Linux Manuals session 3

QuantLib::FdBlackScholesRebateEngine – Finite-Differences Black Scholes barrier option rebate helper engine. Synopsis #include <ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp> Inherits GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results >. Public Member Functions FdBlackScholesRebateEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size tGrid=100, Size xGrid=100) void calculate () const Detailed Description Finite-Differences Black Scholes barrier option rebate helper engine. Author Generated automatically by Doxygen for QuantLib from the source…

QuantLib::FdBlackScholesBarrierEngine – Finite-Differences Black Scholes barrier option engine. Synopsis #include <ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp> Inherits GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results >. Public Member Functions FdBlackScholesBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size tGrid=100, Size xGrid=100) void calculate () const Detailed Description Finite-Differences Black Scholes barrier option engine. Tests the correctness of the returned value is tested by reproducing results available in…

QuantLib::FaureRsg – Faure low-discrepancy sequence generator. Synopsis #include <ql/math/randomnumbers/faurersg.hpp> Public Types typedef Sample< std::vector< Real > > sample_type Public Member Functions FaureRsg (Size dimensionality) const std::vector< long int > & nextIntSequence () const const std::vector< long int > & lastIntSequence () const const sample_type & nextSequence () const const sample_type & lastSequence () const Size…

QuantLib::FalsePosition – False position 1-D solver. Synopsis #include <ql/math/solvers1d/falseposition.hpp> Inherits Solver1D< FalsePosition >. Public Member Functions template<class F > Real solveImpl (const F &f, Real xAccuracy) const Detailed Description False position 1-D solver. Tests the correctness of the returned values is tested by checking them against known good results. Author Generated automatically by Doxygen for…

QuantLib::Factorial – Factorial numbers calculator Synopsis #include <ql/math/factorial.hpp> Static Public Member Functions static Real get (Natural n) static Real ln (Natural n) Detailed Description Factorial numbers calculator Tests the correctness of the returned value is tested by checking it against numerical calculations. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::FaceValueAccrualClaim – Claim on the notional of a reference security, including accrual. Synopsis #include <ql/instruments/claim.hpp> Inherits QuantLib::Claim. Public Member Functions FaceValueAccrualClaim (const boost::shared_ptr< Bond > &referenceSecurity) Real amount (const Date &d, Real notional, Real recoveryRate) const Detailed Description Claim on the notional of a reference security, including accrual. Author Generated automatically by Doxygen for QuantLib…

QuantLib::FDVanillaEngine – Finite-differences pricing engine for BSM one asset options. Synopsis #include <ql/pricingengines/vanilla/fdvanillaengine.hpp> Inherited by FDEuropeanEngine, FDMultiPeriodEngine, and FDStepConditionEngine. Public Member Functions FDVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) const Array & grid () const Protected Types typedef BoundaryCondition< TridiagonalOperator > bc_type Protected Member Functions virtual void setupArguments (const PricingEngine::arguments…

QuantLib::FDStepConditionEngine – Finite-differences pricing engine for American-style vanilla options. Synopsis #include <ql/pricingengines/vanilla/fdstepconditionengine.hpp> Inherits QuantLib::FDVanillaEngine. Public Member Functions FDStepConditionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) Protected Member Functions virtual void initializeStepCondition () const =0 virtual void calculate (PricingEngine::results *) const Protected Attributes boost::shared_ptr< StandardStepCondition > stepCondition_ SampledCurve prices_ TridiagonalOperator controlOperator_ std::vector<…

QuantLib::FDEuropeanEngine – Pricing engine for European options using finite-differences. Synopsis #include <ql/pricingengines/vanilla/fdeuropeanengine.hpp> Inherits QuantLib::OneAssetOption::engine, and QuantLib::FDVanillaEngine. Public Member Functions FDEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Detailed Description Pricing engine for European options using finite-differences. Tests the correctness of the returned value is tested by checking it against analytic results….

