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QuantLib::BlackCapFloorEngine – Black-formula cap/floor engine. Synopsis#include <ql/pricingengines/capfloor/blackcapfloorengine.hpp> Inherits QuantLib::CapFloor::engine. Public Member FunctionsBlackCapFloorEngine (const Handle< YieldTermStructure > &termStructure, Volatility vol, const DayCounter &dc=Actual365Fixed()) BlackCapFloorEngine (const Handle< YieldTermStructure > &termStructure, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed()) BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< OptionletVolatilityStructure > &vol) void calculate () const Handle< YieldTermStructure > termStructure…

QuantLib::BlackCallableZeroCouponBondEngine – Black-formula callable zero coupon bond engine. Synopsis#include <ql/experimental/callablebonds/blackcallablebondengine.hpp> Inherits QuantLib::BlackCallableFixedRateBondEngine. Public Member FunctionsBlackCallableZeroCouponBondEngine (const Handle< Quote > &fwdYieldVol, const Handle< YieldTermStructure > &discountCurve) volatility is the quoted fwd yield volatility, not price vol BlackCallableZeroCouponBondEngine (const Handle< CallableBondVolatilityStructure > &yieldVolStructure, const Handle< YieldTermStructure > &discountCurve) volatility is the quoted fwd yield volatility, not price…

QuantLib::BlackCallableFixedRateBondEngine – Black-formula callable fixed rate bond engine. Synopsis#include <ql/experimental/callablebonds/blackcallablebondengine.hpp> Inherits QuantLib::CallableBond::engine. Inherited by BlackCallableZeroCouponBondEngine. Public Member FunctionsBlackCallableFixedRateBondEngine (const Handle< Quote > &fwdYieldVol, const Handle< YieldTermStructure > &discountCurve) volatility is the quoted fwd yield volatility, not price vol BlackCallableFixedRateBondEngine (const Handle< CallableBondVolatilityStructure > &yieldVolStructure, const Handle< YieldTermStructure > &discountCurve) volatility is the quoted fwd yield…

QuantLib::BlackCalculator – Black 1976 calculator class. Synopsis#include <ql/pricingengines/blackcalculator.hpp> Inherited by BlackScholesCalculator. Public Member FunctionsBlackCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) Real value () const Real deltaForward () const virtual Real delta (Real spot) const Real elasticityForward () const virtual Real elasticity (Real spot) const Real gammaForward () const virtual Real…

QuantLib::BlackAtmVolCurve – Black at-the-money (no-smile) volatility curve. Synopsis#include <ql/experimental/volatility/blackatmvolcurve.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by AbcdAtmVolCurve, and BlackVolSurface. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. BlackAtmVolCurve (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackAtmVolCurve (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference…

QuantLib::BjerksundStenslandApproximationEngine – Bjerksund and Stensland pricing engine for American options (1993). Synopsis#include <ql/pricingengines/vanilla/bjerksundstenslandengine.hpp> Inherits VanillaOption::engine. Public Member FunctionsBjerksundStenslandApproximationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Detailed DescriptionBjerksund and Stensland pricing engine for American options (1993). Tests the correctness of the returned value is tested by reproducing results available in literature. Examples: EquityOption.cpp. AuthorGenerated…

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::BivariateCumulativeNormalDistributionWe04DP – Cumulative bivariate normal distibution function (West 2004). Synopsis#include <ql/math/distributions/bivariatenormaldistribution.hpp> Public Member FunctionsBivariateCumulativeNormalDistributionWe04DP (Real rho) Real operator() (Real a, Real b) const Detailed DescriptionCumulative bivariate normal distibution function (West 2004). The implementation derives from the article ‘Better Approximations To Cumulative Normal Distibutions’, Graeme West, Dec 2004 available at www.finmod.co.za. Also available in Wilmott Magazine,…

QuantLib::BivariateCumulativeNormalDistributionDr78 – Cumulative bivariate normal distribution function. Synopsis#include <ql/math/distributions/bivariatenormaldistribution.hpp> Public Member FunctionsBivariateCumulativeNormalDistributionDr78 (Real rho) Real operator() (Real a, Real b) const Detailed DescriptionCumulative bivariate normal distribution function. Drezner (1978) algorithm, six decimal places accuracy. For this implementation see ‘Option pricing formulas’, E.G. Haug, McGraw-Hill 1998 Possible enhancements check accuracy of this algorithm and compare with:…

ql/math/distributions/bivariatenormaldistribution.hpp – bivariate cumulative normal distribution Synopsis#include <ql/math/distributions/normaldistribution.hpp> Classesclass BivariateCumulativeNormalDistributionDr78 Cumulative bivariate normal distribution function. class BivariateCumulativeNormalDistributionWe04DP Cumulative bivariate normal distibution function (West 2004). Typedefstypedef BivariateCumulativeNormalDistributionWe04DP BivariateCumulativeNormalDistribution default bivariate implementation Detailed Descriptionbivariate cumulative normal distribution AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ImageByteOrder, BitmapBitOrder, BitmapPad, BitmapUnit, DisplayHeight, DisplayHeightMM, DisplayWidth, DisplayWidthMM, XListPixmapFormats, XPixmapFormatValues – image format functions and macros SyntaxXPixmapFormatValues *XListPixmapFormats(Display *display, int *count_return); int ImageByteOrder(Display *display); int BitmapBitOrder(Display *display); int BitmapPad(Display *display); int BitmapUnit(Display *display); int DisplayHeight(Display *display, int screen_number); int DisplayHeightMM(Display *display, int screen_number); int DisplayWidth(Display *display, int screen_number); int DisplayWidthMM(Display *display, int screen_number);Argumentsdisplay Specifies the…

