Linux Manuals session 3

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…

QuantLib::AmortizingCmsRateBond – amortizing CMS-rate bond Synopsis#include <ql/experimental/amortizingbonds/amortizingcmsratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsAmortizingCmsRateBond (Natural settlementDays, const std::vector< Real > &faceAmount, const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index, const DayCounter &paymentDayCounter, 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, 0.0), const std::vector< Rate…

QuantLib::AmericanPayoffAtHit – Analytic formula for American exercise payoff at-hit options. Synopsis#include <ql/pricingengines/americanpayoffathit.hpp> Public Member FunctionsAmericanPayoffAtHit (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff) Real value () const Real delta () const Real gamma () const Real rho (Time maturity) const Detailed DescriptionAnalytic formula for American exercise payoff at-hit options. Possible…

QuantLib::AmericanPayoffAtExpiry – Analytic formula for American exercise payoff at-expiry options. Synopsis#include <ql/pricingengines/americanpayoffatexpiry.hpp> Public Member FunctionsAmericanPayoffAtExpiry (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff) Real value () const Detailed DescriptionAnalytic formula for American exercise payoff at-expiry options. Possible enhancements calculate greeksAuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::AmericanExercise – American exercise. Synopsis#include <ql/exercise.hpp> Inherits QuantLib::EarlyExercise. Public Member FunctionsAmericanExercise (const Date &earliestDate, const Date &latestDate, bool payoffAtExpiry=false) AmericanExercise (const Date &latestDate, bool payoffAtExpiry=false) Detailed DescriptionAmerican exercise. An American option can be exercised at any time between two predefined dates; the first date might be omitted, in which case the option can be exercised…