Linux Manuals session 3

ql/pricingengines/vanilla/fdstepconditionengine.hpp – Finite-differences step-condition engine. Synopsis#include <ql/pricingengines/vanilla/fdvanillaengine.hpp> #include <ql/methods/finitedifferences/fdtypedefs.hpp> #include <ql/methods/finitedifferences/boundarycondition.hpp> Classesclass FDStepConditionEngine Finite-differences pricing engine for American-style vanilla options. Detailed DescriptionFinite-differences step-condition engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/pricingengines/vanilla/fdshoutengine.hpp – Finite-differences shout engine. Synopsis#include <ql/pricingengines/vanilla/fdstepconditionengine.hpp> #include <ql/pricingengines/vanilla/fdconditions.hpp> #include <ql/instruments/vanillaoption.hpp> Typedefstypedef FDEngineAdapter< FDShoutCondition< FDStepConditionEngine >, VanillaOption::engine > FDShoutEngine Finite-differences pricing engine for shout vanilla options. Detailed DescriptionFinite-differences shout engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/pricingengines/vanilla/fdeuropeanengine.hpp – Finite-difference European engine. Synopsis#include <ql/instruments/oneassetoption.hpp> #include <ql/pricingengines/vanilla/fdvanillaengine.hpp> #include <ql/math/sampledcurve.hpp> Classesclass FDEuropeanEngine Pricing engine for European options using finite-differences. Detailed DescriptionFinite-difference European engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/pricingengines/vanilla/fddividendshoutengine.hpp – base class for shout engine with dividends Synopsis#include <ql/instruments/dividendvanillaoption.hpp> #include <ql/pricingengines/vanilla/fddividendengine.hpp> #include <ql/pricingengines/vanilla/fdconditions.hpp> #include <ql/methods/finitedifferences/shoutcondition.hpp> Typedefstypedef FDEngineAdapter< FDShoutCondition< FDDividendEngine >, DividendVanillaOption::engine > FDDividendShoutEngine Finite-differences shout engine with dividends. typedef FDEngineAdapter< FDShoutCondition< FDDividendEngineMerton73 >, DividendVanillaOption::engine > FDDividendShoutEngineMerton73 typedef FDEngineAdapter< FDShoutCondition< FDDividendEngineShiftScale >, DividendVanillaOption::engine > FDDividendShoutEngineShiftScale Detailed Descriptionbase class for shout engine with dividends AuthorGenerated…

ql/pricingengines/vanilla/fddividendshoutengine.hpp – base class for shout engine with dividends Synopsis#include <ql/instruments/dividendvanillaoption.hpp> #include <ql/pricingengines/vanilla/fddividendengine.hpp> #include <ql/pricingengines/vanilla/fdconditions.hpp> #include <ql/methods/finitedifferences/shoutcondition.hpp> Typedefstypedef FDEngineAdapter< FDShoutCondition< FDDividendEngine >, DividendVanillaOption::engine > FDDividendShoutEngine Finite-differences shout engine with dividends. typedef FDEngineAdapter< FDShoutCondition< FDDividendEngineMerton73 >, DividendVanillaOption::engine > FDDividendShoutEngineMerton73 typedef FDEngineAdapter< FDShoutCondition< FDDividendEngineShiftScale >, DividendVanillaOption::engine > FDDividendShoutEngineShiftScale Detailed Descriptionbase class for shout engine with dividends AuthorGenerated…

ql/pricingengines/vanilla/fddividendshoutengine.hpp – base class for shout engine with dividends Synopsis#include <ql/instruments/dividendvanillaoption.hpp> #include <ql/pricingengines/vanilla/fddividendengine.hpp> #include <ql/pricingengines/vanilla/fdconditions.hpp> #include <ql/methods/finitedifferences/shoutcondition.hpp> Typedefstypedef FDEngineAdapter< FDShoutCondition< FDDividendEngine >, DividendVanillaOption::engine > FDDividendShoutEngine Finite-differences shout engine with dividends. typedef FDEngineAdapter< FDShoutCondition< FDDividendEngineMerton73 >, DividendVanillaOption::engine > FDDividendShoutEngineMerton73 typedef FDEngineAdapter< FDShoutCondition< FDDividendEngineShiftScale >, DividendVanillaOption::engine > FDDividendShoutEngineShiftScale Detailed Descriptionbase class for shout engine with dividends AuthorGenerated…

