Linux Manuals session 3

QuantLib::PathPricer – base class for path pricers Synopsis #include <ql/methods/montecarlo/pathpricer.hpp> Inherits std::unary_function<PathType, ValueType>. Public Member Functions virtual ValueType operator() (const PathType &path) const =0 Detailed Description template<class PathType, class ValueType = Real> class QuantLib::PathPricer< PathType, ValueType > base class for path pricers Returns the value of an option on a given path. Examples: DiscreteHedging.cpp. Author…

QuantLib::PathPayoff – Abstract base class for path-dependent option payoffs. Synopsis #include <ql/experimental/mcbasket/pathpayoff.hpp> Inherits std::unary_function<Matrix,Array>. Public Member Functions Payoff interface virtual std::string name () const =0 virtual std::string description () const =0 virtual Real operator() (const Matrix &values) const =0 Visitability virtual void accept (AcyclicVisitor &) Detailed Description Abstract base class for path-dependent option payoffs. Member…

QuantLib::PathMultiAssetOption::arguments – Arguments for multi-asset option calculation Synopsis #include <ql/experimental/mcbasket/pathmultiassetoption.hpp> Inherits QuantLib::PricingEngine::arguments. Public Member Functions void validate () const Public Attributes boost::shared_ptr< StochasticProcess > stochasticProcess boost::shared_ptr< PathPayoff > payoff std::vector< Date > fixingDates Detailed Description Arguments for multi-asset option calculation Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::PathMultiAssetOption – Base class for path-dependent options on multiple assets. Synopsis #include <ql/experimental/mcbasket/pathmultiassetoption.hpp> Inherits QuantLib::Instrument. Classes class arguments Arguments for multi-asset option calculation class results Results from multi-asset option calculation Public Member Functions PathMultiAssetOption (const boost::shared_ptr< StochasticProcess > &, const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >()) Instrument interface boost::shared_ptr< StochasticProcess > stochasticProcess_ bool isExpired ()…

QuantLib::PathGenerator – Generates random paths using a sequence generator. Synopsis #include <ql/methods/montecarlo/pathgenerator.hpp> Public Types typedef Sample< Path > sample_type Public Member Functions PathGenerator (const boost::shared_ptr< StochasticProcess > &, Time length, Size timeSteps, const GSG &generator, bool brownianBridge) PathGenerator (const boost::shared_ptr< StochasticProcess > &, const TimeGrid &timeGrid, const GSG &generator, bool brownianBridge) inspectors const sample_type &…

QuantLib::Path – single-factor random walk Synopsis #include <ql/methods/montecarlo/path.hpp> Public Member Functions Path (const TimeGrid &timeGrid, const Array &values=Array()) inspectors bool empty () const Size length () const Real operator[] (Size i) const asset value at the $ i $-th point Real at (Size i) const Real & operator[] (Size i) Real & at (Size i)…

QuantLib::Parameter – Base class for model arguments. Synopsis #include <ql/models/parameter.hpp> Inherited by ConstantParameter, NullParameter, PiecewiseConstantParameter, and TermStructureFittingParameter. Classes class Impl Base class for model parameter implementation. Public Member Functions const Array & params () const void setParam (Size i, Real x) bool testParams (const Array &params) const Size size () const Real operator() (Time t)…

QuantLib::PagodaOption – Roofed Asian option on a number of assets. Synopsis #include <ql/instruments/pagodaoption.hpp> Inherits QuantLib::MultiAssetOption. Classes class engine Pagoda-option engine base class Public Member Functions PagodaOption (const std::vector< Date > &fixingDates, Real roof, Real fraction) void setupArguments (PricingEngine::arguments *) const Protected Attributes std::vector< Date > fixingDates_ Real roof_ Real fraction_ Detailed Description Roofed Asian option…

QuantLib::OrthogonalizedBumpFinder – Synopsis #include <ql/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.hpp> Public Member Functions OrthogonalizedBumpFinder (const VegaBumpCollection &bumps, const std::vector< VolatilityBumpInstrumentJacobian::Swaption > &swaptions, const std::vector< VolatilityBumpInstrumentJacobian::Cap > &caps, Real multiplierCutOff, Real tolerance) void GetVegaBumps (std::vector< std::vector< Matrix > > &theBumps) const Detailed Description Pass in a market model, a list of instruments, and possible bumps. Get out pseudo-root bumps that shift…

QuantLib::OrthogonalProjections – Synopsis #include <ql/math/matrixutilities/basisincompleteordered.hpp> Public Member Functions OrthogonalProjections (const Matrix &originalVectors, Real multiplierCutOff, Real tolerance) const std::vector< bool > & validVectors () const const std::vector< Real > & GetVector (Size index) const Size numberValidVectors () const Detailed Description Given a collection of vectors, w_i, find a collection of vectors x_i such that x_i is…

