todo – Possible Enhancements Class AmericanCondition unify the intrinsicValues/Payoff thing Class AmericanExercise check that everywhere the American condition is applied from earliestDate and not earlier Class AmericanPayoffAtExpiry calculate greeks Class AmericanPayoffAtHit calculate greeks Class AnalyticContinuousGeometricAveragePriceAsianEngine handle seasoned options Class AnalyticDigitalAmericanEngine add more greeks (as of now only delta and…
ql/utilities/dataformatters.hpp – output manipulators Synopsis #include <ql/utilities/null.hpp> #include <ostream> Functions template<typename T > std::ostream & operator<< (std::ostream &, const null_checker< T > &) std::ostream & operator<< (std::ostream &, const ordinal_holder &) template<typename T > std::ostream & operator<< (std::ostream &, const power_of_two_holder< T > &) std::ostream & operator<< (std::ostream &, const percent_holder &) template<typename T >…
overview – Project overview The QuantLib project is at this time in beta status. The following list is a (possibly outdated) overview of the existing code base. The QuantLib-users and QuantLib-dev mailing lists are the preferred forum for proposals, suggestions and contributions regarding the future development of the library. Date, calendars, and day count conventions…
Output manipulators – Functions detail::short_date_holder short_date (const Date &) output dates in short format (mm/dd/yyyy) detail::long_date_holder long_date (const Date &) output dates in long format (Month ddth, yyyy) detail::iso_date_holder iso_date (const Date &) output dates in ISO format (yyyy-mm-dd) detail::long_period_holder long_period (const Period &) output periods in long format (e.g. ‘2 weeks’) detail::short_period_holder short_period (const…
license – QuantLib License QuantLib is Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb Copyright (C) 2002, 2003, 2004 Decillion Pty(Ltd) Copyright (C) 2002, 2003, 2004, 2005, 2006, 2007, 2008 Ferdinando Ametrano Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008…
history – Version history Release 0.9.7 – November 2008 PORTABILITY * Microsoft Visual C++ configurations have been renamed. The default Debug and Release configurations now link to the DLL version of the common runtime library. The names of other configuration should now be more descriptive. * Fixes for Solaris build. BONDS * Added bond example…
group – The QuantLib Group Authors The QuantLib Group members are: * Ferdinando Ametrano, Banca IMI SpA, administrator * Luigi Ballabio, StatPro Italia srl, administrator * Marco Bianchetti, Banca IMI SpA * Nicolas Di Ceare * Dirk Eddelbuettel * Neil Firth, Mathematical Institute, University of Oxford * Nicola Jean, StatPro Italia srl * Chris Kenyon…
QuantLib::MultiAssetOption – Base class for options on multiple assets. Synopsis void setupExpired () const Protected Attributes Inherits QuantLib::Option. Inherited by BasketOption, EverestOption, HimalayaOption, and PagodaOption. Classes class results Results from multi-asset option calculation Public Member Functions MultiAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &) void setupArguments (PricingEngine::arguments *) const void fetchResults (const…
QuantLib::Currency – Currency specification Synopsis const std::string & name () const currency name, e.g, ‘U.S. Dollar’ const std::string & code () const ISO 4217 three-letter code, e.g, ‘USD’. Integer numericCode () const ISO 4217 numeric code, e.g, ‘840’. const std::string & symbol () const symbol, e.g, ‘$’ const std::string & fractionSymbol () const fraction symbol,…
QuantLib::CappedFlooredCoupon – Capped and/or floored floating-rate coupon. Synopsis void update () Visitability Inherits QuantLib::FloatingRateCoupon. Inherited by CappedFlooredCmsCoupon, and CappedFlooredIborCoupon. Public Member Functions void update () Visitability Coupon interface Rate rate () const accrued rate Rate convexityAdjustment () const convexity adjustment Observer interface void update () Visitability boost::shared_ptr< FloatingRateCoupon > underlying_ bool isCapped_ bool isFloored_ Rate…
