Linux Manuals session 3

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…

QuantLib::AnalyticCliquetEngine – Pricing engine for Cliquet options using analytical formulae. Synopsis#include <ql/pricingengines/cliquet/analyticcliquetengine.hpp> Inherits QuantLib::CliquetOption::engine. Public Member FunctionsAnalyticCliquetEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed DescriptionPricing engine for Cliquet options using analytical formulae. Tests * the correctness of the returned value is tested by reproducing results available in literature. * the correctness of…

QuantLib::AnalyticCapFloorEngine – Analytic engine for cap/floor. Synopsis#include <ql/pricingengines/capfloor/analyticcapfloorengine.hpp> Inherits GenericModelEngine< AffineModel, CapFloor::arguments, CapFloor::results >. Public Member FunctionsAnalyticCapFloorEngine (const boost::shared_ptr< AffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) void calculate () const Detailed DescriptionAnalytic engine for cap/floor. Constructor & Destructor DocumentationAnalyticCapFloorEngine (const boost::shared_ptr< AffineModel > & model, const Handle< YieldTermStructure > & termStructure =…

QuantLib::AnalyticCapFloorEngine – Analytic engine for cap/floor. Synopsis#include <ql/pricingengines/capfloor/analyticcapfloorengine.hpp> Inherits GenericModelEngine< AffineModel, CapFloor::arguments, CapFloor::results >. Public Member FunctionsAnalyticCapFloorEngine (const boost::shared_ptr< AffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) void calculate () const Detailed DescriptionAnalytic engine for cap/floor. Constructor & Destructor DocumentationAnalyticCapFloorEngine (const boost::shared_ptr< AffineModel > & model, const Handle< YieldTermStructure > & termStructure =…

ql/pricingengines/barrier/analyticbarrierengine.hpp – Analytic barrier option engines. Synopsis#include <ql/instruments/barrieroption.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/math/distributions/normaldistribution.hpp> Classesclass AnalyticBarrierEngine Pricing engine for barrier options using analytical formulae. Detailed DescriptionAnalytic barrier option engines. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/pricingengines/vanilla/analyticbsmhullwhiteengine.hpp – analytic Black-Scholes engines including stochastic interest rates Synopsis#include <ql/instruments/vanillaoption.hpp> #include <ql/pricingengines/genericmodelengine.hpp> #include <ql/models/shortrate/onefactormodels/hullwhite.hpp> #include <ql/processes/blackscholesprocess.hpp> Classesclass AnalyticBSMHullWhiteEngine analytic european option pricer including stochastic interest rates Detailed Descriptionanalytic Black-Scholes engines including stochastic interest rates AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::AmortizingFloatingRateBond – amortizing floating-rate bond (possibly capped and/or floored) Synopsis#include <ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsAmortizingFloatingRateBond (Natural settlementDays, const std::vector< Real > &notional, const Schedule &schedule, const boost::shared_ptr< IborIndex > &index, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1,…

QuantLib::AmortizingFixedRateBond – amortizing fixed-rate bond Synopsis#include <ql/experimental/amortizingbonds/amortizingfixedratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsAmortizingFixedRateBond (Natural settlementDays, const std::vector< Real > &notionals, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, const std::vector< Real > &redemption=std::vector< Real >(1, 100.0), const Date &issueDate=Date()) AmortizingFixedRateBond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &startDate, const…

QuantLib::AmortizingCmsRateBond – amortizing CMS-rate bond Synopsis#include <ql/experimental/amortizingbonds/amortizingcmsratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsAmortizingCmsRateBond (Natural settlementDays, const std::vector< Real > &faceAmount, const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index, const DayCounter &paymentDayCounter, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1, 0.0), const std::vector< Rate…

QuantLib::AmericanPayoffAtHit – Analytic formula for American exercise payoff at-hit options. Synopsis#include <ql/pricingengines/americanpayoffathit.hpp> Public Member FunctionsAmericanPayoffAtHit (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff) Real value () const Real delta () const Real gamma () const Real rho (Time maturity) const Detailed DescriptionAnalytic formula for American exercise payoff at-hit options. Possible…

QuantLib::AmericanPayoffAtExpiry – Analytic formula for American exercise payoff at-expiry options. Synopsis#include <ql/pricingengines/americanpayoffatexpiry.hpp> Public Member FunctionsAmericanPayoffAtExpiry (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff) Real value () const Detailed DescriptionAnalytic formula for American exercise payoff at-expiry options. Possible enhancements calculate greeksAuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::AmericanExercise – American exercise. Synopsis#include <ql/exercise.hpp> Inherits QuantLib::EarlyExercise. Public Member FunctionsAmericanExercise (const Date &earliestDate, const Date &latestDate, bool payoffAtExpiry=false) AmericanExercise (const Date &latestDate, bool payoffAtExpiry=false) Detailed DescriptionAmerican exercise. An American option can be exercised at any time between two predefined dates; the first date might be omitted, in which case the option can be exercised…

QuantLib::AmericanCondition – American exercise condition. Synopsis#include <ql/methods/finitedifferences/americancondition.hpp> Inherits CurveDependentStepCondition< Array >. Public Member FunctionsAmericanCondition (Option::Type type, Real strike) AmericanCondition (const Array &intrinsicValues) Detailed DescriptionAmerican exercise condition. Possible enhancements unify the intrinsicValues/Payoff thingAuthorGenerated automatically by Doxygen for QuantLib from the source code.

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);…

QuantLib::CubicInterpolation – Cubic interpolation between discrete points. Synopsis#include <ql/math/interpolations/cubicinterpolation.hpp> Inherits QuantLib::Interpolation. Inherited by MonotonicNaturalCubicInterpolation, and NaturalCubicInterpolation. Public Typesenum DerivativeApprox { Spline, FourthOrder, Parabolic, ModifiedParabolic, FritschButland, Akima, Kruger } enum BoundaryCondition { NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange } Public Member Functionstemplate<class I1 , class I2 > CubicInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin,…