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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…

Numeric types – Typedefstypedef Real Probability probability typedef QL_INTEGER Integer integer number typedef QL_BIG_INTEGER BigInteger large integer number typedef unsigned QL_INTEGER Natural 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 1-year units typedef Real DiscountFactor discount factor between…

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…