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Let QL_ARRAY_EXPRESSIONS

QL_ARRAY_EXPRESSIONS: boolean = true

Let QL_EXTRA_SAFETY_CHECKS

QL_EXTRA_SAFETY_CHECKS: boolean = false

Let QL_NEGATIVE_RATES

QL_NEGATIVE_RATES: boolean = true

Let QL_NO_UBLAS_SUPPORT

QL_NO_UBLAS_SUPPORT: boolean = true

Let QL_USE_INDEXED_COUPON

QL_USE_INDEXED_COUPON: boolean = false

Let REFINE_TO_FULL_MACHINE_PRECISION_USING_HALLEYS_METHOD

REFINE_TO_FULL_MACHINE_PRECISION_USING_HALLEYS_METHOD: boolean = false

Let enforcesTodaysHistoricFixings

enforcesTodaysHistoricFixings: boolean = false

Let evaluationDate

evaluationDate: DateProxy = new DateProxy()

the date at which pricing is to be performed.

Client code can inspect the evaluation date, as in:

Date d = Settings::instance().evaluationDate();

where today's date is returned if the evaluation date is set to the null date (its default value;) can set it to a new value, as in:

Settings::instance().evaluationDate() = d;

and can register with it, as in:

registerWith(Settings::instance().evaluationDate());

to be notified when it is set to a new value. warning: a notification is not sent when the evaluation date changes for natural causes---i.e., a date was not explicitly set (which results in today's date being used for pricing) and the current date changes as the clock strikes midnight.

Let includeReferenceDateEvents

includeReferenceDateEvents: boolean = false

This flag specifies whether or not Events occurring on the reference date should, by default, be taken into account as not happened yet. It can be overridden locally when calling the Event::hasOccurred method.

Let includeTodaysCashFlows

includeTodaysCashFlows: boolean

If set, this flag specifies whether or not CashFlows occurring on today's date should enter the NPV. When the NPV date (i.e., the date at which the cash flows are discounted) equals today's date, this flag overrides the behavior chosen for includeReferenceDate. It cannot be overridden locally when calling the CashFlow::hasOccurred method.

Functions

anchorEvaluationDate

  • anchorEvaluationDate(): void
  • Call this to prevent the evaluation date to change at midnight (and, incidentally, to gain quite a bit of performance.) If no evaluation date was previously set, it is equivalent to setting the evaluation date to Date::todaysDate(); if an evaluation date other than Date() was already set, it has no effect.

    Returns void

resetEvaluationDate

  • resetEvaluationDate(): void
  • Call this to reset the evaluation date to Date::todaysDate() and allow it to change at midnight. It is equivalent to setting the evaluation date to Date(). This comes at the price of losing some performance, since the evaluation date is re-evaluated each time it is read.

    Returns void