Linux Manuals session 3

QuantLib::MCPagodaEngine – Pricing engine for pagoda options using Monte Carlo simulation. Synopsis #include <ql/pricingengines/basket/mcpagodaengine.hpp> Inherits QuantLib::PagodaOption::engine, and McSimulation< MultiVariate, RNG, S >. Public Types typedef McSimulation< MultiVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< MultiVariate, RNG, S >::stats_type stats_type Public Member Functions MCPagodaEngine (const boost::shared_ptr< StochasticProcessArray > &, bool…

QuantLib::MCLongstaffSchwartzEngine – Longstaff-Schwarz Monte Carlo engine for early exercise options. Synopsis #include <ql/pricingengines/mclongstaffschwartzengine.hpp> Inherits QuantLib::GenericEngine, and McSimulation< MC, RNG, S >. Public Types typedef MC< RNG >::path_type path_type typedef McSimulation< MC, RNG, S >::stats_type stats_type typedef McSimulation< MC, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< MC, RNG, S >::path_generator_type path_generator_type Public Member Functions MCLongstaffSchwartzEngine (const boost::shared_ptr<…

QuantLib::MCHullWhiteCapFloorEngine – Monte Carlo Hull-White engine for cap/floors. Synopsis #include <ql/pricingengines/capfloor/mchullwhiteengine.hpp> Inherits QuantLib::CapFloor::engine, and McSimulation< SingleVariate, RNG, S >. Public Types typedef simulation::path_generator_type path_generator_type typedef simulation::path_pricer_type path_pricer_type typedef simulation::stats_type stats_type Public Member Functions MCHullWhiteCapFloorEngine (const boost::shared_ptr< HullWhite > &model, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) void calculate () const…

QuantLib::MCEuropeanHestonEngine – Monte Carlo Heston-model engine for European options. Synopsis #include <ql/pricingengines/vanilla/mceuropeanhestonengine.hpp> Inherits MCVanillaEngine< MultiVariate, RNG, S >. Public Types typedef MCVanillaEngine< MultiVariate, RNG, S >::path_pricer_type path_pricer_type Public Member Functions MCEuropeanHestonEngine (const boost::shared_ptr< HestonProcess > &, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) Protected Member Functions boost::shared_ptr< path_pricer_type…

QuantLib::MCEuropeanGJRGARCHEngine – Monte Carlo GJR-GARCH-model engine for European options. Synopsis #include <ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp> Inherits MCVanillaEngine< MultiVariate, RNG, S >. Public Types typedef MCVanillaEngine< MultiVariate, RNG, S >::path_pricer_type path_pricer_type Public Member Functions MCEuropeanGJRGARCHEngine (const boost::shared_ptr< GJRGARCHProcess > &, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) Protected Member Functions boost::shared_ptr< path_pricer_type…

QuantLib::MCEuropeanEngine – European option pricing engine using Monte Carlo simulation. Synopsis #include <ql/pricingengines/vanilla/mceuropeanengine.hpp> Inherits MCVanillaEngine< SingleVariate, RNG, S >. Public Types typedef MCVanillaEngine< SingleVariate, RNG, S >::path_generator_type path_generator_type typedef MCVanillaEngine< SingleVariate, RNG, S >::path_pricer_type path_pricer_type typedef MCVanillaEngine< SingleVariate, RNG, S >::stats_type stats_type Public Member Functions MCEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear,…

QuantLib::MCDiscreteGeometricAPEngine – Monte Carlo pricing engine for discrete geometric average price Asian. Synopsis #include <ql/pricingengines/asian/mc_discr_geom_av_price.hpp> Inherits MCDiscreteAveragingAsianEngine< RNG, S >. Public Types typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_generator_type path_generator_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_pricer_type path_pricer_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::stats_type stats_type Public Member Functions MCDiscreteGeometricAPEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepPerYear, bool brownianBridge, bool antitheticVariate,…

QuantLib::MCDiscreteAveragingAsianEngine – Pricing engine for discrete average Asians using Monte Carlo simulation. Synopsis #include <ql/pricingengines/asian/mcdiscreteasianengine.hpp> Inherits QuantLib::DiscreteAveragingAsianOption::engine, and McSimulation< SingleVariate, RNG, S >. Public Types typedef McSimulation< SingleVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< SingleVariate, RNG, S >::stats_type stats_type Public Member Functions MCDiscreteAveragingAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process,…

QuantLib::MCDiscreteArithmeticASEngine – Monte Carlo pricing engine for discrete arithmetic average-strike Asian. Synopsis #include <ql/pricingengines/asian/mc_discr_arith_av_strike.hpp> Inherits MCDiscreteAveragingAsianEngine< RNG, S >. Public Types typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_generator_type path_generator_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_pricer_type path_pricer_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::stats_type stats_type Public Member Functions MCDiscreteArithmeticASEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real…

