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QuantLib::BlackScholesLattice – Simple binomial lattice approximating the Black-Scholes model. Synopsis#include <ql/methods/lattices/bsmlattice.hpp> Inherits TreeLattice1D< BlackScholesLattice< T > >. Public Member FunctionsBlackScholesLattice (const boost::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps) Size size (Size i) const DiscountFactor discount (Size, Size) const void stepback (Size i, const Array &values, Array &newValues) const Real underlying (Size i,…

QuantLib::BlackScholesCalculator – Black-Scholes 1973 calculator class. Synopsis#include <ql/pricingengines/blackscholescalculator.hpp> Inherits QuantLib::BlackCalculator. Public Member FunctionsBlackScholesCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real spot, DiscountFactor growth, Real stdDev, DiscountFactor discount) Real delta () const Real elasticity () const Real gamma () const Real theta (Time maturity) const Real thetaPerDay (Time maturity) const Protected AttributesReal spot_ DiscountFactor growth_ Detailed DescriptionBlack-Scholes…

QuantLib::BlackProcess – Black (1976) stochastic process. Synopsis#include <ql/processes/blackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Member FunctionsBlackProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) Detailed DescriptionBlack (1976) stochastic process. This class describes the stochastic process for a forward or futures contract given by…

BlackPixelOfScreen, WhitePixelOfScreen, CellsOfScreen, DefaultColormapOfScreen, DefaultDepthOfScreen, DefaultGCOfScreen, DefaultVisualOfScreen, DoesBackingStore, DoesSaveUnders, DisplayOfScreen, XScreenNumberOfScreen, EventMaskOfScreen, HeightOfScreen, HeightMMOfScreen, MaxCmapsOfScreen, MinCmapsOfScreen, PlanesOfScreen, RootWindowOfScreen, WidthOfScreen, WidthMMOfScreen – screen information functions and macros Syntaxunsigned long BlackPixelOfScreen(Screen *screen); unsigned long WhitePixelOfScreen(Screen *screen); int CellsOfScreen(Screen *screen); Colormap DefaultColormapOfScreen(Screen *screen); int DefaultDepthOfScreen(Screen *screen); GC DefaultGCOfScreen(Screen *screen); Visual *DefaultVisualOfScreen(Screen *screen); int DoesBackingStore(Screen *screen); Bool DoesSaveUnders(Screen *screen);…

AllPlanes, BlackPixel, WhitePixel, ConnectionNumber, DefaultColormap, DefaultDepth, XListDepths, DefaultGC, DefaultRootWindow, DefaultScreenOfDisplay, DefaultScreen, DefaultVisual, DisplayCells, DisplayPlanes, DisplayString, XMaxRequestSize, XExtendedMaxRequestSize, LastKnownRequestProcessed, NextRequest, ProtocolVersion, ProtocolRevision, QLength, RootWindow, ScreenCount, ScreenOfDisplay, ServerVendor, VendorRelease – Display macros and functions Syntaxunsigned long AllPlanes; unsigned long BlackPixel(Display *display, int screen_number); unsigned long WhitePixel(Display *display, int screen_number); int ConnectionNumber(Display *display); Colormap DefaultColormap(Display *display, int screen_number);…

ql/models/shortrate/onefactormodels/blackkarasinski.hpp – Black-Karasinski model. Synopsis#include <ql/models/shortrate/onefactormodel.hpp> #include <ql/processes/ornsteinuhlenbeckprocess.hpp> Classesclass BlackKarasinski Standard Black-Karasinski model class. class Dynamics Short-rate dynamics in the Black-Karasinski model. Detailed DescriptionBlack-Karasinski model. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::BlackIborCouponPricer – Black-formula pricer for capped/floored Ibor coupons. Synopsis#include <ql/cashflows/couponpricer.hpp> Inherits QuantLib::IborCouponPricer. Inherited by BlackIborQuantoCouponPricer. Public Member FunctionsBlackIborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >()) virtual void initialize (const FloatingRateCoupon &coupon) Real swapletPrice () const Rate swapletRate () const Real capletPrice (Rate effectiveCap) const Rate capletRate (Rate effectiveCap) const Real floorletPrice (Rate effectiveFloor) const Rate…

ql/termstructures/volatility/equityfx/blackconstantvol.hpp – Black constant volatility, no time dependence, no strike dependence. Synopsis#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> #include <ql/quotes/simplequote.hpp> #include <ql/time/daycounters/actual365fixed.hpp> Classesclass BlackConstantVol Constant Black volatility, no time-strike dependence. Detailed DescriptionBlack constant volatility, no time dependence, no strike dependence. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::BlackCapFloorEngine – Black-formula cap/floor engine. Synopsis#include <ql/pricingengines/capfloor/blackcapfloorengine.hpp> Inherits QuantLib::CapFloor::engine. Public Member FunctionsBlackCapFloorEngine (const Handle< YieldTermStructure > &termStructure, Volatility vol, const DayCounter &dc=Actual365Fixed()) BlackCapFloorEngine (const Handle< YieldTermStructure > &termStructure, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed()) BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< OptionletVolatilityStructure > &vol) void calculate () const Handle< YieldTermStructure > termStructure…

QuantLib::BlackCallableZeroCouponBondEngine – Black-formula callable zero coupon bond engine. Synopsis#include <ql/experimental/callablebonds/blackcallablebondengine.hpp> Inherits QuantLib::BlackCallableFixedRateBondEngine. Public Member FunctionsBlackCallableZeroCouponBondEngine (const Handle< Quote > &fwdYieldVol, const Handle< YieldTermStructure > &discountCurve) volatility is the quoted fwd yield volatility, not price vol BlackCallableZeroCouponBondEngine (const Handle< CallableBondVolatilityStructure > &yieldVolStructure, const Handle< YieldTermStructure > &discountCurve) volatility is the quoted fwd yield volatility, not price…

