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QuantLib::GaussJacobiPolynomial – Gauss-Jacobi polynomial. Synopsis #include <ql/math/integrals/gaussianorthogonalpolynomial.hpp> Inherits QuantLib::GaussianOrthogonalPolynomial. Inherited by GaussChebyshev2thPolynomial, GaussChebyshevPolynomial, GaussGegenbauerPolynomial, and GaussLegendrePolynomial. Public Member Functions GaussJacobiPolynomial (Real alpha, Real beta) Real mu_0 () const Real alpha (Size i) const Real beta (Size i) const Real w (Real x) const Detailed Description Gauss-Jacobi polynomial. Author Generated automatically by Doxygen for QuantLib from…

QuantLib::GaussHyperbolicPolynomial – Gauss hyperbolic polynomial. Synopsis #include <ql/math/integrals/gaussianorthogonalpolynomial.hpp> Inherits QuantLib::GaussianOrthogonalPolynomial. Public Member Functions Real mu_0 () const Real alpha (Size i) const Real beta (Size i) const Real w (Real x) const Detailed Description Gauss hyperbolic polynomial. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::GaussHyperbolicIntegration – Gauss-Hyperbolic integration. Synopsis #include <ql/math/integrals/gaussianquadratures.hpp> Inherits QuantLib::GaussianQuadrature. Public Member Functions GaussHyperbolicIntegration (Size n) Detailed Description Gauss-Hyperbolic integration. This class performs a 1-dimensional Gauss-Hyperbolic integration. [ int_{-inf}^{inf} f(x) mathrm{d}x ] The weighting function is [ w(x)=1/cosh(x) ] Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::GaussHermitePolynomial – Gauss-Hermite polynomial. Synopsis #include <ql/math/integrals/gaussianorthogonalpolynomial.hpp> Inherits QuantLib::GaussianOrthogonalPolynomial. Public Member Functions GaussHermitePolynomial (Real mu=0.0) Real mu_0 () const Real alpha (Size i) const Real beta (Size i) const Real w (Real x) const Detailed Description Gauss-Hermite polynomial. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::GaussHermiteIntegration – generalized Gauss-Hermite integration Synopsis #include <ql/math/integrals/gaussianquadratures.hpp> Inherits QuantLib::GaussianQuadrature. Public Member Functions GaussHermiteIntegration (Size n, Real mu=0.0) Detailed Description generalized Gauss-Hermite integration This class performs a 1-dimensional Gauss-Hermite integration. [ int_{-inf}^{inf} f(x) mathrm{d}x ] The weighting function is [ w(x;mu)=|x|^{2mu}

QuantLib::GaussGegenbauerIntegration – Gauss-Gegenbauer integration. Synopsis #include <ql/math/integrals/gaussianquadratures.hpp> Inherits QuantLib::GaussianQuadrature. Public Member Functions GaussGegenbauerIntegration (Size n, Real lambda) Detailed Description Gauss-Gegenbauer integration. This class performs a 1-dimensional Gauss-Gegenbauer integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [ w(x)=(1-x^2)^{ -1/2} ] Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::GaussChebyshevIntegration – Gauss-Chebyshev integration. Synopsis #include <ql/math/integrals/gaussianquadratures.hpp> Inherits QuantLib::GaussianQuadrature. Public Member Functions GaussChebyshevIntegration (Size n) Detailed Description Gauss-Chebyshev integration. This class performs a 1-dimensional Gauss-Chebyshev integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [ w(x)=(1-x^2)^{-1/2} ] Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::GaussChebyshev2thIntegration – Gauss-Chebyshev integration (second kind). Synopsis #include <ql/math/integrals/gaussianquadratures.hpp> Inherits QuantLib::GaussianQuadrature. Public Member Functions GaussChebyshev2thIntegration (Size n) Detailed Description Gauss-Chebyshev integration (second kind). This class performs a 1-dimensional Gauss-Chebyshev integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [ w(x)=(1-x^2)^{1/2} ] Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::GarmanKohlagenProcess – Garman-Kohlhagen (1983) stochastic process. Synopsis #include <ql/processes/blackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Member Functions GarmanKohlagenProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &foreignRiskFreeTS, const Handle< YieldTermStructure > &domesticRiskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) Detailed Description Garman-Kohlhagen (1983) stochastic process. This class describes the stochastic process…

QuantLib::GarmanKlassAbstract – Garman-Klass volatility model. Synopsis #include <ql/models/volatility/garmanklass.hpp> Inherits QuantLib::LocalVolatilityEstimator<IntervalPrice>. Inherited by GarmanKlassSigma4, GarmanKlassSigma5, GarmanKlassSimpleSigma, and ParkinsonSigma. Public Member Functions GarmanKlassAbstract (Real y) TimeSeries< Volatility > calculate (const TimeSeries< IntervalPrice > &quoteSeries) Protected Member Functions virtual Real calculatePoint (const IntervalPrice &p)=0 Protected Attributes Real yearFraction_ Detailed Description Garman-Klass volatility model. This class implements a concrete…