QuantLib::CDO – collateralized debt obligation Synopsis CDO (Real attachment, Real detachment, const std::vector< Real > &nominals, const std::vector< Handle< DefaultProbabilityTermStructure > > &basket, const Handle< OneFactorCopula > &copula, bool protectionSeller, const Schedule &premiumSchedule, Rate premiumRate, const DayCounter &dayCounter, Rate recoveryRate, Rate upfrontPremiumRate, const Handle< YieldTermStructure > &yieldTS, Size nBuckets, const Period &integrationStep=Period(10, Years)) Real nominal…
QuantLib::Array – 1-D array used in linear algebra. Synopsis void swap (Array &) Related Functions (Note that these are not member functions.) Real DotProduct (const Array &, const Array &) const Disposable< Array > operator+ (const Array &v) const Disposable< Array > operator- (const Array &v) const Disposable< Array > operator+ (const Array &, const…
QuantLib::Constraint – Base constraint class. Synopsis bool empty () const bool test (const Array &p) const Real update (Array &p, const Array &direction, Real beta) Constraint (const boost::shared_ptr< Impl > &impl=boost::shared_ptr< Impl >()) Protected Attributes Inherited by BoundaryConstraint, PrivateConstraint, CompositeConstraint, FellerConstraint, NoConstraint, and PositiveConstraint. Classes class Impl Base class for constraint implementations. Public Member Functions…
qecvt, qfcvt, qgcvt – convert a floating-point number to a string Synopsis #include <stdlib.h> char *qecvt(long double number, int ndigits, int *decpt, int *sign); char *qfcvt(long double number, int ndigits, int *decpt, int *sign); char *qgcvt(long double number, int ndigit, char *buf); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): qecvt(), qfcvt(), qgcvt(): _SVID_SOURCE Description…
ecvt_r, fcvt_r, qecvt_r, qfcvt_r – convert a floating-point number to a string Synopsis #include <stdlib.h> int ecvt_r(double number, int ndigits, int *decpt, int *sign, char *buf, size_t len); int fcvt_r(double number, int ndigits, int *decpt, int *sign, char *buf, size_t len); int qecvt_r(long double number, int ndigits, int *decpt, int *sign, char *buf, size_t len);…
qecvt, qfcvt, qgcvt – convert a floating-point number to a string Synopsis #include <stdlib.h> char *qecvt(long double number, int ndigits, int *decpt, int *sign); char *qfcvt(long double number, int ndigits, int *decpt, int *sign); char *qgcvt(long double number, int ndigit, char *buf); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): qecvt(), qfcvt(), qgcvt(): _SVID_SOURCE Description…
ecvt_r, fcvt_r, qecvt_r, qfcvt_r – convert a floating-point number to a string Synopsis #include <stdlib.h> int ecvt_r(double number, int ndigits, int *decpt, int *sign, char *buf, size_t len); int fcvt_r(double number, int ndigits, int *decpt, int *sign, char *buf, size_t len); int qecvt_r(long double number, int ndigits, int *decpt, int *sign, char *buf, size_t len);…
qecvt, qfcvt, qgcvt – convert a floating-point number to a string Synopsis #include <stdlib.h> char *qecvt(long double number, int ndigits, int *decpt, int *sign); char *qfcvt(long double number, int ndigits, int *decpt, int *sign); char *qgcvt(long double number, int ndigit, char *buf); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): qecvt(), qfcvt(), qgcvt(): _SVID_SOURCE Description…
qbutil.h – These are some convience functions used throughout libqb. Synopsis #include <pthread.h> #include <stdint.h> #include <unistd.h> #include <qb/qbdefs.h> Macros #define QB_UTIL_SW_OVERWRITE 0x01 Typedefs typedef struct qb_thread_lock_s qb_thread_lock_t typedef void(* qb_util_log_fn_t )(const char *file_name, int32_t file_line, int32_t severity, const char *msg) typedef struct qb_util_stopwatch qb_util_stopwatch_t Enumerations enum qb_thread_lock_type_t { QB_THREAD_LOCK_SHORT, QB_THREAD_LOCK_LONG } QB_THREAD_LOCK_SHORT is a…
qbrb.h – This implements a ring buffer that works in ‘chunks’ not bytes. Synopsis #include <sys/types.h> #include <stdint.h> Macros #define QB_RB_FLAG_CREATE 0x01 create a ring buffer (rather than open and existing one) #define QB_RB_FLAG_OVERWRITE 0x02 New calls to qb_rb_chunk_write() will call qb_rb_chunk_reclaim() if there is not enough space. #define QB_RB_FLAG_SHARED_THREAD 0x04 The ringbuffer will be…