ql/pricingengines/vanilla/fddividendeuropeanengine.hpp – finite-differences engine for European option with dividends Synopsis#include <ql/instruments/dividendvanillaoption.hpp> #include <ql/pricingengines/vanilla/fddividendengine.hpp> Typedefstypedef FDEngineAdapter< FDDividendEngine, DividendVanillaOption::engine > FDDividendEuropeanEngine Finite-differences pricing engine for dividend European options. typedef FDEngineAdapter< FDDividendEngineMerton73, DividendVanillaOption::engine > FDDividendEuropeanEngineMerton73 typedef FDEngineAdapter< FDDividendEngineShiftScale, DividendVanillaOption::engine > FDDividendEuropeanEngineShiftScale Detailed Descriptionfinite-differences engine for European option with dividends AuthorGenerated automatically by Doxygen for QuantLib from the source…

ql/pricingengines/vanilla/fddividendeuropeanengine.hpp – finite-differences engine for European option with dividends Synopsis#include <ql/instruments/dividendvanillaoption.hpp> #include <ql/pricingengines/vanilla/fddividendengine.hpp> Typedefstypedef FDEngineAdapter< FDDividendEngine, DividendVanillaOption::engine > FDDividendEuropeanEngine Finite-differences pricing engine for dividend European options. typedef FDEngineAdapter< FDDividendEngineMerton73, DividendVanillaOption::engine > FDDividendEuropeanEngineMerton73 typedef FDEngineAdapter< FDDividendEngineShiftScale, DividendVanillaOption::engine > FDDividendEuropeanEngineShiftScale Detailed Descriptionfinite-differences engine for European option with dividends AuthorGenerated automatically by Doxygen for QuantLib from the source…

ql/pricingengines/vanilla/fddividendeuropeanengine.hpp – finite-differences engine for European option with dividends Synopsis#include <ql/instruments/dividendvanillaoption.hpp> #include <ql/pricingengines/vanilla/fddividendengine.hpp> Typedefstypedef FDEngineAdapter< FDDividendEngine, DividendVanillaOption::engine > FDDividendEuropeanEngine Finite-differences pricing engine for dividend European options. typedef FDEngineAdapter< FDDividendEngineMerton73, DividendVanillaOption::engine > FDDividendEuropeanEngineMerton73 typedef FDEngineAdapter< FDDividendEngineShiftScale, DividendVanillaOption::engine > FDDividendEuropeanEngineShiftScale Detailed Descriptionfinite-differences engine for European option with dividends AuthorGenerated automatically by Doxygen for QuantLib from the source…

QuantLib::FDDividendEngineShiftScale – Finite-differences engine for dividend options using shifted dividends. Synopsis#include <ql/pricingengines/vanilla/fddividendengine.hpp> Inherits QuantLib::FDDividendEngineBase. Public Member FunctionsFDDividendEngineShiftScale (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Detailed DescriptionFinite-differences engine for dividend options using shifted dividends. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::FDDividendEngineMerton73 – Finite-differences pricing engine for dividend options using. Synopsis#include <ql/pricingengines/vanilla/fddividendengine.hpp> Inherits QuantLib::FDDividendEngineBase. Public Member FunctionsFDDividendEngineMerton73 (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Detailed DescriptionFinite-differences pricing engine for dividend options using. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::FDDividendEngineBase – Abstract base class for dividend engines. Synopsis#include <ql/pricingengines/vanilla/fddividendengine.hpp> Inherits QuantLib::FDMultiPeriodEngine. Inherited by FDDividendEngineMerton73, and FDDividendEngineShiftScale. Public Member FunctionsFDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Protected Member Functionsvirtual void setupArguments (const PricingEngine::arguments *) const void setGridLimits () const =0 void executeIntermediateStep (Size step) const =0 Real getDividendAmount (Size i)…

