Linux Manuals session 3

QuantLib::BicubicSpline – bicubic-spline interpolation between discrete points Synopsis#include <ql/math/interpolations/bicubicsplineinterpolation.hpp> Inherits QuantLib::Interpolation2D. Public Member Functionstemplate<class I1 , class I2 , class M > BicubicSpline (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const I2 &yEnd, const M &zData) Detailed Descriptionbicubic-spline interpolation between discrete points Possible enhancements revise end conditionsConstructor & Destructor DocumentationBicubicSpline (const I1 &…

QuantLib::BespokeCalendar – Bespoke calendar. Synopsis#include <ql/time/calendars/bespokecalendar.hpp> Inherits QuantLib::Calendar. Public Member FunctionsBespokeCalendar (const std::string &name=”) void addWeekend (Weekday) marks the passed day as part of the weekend Detailed DescriptionBespoke calendar. This calendar has no predefined set of business days. Holidays and weekdays can be defined by means of the provided interface. Instances constructed by copying remain…

QuantLib::BermudanExercise – Bermudan exercise. Synopsis#include <ql/exercise.hpp> Inherits QuantLib::EarlyExercise. Public Member FunctionsBermudanExercise (const std::vector< Date > &dates, bool payoffAtExpiry=false) Detailed DescriptionBermudan exercise. A Bermudan option can only be exercised at a set of fixed dates. Examples: BermudanSwaption.cpp, and EquityOption.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/processes/batesprocess.hpp – Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size. Synopsis#include <ql/processes/hestonprocess.hpp> #include <ql/math/distributions/normaldistribution.hpp> Classesclass BatesProcess Square-root stochastic-volatility Bates process. Detailed DescriptionBates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::BatesModel – Bates stochastic-volatility model. Synopsis#include <ql/models/equity/batesmodel.hpp> Inherits QuantLib::HestonModel. Inherited by BatesDetJumpModel. Public Member FunctionsBatesModel (const boost::shared_ptr< HestonProcess > &process, Real lambda=0.1, Real nu=0.0, Real delta=0.1) Real nu () const Real delta () const Real lambda () const Detailed DescriptionBates stochastic-volatility model. extended versions of Heston model for the stochastic volatility of an asset including…

QuantLib::BatesEngine – Bates model engines based on Fourier transform. Synopsis#include <ql/pricingengines/vanilla/batesengine.hpp> Inherits QuantLib::AnalyticHestonEngine. Inherited by BatesDetJumpEngine. Public Member FunctionsBatesEngine (const boost::shared_ptr< BatesModel > &model, Size integrationOrder=144) BatesEngine (const boost::shared_ptr< BatesModel > &model, Real relTolerance, Size maxEvaluations) Protected Member Functionsstd::complex< Real > addOnTerm (Real phi, Time t, Size j) const Detailed DescriptionBates model engines based on…

ql/instruments/basketoption.hpp – Basket option on a number of assets. Synopsis#include <ql/instruments/payoffs.hpp> #include <ql/instruments/multiassetoption.hpp> #include <ql/math/array.hpp> Classesclass BasketOption Basket option on a number of assets. class engine Basket-option engine base class Detailed DescriptionBasket option on a number of assets. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/experimental/credit/basket.hpp – basket of issuers and related notionals Synopsis#include <ql/default.hpp> #include <ql/issuer.hpp> #include <ql/termstructures/defaulttermstructure.hpp> #include <ql/experimental/credit/pool.hpp> #include <ql/experimental/credit/loss.hpp> Classesclass Basket Detailed Descriptionbasket of issuers and related notionals AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Quantity – Amount of a commodity. Synopsis#include <ql/experimental/commodities/quantity.hpp> Public Member FunctionsConstructors Quantity () Quantity (const CommodityType &commodityType, const UnitOfMeasure &unitOfMeasure, Real amount) Inspectors const CommodityType & commodityType () const const UnitOfMeasure & unitOfMeasure () const Real amount () const Quantity rounded () const Quantity arithmetics See below for non-member functions and for settings which determine…