QuantLib::BlackCallableFixedRateBondEngine – Black-formula callable fixed rate bond engine. Synopsis#include <ql/experimental/callablebonds/blackcallablebondengine.hpp> Inherits QuantLib::CallableBond::engine. Inherited by BlackCallableZeroCouponBondEngine. Public Member FunctionsBlackCallableFixedRateBondEngine (const Handle< Quote > &fwdYieldVol, const Handle< YieldTermStructure > &discountCurve) volatility is the quoted fwd yield volatility, not price vol BlackCallableFixedRateBondEngine (const Handle< CallableBondVolatilityStructure > &yieldVolStructure, const Handle< YieldTermStructure > &discountCurve) volatility is the quoted fwd yield…

QuantLib::BlackCalculator – Black 1976 calculator class. Synopsis#include <ql/pricingengines/blackcalculator.hpp> Inherited by BlackScholesCalculator. Public Member FunctionsBlackCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) Real value () const Real deltaForward () const virtual Real delta (Real spot) const Real elasticityForward () const virtual Real elasticity (Real spot) const Real gammaForward () const virtual Real…

QuantLib::BlackAtmVolCurve – Black at-the-money (no-smile) volatility curve. Synopsis#include <ql/experimental/volatility/blackatmvolcurve.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by AbcdAtmVolCurve, and BlackVolSurface. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. BlackAtmVolCurve (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackAtmVolCurve (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference…

QuantLib::BjerksundStenslandApproximationEngine – Bjerksund and Stensland pricing engine for American options (1993). Synopsis#include <ql/pricingengines/vanilla/bjerksundstenslandengine.hpp> Inherits VanillaOption::engine. Public Member FunctionsBjerksundStenslandApproximationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Detailed DescriptionBjerksund and Stensland pricing engine for American options (1993). Tests the correctness of the returned value is tested by reproducing results available in literature. Examples: EquityOption.cpp. AuthorGenerated…

Date and time calculations – Classesclass DateInterval Date interval described by a number of a given time unit. class PricingPeriod Time pricingperiod described by a number of a given time unit. class Calendar calendar class class Date Concrete date class. struct DateGeneration Date-generation rule. class DayCounter day counter class class Period ModulesCalendars Day counters Typedefstypedef…

QuantLib::BivariateCumulativeNormalDistributionWe04DP – Cumulative bivariate normal distibution function (West 2004). Synopsis#include <ql/math/distributions/bivariatenormaldistribution.hpp> Public Member FunctionsBivariateCumulativeNormalDistributionWe04DP (Real rho) Real operator() (Real a, Real b) const Detailed DescriptionCumulative bivariate normal distibution function (West 2004). The implementation derives from the article ‘Better Approximations To Cumulative Normal Distibutions’, Graeme West, Dec 2004 available at www.finmod.co.za. Also available in Wilmott Magazine,…

QuantLib::BivariateCumulativeNormalDistributionDr78 – Cumulative bivariate normal distribution function. Synopsis#include <ql/math/distributions/bivariatenormaldistribution.hpp> Public Member FunctionsBivariateCumulativeNormalDistributionDr78 (Real rho) Real operator() (Real a, Real b) const Detailed DescriptionCumulative bivariate normal distribution function. Drezner (1978) algorithm, six decimal places accuracy. For this implementation see ‘Option pricing formulas’, E.G. Haug, McGraw-Hill 1998 Possible enhancements check accuracy of this algorithm and compare with:…

ql/math/distributions/bivariatenormaldistribution.hpp – bivariate cumulative normal distribution Synopsis#include <ql/math/distributions/normaldistribution.hpp> Classesclass BivariateCumulativeNormalDistributionDr78 Cumulative bivariate normal distribution function. class BivariateCumulativeNormalDistributionWe04DP Cumulative bivariate normal distibution function (West 2004). Typedefstypedef BivariateCumulativeNormalDistributionWe04DP BivariateCumulativeNormalDistribution default bivariate implementation Detailed Descriptionbivariate cumulative normal distribution AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ImageByteOrder, BitmapBitOrder, BitmapPad, BitmapUnit, DisplayHeight, DisplayHeightMM, DisplayWidth, DisplayWidthMM, XListPixmapFormats, XPixmapFormatValues – image format functions and macros SyntaxXPixmapFormatValues *XListPixmapFormats(Display *display, int *count_return); int ImageByteOrder(Display *display); int BitmapBitOrder(Display *display); int BitmapPad(Display *display); int BitmapUnit(Display *display); int DisplayHeight(Display *display, int screen_number); int DisplayHeightMM(Display *display, int screen_number); int DisplayWidth(Display *display, int screen_number); int DisplayWidthMM(Display *display, int screen_number);Argumentsdisplay Specifies the…

ImageByteOrder, BitmapBitOrder, BitmapPad, BitmapUnit, DisplayHeight, DisplayHeightMM, DisplayWidth, DisplayWidthMM, XListPixmapFormats, XPixmapFormatValues – image format functions and macros SyntaxXPixmapFormatValues *XListPixmapFormats(Display *display, int *count_return); int ImageByteOrder(Display *display); int BitmapBitOrder(Display *display); int BitmapPad(Display *display); int BitmapUnit(Display *display); int DisplayHeight(Display *display, int screen_number); int DisplayHeightMM(Display *display, int screen_number); int DisplayWidth(Display *display, int screen_number); int DisplayWidthMM(Display *display, int screen_number);Argumentsdisplay Specifies the…