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ql/methods/finitedifferences/boundarycondition.hpp – boundary conditions for differential operators Synopsis#include <ql/utilities/null.hpp> #include <ql/methods/finitedifferences/tridiagonaloperator.hpp> Classesclass BoundaryCondition< Operator > Abstract boundary condition class for finite difference problems. class NeumannBC Neumann boundary condition (i.e., constant derivative). class DirichletBC Neumann boundary condition (i.e., constant value). Detailed Descriptionboundary conditions for differential operators AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/bootstraphelper.hpp – base helper class used for bootstrapping Synopsis#include <ql/quote.hpp> #include <ql/time/date.hpp> #include <ql/handle.hpp> #include <ql/patterns/observable.hpp> #include <ql/patterns/visitor.hpp> #include <ql/quotes/simplequote.hpp> Classesclass BootstrapHelper< TS > Base helper class for bootstrapping. Detailed Descriptionbase helper class used for bootstrapping AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::BootstrapError – bootstrap error Synopsis#include <ql/termstructures/bootstraperror.hpp> Public Member FunctionsBootstrapError (const Curve *curve, const boost::shared_ptr< typename Traits::helper > &instrument, Size segment) Real operator() (Rate guess) const Detailed Descriptiontemplate<class Curve> class QuantLib::BootstrapError< Curve >bootstrap error AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/instruments/bond.hpp – concrete bond class Synopsis#include <ql/instrument.hpp> #include <ql/cashflow.hpp> #include <ql/cashflows/coupon.hpp> #include <ql/time/calendar.hpp> #include <ql/time/daycounter.hpp> #include <ql/time/schedule.hpp> #include <ql/types.hpp> #include <ql/handle.hpp> #include <ql/termstructures/yieldtermstructure.hpp> #include <vector> Classesclass Bond Base bond class. Detailed Descriptionconcrete bond class AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::BlackVolatilityTermStructure – Black-volatility term structure. Synopsis#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> Inherits QuantLib::BlackVolTermStructure. Inherited by BlackConstantVol. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. BlackVolatilityTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackVolatilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference date BlackVolatilityTermStructure (Natural settlementDays,…

ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp – Black volatility term structure base classes. Synopsis#include <ql/termstructures/voltermstructure.hpp> #include <ql/patterns/visitor.hpp> Classesclass BlackVolTermStructure Black-volatility term structure. class BlackVolatilityTermStructure Black-volatility term structure. class BlackVarianceTermStructure Black variance term structure. Detailed DescriptionBlack volatility term structure base classes. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::BlackVolSurface – Black volatility (smile) surface. Synopsis#include <ql/experimental/volatility/blackvolsurface.hpp> Inherits QuantLib::BlackAtmVolCurve. Inherited by EquityFXVolSurface, and InterestRateVolSurface. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. BlackVolSurface (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackVolSurface (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference date…

QuantLib::BlackVarianceTermStructure – Black variance term structure. Synopsis#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> Inherits QuantLib::BlackVolTermStructure. Inherited by BlackVarianceCurve, BlackVarianceSurface, ExtendedBlackVarianceCurve, ExtendedBlackVarianceSurface, and ImpliedVolTermStructure. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. BlackVarianceTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackVarianceTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a…

ql/termstructures/volatility/equityfx/blackvariancesurface.hpp – Black volatility surface modelled as variance surface. Synopsis#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> #include <ql/math/matrix.hpp> #include <ql/math/interpolations/interpolation2d.hpp> #include <ql/time/daycounters/actual365fixed.hpp> Classesclass BlackVarianceSurface Black volatility surface modelled as variance surface. Detailed DescriptionBlack volatility surface modelled as variance surface. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/volatility/equityfx/blackvariancecurve.hpp – Black volatility curve modelled as variance curve. Synopsis#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> #include <ql/math/interpolation.hpp> Classesclass BlackVarianceCurve Black volatility curve modelled as variance curve. Detailed DescriptionBlack volatility curve modelled as variance curve. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::BlackSwaptionEngine – Black-formula swaption engine. Synopsis#include <ql/pricingengines/swaption/blackswaptionengine.hpp> Inherits QuantLib::Swaption::engine. Public Member FunctionsBlackSwaptionEngine (const Handle< YieldTermStructure > &termStructure, Volatility vol, const DayCounter &dc=Actual365Fixed()) BlackSwaptionEngine (const Handle< YieldTermStructure > &termStructure, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed()) BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol) void calculate () const Handle< YieldTermStructure > termStructure…

ql/processes/blackscholesprocess.hpp – Black-Scholes processes. Synopsis#include <ql/stochasticprocess.hpp> #include <ql/processes/eulerdiscretization.hpp> #include <ql/termstructures/yieldtermstructure.hpp> #include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> #include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp> #include <ql/quote.hpp> Classesclass GeneralizedBlackScholesProcess Generalized Black-Scholes stochastic process. class BlackScholesProcess Black-Scholes (1973) stochastic process. class BlackScholesMertonProcess Merton (1973) extension to the Black-Scholes stochastic process. class BlackProcess Black (1976) stochastic process. class GarmanKohlagenProcess Garman-Kohlhagen (1983) stochastic process. Detailed DescriptionBlack-Scholes processes. AuthorGenerated automatically…

