Linux Manuals session 3

QuantLib::BlackConstantVol – Constant Black volatility, no time-strike dependence. Synopsis#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp> Inherits QuantLib::BlackVolatilityTermStructure. Public Member FunctionsBlackConstantVol (const Date &referenceDate, const Calendar &, Volatility volatility, const DayCounter &dayCounter) BlackConstantVol (const Date &referenceDate, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter) BlackConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) BlackConstantVol (Natural settlementDays,…

QuantLib::BlackCapFloorEngine – Black-formula cap/floor engine. Synopsis#include <ql/pricingengines/capfloor/blackcapfloorengine.hpp> Inherits QuantLib::CapFloor::engine. Public Member FunctionsBlackCapFloorEngine (const Handle< YieldTermStructure > &termStructure, Volatility vol, const DayCounter &dc=Actual365Fixed()) BlackCapFloorEngine (const Handle< YieldTermStructure > &termStructure, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed()) BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< OptionletVolatilityStructure > &vol) void calculate () const Handle< YieldTermStructure > termStructure…

QuantLib::BlackCallableZeroCouponBondEngine – Black-formula callable zero coupon bond engine. Synopsis#include <ql/experimental/callablebonds/blackcallablebondengine.hpp> Inherits QuantLib::BlackCallableFixedRateBondEngine. Public Member FunctionsBlackCallableZeroCouponBondEngine (const Handle< Quote > &fwdYieldVol, const Handle< YieldTermStructure > &discountCurve) volatility is the quoted fwd yield volatility, not price vol BlackCallableZeroCouponBondEngine (const Handle< CallableBondVolatilityStructure > &yieldVolStructure, const Handle< YieldTermStructure > &discountCurve) volatility is the quoted fwd yield volatility, not price…

QuantLib::BlackCallableFixedRateBondEngine – Black-formula callable fixed rate bond engine. Synopsis#include <ql/experimental/callablebonds/blackcallablebondengine.hpp> Inherits QuantLib::CallableBond::engine. Inherited by BlackCallableZeroCouponBondEngine. Public Member FunctionsBlackCallableFixedRateBondEngine (const Handle< Quote > &fwdYieldVol, const Handle< YieldTermStructure > &discountCurve) volatility is the quoted fwd yield volatility, not price vol BlackCallableFixedRateBondEngine (const Handle< CallableBondVolatilityStructure > &yieldVolStructure, const Handle< YieldTermStructure > &discountCurve) volatility is the quoted fwd yield…

QuantLib::BlackCalculator – Black 1976 calculator class. Synopsis#include <ql/pricingengines/blackcalculator.hpp> Inherited by BlackScholesCalculator. Public Member FunctionsBlackCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) Real value () const Real deltaForward () const virtual Real delta (Real spot) const Real elasticityForward () const virtual Real elasticity (Real spot) const Real gammaForward () const virtual Real…

QuantLib::BlackAtmVolCurve – Black at-the-money (no-smile) volatility curve. Synopsis#include <ql/experimental/volatility/blackatmvolcurve.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by AbcdAtmVolCurve, and BlackVolSurface. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. BlackAtmVolCurve (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackAtmVolCurve (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference…

QuantLib::BjerksundStenslandApproximationEngine – Bjerksund and Stensland pricing engine for American options (1993). Synopsis#include <ql/pricingengines/vanilla/bjerksundstenslandengine.hpp> Inherits VanillaOption::engine. Public Member FunctionsBjerksundStenslandApproximationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Detailed DescriptionBjerksund and Stensland pricing engine for American options (1993). Tests the correctness of the returned value is tested by reproducing results available in literature. Examples: EquityOption.cpp. AuthorGenerated…

QuantLib::BivariateCumulativeNormalDistributionWe04DP – Cumulative bivariate normal distibution function (West 2004). Synopsis#include <ql/math/distributions/bivariatenormaldistribution.hpp> Public Member FunctionsBivariateCumulativeNormalDistributionWe04DP (Real rho) Real operator() (Real a, Real b) const Detailed DescriptionCumulative bivariate normal distibution function (West 2004). The implementation derives from the article ‘Better Approximations To Cumulative Normal Distibutions’, Graeme West, Dec 2004 available at www.finmod.co.za. Also available in Wilmott Magazine,…

QuantLib::BivariateCumulativeNormalDistributionDr78 – Cumulative bivariate normal distribution function. Synopsis#include <ql/math/distributions/bivariatenormaldistribution.hpp> Public Member FunctionsBivariateCumulativeNormalDistributionDr78 (Real rho) Real operator() (Real a, Real b) const Detailed DescriptionCumulative bivariate normal distribution function. Drezner (1978) algorithm, six decimal places accuracy. For this implementation see ‘Option pricing formulas’, E.G. Haug, McGraw-Hill 1998 Possible enhancements check accuracy of this algorithm and compare with:…

