Appendices

Appendix A: Quantlab Types and C++

Primitive Types

Type	Identifier for `arg_spec`	Representation	Test
`number`	`"number"`	`double`	`valid`
`date`	`"date"`	`double`	`valid_date`
`logical`	`"logical"`	`double`	`valid`

Object Types

Type	Identifier	Representation	Test
`algorithm`	`"algorithm"`	`handle`	`if`
`calendar`	`"calendar"`	`handle`	`if`
`curve`	`"curve"`	`handle`	`if`
`fit_result`	`"fit_result"`	`handle`	`if`
`instrument`	`"instrument"`	`handle`	`if`
`model`	`"model"`	`handle`	`if`
`point_date`	`"point_date"`	`handle`	`if`
`point_number`	`"point_number"`	`handle`	`if`
`weight_scheme`	`"weight_scheme"`	`handle`	`if`

String-Based Types

Type	Identifier	Representation	Test
`curve_name`	`"curve_name"`	`string`	`if`
`instrument_name`	`"instrument_name"`	`string`	`if`
`day_count_method`	`"day_count_method"`	`string`	`if`
`quote_side`	`"quote_side"`	`string`	`if`
`rate_type`	`"rate_type"`	`string`	`if`
`string`	`"string"`	`string`	`if`

Compound Types

Type	Identifier	Representation	Test
`vector of <type>`	`"vector(<type>)"`	`handle`	`if`
`matrix of <type>`	`"matrix(<type>)"`	`handle`	`if`
`series of <type>`	`"series(<type>)"`	`handle`	`if`

Appendix B: API Functions in ql_base.h

Vector Functions

Function	Description
`get_v_size(obj)`	Returns the size of a vector
`get_v_n(vec, i)`	Returns a number element
`get_v_i(vec, i)`	Returns an integer element
`get_v_l(vec, i)`	Returns a logical element
`get_v_d(vec, i)`	Returns a date element
`get_v_s(vec, i)`	Returns a string element (handle)
`get_v_o(vec, i)`	Returns an object element (handle)
`create_v_n(size)`	Creates a vector of numbers
`create_v_i(size)`	Creates a vector of integers
`create_v_s(size)`	Creates a vector of strings
`create_v_d(size)`	Creates a vector of dates
`create_v_o(size)`	Creates a vector of objects
`set_v_n(vec, i, val)`	Sets a number element
`set_v_i(vec, i, val)`	Sets an integer element
`set_v_s(vec, i, obj*)`	Sets a string element
`set_v_o(vec, i, obj*)`	Sets an object element

Matrix Functions

Function	Description
`get_m_size(mat, &rows, &cols)`	Returns rows and columns
`get_m_n(mat, row, col)`	Returns a number element
`create_m_n(rows, cols)`	Creates a matrix of numbers
`create_m_s(rows, cols)`	Creates a matrix of strings
`set_m_n(mat, row, col, val)`	Sets a number element
`set_m_s(mat, row, col, obj*)`	Sets a string element

Validation & Null Sentinel Functions

Function	Description
`valid_number(number_t)`	Tests if a number is valid (not NaN)
`valid_logical(logical_t)`	Tests if a logical is valid
`valid_date(date_t)`	Tests if a date is valid
`valid_month(month_t)`	Tests if a month is valid
`valid_timestamp(timestamp_t)`	Tests if a timestamp is valid
`valid_enum(enum_t)`	Tests if an enum value is valid
`null_number()`	Returns null/invalid number (NaN)
`null_logical()`	Returns null logical
`null_date()`	Returns null date
`null_month()`	Returns null month
`null_timestamp()`	Returns null timestamp
`null_enum()`	Returns null enum

String Functions

Function	Description
`create_string(const char *)`	Creates a QL string handle
`create_string(const char *, int_t len)`	Creates string with explicit length
`create_string(const wchar_t *)`	Creates string from wide-char
`get_string(const object &)`	Extract C string (checked, throws)
`get_string_0(const object *)`	Extract C string, null-safe (returns nullptr)
`get_strlen(const object &)`	Returns string length

Date / Month / Timestamp Functions

Function	Description
`date(y, m, d)`	Creates a date value
`date_today()`	Returns today’s date
`split_date(date, &y, &m, &d)`	Decomposes date into components
`add_years(date, n)`	Add n years to date
`add_months(date, n)`	Add n months to date
`month(y, m)`	Creates a month value
`split_month(month, &y, &m)`	Decomposes month
`timestamp(y, mon, d, h, min, s, ms)`	Creates a timestamp
`timestamp(date, h, min, s, ms)`	Creates timestamp from date + time
`timestamp_now()`	Current local timestamp
`timestamp_now_ut()`	Current UTC timestamp
`split_timestamp(ts, &y, &m, &d, &h, &min, &s, &ms)`	Decomposes timestamp

Calendar Functions

Function	Description
`create_calendar(holidays, non_holidays, weekend_mask)`	Creates a calendar object
`empty_calendar()`	Creates an empty calendar
`merge_calendars(c1, c2)`	Merges two calendars
`is_holiday(calendar, date)`	Tests if date is a holiday
`move_bus_days(calendar, date, n)`	Move n business days

Blob Functions

Function	Description
`create_blob(size, data)`	Creates a binary blob
`blob_size(obj)`	Returns blob size in bytes
`blob_data(obj)`	Returns pointer to blob data

Error Functions

Function	Description
`error(error_t, const char *)`	Creates and throws a QL error (returns handle)
`error(error_t, object &msg)`	Creates error with QL string message
`error_type_to_str(error_t)`	Converts error code to string
`get_error_type(const object &)`	Extracts error type from error handle
`get_error_msg(const object &)`	Extracts error message from error handle

Raw Data Access

Function	Description
`get_raw_data(object &)`	Returns `ref_t` union with typed pointers (`.n` for `double`, `.i` for `int_t`, etc.)

Use for high-performance access to vector/matrix internals without per-element function calls.

Appendix C: Blending Functions

Four C++ blending functions for combining deposit, FRA, and swap curves. Also available in QLang:

curve blend_curves_depo_swap(curve depo_c, curve swap_c)
    option(category: 'Curve blending')
{
    if (swap_c.empty())
        return depo_c;
    else {
        depo_c = depo_c.chop_long(v_min(swap_c.instruments.maturity) - 1);
        return merge(depo_c, swap_c);
    }
}

Appendix D: User-Defined Yield Curve Models

Using QL::model_create_custom() you can define your own yield curve model. Inherit from QL::custom_model and implement four virtual functions: n_params(), default_param_guess(), default_param_min(), default_param_max(), and disc_fact().