Linux Manuals session 3

QuantLib::MCDiscreteAveragingAsianEngine – Pricing engine for discrete average Asians using Monte Carlo simulation. Synopsis#include <ql/pricingengines/asian/mcdiscreteasianengine.hpp> Inherits QuantLib::DiscreteAveragingAsianOption::engine, and McSimulation< SingleVariate, RNG, S >. Public Typestypedef McSimulation< SingleVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< SingleVariate, RNG, S >::stats_type stats_type Public Member FunctionsMCDiscreteAveragingAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepsPerYear, bool…

QuantLib::MCDiscreteArithmeticASEngine – Monte Carlo pricing engine for discrete arithmetic average-strike Asian. Synopsis#include <ql/pricingengines/asian/mc_discr_arith_av_strike.hpp> Inherits MCDiscreteAveragingAsianEngine< RNG, S >. Public Typestypedef MCDiscreteAveragingAsianEngine< RNG, S >::path_generator_type path_generator_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_pricer_type path_pricer_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::stats_type stats_type Public Member FunctionsMCDiscreteArithmeticASEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples,…

QuantLib::MCDiscreteArithmeticAPEngine – Monte Carlo pricing engine for discrete arithmetic average price Asian. Synopsis#include <ql/pricingengines/asian/mc_discr_arith_av_price.hpp> Inherits MCDiscreteAveragingAsianEngine< RNG, S >. Public Typestypedef MCDiscreteAveragingAsianEngine< RNG, S >::path_generator_type path_generator_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_pricer_type path_pricer_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::stats_type stats_type Public Member FunctionsMCDiscreteArithmeticAPEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size…

QuantLib::MCDigitalEngine – Pricing engine for digital options using Monte Carlo simulation. Synopsis#include <ql/pricingengines/vanilla/mcdigitalengine.hpp> Inherits MCVanillaEngine< SingleVariate, RNG, S >. Public Typestypedef MCVanillaEngine< SingleVariate, RNG, S >::path_generator_type path_generator_type typedef MCVanillaEngine< SingleVariate, RNG, S >::path_pricer_type path_pricer_type typedef MCVanillaEngine< SingleVariate, RNG, S >::stats_type stats_type Public Member FunctionsMCDigitalEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge,…

QuantLib::MCBasketEngine – Pricing engine for basket options using Monte Carlo simulation. Synopsis#include <ql/pricingengines/basket/mcbasketengine.hpp> Inherits QuantLib::BasketOption::engine, and McSimulation< MultiVariate, RNG, S >. Public Typestypedef McSimulation< MultiVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< MultiVariate, RNG, S >::stats_type stats_type Public Member FunctionsMCBasketEngine (const boost::shared_ptr< StochasticProcessArray > &, Size maxTimeStepsPerYear, bool brownianBridge,…

QuantLib::MCBarrierEngine – Pricing engine for barrier options using Monte Carlo simulation. Synopsis#include <ql/pricingengines/barrier/mcbarrierengine.hpp> Inherits QuantLib::BarrierOption::engine, and McSimulation< SingleVariate, RNG, S >. Public Typestypedef McSimulation< SingleVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< SingleVariate, RNG, S >::stats_type stats_type Public Member FunctionsMCBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepsPerYear, bool brownianBridge,…

QuantLib::MCAmericanEngine – American Monte Carlo engine. Synopsis#include <ql/pricingengines/vanilla/mcamericanengine.hpp> Inherits MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >. Public Member FunctionsMCAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size polynomOrder, LsmBasisSystem::PolynomType polynomType, Size nCalibrationSamples=Null< Size >()) Protected Member Functionsboost::shared_ptr< LongstaffSchwartzPathPricer< Path > > lsmPathPricer…

QuantLib::MCAmericanBasketEngine – least-square Monte Carlo engine Synopsis#include <ql/pricingengines/basket/mcamericanbasketengine.hpp> Inherits MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >. Public Member FunctionsMCAmericanBasketEngine (const boost::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >()) Protected Member Functionsboost::shared_ptr< LongstaffSchwartzPathPricer< MultiPath > > lsmPathPricer () const Detailed…

QuantLib::LossDistMonteCarlo – Loss distribution with Monte Carlo simulation. Synopsis#include <ql/experimental/credit/lossdistribution.hpp> Inherits QuantLib::LossDist. Public Member FunctionsLossDistMonteCarlo (Size nBuckets, Real maximum, Size simulations, long seed=42, Real epsilon=1e-6) Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const Size buckets () const Real maximum () const Detailed DescriptionLoss distribution with Monte Carlo simulation. Loss distribution…

