Section 3: library functions
MENU – Stores the entries of a menu. Allegro game programming library. Synopsis#include <allegro.h> typedef struct MENU Description char *text; – the text to display for the menu item int (*proc)(void); – called when the menu item is clicked struct MENU *child; – nested child menu int flags; – disabled or checked state void *dp;…
ql/pricingengines/forward/mcvarianceswapengine.hpp – Monte Carlo variance-swap engine. Synopsis#include <ql/pricingengines/mcsimulation.hpp> #include <ql/math/integrals/segmentintegral.hpp> #include <ql/instruments/varianceswap.hpp> #include <ql/processes/blackscholesprocess.hpp> Classesclass MCVarianceSwapEngine< RNG, S > Variance-swap pricing engine using Monte Carlo simulation,. class MakeMCVarianceSwapEngine< RNG, S > Monte Carlo variance-swap engine factory. Detailed DescriptionMonte Carlo variance-swap engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::MCVanillaEngine – Pricing engine for vanilla options using Monte Carlo simulation. Synopsis#include <ql/pricingengines/vanilla/mcvanillaengine.hpp> Inherits Inst::engine, and McSimulation< MC, RNG, S >. Public Member Functionsvoid calculate () const Protected Typestypedef McSimulation< MC, RNG, S >::path_generator_type path_generator_type typedef McSimulation< MC, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< MC, RNG, S >::stats_type stats_type typedef McSimulation< MC, RNG, S >::result_type…
QuantLib::MCPerformanceEngine – Pricing engine for performance options using Monte Carlo simulation. Synopsis#include <ql/pricingengines/cliquet/mcperformanceengine.hpp> Inherits QuantLib::CliquetOption::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 FunctionsMCPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool brownianBridge, bool antitheticVariate,…
ql/experimental/mcbasket/mcpathbasketengine.hpp – Path-dependent European basket MC engine. Synopsis#include <ql/experimental/mcbasket/pathmultiassetoption.hpp> #include <ql/experimental/mcbasket/pathpayoff.hpp> #include <ql/pricingengines/mcsimulation.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/processes/stochasticprocessarray.hpp> #include <ql/timegrid.hpp> Classesclass MCPathBasketEngine< RNG, S > Pricing engine for path dependent basket options using Monte Carlo simulation. class MakeMCPathBasketEngine< RNG, S > Monte Carlo Path Basket engine factory. Detailed DescriptionPath-dependent European basket MC engine. AuthorGenerated automatically by…
ql/pricingengines/basket/mcpagodaengine.hpp – Monte Carlo engine for pagoda options. Synopsis#include <ql/instruments/pagodaoption.hpp> #include <ql/pricingengines/mcsimulation.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/processes/stochasticprocessarray.hpp> #include <ql/exercise.hpp> Classesclass MCPagodaEngine< RNG, S > Pricing engine for pagoda options using Monte Carlo simulation. Detailed DescriptionMonte Carlo engine for pagoda options. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
ql/pricingengines/mclongstaffschwartzengine.hpp – Longstaff Schwartz Monte Carlo engine for early exercise options. Synopsis#include <ql/pricingengines/mcsimulation.hpp> #include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp> Classesclass MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S > Longstaff-Schwarz Monte Carlo engine for early exercise options. Detailed DescriptionLongstaff Schwartz Monte Carlo engine for early exercise options. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::MCHullWhiteCapFloorEngine – Monte Carlo Hull-White engine for cap/floors. Synopsis#include <ql/pricingengines/capfloor/mchullwhiteengine.hpp> Inherits QuantLib::CapFloor::engine, and McSimulation< SingleVariate, RNG, S >. Public Typestypedef simulation::path_generator_type path_generator_type typedef simulation::path_pricer_type path_pricer_type typedef simulation::stats_type stats_type Public Member FunctionsMCHullWhiteCapFloorEngine (const boost::shared_ptr< HullWhite > &model, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) void calculate () const Protected Member Functionsboost::shared_ptr<…
