Author: Linux Manual

ql/pricingengines/vanilla/fdamericanengine.hpp – Finite-differences American option engine. Synopsis#include <ql/instruments/oneassetoption.hpp> #include <ql/pricingengines/vanilla/fdstepconditionengine.hpp> #include <ql/pricingengines/vanilla/fdconditions.hpp> #include <ql/methods/finitedifferences/fdtypedefs.hpp> Typedefstypedef FDEngineAdapter< FDAmericanCondition< FDStepConditionEngine >, OneAssetOption::engine > FDAmericanEngine Finite-differences pricing engine for American one asset options. Detailed DescriptionFinite-differences American option engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ExtendedTrigeorgis – Trigeorgis (additive equal jumps) binomial tree Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedEqualJumpsBinomialTree< ExtendedTrigeorgis >. Public Member FunctionsExtendedTrigeorgis (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Protected Member FunctionsReal dxStep (Time stepTime) const Real probUp (Time stepTime) const Detailed DescriptionTrigeorgis (additive equal jumps) binomial tree AuthorGenerated automatically by Doxygen for QuantLib from the…

QuantLib::ExtendedTian – Tian tree: third moment matching, multiplicative approach Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< ExtendedTian >. Public Member FunctionsExtendedTian (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Real underlying (Size i, Size index) const Real probability (Size, Size, Size branch) const Protected AttributesReal up_ Real down_ Real pu_ Real pd_ Detailed DescriptionTian tree:…

QuantLib::ExtendedLeisenReimer – Leisen & Reimer tree: multiplicative approach. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< ExtendedLeisenReimer >. Public Member FunctionsExtendedLeisenReimer (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Real underlying (Size i, Size index) const Real probability (Size, Size, Size branch) const Protected AttributesTime end_ Size oddSteps_ Real strike_ Real up_ Real down_ Real pu_…

QuantLib::ExtendedJarrowRudd – Jarrow-Rudd (multiplicative) equal probabilities binomial tree. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd >. Public Member FunctionsExtendedJarrowRudd (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Protected Member FunctionsReal upStep (Time stepTime) const Detailed DescriptionJarrow-Rudd (multiplicative) equal probabilities binomial tree. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ExtendedEqualProbabilitiesBinomialTree – Base class for equal probabilities binomial tree. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< T >. Public Member FunctionsExtendedEqualProbabilitiesBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) Real underlying (Size i, Size index) const Real probability (Size, Size, Size) const Protected Member Functionsvirtual Real upStep (Time stepTime) const =0 Protected AttributesReal up_ Detailed Descriptiontemplate<class T>…

QuantLib::ExtendedEqualJumpsBinomialTree – Base class for equal jumps binomial tree. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< T >. Public Member FunctionsExtendedEqualJumpsBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) Real underlying (Size i, Size index) const Real probability (Size i, Size, Size branch) const Protected Member Functionsvirtual Real probUp (Time stepTime) const =0 virtual Real dxStep (Time…

ql/legacy/termstructures/extendeddiscountcurve.hpp – discount factor structure with detailed compound-forward calculation Synopsis#include <ql/termstructures/yield/discountcurve.hpp> #include <map> Classesclass ExtendedDiscountCurve Term structure based on loglinear interpolation of discount factors. Detailed Descriptiondiscount factor structure with detailed compound-forward calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ExtendedCoxRossRubinstein – Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedEqualJumpsBinomialTree< ExtendedCoxRossRubinstein >. Public Member FunctionsExtendedCoxRossRubinstein (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Protected Member FunctionsReal dxStep (Time stepTime) const Real probUp (Time stepTime) const Detailed DescriptionCox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. AuthorGenerated automatically by Doxygen for QuantLib from the…

ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp – Extended Cox-Ingersoll-Ross model. Synopsis#include <ql/models/shortrate/onefactormodels/coxingersollross.hpp> Classesclass ExtendedCoxIngersollRoss Extended Cox-Ingersoll-Ross model class. class Dynamics Short-rate dynamics in the extended Cox-Ingersoll-Ross model. class FittingParameter Analytical term-structure fitting parameter $ iled Description" Detailed DescriptionExtended Cox-Ingersoll-Ross model. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/experimental/volatility/extendedblackvariancesurface.hpp – Black volatility surface modelled as variance surface. Synopsis#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> #include <ql/math/matrix.hpp> #include <ql/math/interpolations/interpolation2d.hpp> #include <ql/handle.hpp> #include <ql/quote.hpp> Classesclass ExtendedBlackVarianceSurface Black volatility surface modelled as variance surface. Detailed DescriptionBlack volatility surface modelled as variance surface. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/experimental/volatility/extendedblackvariancecurve.hpp – Black volatility curve modelled as variance curve. Synopsis#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> #include <ql/math/interpolation.hpp> #include <ql/handle.hpp> #include <ql/quote.hpp> Classesclass ExtendedBlackVarianceCurve Black volatility curve modelled as variance curve. Detailed DescriptionBlack volatility curve modelled as variance curve. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ExtendedBlackScholesMertonProcess – experimental Black-Scholes-Merton stochastic process Synopsis#include <ql/experimental/processes/extendedblackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Typesenum Discretization { Euler, Milstein, PredictorCorrector } Public Member FunctionsExtendedBlackScholesMertonProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization), Discretization evolDisc=Milstein) Real drift (Time t,…

ql/experimental/lattices/extendedbinomialtree.hpp – Time-dependent binomial tree class. Synopsis#include <ql/methods/lattices/tree.hpp> #include <ql/instruments/dividendschedule.hpp> #include <ql/stochasticprocess.hpp> Classesclass ExtendedBinomialTree< T > Binomial tree base class. class ExtendedEqualProbabilitiesBinomialTree< T > Base class for equal probabilities binomial tree. class ExtendedEqualJumpsBinomialTree< T > Base class for equal jumps binomial tree. class ExtendedJarrowRudd Jarrow-Rudd (multiplicative) equal probabilities binomial tree. class ExtendedCoxRossRubinstein Cox-Ross-Rubinstein (multiplicative) equal…

QuantLib::ExtendedAdditiveEQPBinomialTree – Additive equal probabilities binomial tree. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedEqualProbabilitiesBinomialTree< ExtendedAdditiveEQPBinomialTree >. Public Member FunctionsExtendedAdditiveEQPBinomialTree (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Protected Member FunctionsReal upStep (Time stepTime) const Detailed DescriptionAdditive equal probabilities binomial tree. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ExponentialSplinesFitting – Exponential-splines fitting method. Synopsis#include <ql/termstructures/yield/nonlinearfittingmethods.hpp> Inherits QuantLib::FittedBondDiscountCurve::FittingMethod. Public Member FunctionsExponentialSplinesFitting (bool constrainAtZero=true) std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const clone of the current object Detailed DescriptionExponential-splines fitting method. Fits a discount function to the exponential form [ d(t) = um_{i=1}^9 c_i \xp^{-kappa i t} ] where the constants $ c_i $ and $ ppa…

QuantLib::ExplicitEuler – Forward Euler scheme for finite difference methods Synopsis#include <ql/methods/finitedifferences/expliciteuler.hpp> Inherits MixedScheme< Operator >. Public Typestypedef OperatorTraits< Operator > traits typedef traits::operator_type operator_type typedef traits::array_type array_type typedef traits::bc_type bc_type typedef traits::bc_set bc_set typedef traits::condition_type condition_type Public Member FunctionsExplicitEuler (const operator_type &L, const std::vector< boost::shared_ptr< bc_type > > &bcs) Detailed Descriptiontemplate<class Operator> class QuantLib::ExplicitEuler< Operator…

exp, expf, expl – base-e exponential function Synopsis#include <math.h> double exp(double x); float expf(float x); long double expl(long double x);Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): expf(), expl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCEDescriptionThese functions return the value of e (the base of natural logarithms) raised to the…

ql/exercise.hpp – Option exercise classes and payoff function. Synopsis#include <ql/time/date.hpp> #include <vector> Classesclass Exercise Base exercise class. class EarlyExercise Early-exercise base class. class AmericanExercise American exercise. class BermudanExercise Bermudan exercise. class EuropeanExercise European exercise. Detailed DescriptionOption exercise classes and payoff function. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ExchangeRate – exchange rate between two currencies Synopsis#include <ql/exchangerate.hpp> Public Typesenum Type { Direct, Derived } Public Member FunctionsConstructors ExchangeRate () ExchangeRate (const Currency &source, const Currency &target, Decimal rate) Inspectors const Currency & source () const the source currency. const Currency & target () const the target currency. Type type () const the type…