QuantLib::Bisection – Bisection 1-D solver Synopsis#include <ql/math/solvers1d/bisection.hpp> Inherits Solver1D< Bisection >. Public Member Functionstemplate<class F > Real solveImpl (const F &f, Real xAccuracy) const Detailed DescriptionBisection 1-D solver Tests the correctness of the returned values is tested by checking them against known good results.AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::BinomialVanillaEngine – Pricing engine for vanilla options using binomial trees. Synopsis#include <ql/pricingengines/vanilla/binomialengine.hpp> Inherits QuantLib::OneAssetOption::engine. Public Member FunctionsBinomialVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps) void calculate () const Detailed Descriptiontemplate<class T> class QuantLib::BinomialVanillaEngine< T >Pricing engine for vanilla options using binomial trees. Tests the correctness of the returned values is tested by checking it against…

QuantLib::BinomialTree – Binomial tree base class. Synopsis#include <ql/methods/lattices/binomialtree.hpp> Inherits Tree< T >. Public Typesenum Branches { branches = 2 } Public Member FunctionsBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) Size size (Size i) const Size descendant (Size, Size index, Size branch) const Protected AttributesReal x0_ Real driftPerStep_ Time dt_ Detailed Descriptiontemplate<class T>…

QuantLib::BinomialDistribution – Binomial probability distribution function. Synopsis#include <ql/math/distributions/binomialdistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsBinomialDistribution (Real p, BigNatural n) Real operator() (BigNatural k) const Detailed DescriptionBinomial probability distribution function. formula here … Given an integer k it returns its probability in a Binomial distribution with parameters p and n. AuthorGenerated automatically by Doxygen for QuantLib from the…

QuantLib::BinomialConvertibleEngine – Binomial Tsiveriotis-Fernandes engine for convertible bonds. Synopsis#include <ql/pricingengines/hybrid/binomialconvertibleengine.hpp> Inherits QuantLib::ConvertibleBond::option::engine. Public Member FunctionsBinomialConvertibleEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps) void calculate () const Detailed Descriptiontemplate<class T> class QuantLib::BinomialConvertibleEngine< T >Binomial Tsiveriotis-Fernandes engine for convertible bonds. Examples: ConvertibleBonds.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::BilinearInterpolation – bilinear interpolation between discrete points Synopsis#include <ql/math/interpolations/bilinearinterpolation.hpp> Inherits QuantLib::Interpolation2D. Public Member Functionstemplate<class I1 , class I2 , class M > BilinearInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const I2 &yEnd, const M &zData) Detailed Descriptionbilinear interpolation between discrete points Constructor & Destructor DocumentationBilinearInterpolation (const I1 & xBegin, const I1 &…

QuantLib::Bilinear – bilinear-interpolation factory Synopsis#include <ql/math/interpolations/bilinearinterpolation.hpp> Public Member Functionstemplate<class I1 , class I2 , class M > Interpolation2D interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const I2 &yEnd, const M &z) const Detailed Descriptionbilinear-interpolation factory AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::BicubicSpline – bicubic-spline interpolation between discrete points Synopsis#include <ql/math/interpolations/bicubicsplineinterpolation.hpp> Inherits QuantLib::Interpolation2D. Public Member Functionstemplate<class I1 , class I2 , class M > BicubicSpline (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const I2 &yEnd, const M &zData) Detailed Descriptionbicubic-spline interpolation between discrete points Possible enhancements revise end conditionsConstructor & Destructor DocumentationBicubicSpline (const I1 &…

QuantLib::Bicubic – bicubic-spline-interpolation factory Synopsis#include <ql/math/interpolations/bicubicsplineinterpolation.hpp> Public Member Functionstemplate<class I1 , class I2 , class M > Interpolation2D interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const I2 &yEnd, const M &z) const Detailed Descriptionbicubic-spline-interpolation factory AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::BespokeCalendar – Bespoke calendar. Synopsis#include <ql/time/calendars/bespokecalendar.hpp> Inherits QuantLib::Calendar. Public Member FunctionsBespokeCalendar (const std::string &name=”) void addWeekend (Weekday) marks the passed day as part of the weekend Detailed DescriptionBespoke calendar. This calendar has no predefined set of business days. Holidays and weekdays can be defined by means of the provided interface. Instances constructed by copying remain…

QuantLib::BernsteinPolynomial – class of Bernstein polynomials Synopsis#include <ql/math/bernsteinpolynomial.hpp> Static Public Member Functionsstatic Real get (Natural i, Natural n, Real x) Detailed Descriptionclass of Bernstein polynomials see definition: Weisstein, Eric W. ‘Bernstein Polynomial.’ From MathWorld–A Wolfram Web Resource. <http://mathworld.wolfram.com/BernsteinPolynomial.html> The Bernstein polynomials $ B_{i,n}(x) $ are defined as [ B_{i,n}(x) \quiv rated automatically by Doxygen for…