ImageByteOrder, BitmapBitOrder, BitmapPad, BitmapUnit, DisplayHeight, DisplayHeightMM, DisplayWidth, DisplayWidthMM, XListPixmapFormats, XPixmapFormatValues – image format functions and macros SyntaxXPixmapFormatValues *XListPixmapFormats(Display *display, int *count_return); int ImageByteOrder(Display *display); int BitmapBitOrder(Display *display); int BitmapPad(Display *display); int BitmapUnit(Display *display); int DisplayHeight(Display *display, int screen_number); int DisplayHeightMM(Display *display, int screen_number); int DisplayWidth(Display *display, int screen_number); int DisplayWidthMM(Display *display, int screen_number);Argumentsdisplay Specifies the…

ImageByteOrder, BitmapBitOrder, BitmapPad, BitmapUnit, DisplayHeight, DisplayHeightMM, DisplayWidth, DisplayWidthMM, XListPixmapFormats, XPixmapFormatValues – image format functions and macros SyntaxXPixmapFormatValues *XListPixmapFormats(Display *display, int *count_return); int ImageByteOrder(Display *display); int BitmapBitOrder(Display *display); int BitmapPad(Display *display); int BitmapUnit(Display *display); int DisplayHeight(Display *display, int screen_number); int DisplayHeightMM(Display *display, int screen_number); int DisplayWidth(Display *display, int screen_number); int DisplayWidthMM(Display *display, int screen_number);Argumentsdisplay Specifies the…

QuantLib::BinomialVanillaEngine – Pricing engine for vanilla options using binomial trees. Synopsis#include <ql/pricingengines/vanilla/binomialengine.hpp> Inherits QuantLib::OneAssetOption::engine. Public Member FunctionsBinomialVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps) void calculate () const Detailed Descriptiontemplate<class T> class QuantLib::BinomialVanillaEngine< T >Pricing engine for vanilla options using binomial trees. Tests the correctness of the returned values is tested by checking it against…

ql/methods/lattices/binomialtree.hpp – Binomial tree class. Synopsis#include <ql/methods/lattices/tree.hpp> #include <ql/instruments/dividendschedule.hpp> #include <ql/stochasticprocess.hpp> Classesclass BinomialTree< T > Binomial tree base class. class EqualProbabilitiesBinomialTree< T > Base class for equal probabilities binomial tree. class EqualJumpsBinomialTree< T > Base class for equal jumps binomial tree. class JarrowRudd Jarrow-Rudd (multiplicative) equal probabilities binomial tree. class CoxRossRubinstein Cox-Ross-Rubinstein (multiplicative) equal jumps…

ql/math/distributions/binomialdistribution.hpp – Binomial distribution. Synopsis#include <ql/math/factorial.hpp> #include <ql/math/beta.hpp> Classesclass BinomialDistribution Binomial probability distribution function. class CumulativeBinomialDistribution Cumulative binomial distribution function. FunctionsReal binomialCoefficientLn (BigNatural n, BigNatural k) Real binomialCoefficient (BigNatural n, BigNatural k) Real PeizerPrattMethod2Inversion (Real z, BigNatural n) Detailed DescriptionBinomial distribution. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/pricingengines/hybrid/binomialconvertibleengine.hpp – binomial engine for convertible bonds Synopsis#include <ql/methods/lattices/tflattice.hpp> #include <ql/pricingengines/hybrid/discretizedconvertible.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/termstructures/yield/flatforward.hpp> #include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp> #include <ql/instruments/bonds/convertiblebond.hpp> #include <ql/instruments/payoffs.hpp> Classesclass BinomialConvertibleEngine< T > Binomial Tsiveriotis-Fernandes engine for convertible bonds. Detailed Descriptionbinomial engine for convertible bonds AuthorGenerated automatically by Doxygen for QuantLib from the source code.

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…

ql/math/interpolations/bilinearinterpolation.hpp – bilinear interpolation between discrete points Synopsis#include <ql/math/interpolations/interpolation2d.hpp> Classesclass BilinearInterpolation bilinear interpolation between discrete points class Bilinear bilinear-interpolation factory Detailed Descriptionbilinear interpolation between discrete points AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/types.hpp – Custom types. Synopsis#include <ql/qldefines.hpp> #include <cstddef> Typedefstypedef QL_INTEGER Integer integer number typedef QL_BIG_INTEGER BigInteger large integer number typedef unsigned QL_INTEGER Natural positive integer typedef unsigned QL_BIG_INTEGER BigNatural large positive integer typedef QL_REAL Real real number typedef Real Decimal decimal number typedef std::size_t Size size of a container typedef Real Time continuous quantity with…