QuantLib::FDDividendEngineShiftScale – Finite-differences engine for dividend options using shifted dividends. Synopsis #include <ql/pricingengines/vanilla/fddividendengine.hpp> Inherits QuantLib::FDDividendEngineBase. Public Member Functions FDDividendEngineShiftScale (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Detailed Description Finite-differences engine for dividend options using shifted dividends. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::FDDividendEngineMerton73 – Finite-differences pricing engine for dividend options using. Synopsis #include <ql/pricingengines/vanilla/fddividendengine.hpp> Inherits QuantLib::FDDividendEngineBase. Public Member Functions FDDividendEngineMerton73 (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Detailed Description Finite-differences pricing engine for dividend options using. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::FDDividendEngineBase – Abstract base class for dividend engines. Synopsis #include <ql/pricingengines/vanilla/fddividendengine.hpp> Inherits QuantLib::FDMultiPeriodEngine. Inherited by FDDividendEngineMerton73, and FDDividendEngineShiftScale. Public Member Functions FDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Protected Member Functions virtual void setupArguments (const PricingEngine::arguments *) const void setGridLimits () const =0 void executeIntermediateStep (Size step) const =0 Real…

QuantLib::FDBermudanEngine – Finite-differences Bermudan engine. Synopsis #include <ql/pricingengines/vanilla/fdbermudanengine.hpp> Inherits VanillaOption::engine, and QuantLib::FDMultiPeriodEngine. Public Member Functions FDBermudanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) void calculate () const Protected Member Functions void initializeStepCondition () const void executeIntermediateStep (Size) const Protected Attributes Real extraTermInBermudan Detailed Description Finite-differences Bermudan engine. Examples: EquityOption.cpp. Author Generated…

QuantLib::Extrapolator – base class for classes possibly allowing extrapolation Synopsis #include <ql/math/interpolations/extrapolation.hpp> Inherited by Interpolation, Interpolation2D, and TermStructure. Public Member Functions modifiers void enableExtrapolation (bool b=true) enable extrapolation in subsequent calls void disableExtrapolation (bool b=true) disable extrapolation in subsequent calls inspectors bool allowsExtrapolation () const tells whether extrapolation is enabled Detailed Description base class for…

QuantLib::ExtendedTrigeorgis – Trigeorgis (additive equal jumps) binomial tree Synopsis #include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedEqualJumpsBinomialTree< ExtendedTrigeorgis >. Public Member Functions ExtendedTrigeorgis (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Protected Member Functions Real dxStep (Time stepTime) const Real probUp (Time stepTime) const Detailed Description Trigeorgis (additive equal jumps) binomial tree Author Generated automatically by…

QuantLib::ExtendedTian – Tian tree: third moment matching, multiplicative approach Synopsis #include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< ExtendedTian >. Public Member Functions ExtendedTian (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Real underlying (Size i, Size index) const Real probability (Size, Size, Size branch) const Protected Attributes Real up_ Real down_ Real pu_ Real pd_…

QuantLib::ExtendedLeisenReimer – Leisen & Reimer tree: multiplicative approach. Synopsis #include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< ExtendedLeisenReimer >. Public Member Functions ExtendedLeisenReimer (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Real underlying (Size i, Size index) const Real probability (Size, Size, Size branch) const Protected Attributes Time end_ Size oddSteps_ Real strike_ Real up_ Real…

QuantLib::ExtendedJarrowRudd – Jarrow-Rudd (multiplicative) equal probabilities binomial tree. Synopsis #include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd >. Public Member Functions ExtendedJarrowRudd (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Protected Member Functions Real upStep (Time stepTime) const Detailed Description Jarrow-Rudd (multiplicative) equal probabilities binomial tree. Author Generated automatically by Doxygen for QuantLib from the…

QuantLib::ExtendedEqualProbabilitiesBinomialTree – Base class for equal probabilities binomial tree. Synopsis #include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< T >. Public Member Functions ExtendedEqualProbabilitiesBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) Real underlying (Size i, Size index) const Real probability (Size, Size, Size) const Protected Member Functions virtual Real upStep (Time stepTime) const =0 Protected Attributes Real…

QuantLib::ExtendedEqualJumpsBinomialTree – Base class for equal jumps binomial tree. Synopsis #include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< T >. Public Member Functions ExtendedEqualJumpsBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) Real underlying (Size i, Size index) const Real probability (Size i, Size, Size branch) const Protected Member Functions virtual Real probUp (Time stepTime) const =0 virtual…