Linux Manuals session 3

QuantLib::AnalyticHestonHullWhiteEngine – Analytic Heston engine incl. stochastic interest rates. Synopsis #include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp> Inherits QuantLib::AnalyticHestonEngine. Public Member Functions AnalyticHestonHullWhiteEngine (const boost::shared_ptr< HestonModel > &hestonModel, const boost::shared_ptr< HullWhite > &hullWhiteModel, Size integrationOrder=144) AnalyticHestonHullWhiteEngine (const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhite > &hullWhiteModel, Real relTolerance, Size maxEvaluations) void update () void calculate () const Protected Member Functions…

QuantLib::AnalyticHestonEngine – analytic Heston-model engine based on Fourier transform Synopsis #include <ql/pricingengines/vanilla/analytichestonengine.hpp> Inherits GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results >. Inherited by AnalyticHestonHullWhiteEngine, BatesDoubleExpEngine, and BatesEngine. Public Types enum ComplexLogFormula { Gatheral, BranchCorrection } Public Member Functions AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, Real relTolerance, Size maxEvaluations) AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, Size integrationOrder=144) AnalyticHestonEngine (const…

QuantLib::AnalyticHaganPricer – CMS-coupon pricer. Synopsis #include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::HaganPricer. Public Member Functions AnalyticHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion) Protected Member Functions Real optionletPrice (Option::Type optionType, Real strike) const Real swapletPrice () const Detailed Description CMS-coupon pricer. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::AnalyticGJRGARCHEngine – GJR-GARCH(1,1) engine. Synopsis #include <ql/pricingengines/vanilla/analyticgjrgarchengine.hpp> Inherits GenericModelEngine< GJRGARCHModel, VanillaOption::arguments, VanillaOption::results >. Public Member Functions AnalyticGJRGARCHEngine (const boost::shared_ptr< GJRGARCHModel > &model) void calculate () const Detailed Description GJR-GARCH(1,1) engine. References: Jin-Chuan Duan, Genevieve Gauthier, Jean-Guy Simonato, Caroline Sasseville, 2006. Approximating the GJR-GARCH and EGARCH option pricing models analytically Journal of Computational Finance, Volume 9,…

QuantLib::AnalyticEuropeanEngine – Pricing engine for European vanilla options using analytical formulae. Synopsis #include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp> Inherits VanillaOption::engine. Public Member Functions AnalyticEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Detailed Description Pricing engine for European vanilla options using analytical formulae. Tests * the correctness of the returned value is tested by reproducing results available in…

QuantLib::AnalyticDividendEuropeanEngine – Analytic pricing engine for European options with discrete dividends. Synopsis #include <ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp> Inherits QuantLib::DividendVanillaOption::engine. Public Member Functions AnalyticDividendEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Detailed Description Analytic pricing engine for European options with discrete dividends. Tests the correctness of the returned greeks is tested by reproducing numerical derivatives. Author Generated…

QuantLib::AnalyticDiscreteGeometricAveragePriceAsianEngine – Pricing engine for European discrete geometric average price Asian. Synopsis #include <ql/pricingengines/asian/analytic_discr_geom_av_price.hpp> Inherits QuantLib::DiscreteAveragingAsianOption::engine. Public Member Functions AnalyticDiscreteGeometricAveragePriceAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed Description Pricing engine for European discrete geometric average price Asian. This class implements a discrete geometric average price Asian option, with European exercise. The formula…

QuantLib::AnalyticDigitalAmericanEngine – Analytic pricing engine for American vanilla options with digital payoff. Synopsis #include <ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp> Inherits QuantLib::OneAssetOption::engine. Public Member Functions AnalyticDigitalAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Detailed Description Analytic pricing engine for American vanilla options with digital payoff. Possible enhancements add more greeks (as of now only delta and rho available)…

QuantLib::AnalyticContinuousGeometricAveragePriceAsianEngine – Pricing engine for European continuous geometric average price Asian. Synopsis #include <ql/pricingengines/asian/analytic_cont_geom_av_price.hpp> Inherits QuantLib::ContinuousAveragingAsianOption::engine. Public Member Functions AnalyticContinuousGeometricAveragePriceAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed Description Pricing engine for European continuous geometric average price Asian. This class implements a continuous geometric average price Asian option with European exercise. The formula…

QuantLib::AnalyticContinuousFloatingLookbackEngine – Pricing engine for European continuous floating-strike lookback. Synopsis #include <ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp> Inherits QuantLib::ContinuousFloatingLookbackOption::engine. Public Member Functions AnalyticContinuousFloatingLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed Description Pricing engine for European continuous floating-strike lookback. Formula from ‘Option Pricing Formulas’, E.G. Haug, McGraw-Hill, 1998, p.61-62 Tests returned values verified against results from literature Author…

