Linux Manuals session 3

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::AnalyticPerformanceEngine – Pricing engine for performance options using analytical formulae. Synopsis#include <ql/pricingengines/cliquet/analyticperformanceengine.hpp> Inherits QuantLib::CliquetOption::engine. Public Member FunctionsAnalyticPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed DescriptionPricing engine for performance options using analytical formulae. Tests the correctness of the returned greeks is tested by reproducing numerical derivatives.AuthorGenerated automatically by Doxygen for QuantLib from the…

ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp – analytic heston engine incl. stochastic interest rates Synopsis#include <ql/models/equity/hestonmodel.hpp> #include <ql/models/shortrate/onefactormodels/hullwhite.hpp> #include <ql/pricingengines/vanilla/analytichestonengine.hpp> Classesclass AnalyticHestonHullWhiteEngine Analytic Heston engine incl. stochastic interest rates. Detailed Descriptionanalytic heston engine incl. stochastic interest rates AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/pricingengines/vanilla/analytichestonengine.hpp – analytic Heston-model engine Synopsis#include <ql/math/integrals/integral.hpp> #include <ql/math/integrals/gaussianquadratures.hpp> #include <ql/pricingengines/genericmodelengine.hpp> #include <ql/models/equity/hestonmodel.hpp> #include <ql/instruments/vanillaoption.hpp> #include <boost/function.hpp> #include <complex> Classesclass AnalyticHestonEngine analytic Heston-model engine based on Fourier transform Detailed Descriptionanalytic Heston-model engine AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::AnalyticHaganPricer – CMS-coupon pricer. Synopsis#include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::HaganPricer. Public Member FunctionsAnalyticHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion) Protected Member FunctionsReal optionletPrice (Option::Type optionType, Real strike) const Real swapletPrice () const Detailed DescriptionCMS-coupon pricer. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/pricingengines/vanilla/analyticgjrgarchengine.hpp – analytic GJR-GARCH-model engine Synopsis#include <ql/pricingengines/genericmodelengine.hpp> #include <ql/models/equity/gjrgarchmodel.hpp> #include <ql/instruments/vanillaoption.hpp> #include <ql/math/integrals/gaussianquadratures.hpp> #include <complex> Classesclass AnalyticGJRGARCHEngine GJR-GARCH(1,1) engine. Detailed Descriptionanalytic GJR-GARCH-model engine AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::AnalyticEuropeanEngine – Pricing engine for European vanilla options using analytical formulae. Synopsis#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp> Inherits VanillaOption::engine. Public Member FunctionsAnalyticEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Detailed DescriptionPricing engine for European vanilla options using analytical formulae. Tests * the correctness of the returned value is tested by reproducing results available in literature. * the…

ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp – Analytic discrete-dividend European engine. Synopsis#include <ql/instruments/dividendvanillaoption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classesclass AnalyticDividendEuropeanEngine Analytic pricing engine for European options with discrete dividends. Detailed DescriptionAnalytic discrete-dividend European engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::AnalyticDiscreteGeometricAveragePriceAsianEngine – Pricing engine for European discrete geometric average price Asian. Synopsis#include <ql/pricingengines/asian/analytic_discr_geom_av_price.hpp> Inherits QuantLib::DiscreteAveragingAsianOption::engine. Public Member FunctionsAnalyticDiscreteGeometricAveragePriceAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed DescriptionPricing engine for European discrete geometric average price Asian. This class implements a discrete geometric average price Asian option, with European exercise. The formula is from ‘Asian…

ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp – analytic digital American option engine Synopsis#include <ql/instruments/vanillaoption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classesclass AnalyticDigitalAmericanEngine Analytic pricing engine for American vanilla options with digital payoff. Detailed Descriptionanalytic digital American option engine AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::AnalyticContinuousGeometricAveragePriceAsianEngine – Pricing engine for European continuous geometric average price Asian. Synopsis#include <ql/pricingengines/asian/analytic_cont_geom_av_price.hpp> Inherits QuantLib::ContinuousAveragingAsianOption::engine. Public Member FunctionsAnalyticContinuousGeometricAveragePriceAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed DescriptionPricing engine for European continuous geometric average price Asian. This class implements a continuous geometric average price Asian option with European exercise. The formula is from ‘Option…

