Linux Manuals session 3

QuantLib::BarrierOption – Barrier option on a single asset. Synopsis #include <ql/instruments/barrieroption.hpp> Inherits QuantLib::OneAssetOption. Inherited by DividendBarrierOption, and QuantoBarrierOption. Classes class arguments Arguments for barrier option calculation class engine Barrier-option engine base class Public Member Functions BarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments…

QuantLib::BaroneAdesiWhaleyApproximationEngine – Barone-Adesi and Whaley pricing engine for American options (1987). Synopsis #include <ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp> Inherits VanillaOption::engine. Public Member Functions BaroneAdesiWhaleyApproximationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Static Public Member Functions static Real criticalPrice (const boost::shared_ptr< StrikedTypePayoff > &payoff, DiscountFactor riskFreeDiscount, DiscountFactor dividendDiscount, Real variance, Real tolerance=1e-6) Detailed Description Barone-Adesi and Whaley pricing…

QuantLib::BackwardFlatInterpolation – Backward-flat interpolation between discrete points. Synopsis #include <ql/math/interpolations/backwardflatinterpolation.hpp> Inherits QuantLib::Interpolation. Public Member Functions template<class I1 , class I2 > BackwardFlatInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) Detailed Description Backward-flat interpolation between discrete points. Constructor & Destructor Documentation BackwardFlatInterpolation (const I1 & xBegin, const I1 & xEnd, const I2 & yBegin)…

QuantLib::BackwardFlat – Backward-flat interpolation factory and traits. Synopsis #include <ql/math/interpolations/backwardflatinterpolation.hpp> Public Member Functions template<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const Static Public Attributes static const bool global = false static const Size requiredPoints = 2 Detailed Description Backward-flat interpolation factory and traits. Author Generated…

QuantLib::BSpline – B-spline basis functions. Synopsis #include <ql/math/bspline.hpp> Public Member Functions BSpline (Natural p, Natural n, const std::vector< Real > &knots) Real operator() (Natural i, Real x) const Detailed Description B-spline basis functions. Follows treatment and notation from: Weisstein, Eric W. ‘B-Spline.’ From MathWorld–A Wolfram Web Resource. <http://mathworld.wolfram.com/B-Spline.html> $ (p+1) $-th order B-spline (or p…

QuantLib::BSMOperator – Black-Scholes-Merton differential operator. Synopsis #include <ql/methods/finitedifferences/bsmoperator.hpp> Inherits QuantLib::TridiagonalOperator. Public Member Functions BSMOperator (Size size, Real dx, Rate r, Rate q, Volatility sigma) BSMOperator (const Array &grid, const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Time residualTime) Detailed Description Black-Scholes-Merton differential operator. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::BMASwapRateHelper – Rate helper for bootstrapping over BMA swap rates. Synopsis #include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member Functions BMASwapRateHelper (const Handle< Quote > &liborFraction, const Period &tenor, Natural settlementDays, const Calendar &calendar, const Period &bmaPeriod, BusinessDayConvention bmaConvention, const DayCounter &bmaDayCount, const boost::shared_ptr< BMAIndex > &bmaIndex, const boost::shared_ptr< IborIndex > &index) RateHelper interface Real impliedQuote ()…

QuantLib::BMASwap – swap paying Libor against BMA coupons Synopsis #include <ql/instruments/bmaswap.hpp> Inherits QuantLib::Swap. Public Types enum Type { Receiver = -1, Payer = 1 } Public Member Functions BMASwap (Type type, Real nominal, const Schedule &liborSchedule, Rate liborFraction, Rate liborSpread, const boost::shared_ptr< IborIndex > &liborIndex, const DayCounter &liborDayCount, const Schedule &bmaSchedule, const boost::shared_ptr< BMAIndex >…

QuantLib::BMAIndex – Bond Market Association index. Synopsis #include <ql/indexes/bmaindex.hpp> Inherits QuantLib::InterestRateIndex. Public Member Functions BMAIndex (const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Index interface std::string name () const bool isValidFixingDate (const Date &fixingDate) const returns TRUE if the fixing date is a valid one InterestRateIndex interface Handle< YieldTermStructure > termStructure () const Date maturityDate (const…

QuantLib::AverageBMALeg – helper class building a sequence of average BMA coupons Synopsis #include <ql/cashflows/averagebmacoupon.hpp> Public Member Functions AverageBMALeg (const Schedule &schedule, const boost::shared_ptr< BMAIndex > &index) AverageBMALeg & withNotionals (Real notional) AverageBMALeg & withNotionals (const std::vector< Real > &notionals) AverageBMALeg & withPaymentDayCounter (const DayCounter &) AverageBMALeg & withPaymentAdjustment (BusinessDayConvention) AverageBMALeg & withGearings (Real gearing) AverageBMALeg…

