Linux Manuals session 3

QuantLib::BivariateCumulativeNormalDistributionDr78 – Cumulative bivariate normal distribution function. Synopsis #include <ql/math/distributions/bivariatenormaldistribution.hpp> Public Member Functions BivariateCumulativeNormalDistributionDr78 (Real rho) Real operator() (Real a, Real b) const Detailed Description Cumulative 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…

QuantLib::Bisection – Bisection 1-D solver Synopsis #include <ql/math/solvers1d/bisection.hpp> Inherits Solver1D< Bisection >. Public Member Functions template<class F > Real solveImpl (const F &f, Real xAccuracy) const Detailed Description Bisection 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 from…

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

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

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

QuantLib::BinomialConvertibleEngine – Binomial Tsiveriotis-Fernandes engine for convertible bonds. Synopsis #include <ql/pricingengines/hybrid/binomialconvertibleengine.hpp> Inherits QuantLib::ConvertibleBond::option::engine. Public Member Functions BinomialConvertibleEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps) void calculate () const Detailed Description template<class T> class QuantLib::BinomialConvertibleEngine< T > Binomial Tsiveriotis-Fernandes engine for convertible bonds. Examples: ConvertibleBonds.cpp. Author Generated 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 Functions template<class I1 , class I2 , class M > BilinearInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const I2 &yEnd, const M &zData) Detailed Description bilinear interpolation between discrete points Constructor & Destructor Documentation BilinearInterpolation (const I1 &…

QuantLib::Bilinear – bilinear-interpolation factory Synopsis #include <ql/math/interpolations/bilinearinterpolation.hpp> Public Member Functions template<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 Description bilinear-interpolation factory Author Generated 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 Functions template<class I1 , class I2 , class M > BicubicSpline (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const I2 &yEnd, const M &zData) Detailed Description bicubic-spline interpolation between discrete points Possible enhancements revise end conditions Constructor & Destructor…

QuantLib::Bicubic – bicubic-spline-interpolation factory Synopsis #include <ql/math/interpolations/bicubicsplineinterpolation.hpp> Public Member Functions template<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 Description bicubic-spline-interpolation factory Author Generated 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 Functions BespokeCalendar (const std::string &name=”) void addWeekend (Weekday) marks the passed day as part of the weekend Detailed Description Bespoke calendar. This calendar has no predefined set of business days. Holidays and weekdays can be defined by means of the provided interface. Instances constructed…

QuantLib::BernsteinPolynomial – class of Bernstein polynomials Synopsis #include <ql/math/bernsteinpolynomial.hpp> Static Public Member Functions static Real get (Natural i, Natural n, Real x) Detailed Description class 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…

QuantLib::BermudanExercise – Bermudan exercise. Synopsis #include <ql/exercise.hpp> Inherits QuantLib::EarlyExercise. Public Member Functions BermudanExercise (const std::vector< Date > &dates, bool payoffAtExpiry=false) Detailed Description Bermudan exercise. A Bermudan option can only be exercised at a set of fixed dates. Examples: BermudanSwaption.cpp, and EquityOption.cpp. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::BatesProcess – Square-root stochastic-volatility Bates process. Synopsis #include <ql/processes/batesprocess.hpp> Inherits QuantLib::HestonProcess. Public Member Functions BatesProcess (const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, const Handle< Quote > &s0, Real v0, Real kappa, Real theta, Real sigma, Real rho, Real lambda, Real nu, Real delta, HestonProcess::Discretization d=HestonProcess::FullTruncation) Size factors () const returns the number…

QuantLib::BatesModel – Bates stochastic-volatility model. Synopsis #include <ql/models/equity/batesmodel.hpp> Inherits QuantLib::HestonModel. Inherited by BatesDetJumpModel. Public Member Functions BatesModel (const boost::shared_ptr< HestonProcess > &process, Real lambda=0.1, Real nu=0.0, Real delta=0.1) Real nu () const Real delta () const Real lambda () const Detailed Description Bates stochastic-volatility model. extended versions of Heston model for the stochastic volatility of…

QuantLib::BatesEngine – Bates model engines based on Fourier transform. Synopsis #include <ql/pricingengines/vanilla/batesengine.hpp> Inherits QuantLib::AnalyticHestonEngine. Inherited by BatesDetJumpEngine. Public Member Functions BatesEngine (const boost::shared_ptr< BatesModel > &model, Size integrationOrder=144) BatesEngine (const boost::shared_ptr< BatesModel > &model, Real relTolerance, Size maxEvaluations) Protected Member Functions std::complex< Real > addOnTerm (Real phi, Time t, Size j) const Detailed Description Bates…

QuantLib::BasketOption – Basket option on a number of assets. Synopsis #include <ql/instruments/basketoption.hpp> Inherits QuantLib::MultiAssetOption. Classes class engine Basket-option engine base class Public Member Functions BasketOption (const boost::shared_ptr< BasketPayoff > &, const boost::shared_ptr< Exercise > &) Detailed Description Basket option on a number of assets. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::Basket – Synopsis #include <ql/experimental/credit/basket.hpp> Public Member Functions Basket (const std::vector< std::string > &names, const std::vector< Real > &notionals, const boost::shared_ptr< Pool > pool, Real attachmentRatio=0.0, Real detachmentRatio=1.0) Size size () const const std::vector< std::string > & names () const const std::vector< Real > & notionals () const Real notional () boost::shared_ptr< Pool > pool…

QuantLib::BarrierOption::engine – Barrier-option engine base class Synopsis #include <ql/instruments/barrieroption.hpp> Inherits GenericEngine< BarrierOption::arguments, BarrierOption::results >. Inherited by AnalyticBarrierEngine, MCBarrierEngine< RNG, S >, and PerturbativeBarrierOptionEngine. Protected Member Functions bool triggered (Real underlying) const Detailed Description Barrier-option engine base class Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::BarrierOption::arguments – Arguments for barrier option calculation Synopsis #include <ql/instruments/barrieroption.hpp> Inherits OneAssetOption::arguments. Inherited by arguments. Public Member Functions void validate () const Public Attributes Barrier::Type barrierType Real barrier Real rebate Detailed Description Arguments for barrier option calculation Author Generated automatically by Doxygen for QuantLib from the source code.