Section 3: library functions
Atlas – The Atlas namespace. SynopsisNamespacesnamespace Net The Atlas network communication namespace. namespace Objects The Atlas high level Objects namespace. Classesclass Bridge Atlas stream bridge. class Codec Atlas stream codec. class EncoderBase Base class forwarding to Atlas::Bridge as skeleton for other encoders. class Exception Base class for all exceptions thrown by Atlas-C++. class Filter Atlas…
ql/instruments/assetswap.hpp – Bullet bond vs Libor swap. Synopsis#include <ql/instruments/swap.hpp> #include <ql/instruments/bond.hpp> #include <ql/time/schedule.hpp> Classesclass AssetSwap Bullet bond vs Libor swap. class arguments Arguments for asset swap calculation class results Results from simple swap calculation Detailed DescriptionBullet bond vs Libor swap. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::AssetOrNothingPayoff – Binary asset-or-nothing payoff. Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member FunctionsAssetOrNothingPayoff (Option::Type type, Real strike) Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed DescriptionBinary asset-or-nothing payoff. Definitions of Binary path-independent payoffs used below, can be found in M. Rubinstein, E. Reiner:’Unscrambling The Binary Code’, Risk,…
ql/math/array.hpp – 1-D array used in linear algebra. Synopsis#include <ql/types.hpp> #include <ql/errors.hpp> #include <ql/utilities/disposable.hpp> #include <boost/iterator/reverse_iterator.hpp> #include <boost/scoped_array.hpp> #include <functional> #include <numeric> #include <vector> #include <iomanip> Classesclass Array 1-D array used in linear algebra. Detailed Description1-D array used in linear algebra. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::ArmijoLineSearch – Armijo line search. Synopsis#include <ql/math/optimization/armijo.hpp> Inherits QuantLib::LineSearch. Public Member FunctionsArmijoLineSearch (Real eps=1e-8, Real alpha=0.05, Real beta=0.65) Default constructor. Real operator() (Problem &P, EndCriteria::Type &ecType, const EndCriteria &, const Real t_ini) Perform line search. Detailed DescriptionArmijo line search. Let $ lpha $ and $ 2 scalars in $ [0,1] $. Let $ x $…
QuantLib::Argentina – Argentinian calendars. Synopsis#include <ql/time/calendars/argentina.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { Merval } Public Member FunctionsArgentina (Market m=Merval) Detailed DescriptionArgentinian calendars. Holidays for the Buenos Aires stock exchange (data from <http://www.merval.sba.com.ar/>): * Saturdays * Sundays * New Year’s Day, January 1st * Holy Thursday * Good Friday * Labour Day, May 1st * May…
ApplicationShell — The ApplicationShell widget class Synopsis#include <Xm/Xm.h> #include <X11/Shell.h>DescriptionApplicationShell is used as the main top-level window for an application. An application should have more than one ApplicationShell only if it implements multiple logical applications. ClassesApplicationShell inherits behavior and resources from Core, Composite, Shell, WMShell, VendorShell, and TopLevelShell. The class pointer is applicationShellWidgetClass. The class…
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…