QuantLib::LossDistHomogeneous – Loss Distribution for Homogeneous Pool. Synopsis#include <ql/experimental/credit/lossdistribution.hpp> Inherits QuantLib::LossDist. Public Member FunctionsLossDistHomogeneous (Size nBuckets, Real maximum, Real epsilon=1e-6) Distribution operator() (Real volume, const std::vector< Real > &probabilities) const Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const Size buckets () const Real maximum () const Size size () const…

QuantLib::LossDistBucketing – Loss distribution with Hull-White bucketing. Synopsis#include <ql/experimental/credit/lossdistribution.hpp> Inherits QuantLib::LossDist. Public Member FunctionsLossDistBucketing (Size nBuckets, Real maximum, Real epsilon=1e-6) Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const Size buckets () const Real maximum () const Detailed DescriptionLoss distribution with Hull-White bucketing. Loss distribution with Hull-White bucketing Loss distribution for…

QuantLib::LossDistBinomial – Binomial loss distribution. Synopsis#include <ql/experimental/credit/lossdistribution.hpp> Inherits QuantLib::LossDist. Public Member FunctionsLossDistBinomial (Size nBuckets, Real maximum) Distribution operator() (Size n, Real volume, Real probability) const Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const Size buckets () const Real maximum () const Real volume () const Size size () const std::vector<…

QuantLib::LossDist – Probability formulas and algorithms. Synopsis#include <ql/experimental/credit/lossdistribution.hpp> Inherited by LossDistBinomial, LossDistBucketing, LossDistHomogeneous, and LossDistMonteCarlo. Public Member Functionsvirtual Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const =0 virtual Size buckets () const =0 virtual Real maximum () const =0 Static Public Member Functionsstatic Real binomialProbabilityOfNEvents (int n, std::vector< Real >…

QuantLib::LongstaffSchwartzPathPricer – Longstaff-Schwarz path pricer for early exercise options. Synopsis#include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp> Inherits PathPricer< PathType >. Public Typestypedef EarlyExerciseTraits< PathType >::StateType StateType Public Member FunctionsLongstaffSchwartzPathPricer (const TimeGrid &times, const boost::shared_ptr< EarlyExercisePathPricer< PathType > > &, const boost::shared_ptr< YieldTermStructure > &termStructure) Real operator() (const PathType &path) const virtual void calibrate () Protected Attributesbool calibrationPhase_ const boost::shared_ptr< EarlyExercisePathPricer<…

QuantLib::LogNormalFwdRatePc – Predictor-Corrector. Synopsis#include <ql/models/marketmodels/evolvers/lognormalfwdratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member FunctionsLogNormalFwdRatePc (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath () Real advanceStep () Size currentStep () const const CurveState & currentState () const void setInitialState (const CurveState…

QuantLib::LogNormalFwdRateIpc – Iterative Predictor-Corrector. Synopsis#include <ql/models/marketmodels/evolvers/lognormalfwdrateipc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member FunctionsLogNormalFwdRateIpc (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath () Real advanceStep () Size currentStep () const const CurveState & currentState () const void setInitialState (const…

QuantLib::LogNormalFwdRateEulerConstrained – euler stepping Synopsis#include <ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.hpp> Inherits QuantLib::ConstrainedEvolver. Public Member FunctionsLogNormalFwdRateEulerConstrained (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) MarketModelConstrained interface virtual void setConstraintType (const std::vector< Size > &startIndexOfSwapRate, const std::vector< Size > &endIndexOfSwapRate) call once virtual void setThisConstraint (const std::vector< Rate > &rateConstraints, const std::vector< bool >…

QuantLib::LogNormalFwdRateEuler – Euler. Synopsis#include <ql/models/marketmodels/evolvers/lognormalfwdrateeuler.hpp> Inherits QuantLib::MarketModelEvolver. Public Member FunctionsLogNormalFwdRateEuler (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) const std::vector< Real > & browniansThisStep () const accessor methods useful for doing pathwise vegas MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath () Real advanceStep…

QuantLib::LogNormalCotSwapRatePc – Predictor-Corrector. Synopsis#include <ql/models/marketmodels/evolvers/lognormalcotswapratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member FunctionsLogNormalCotSwapRatePc (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath () Real advanceStep () Size currentStep () const const CurveState & currentState () const void setInitialState (const CurveState…

QuantLib::LogNormalCmSwapRatePc – Predictor-Corrector. Synopsis#include <ql/models/marketmodels/evolvers/lognormalcmswapratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member FunctionsLogNormalCmSwapRatePc (const Size spanningForwards, const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath () Real advanceStep () Size currentStep () const const CurveState & currentState () const void…