ql/pricingengines/vanilla/mceuropeanhestonengine.hpp – Monte Carlo Heston-model engine for European options. Synopsis#include <ql/pricingengines/vanilla/mcvanillaengine.hpp> #include <ql/processes/hestonprocess.hpp> Classesclass MCEuropeanHestonEngine< RNG, S > Monte Carlo Heston-model engine for European options. class MakeMCEuropeanHestonEngine< RNG, S > Monte Carlo Heston European engine factory. Detailed DescriptionMonte Carlo Heston-model engine for European options. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp – Monte Carlo GJR-GARCH-model engine for European options. Synopsis#include <ql/pricingengines/vanilla/mcvanillaengine.hpp> #include <ql/processes/gjrgarchprocess.hpp> Classesclass MCEuropeanGJRGARCHEngine< RNG, S > Monte Carlo GJR-GARCH-model engine for European options. class MakeMCEuropeanGJRGARCHEngine< RNG, S > Monte Carlo GJR-GARCH European engine factory. Detailed DescriptionMonte Carlo GJR-GARCH-model engine for European options. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
ql/pricingengines/vanilla/mceuropeanengine.hpp – Monte Carlo European option engine. Synopsis#include <ql/pricingengines/vanilla/mcvanillaengine.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp> #include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp> Classesclass MCEuropeanEngine< RNG, S > European option pricing engine using Monte Carlo simulation. class MakeMCEuropeanEngine< RNG, S > Monte Carlo European engine factory. Detailed DescriptionMonte Carlo European option engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::MCDiscreteGeometricAPEngine – Monte Carlo pricing engine for discrete geometric average price Asian. Synopsis#include <ql/pricingengines/asian/mc_discr_geom_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 FunctionsMCDiscreteGeometricAPEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size…
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…
ql/pricingengines/vanilla/mcdigitalengine.hpp – digital option Monte Carlo engine Synopsis#include <ql/exercise.hpp> #include <ql/termstructures/yieldtermstructure.hpp> #include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> #include <ql/methods/montecarlo/mctraits.hpp> #include <ql/pricingengines/vanilla/mcvanillaengine.hpp> #include <ql/processes/blackscholesprocess.hpp> Classesclass MCDigitalEngine< RNG, S > Pricing engine for digital options using Monte Carlo simulation. class MakeMCDigitalEngine< RNG, S > Monte Carlo digital engine factory. Detailed Descriptiondigital option Monte Carlo engine AuthorGenerated automatically by Doxygen for QuantLib…
ql/pricingengines/basket/mcbasketengine.hpp – European basket MC Engine. Synopsis#include <ql/instruments/basketoption.hpp> #include <ql/pricingengines/mcsimulation.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/processes/stochasticprocessarray.hpp> #include <ql/exercise.hpp> Classesclass MCBasketEngine< RNG, S > Pricing engine for basket options using Monte Carlo simulation. Detailed DescriptionEuropean basket MC Engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
ql/pricingengines/barrier/mcbarrierengine.hpp – Monte Carlo barrier option engines. Synopsis#include <ql/instruments/barrieroption.hpp> #include <ql/pricingengines/mcsimulation.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/exercise.hpp> Classesclass MCBarrierEngine< RNG, S > Pricing engine for barrier options using Monte Carlo simulation. Detailed DescriptionMonte Carlo barrier option engines. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
ql/pricingengines/vanilla/mcamericanengine.hpp – American Monte Carlo engine. Synopsis#include <ql/qldefines.hpp> #include <ql/payoff.hpp> #include <ql/exercise.hpp> #include <ql/methods/montecarlo/lsmbasissystem.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/pricingengines/mclongstaffschwartzengine.hpp> #include <ql/pricingengines/vanilla/mceuropeanengine.hpp> #include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp> Classesclass MCAmericanEngine< RNG, S > American Monte Carlo engine. class MakeMCAmericanEngine< RNG, S > Monte Carlo American engine factory. Detailed DescriptionAmerican Monte Carlo engine. AuthorGenerated automatically by Doxygen for QuantLib from the source…
ql/pricingengines/basket/mcamericanbasketengine.hpp – Least-square Monte Carlo engines. Synopsis#include <ql/qldefines.hpp> #include <ql/instruments/basketoption.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/processes/stochasticprocessarray.hpp> #include <ql/methods/montecarlo/lsmbasissystem.hpp> #include <ql/pricingengines/mclongstaffschwartzengine.hpp> #include <ql/exercise.hpp> #include <boost/function.hpp> Classesclass MCAmericanBasketEngine< RNG > least-square Monte Carlo engine Detailed DescriptionLeast-square Monte Carlo engines. AuthorGenerated automatically by Doxygen for QuantLib from the source code.