	s	The string we wish to convert to a Real
[out]	result	The result of the conversion if it is valid. Null<Real>() if conversion fails

Returns

True if the conversion was successful, False if not

parseCalendar()

QuantLib::Calendar parseCalendar

(

const string &

s

)

Convert text to QuantLib::Calendar.

For a joint calendar, the separate calendar names should be comma-delimited.

convertMinorToMajorCurrency()

QuantLib::Real convertMinorToMajorCurrency	(	const std::string &	s,
		QuantLib::Real	value )

Convert a value from a minor ccy to major.

.i.e 100 GBp to 1 GBP

parseWeekday()

QuantLib::Weekday parseWeekday

(

const std::string &

s

)

Convert text to QuantLib::Weekday

parseMonth()

QuantLib::Month parseMonth

(

const std::string &

s

)

Convert text to QuantLib::Month

tryParse()

template<class T>

bool tryParse	(	const std::string &	str,
		T &	obj,
		std::function< T(const std::string &)>	parser )

Attempt to parse string str to obj of type T using parser

Parameters

[in]	str	The string we wish to parse.
[out]	obj	The resulting object if the parsing was successful.
[in]	parser	The function to use to attempt to parse str. This function may throw.

Returns

true if the parsing was successful and false if not.

parseVolatilityQuoteType()

QuantLib::VolatilityType parseVolatilityQuoteType

(

const std::string &

s

)

Convert text to QuantLib::VolatilityType

parseCapFloorType()

QuantLib::CapFloor::Type parseCapFloorType

(

const std::string &

s

)

Convert text to QuantLib::CapFloor::Type

parseYoYInflationCapFloorType()

QuantLib::YoYInflationCapFloor::Type parseYoYInflationCapFloorType

(

const std::string &

s

)

Convert text to QuantLib::YoYInflationCapFloor::Type

parseCamAssetType()

QuantExt::CrossAssetModel::AssetType parseCamAssetType

(

const std::string &

s

)

Convert text to QuantExt::CrossAssetModelTypes::AssetType

parseBoostAny()

std::pair< string, string > parseBoostAny	(	const QuantLib::ext::any &	anyType,
		Size	precision = 8 )

Convert QuantLib::ext::any to pair<string,string>, including the valueType and the value

parseCdsOptionStrikeType()

QuantExt::CdsOption::StrikeType parseCdsOptionStrikeType

(

const std::string &

s

)

Convert text to QuantExt::CdsOption::StrikeType

parseAverageType()

QuantLib::Average::Type parseAverageType

(

const std::string &

s

)

Convert text to QuantLib::Average::Type

parsePriceQuoteMethod()

QuantExt::BondIndex::PriceQuoteMethod parsePriceQuoteMethod

(

const std::string &

s

)

Convert text to QuantExt::BondData::PriceQuoteMethod

fxDominance()

string fxDominance	(	const string &	s1,
		const string &	s2 )

Convert FX pair to market standard dominance.

Convert FX pair to market standard dominance, e.g. "USD" & "GBP" -> "GBPUSD", "USD" & "JPY" -> "USDJPY"

to_string() [1/5]

std::string to_string

(

const QuantLib::Date &

date

)

Convert QuantLib::Date to std::string.

Returns date as a string in YYYY-MM-DD format, which matches QuantLib::io::iso_date() However that function can have issues with locale so we have a local snprintf() based version.

If date == Date() returns 1900-01-01 so the above format is preserved.

to_string() [2/5]

std::string to_string

(

bool

aBool

)

Convert bool to std::string.

Returns "true" for true and "false" for false

to_string() [3/5]

std::string to_string

(

const QuantLib::Period &

period

)

Convert QuantLib::Period to std::string.

Returns Period as a string as up to QuantLib 1.25, e.g. 13M is written as 1Y1M etc.

to_string() [4/5]

template<class T>

std::string to_string	(	const std::vector< T > &	vec,
		const std::string &	sep = "," )

Convert vector to std::string.

Returns a vector into a single string, with elemenst separated by Period as a string as up to QuantLib 1.25, e.g. 13M is written as 1Y1M etc.

to_string() [5/5]

template<class T>

std::string to_string

(

const T &

t

)

Convert type to std::string.

Utility to give to_string() interface to classes and enums that have ostream<< operators defined.