QuantLib::AnalyticContinuousFloatingLookbackEngine – Pricing engine for European continuous floating-strike lookback. Synopsis#include <ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp> Inherits QuantLib::ContinuousFloatingLookbackOption::engine. Public Member FunctionsAnalyticContinuousFloatingLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed DescriptionPricing engine for European continuous floating-strike lookback. Formula from ‘Option Pricing Formulas’, E.G. Haug, McGraw-Hill, 1998, p.61-62 Tests returned values verified against results from literatureAuthorGenerated automatically by Doxygen for…

QuantLib::AnalyticContinuousFixedLookbackEngine – Pricing engine for European continuous fixed-strike lookback. Synopsis#include <ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp> Inherits QuantLib::ContinuousFixedLookbackOption::engine. Public Member FunctionsAnalyticContinuousFixedLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed DescriptionPricing engine for European continuous fixed-strike lookback. Formula from ‘Option Pricing Formulas’, E.G. Haug, McGraw-Hill, 1998, p.63-64 Tests returned values are verified against results from literatureAuthorGenerated automatically by Doxygen…

QuantLib::AnalyticCliquetEngine – Pricing engine for Cliquet options using analytical formulae. Synopsis#include <ql/pricingengines/cliquet/analyticcliquetengine.hpp> Inherits QuantLib::CliquetOption::engine. Public Member FunctionsAnalyticCliquetEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed DescriptionPricing engine for Cliquet options using analytical formulae. Tests * the correctness of the returned value is tested by reproducing results available in literature. * the correctness of…

QuantLib::AnalyticCapFloorEngine – Analytic engine for cap/floor. Synopsis#include <ql/pricingengines/capfloor/analyticcapfloorengine.hpp> Inherits GenericModelEngine< AffineModel, CapFloor::arguments, CapFloor::results >. Public Member FunctionsAnalyticCapFloorEngine (const boost::shared_ptr< AffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) void calculate () const Detailed DescriptionAnalytic engine for cap/floor. Constructor & Destructor DocumentationAnalyticCapFloorEngine (const boost::shared_ptr< AffineModel > & model, const Handle< YieldTermStructure > & termStructure =…

QuantLib::AnalyticCapFloorEngine – Analytic engine for cap/floor. Synopsis#include <ql/pricingengines/capfloor/analyticcapfloorengine.hpp> Inherits GenericModelEngine< AffineModel, CapFloor::arguments, CapFloor::results >. Public Member FunctionsAnalyticCapFloorEngine (const boost::shared_ptr< AffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) void calculate () const Detailed DescriptionAnalytic engine for cap/floor. Constructor & Destructor DocumentationAnalyticCapFloorEngine (const boost::shared_ptr< AffineModel > & model, const Handle< YieldTermStructure > & termStructure =…

ql/pricingengines/barrier/analyticbarrierengine.hpp – Analytic barrier option engines. Synopsis#include <ql/instruments/barrieroption.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/math/distributions/normaldistribution.hpp> Classesclass AnalyticBarrierEngine Pricing engine for barrier options using analytical formulae. Detailed DescriptionAnalytic barrier option engines. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/pricingengines/vanilla/analyticbsmhullwhiteengine.hpp – analytic Black-Scholes engines including stochastic interest rates Synopsis#include <ql/instruments/vanillaoption.hpp> #include <ql/pricingengines/genericmodelengine.hpp> #include <ql/models/shortrate/onefactormodels/hullwhite.hpp> #include <ql/processes/blackscholesprocess.hpp> Classesclass AnalyticBSMHullWhiteEngine analytic european option pricer including stochastic interest rates Detailed Descriptionanalytic Black-Scholes engines including stochastic interest rates AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::AmortizingFloatingRateBond – amortizing floating-rate bond (possibly capped and/or floored) Synopsis#include <ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsAmortizingFloatingRateBond (Natural settlementDays, const std::vector< Real > &notional, const Schedule &schedule, const boost::shared_ptr< IborIndex > &index, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1,…

QuantLib::AmortizingFixedRateBond – amortizing fixed-rate bond Synopsis#include <ql/experimental/amortizingbonds/amortizingfixedratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsAmortizingFixedRateBond (Natural settlementDays, const std::vector< Real > &notionals, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, const std::vector< Real > &redemption=std::vector< Real >(1, 100.0), const Date &issueDate=Date()) AmortizingFixedRateBond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &startDate, const…