QuantLib::Garch11 – GARCH volatility model. Synopsis #include <ql/models/volatility/garch.hpp> Inherits QuantLib::VolatilityCompositor. Public Member Functions Garch11 (Real a, Real b, Real vl) Garch11 (const TimeSeries< Volatility > &qs) TimeSeries< Volatility > calculate (const TimeSeries< Volatility > &quoteSeries) TimeSeries< Volatility > calculate (const TimeSeries< Volatility > &quoteSeries, Real, Real, Real) void calibrate (const TimeSeries< Volatility > &quoteSeries) Detailed…

QuantLib::GapPayoff – Binary gap payoff. Synopsis #include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member Functions GapPayoff (Option::Type type, Real strike, Real secondStrike) Real secondStrike () const Payoff interface std::string name () const std::string description () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Protected Attributes Real secondStrike_ Detailed Description Binary gap payoff. This payoff…

QuantLib::GammaFunction – Gamma function class. Synopsis #include <ql/math/distributions/gammadistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member Functions Real logValue (Real x) const Detailed Description Gamma function class. This is a function defined by [ Gamma(z) = int_0^{infty}t^{z-1}e^{-t}dt ] The implementation of the algorithm was inspired by ‘Numerical Recipes in C’, 2nd edition, Press, Teukolsky, Vetterling, Flannery, chapter 6 Tests…

QuantLib::GJRGARCHProcess – Stochastic-volatility GJR-GARCH(1,1) process. Synopsis #include <ql/processes/gjrgarchprocess.hpp> Inherits QuantLib::StochasticProcess. Public Types enum Discretization { PartialTruncation, FullTruncation, Reflection } Public Member Functions GJRGARCHProcess (const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, const Handle< Quote > &s0, Real v0, Real omega, Real alpha, Real beta, Real gamma, Real lambda, Real daysPerYear=252.0, Discretization d=FullTruncation) Size…

QuantLib::GJRGARCHModel – GJR-GARCH model for the stochastic volatility of an asset. Synopsis #include <ql/models/equity/gjrgarchmodel.hpp> Inherits QuantLib::CalibratedModel. Public Member Functions GJRGARCHModel (const boost::shared_ptr< GJRGARCHProcess > &process) Real omega () const Real alpha () const Real beta () const Real gamma () const Real lambda () const Real v0 () const boost::shared_ptr< GJRGARCHProcess > process () const…

QuantLib::GBPLibor – GBP LIBOR rate Synopsis #include <ql/indexes/ibor/gbplibor.hpp> Inherits QuantLib::Libor. Public Member Functions GBPLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description GBP LIBOR rate Pound Sterling LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::G2::FittingParameter – Analytical term-structure fitting parameter $ te/twofactormodels/g2.hpp> Inherits QuantLib::TermStructureFittingParameter. Public Member Functions FittingParameter (const Handle< YieldTermStructure > &termStructure, Real a, Real sigma, Real b, Real eta, Real rho) Detailed Description Analytical term-structure fitting parameter $ lytically defined by [ c{1}{2}(ac{igma(1-e^{-at})}{a})^2 + ac{1}{2}(ac{ a(1-e^{-bt})}{b})^2 + hoac{igma(1-e^{-at})}{a}ac{ a(1-e^{-bt})}{b}, ] where $ f(t) $ is the instantaneous…

QuantLib::G2SwaptionEngine – Swaption priced by means of the Black formula Synopsis #include <ql/pricingengines/swaption/g2swaptionengine.hpp> Inherits GenericModelEngine< G2, Swaption::arguments, Swaption::results >. Public Member Functions G2SwaptionEngine (const boost::shared_ptr< G2 > &model, Real range, Size intervals) void calculate () const Detailed Description Swaption priced by means of the Black formula Warning The engine assumes that the exercise date equals…

QuantLib::G2Process – G2 stochastic process Synopsis #include <ql/processes/g2process.hpp> Inherits QuantLib::StochasticProcess. Public Member Functions G2Process (Real a, Real sigma, Real b, Real eta, Real rho) Real x0 () const Real y0 () const Real a () const Real sigma () const Real b () const Real eta () const Real rho () const StochasticProcess interface Size…

QuantLib::G2ForwardProcess – Forward G2 stochastic process Synopsis #include <ql/processes/g2process.hpp> Inherits QuantLib::ForwardMeasureProcess. Public Member Functions G2ForwardProcess (Real a, Real sigma, Real b, Real eta, Real rho) StochasticProcess interface Size size () const returns the number of dimensions of the stochastic process Disposable< Array > initialValues () const returns the initial values of the state variables Disposable<…