QuantLib::OrnsteinUhlenbeckProcess – Ornstein-Uhlenbeck process class. Synopsis #include <ql/processes/ornsteinuhlenbeckprocess.hpp> Inherits QuantLib::StochasticProcess1D. Public Member Functions OrnsteinUhlenbeckProcess (Real speed, Volatility vol, Real x0=0.0, Real level=0.0) StochasticProcess interface Real x0 () const returns the initial value of the state variable Real speed () const Real volatility () const Real level () const Real drift (Time t, Real x) const…

QuantLib::OptionletVolatilityStructure – Optionlet (caplet/floorlet) volatility structure. Synopsis #include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by CapletVarianceCurve, ConstantOptionletVolatility, SpreadedOptionletVolatility, and StrippedOptionletAdapter. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. OptionletVolatilityStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) default constructor OptionletVolatilityStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) initialize with…

QuantLib::OptionletStripper2 – Synopsis #include <ql/termstructures/volatility/optionlet/optionletstripper2.hpp> Inherits QuantLib::OptionletStripper. Public Member Functions OptionletStripper2 (const boost::shared_ptr< OptionletStripper1 > &optionletStripper1, const Handle< CapFloorTermVolCurve > &atmCapFloorTermVolCurve) std::vector< Rate > atmCapFloorStrikes () const std::vector< Real > atmCapFloorPrices () const std::vector< Volatility > spreadsVol () const LazyObject interface void performCalculations () const Detailed Description Helper class to extend an OptionletStripper1 object stripping…

QuantLib::OptionletStripper1 – Synopsis #include <ql/termstructures/volatility/optionlet/optionletstripper1.hpp> Inherits QuantLib::OptionletStripper. Public Member Functions OptionletStripper1 (const boost::shared_ptr< CapFloorTermVolSurface > &, const boost::shared_ptr< IborIndex > &index, Rate switchStrikes=Null< Rate >(), Real accuracy=1.0e-6, Natural maxIter=100) const Matrix & capFloorPrices () const const Matrix & capFloorVolatilities () const const Matrix & optionletPrices () const Rate switchStrike () const LazyObject interface void performCalculations…

QuantLib::Option::arguments – basic option arguments Synopsis #include <ql/option.hpp> Inherits QuantLib::PricingEngine::arguments. Inherited by arguments, arguments, arguments, and arguments. Public Member Functions void validate () const Public Attributes boost::shared_ptr< Payoff > payoff boost::shared_ptr< Exercise > exercise Detailed Description basic option arguments Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::Option – base option class Synopsis #include <ql/option.hpp> Inherits QuantLib::Instrument. Inherited by MultiAssetOption, OneAssetOption, and Swaption. Classes class arguments basic option arguments Public Types enum Type { Put = -1, Call = 1 } Public Member Functions Option (const boost::shared_ptr< Payoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const boost::shared_ptr< Payoff…

QuantLib::OptimizationMethod – Abstract class for constrained optimization method. Synopsis #include <ql/math/optimization/method.hpp> Inherited by LevenbergMarquardt, LineSearchBasedMethod, and Simplex. Public Member Functions virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria)=0 minimize the optimization problem P Detailed Description Abstract class for constrained optimization method. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::OperatorFactory – Black-Scholes-Merton differential operator. Synopsis #include <ql/methods/finitedifferences/operatorfactory.hpp> Static Public Member Functions static TridiagonalOperator getOperator (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const Array &grid, Time residualTime, bool timeDependent) static TridiagonalOperator getOperator (const boost::shared_ptr< OneFactorModel::ShortRateDynamics > &process, const Array &grid) Detailed Description Black-Scholes-Merton differential operator. Tests coefficients are tested against constant BSM operator Author Generated automatically by…

QuantLib::OneFactorStudentGaussianCopula – One-factor Student t – Gaussian Copula. Synopsis #include <ql/experimental/credit/onefactorstudentcopula.hpp> Inherits QuantLib::OneFactorCopula. Public Member Functions OneFactorStudentGaussianCopula (const Handle< Quote > &correlation, int nm, Real maximum=10, Size integrationSteps=200) Real density (Real m) const Density function of M. Real cumulativeZ (Real z) const Cumulative distribution of Z. Detailed Description One-factor Student t – Gaussian Copula. The…

QuantLib::OneFactorStudentCopula – One-factor Double Student t-Copula. Synopsis #include <ql/experimental/credit/onefactorstudentcopula.hpp> Inherits QuantLib::OneFactorCopula. Public Member Functions OneFactorStudentCopula (const Handle< Quote > &correlation, int nz, int nm, Real maximum=10, Size integrationSteps=200) Real density (Real m) const Density function of M. Real cumulativeZ (Real z) const Cumulative distribution of Z. Detailed Description One-factor Double Student t-Copula. The copula model…