QuantLib::AverageBMACoupon – Average BMA coupon. Synopsis #include <ql/cashflows/averagebmacoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Public Member Functions AverageBMACoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const boost::shared_ptr< BMAIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter()) FloatingRateCoupon interface Date fixingDate () const not applicable here; use fixingDates() instead…

QuantLib::Australia – Australian calendar. Synopsis #include <ql/time/calendars/australia.hpp> Inherits QuantLib::Calendar. Detailed Description Australian calendar. Holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Australia Day, January 26th (possibly moved to Monday) * Good Friday * Easter Monday * ANZAC Day. April 25th (possibly moved to Monday) * Queen’s Birthday, second Monday in June…

QuantLib::AssetSwap::results – Results from simple swap calculation Synopsis #include <ql/instruments/assetswap.hpp> Inherits QuantLib::Swap::results. Public Member Functions void reset () Public Attributes Spread fairSpread Real fairPrice Detailed Description Results from simple swap calculation Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::AssetSwap::arguments – Arguments for asset swap calculation Synopsis #include <ql/instruments/assetswap.hpp> Inherits QuantLib::Swap::arguments. Public Member Functions void validate () const Public Attributes Real nominal Date settlementDate std::vector< Date > fixedResetDates std::vector< Date > fixedPayDates std::vector< Real > fixedCoupons std::vector< Time > floatingAccrualTimes std::vector< Date > floatingResetDates std::vector< Date > floatingFixingDates std::vector< Date > floatingPayDates std::vector< Spread…

QuantLib::AssetSwap – Bullet bond vs Libor swap. Synopsis #include <ql/instruments/assetswap.hpp> Inherits QuantLib::Swap. Classes class arguments Arguments for asset swap calculation class results Results from simple swap calculation Public Member Functions AssetSwap (bool payFixedRate, const boost::shared_ptr< Bond > &bond, Real bondCleanPrice, const boost::shared_ptr< IborIndex > &index, Spread spread, const Handle< YieldTermStructure > &discountCurve, const Schedule &floatSchedule=Schedule(),…

QuantLib::AssetOrNothingPayoff – Binary asset-or-nothing payoff. Synopsis #include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member Functions AssetOrNothingPayoff (Option::Type type, Real strike) Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed Description Binary asset-or-nothing payoff. Definitions of Binary path-independent payoffs used below, can be found in M. Rubinstein, E. Reiner:’Unscrambling The…

QuantLib::Array – 1-D array used in linear algebra. Synopsis #include <ql/math/array.hpp> Public Types typedef Real value_type typedef Real * iterator typedef const Real * const_iterator typedef boost::reverse_iterator< iterator > reverse_iterator typedef boost::reverse_iterator< const_iterator > const_reverse_iterator Public Member Functions Constructors, destructor, and assignment Array (Size size=0) creates the array with the given dimension Array (Size size,…

QuantLib::ArmijoLineSearch – Armijo line search. Synopsis #include <ql/math/optimization/armijo.hpp> Inherits QuantLib::LineSearch. Public Member Functions ArmijoLineSearch (Real eps=1e-8, Real alpha=0.05, Real beta=0.65) Default constructor. Real operator() (Problem &P, EndCriteria::Type &ecType, const EndCriteria &, const Real t_ini) Perform line search. Detailed Description Armijo line search. Let $ lpha $ and $ 2 scalars in $ [0,1] $. Let…

QuantLib::Argentina – Argentinian calendars. Synopsis #include <ql/time/calendars/argentina.hpp> Inherits QuantLib::Calendar. Public Types enum Market { Merval } Public Member Functions Argentina (Market m=Merval) Detailed Description Argentinian calendars. Holidays for the Buenos Aires stock exchange (data from <http://www.merval.sba.com.ar/>): * Saturdays * Sundays * New Year’s Day, January 1st * Holy Thursday * Good Friday * Labour Day,…

QuantLib::AnalyticPerformanceEngine – Pricing engine for performance options using analytical formulae. Synopsis #include <ql/pricingengines/cliquet/analyticperformanceengine.hpp> Inherits QuantLib::CliquetOption::engine. Public Member Functions AnalyticPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed Description Pricing engine for performance options using analytical formulae. Tests the correctness of the returned greeks is tested by reproducing numerical derivatives. Author Generated automatically by…