QuantLib::MCDiscreteArithmeticAPEngine – Monte Carlo pricing engine for discrete arithmetic average price Asian. Synopsis #include <ql/pricingengines/asian/mc_discr_arith_av_price.hpp> Inherits MCDiscreteAveragingAsianEngine< RNG, S >. Public Types typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_generator_type path_generator_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_pricer_type path_pricer_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::stats_type stats_type Public Member Functions MCDiscreteArithmeticAPEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepPerYear, bool brownianBridge, bool antitheticVariate,…

QuantLib::MCDigitalEngine – Pricing engine for digital options using Monte Carlo simulation. Synopsis #include <ql/pricingengines/vanilla/mcdigitalengine.hpp> Inherits MCVanillaEngine< SingleVariate, RNG, S >. Public Types typedef MCVanillaEngine< SingleVariate, RNG, S >::path_generator_type path_generator_type typedef MCVanillaEngine< SingleVariate, RNG, S >::path_pricer_type path_pricer_type typedef MCVanillaEngine< SingleVariate, RNG, S >::stats_type stats_type Public Member Functions MCDigitalEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Size timeSteps, Size…

QuantLib::MCBasketEngine – Pricing engine for basket options using Monte Carlo simulation. Synopsis #include <ql/pricingengines/basket/mcbasketengine.hpp> Inherits QuantLib::BasketOption::engine, and McSimulation< MultiVariate, RNG, S >. Public Types typedef McSimulation< MultiVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< MultiVariate, RNG, S >::stats_type stats_type Public Member Functions MCBasketEngine (const boost::shared_ptr< StochasticProcessArray > &, Size…

QuantLib::MCBarrierEngine – Pricing engine for barrier options using Monte Carlo simulation. Synopsis #include <ql/pricingengines/barrier/mcbarrierengine.hpp> Inherits QuantLib::BarrierOption::engine, and McSimulation< SingleVariate, RNG, S >. Public Types typedef McSimulation< SingleVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< SingleVariate, RNG, S >::stats_type stats_type Public Member Functions MCBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size…

QuantLib::MCAmericanEngine – American Monte Carlo engine. Synopsis #include <ql/pricingengines/vanilla/mcamericanengine.hpp> Inherits MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >. Public Member Functions MCAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size polynomOrder, LsmBasisSystem::PolynomType polynomType, Size nCalibrationSamples=Null< Size >()) Protected Member Functions boost::shared_ptr< LongstaffSchwartzPathPricer< Path…

QuantLib::MCAmericanBasketEngine – least-square Monte Carlo engine Synopsis #include <ql/pricingengines/basket/mcamericanbasketengine.hpp> Inherits MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >. Public Member Functions MCAmericanBasketEngine (const boost::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >()) Protected Member Functions boost::shared_ptr< LongstaffSchwartzPathPricer< MultiPath > > lsmPathPricer…

QuantLib::LossDistMonteCarlo – Loss distribution with Monte Carlo simulation. Synopsis #include <ql/experimental/credit/lossdistribution.hpp> Inherits QuantLib::LossDist. Public Member Functions LossDistMonteCarlo (Size nBuckets, Real maximum, Size simulations, long seed=42, Real epsilon=1e-6) Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const Size buckets () const Real maximum () const Detailed Description Loss distribution with Monte Carlo…

QuantLib::LossDistHomogeneous – Loss Distribution for Homogeneous Pool. Synopsis #include <ql/experimental/credit/lossdistribution.hpp> Inherits QuantLib::LossDist. Public Member Functions LossDistHomogeneous (Size nBuckets, Real maximum, Real epsilon=1e-6) Distribution operator() (Real volume, const std::vector< Real > &probabilities) const Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const Size buckets () const Real maximum () const Size size…

QuantLib::LossDistBucketing – Loss distribution with Hull-White bucketing. Synopsis #include <ql/experimental/credit/lossdistribution.hpp> Inherits QuantLib::LossDist. Public Member Functions LossDistBucketing (Size nBuckets, Real maximum, Real epsilon=1e-6) Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const Size buckets () const Real maximum () const Detailed Description Loss distribution with Hull-White bucketing. Loss distribution with Hull-White bucketing…

QuantLib::LossDistBinomial – Binomial loss distribution. Synopsis #include <ql/experimental/credit/lossdistribution.hpp> Inherits QuantLib::LossDist. Public Member Functions LossDistBinomial (Size nBuckets, Real maximum) Distribution operator() (Size n, Real volume, Real probability) const Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const Size buckets () const Real maximum () const Real volume () const Size size ()…

QuantLib::LossDist – Probability formulas and algorithms. Synopsis #include <ql/experimental/credit/lossdistribution.hpp> Inherited by LossDistBinomial, LossDistBucketing, LossDistHomogeneous, and LossDistMonteCarlo. Public Member Functions virtual Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const =0 virtual Size buckets () const =0 virtual Real maximum () const =0 Static Public Member Functions static Real binomialProbabilityOfNEvents (int n,…