QuantLib::BlackScholesMertonProcess – Merton (1973) extension to the Black-Scholes stochastic process. Synopsis#include <ql/processes/blackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Member FunctionsBlackScholesMertonProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) Detailed DescriptionMerton (1973) extension to the Black-Scholes stochastic process. This…

QuantLib::BlackScholesLattice – Simple binomial lattice approximating the Black-Scholes model. Synopsis#include <ql/methods/lattices/bsmlattice.hpp> Inherits TreeLattice1D< BlackScholesLattice< T > >. Public Member FunctionsBlackScholesLattice (const boost::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps) Size size (Size i) const DiscountFactor discount (Size, Size) const void stepback (Size i, const Array &values, Array &newValues) const Real underlying (Size i,…

QuantLib::BlackScholesCalculator – Black-Scholes 1973 calculator class. Synopsis#include <ql/pricingengines/blackscholescalculator.hpp> Inherits QuantLib::BlackCalculator. Public Member FunctionsBlackScholesCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real spot, DiscountFactor growth, Real stdDev, DiscountFactor discount) Real delta () const Real elasticity () const Real gamma () const Real theta (Time maturity) const Real thetaPerDay (Time maturity) const Protected AttributesReal spot_ DiscountFactor growth_ Detailed DescriptionBlack-Scholes…

QuantLib::BlackProcess – Black (1976) stochastic process. Synopsis#include <ql/processes/blackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Member FunctionsBlackProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) Detailed DescriptionBlack (1976) stochastic process. This class describes the stochastic process for a forward or futures contract given by…

BlackPixelOfScreen, WhitePixelOfScreen, CellsOfScreen, DefaultColormapOfScreen, DefaultDepthOfScreen, DefaultGCOfScreen, DefaultVisualOfScreen, DoesBackingStore, DoesSaveUnders, DisplayOfScreen, XScreenNumberOfScreen, EventMaskOfScreen, HeightOfScreen, HeightMMOfScreen, MaxCmapsOfScreen, MinCmapsOfScreen, PlanesOfScreen, RootWindowOfScreen, WidthOfScreen, WidthMMOfScreen – screen information functions and macros Syntaxunsigned long BlackPixelOfScreen(Screen *screen); unsigned long WhitePixelOfScreen(Screen *screen); int CellsOfScreen(Screen *screen); Colormap DefaultColormapOfScreen(Screen *screen); int DefaultDepthOfScreen(Screen *screen); GC DefaultGCOfScreen(Screen *screen); Visual *DefaultVisualOfScreen(Screen *screen); int DoesBackingStore(Screen *screen); Bool DoesSaveUnders(Screen *screen);…

AllPlanes, BlackPixel, WhitePixel, ConnectionNumber, DefaultColormap, DefaultDepth, XListDepths, DefaultGC, DefaultRootWindow, DefaultScreenOfDisplay, DefaultScreen, DefaultVisual, DisplayCells, DisplayPlanes, DisplayString, XMaxRequestSize, XExtendedMaxRequestSize, LastKnownRequestProcessed, NextRequest, ProtocolVersion, ProtocolRevision, QLength, RootWindow, ScreenCount, ScreenOfDisplay, ServerVendor, VendorRelease – Display macros and functions Syntaxunsigned long AllPlanes; unsigned long BlackPixel(Display *display, int screen_number); unsigned long WhitePixel(Display *display, int screen_number); int ConnectionNumber(Display *display); Colormap DefaultColormap(Display *display, int screen_number);…

ql/models/shortrate/onefactormodels/blackkarasinski.hpp – Black-Karasinski model. Synopsis#include <ql/models/shortrate/onefactormodel.hpp> #include <ql/processes/ornsteinuhlenbeckprocess.hpp> Classesclass BlackKarasinski Standard Black-Karasinski model class. class Dynamics Short-rate dynamics in the Black-Karasinski model. Detailed DescriptionBlack-Karasinski model. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::BlackIborCouponPricer – Black-formula pricer for capped/floored Ibor coupons. Synopsis#include <ql/cashflows/couponpricer.hpp> Inherits QuantLib::IborCouponPricer. Inherited by BlackIborQuantoCouponPricer. Public Member FunctionsBlackIborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >()) virtual void initialize (const FloatingRateCoupon &coupon) Real swapletPrice () const Rate swapletRate () const Real capletPrice (Rate effectiveCap) const Rate capletRate (Rate effectiveCap) const Real floorletPrice (Rate effectiveFloor) const Rate…