QuantLib::Money – amount of cash Synopsis#include <ql/money.hpp> Public Member FunctionsConstructors Money () Money (const Currency &currency, Decimal value) Money (Decimal value, const Currency &currency) Inspectors const Currency & currency () const Decimal value () const Money rounded () const Money arithmetics See below for non-member functions and for settings which determine the behavior of the…

ql/instruments/barrieroption.hpp – Barrier option on a single asset. Synopsis#include <ql/instruments/oneassetoption.hpp> #include <ql/instruments/barriertype.hpp> #include <ql/instruments/payoffs.hpp> Classesclass BarrierOption Barrier option on a single asset. class arguments Arguments for barrier option calculation class engine Barrier-option engine base class Detailed DescriptionBarrier option on a single asset. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::BaroneAdesiWhaleyApproximationEngine – Barone-Adesi and Whaley pricing engine for American options (1987). Synopsis#include <ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp> Inherits VanillaOption::engine. Public Member FunctionsBaroneAdesiWhaleyApproximationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Static Public Member Functionsstatic Real criticalPrice (const boost::shared_ptr< StrikedTypePayoff > &payoff, DiscountFactor riskFreeDiscount, DiscountFactor dividendDiscount, Real variance, Real tolerance=1e-6) Detailed DescriptionBarone-Adesi and Whaley pricing engine for American options…

ql/math/interpolations/backwardflatinterpolation.hpp – backward-flat interpolation between discrete points Synopsis#include <ql/math/interpolation.hpp> #include <vector> Classesclass BackwardFlatInterpolation Backward-flat interpolation between discrete points. class BackwardFlat Backward-flat interpolation factory and traits. Detailed Descriptionbackward-flat interpolation between discrete points AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::DateGeneration – Date-generation rule. Synopsis#include <ql/time/dategenerationrule.hpp> Public Typesenum Rule { Backward, Forward, Zero, ThirdWednesday, Twentieth, TwentiethIMM } Related Functions(Note that these are not member functions.) std::ostream & operator<< (std::ostream &, DateGeneration::Rule) Detailed DescriptionDate-generation rule. These conventions specify the rule used to generate dates in a Schedule. Member Enumeration Documentationenum RuleEnumerator: Backward Backward from termination date…

QuantLib::BSpline – B-spline basis functions. Synopsis#include <ql/math/bspline.hpp> Public Member FunctionsBSpline (Natural p, Natural n, const std::vector< Real > &knots) Real operator() (Natural i, Real x) const Detailed DescriptionB-spline basis functions. Follows treatment and notation from: Weisstein, Eric W. ‘B-Spline.’ From MathWorld–A Wolfram Web Resource. <http://mathworld.wolfram.com/B-Spline.html> $ (p+1) $-th order B-spline (or p degree polynomial) basis…

QuantLib::Slovakia – Slovak calendars. Synopsis#include <ql/time/calendars/slovakia.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { BSSE } Public Member FunctionsSlovakia (Market m=BSSE) Detailed DescriptionSlovak calendars. Holidays for the Bratislava stock exchange (data from <http://www.bsse.sk/>): * Saturdays * Sundays * New Year’s Day, January 1st * Epiphany, January 6th * Good Friday * Easter Monday * May Day, May…

ql/methods/finitedifferences/bsmtermoperator.hpp – differential operator for Black-Scholes-Merton equation Synopsis#include <ql/methods/finitedifferences/tridiagonaloperator.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/math/transformedgrid.hpp> #include <ql/methods/finitedifferences/pdebsm.hpp> Typedefstypedef PdeOperator< PdeBSM > BSMTermOperator Black-Scholes-Merton differential operator. Detailed Descriptiondifferential operator for Black-Scholes-Merton equation AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/methods/finitedifferences/bsmoperator.hpp – differential operator for Black-Scholes-Merton equation Synopsis#include <ql/methods/finitedifferences/tridiagonaloperator.hpp> #include <ql/processes/blackscholesprocess.hpp> Classesclass BSMOperator Black-Scholes-Merton differential operator. Detailed Descriptiondifferential operator for Black-Scholes-Merton equation AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/qldefines.hpp – Global definitions and compiler switches. Synopsis#include <boost/config.hpp> #include <boost/version.hpp> #include <ql/config.ansi.hpp> #include <cmath> #include <boost/limits.hpp> Defines#define BOOST_ENABLE_ASSERT_HANDLER #define QL_INTEGER int #define QL_BIG_INTEGER long #define QL_REAL double #define QL_VERSION ‘0.9.7’ version string #define QL_HEX_VERSION 0x000907f0 version hexadecimal number #define QL_LIB_VERSION ‘0_9_7’ version string for output lib name #define QL_MIN_INTEGER ((std::numeric_limits<QL_INTEGER>::min)()) #define QL_MAX_INTEGER ((std::numeric_limits<QL_INTEGER>::max)()) #define…

QuantLib::Mexico – Mexican calendars Synopsis#include <ql/time/calendars/mexico.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { BMV } Public Member FunctionsMexico (Market m=BMV) Detailed DescriptionMexican calendars Holidays for the Mexican stock exchange (data from <http://www.bmv.com.mx/>): * Saturdays * Sundays * New Year’s Day, January 1st * Constitution Day, February 5th * Birthday of Benito Juarez, March 21st * Holy…