Linux Manuals session 3

QuantLib::BlackVarianceTermStructure – Black variance term structure. Synopsis #include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> Inherits QuantLib::BlackVolTermStructure. Inherited by BlackVarianceCurve, BlackVarianceSurface, ExtendedBlackVarianceCurve, ExtendedBlackVarianceSurface, and ImpliedVolTermStructure. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. BlackVarianceTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackVarianceTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize…

QuantLib::BlackVarianceSurface – Black volatility surface modelled as variance surface. Synopsis #include <ql/termstructures/volatility/equityfx/blackvariancesurface.hpp> Inherits QuantLib::BlackVarianceTermStructure. Public Types enum Extrapolation { ConstantExtrapolation, InterpolatorDefaultExtrapolation } Public Member Functions BlackVarianceSurface (const Date &referenceDate, const Calendar &cal, const std::vector< Date > &dates, const std::vector< Real > &strikes, const Matrix &blackVolMatrix, const DayCounter &dayCounter, Extrapolation lowerExtrapolation=InterpolatorDefaultExtrapolation, Extrapolation upperExtrapolation=InterpolatorDefaultExtrapolation) TermStructure interface DayCounter…

QuantLib::BlackVarianceCurve – Black volatility curve modelled as variance curve. Synopsis #include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp> Inherits QuantLib::BlackVarianceTermStructure. Public Member Functions BlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &blackVolCurve, const DayCounter &dayCounter, bool forceMonotoneVariance=true) TermStructure interface DayCounter dayCounter () const the day counter used for date/time conversion Date maxDate () const the latest…

QuantLib::BlackSwaptionEngine – Black-formula swaption engine. Synopsis #include <ql/pricingengines/swaption/blackswaptionengine.hpp> Inherits QuantLib::Swaption::engine. Public Member Functions BlackSwaptionEngine (const Handle< YieldTermStructure > &termStructure, Volatility vol, const DayCounter &dc=Actual365Fixed()) BlackSwaptionEngine (const Handle< YieldTermStructure > &termStructure, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed()) BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol) void calculate () const Handle< YieldTermStructure…

QuantLib::BlackScholesProcess – Black-Scholes (1973) stochastic process. Synopsis #include <ql/processes/blackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Member Functions BlackScholesProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) Detailed Description Black-Scholes (1973) stochastic process. This class describes the stochastic process for a stock given by…

QuantLib::BlackScholesMertonProcess – Merton (1973) extension to the Black-Scholes stochastic process. Synopsis #include <ql/processes/blackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Member Functions BlackScholesMertonProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) Detailed Description Merton (1973) extension to the Black-Scholes…

QuantLib::BlackScholesLattice – Simple binomial lattice approximating the Black-Scholes model. Synopsis #include <ql/methods/lattices/bsmlattice.hpp> Inherits TreeLattice1D< BlackScholesLattice< T > >. Public Member Functions BlackScholesLattice (const boost::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps) Size size (Size i) const DiscountFactor discount (Size, Size) const void stepback (Size i, const Array &values, Array &newValues) const Real underlying…

QuantLib::BlackScholesCalculator – Black-Scholes 1973 calculator class. Synopsis #include <ql/pricingengines/blackscholescalculator.hpp> Inherits QuantLib::BlackCalculator. Public Member Functions BlackScholesCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real spot, DiscountFactor growth, Real stdDev, DiscountFactor discount) Real delta () const Real elasticity () const Real gamma () const Real theta (Time maturity) const Real thetaPerDay (Time maturity) const Protected Attributes Real spot_ DiscountFactor…

QuantLib::BlackProcess – Black (1976) stochastic process. Synopsis #include <ql/processes/blackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Member Functions BlackProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) Detailed Description Black (1976) stochastic process. This class describes the stochastic process for a forward or futures…

QuantLib::BlackKarasinski::Dynamics – Short-rate dynamics in the Black-Karasinski model. Synopsis #include <ql/models/shortrate/onefactormodels/blackkarasinski.hpp> Inherits QuantLib::OneFactorModel::ShortRateDynamics. Public Member Functions Dynamics (const Parameter &fitting, Real alpha, Real sigma) Real variable (Time t, Rate r) const Compute state variable from short rate. Real shortRate (Time t, Real x) const Compute short rate from state variable. Detailed Description Short-rate dynamics in…

QuantLib::BlackKarasinski – Standard Black-Karasinski model class. Synopsis #include <ql/models/shortrate/onefactormodels/blackkarasinski.hpp> Inherits QuantLib::OneFactorModel, and QuantLib::TermStructureConsistentModel. Classes class Dynamics Short-rate dynamics in the Black-Karasinski model. Public Member Functions BlackKarasinski (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.1) boost::shared_ptr< ShortRateDynamics > dynamics () const returns the short-rate dynamics boost::shared_ptr< Lattice > tree (const TimeGrid &grid) const Return by…

QuantLib::BlackIborCouponPricer – Black-formula pricer for capped/floored Ibor coupons. Synopsis #include <ql/cashflows/couponpricer.hpp> Inherits QuantLib::IborCouponPricer. Inherited by BlackIborQuantoCouponPricer. Public Member Functions BlackIborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >()) virtual void initialize (const FloatingRateCoupon &coupon) Real swapletPrice () const Rate swapletRate () const Real capletPrice (Rate effectiveCap) const Rate capletRate (Rate effectiveCap) const Real floorletPrice (Rate effectiveFloor)…

QuantLib::BlackConstantVol – Constant Black volatility, no time-strike dependence. Synopsis #include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp> Inherits QuantLib::BlackVolatilityTermStructure. Public Member Functions BlackConstantVol (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…

QuantLib::BlackCapFloorEngine – Black-formula cap/floor engine. Synopsis #include <ql/pricingengines/capfloor/blackcapfloorengine.hpp> Inherits QuantLib::CapFloor::engine. Public Member Functions BlackCapFloorEngine (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…

QuantLib::BlackCallableZeroCouponBondEngine – Black-formula callable zero coupon bond engine. Synopsis #include <ql/experimental/callablebonds/blackcallablebondengine.hpp> Inherits QuantLib::BlackCallableFixedRateBondEngine. Public Member Functions BlackCallableZeroCouponBondEngine (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,…

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 Functions BlackCallableFixedRateBondEngine (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…

QuantLib::BlackCalculator – Black 1976 calculator class. Synopsis #include <ql/pricingengines/blackcalculator.hpp> Inherited by BlackScholesCalculator. Public Member Functions BlackCalculator (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…

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 Functions Constructors 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…

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

QuantLib::BivariateCumulativeNormalDistributionWe04DP – Cumulative bivariate normal distibution function (West 2004). Synopsis #include <ql/math/distributions/bivariatenormaldistribution.hpp> Public Member Functions BivariateCumulativeNormalDistributionWe04DP (Real rho) Real operator() (Real a, Real b) const Detailed Description Cumulative 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…