ql/pricingengines/vanilla/fddividendengine.hpp – base engine for option with dividends Synopsis#include <ql/pricingengines/vanilla/fdmultiperiodengine.hpp> #include <ql/cashflows/dividend.hpp> Classesclass FDDividendEngineBase Abstract base class for dividend engines. class FDDividendEngineMerton73 Finite-differences pricing engine for dividend options using. class FDDividendEngineShiftScale Finite-differences engine for dividend options using shifted dividends. Typedefstypedef FDDividendEngineMerton73 FDDividendEngine Detailed Descriptionbase engine for option with dividends AuthorGenerated automatically by Doxygen for QuantLib…

ql/pricingengines/vanilla/fddividendamericanengine.hpp – american engine with discrete deterministic dividends Synopsis#include <ql/instruments/dividendvanillaoption.hpp> #include <ql/pricingengines/vanilla/fddividendengine.hpp> #include <ql/pricingengines/vanilla/fdconditions.hpp> Typedefstypedef FDEngineAdapter< FDAmericanCondition< FDDividendEngine >, DividendVanillaOption::engine > FDDividendAmericanEngine Finite-differences pricing engine for dividend American options. typedef FDEngineAdapter< FDAmericanCondition< FDDividendEngineMerton73 >, DividendVanillaOption::engine > FDDividendAmericanEngineMerton73 typedef FDEngineAdapter< FDAmericanCondition< FDDividendEngineShiftScale >, DividendVanillaOption::engine > FDDividendAmericanEngineShiftScale Detailed Descriptionamerican engine with discrete deterministic dividends AuthorGenerated automatically by…

ql/pricingengines/vanilla/fddividendamericanengine.hpp – american engine with discrete deterministic dividends Synopsis#include <ql/instruments/dividendvanillaoption.hpp> #include <ql/pricingengines/vanilla/fddividendengine.hpp> #include <ql/pricingengines/vanilla/fdconditions.hpp> Typedefstypedef FDEngineAdapter< FDAmericanCondition< FDDividendEngine >, DividendVanillaOption::engine > FDDividendAmericanEngine Finite-differences pricing engine for dividend American options. typedef FDEngineAdapter< FDAmericanCondition< FDDividendEngineMerton73 >, DividendVanillaOption::engine > FDDividendAmericanEngineMerton73 typedef FDEngineAdapter< FDAmericanCondition< FDDividendEngineShiftScale >, DividendVanillaOption::engine > FDDividendAmericanEngineShiftScale Detailed Descriptionamerican engine with discrete deterministic dividends AuthorGenerated automatically by…

ql/pricingengines/vanilla/fddividendamericanengine.hpp – american engine with discrete deterministic dividends Synopsis#include <ql/instruments/dividendvanillaoption.hpp> #include <ql/pricingengines/vanilla/fddividendengine.hpp> #include <ql/pricingengines/vanilla/fdconditions.hpp> Typedefstypedef FDEngineAdapter< FDAmericanCondition< FDDividendEngine >, DividendVanillaOption::engine > FDDividendAmericanEngine Finite-differences pricing engine for dividend American options. typedef FDEngineAdapter< FDAmericanCondition< FDDividendEngineMerton73 >, DividendVanillaOption::engine > FDDividendAmericanEngineMerton73 typedef FDEngineAdapter< FDAmericanCondition< FDDividendEngineShiftScale >, DividendVanillaOption::engine > FDDividendAmericanEngineShiftScale Detailed Descriptionamerican engine with discrete deterministic dividends AuthorGenerated automatically by…

QuantLib::FDBermudanEngine – Finite-differences Bermudan engine. Synopsis#include <ql/pricingengines/vanilla/fdbermudanengine.hpp> Inherits VanillaOption::engine, and QuantLib::FDMultiPeriodEngine. Public Member FunctionsFDBermudanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) void calculate () const Protected Member Functionsvoid initializeStepCondition () const void executeIntermediateStep (Size) const Protected AttributesReal extraTermInBermudan Detailed DescriptionFinite-differences Bermudan engine. Examples: EquityOption.cpp. AuthorGenerated automatically by Doxygen for QuantLib from…

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:…