Configuration
There are several pre-processor directive that can be used for customizing the library :
Name | Description | Default |
---|---|---|
QL_NEGATIVE_RATES | Define this if negative rates should be allowed. | enabled |
QL_USE_INDEXED_COUPON | Define this to use indexed coupons instead of par coupons in floating legs. | disabled |
QL_EXTRA_SAFETY_CHECKS | Define this if extra safety checks should be performed. This can degrade performance. | disabled |