QuantLib::AnalyticContinuousFixedLookbackEngine – Pricing engine for European continuous fixed-strike lookback. Synopsis #include <ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp> Inherits QuantLib::ContinuousFixedLookbackOption::engine. Public Member Functions AnalyticContinuousFixedLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed Description Pricing engine for European continuous fixed-strike lookback. Formula from ‘Option Pricing Formulas’, E.G. Haug, McGraw-Hill, 1998, p.63-64 Tests returned values are verified against results from literature…

QuantLib::AnalyticCliquetEngine – Pricing engine for Cliquet options using analytical formulae. Synopsis #include <ql/pricingengines/cliquet/analyticcliquetengine.hpp> Inherits QuantLib::CliquetOption::engine. Public Member Functions AnalyticCliquetEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed Description Pricing engine for Cliquet options using analytical formulae. Tests * the correctness of the returned value is tested by reproducing results available in literature. *…

QuantLib::AnalyticCapFloorEngine – Analytic engine for cap/floor. Synopsis #include <ql/pricingengines/capfloor/analyticcapfloorengine.hpp> Inherits GenericModelEngine< AffineModel, CapFloor::arguments, CapFloor::results >. Public Member Functions AnalyticCapFloorEngine (const boost::shared_ptr< AffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) void calculate () const Detailed Description Analytic engine for cap/floor. Constructor & Destructor Documentation AnalyticCapFloorEngine (const boost::shared_ptr< AffineModel > & model, const Handle< YieldTermStructure…

QuantLib::AnalyticBarrierEngine – Pricing engine for barrier options using analytical formulae. Synopsis #include <ql/pricingengines/barrier/analyticbarrierengine.hpp> Inherits QuantLib::BarrierOption::engine. Public Member Functions AnalyticBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed Description Pricing engine for barrier options using analytical formulae. The formulas are taken from ‘Option pricing formulas’, E.G. Haug, McGraw-Hill, p.69 and following. Tests the correctness…

QuantLib::AnalyticBSMHullWhiteEngine – analytic european option pricer including stochastic interest rates Synopsis #include <ql/pricingengines/vanilla/analyticbsmhullwhiteengine.hpp> Inherits GenericModelEngine< HullWhite, VanillaOption::arguments, VanillaOption::results >. Public Member Functions AnalyticBSMHullWhiteEngine (Real equityShortRateCorrelation, const boost::shared_ptr< GeneralizedBlackScholesProcess > &, const boost::shared_ptr< HullWhite > &) void calculate () const Detailed Description analytic european option pricer including stochastic interest rates References: Brigo, Mercurio, Interest Rate Models…

QuantLib::AmortizingFloatingRateBond – amortizing floating-rate bond (possibly capped and/or floored) Synopsis #include <ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp> Inherits QuantLib::Bond. Public Member Functions AmortizingFloatingRateBond (Natural settlementDays, const std::vector< Real > &notional, const Schedule &schedule, const boost::shared_ptr< IborIndex > &index, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector<…

QuantLib::AmortizingFixedRateBond – amortizing fixed-rate bond Synopsis #include <ql/experimental/amortizingbonds/amortizingfixedratebond.hpp> Inherits QuantLib::Bond. Public Member Functions AmortizingFixedRateBond (Natural settlementDays, const std::vector< Real > &notionals, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, const std::vector< Real > &redemption=std::vector< Real >(1, 100.0), const Date &issueDate=Date()) AmortizingFixedRateBond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date…

QuantLib::AmortizingCmsRateBond – amortizing CMS-rate bond Synopsis #include <ql/experimental/amortizingbonds/amortizingcmsratebond.hpp> Inherits QuantLib::Bond. Public Member Functions AmortizingCmsRateBond (Natural settlementDays, const std::vector< Real > &faceAmount, const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index, const DayCounter &paymentDayCounter, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1, 0.0), const…

QuantLib::AmericanPayoffAtHit – Analytic formula for American exercise payoff at-hit options. Synopsis #include <ql/pricingengines/americanpayoffathit.hpp> Public Member Functions AmericanPayoffAtHit (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff) Real value () const Real delta () const Real gamma () const Real rho (Time maturity) const Detailed Description Analytic formula for American exercise payoff…

QuantLib::AmericanPayoffAtExpiry – Analytic formula for American exercise payoff at-expiry options. Synopsis #include <ql/pricingengines/americanpayoffatexpiry.hpp> Public Member Functions AmericanPayoffAtExpiry (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff) Real value () const Detailed Description Analytic formula for American exercise payoff at-expiry options. Possible enhancements calculate greeks Author Generated automatically by Doxygen for QuantLib…