Linux Manuals session 3

QuantLib::PlainVanillaPayoff – Plain-vanilla payoff. Synopsis #include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member Functions PlainVanillaPayoff (Option::Type type, Real strike) Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed Description Plain-vanilla payoff. Examples: DiscreteHedging.cpp, EquityOption.cpp, and Replication.cpp. Member Function Documentation std::string name () const [virtual] Warning This method is used…

ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp – Piecewise-zero-spreaded term structure. Synopsis #include <ql/termstructures/yield/zeroyieldstructure.hpp> #include <ql/quote.hpp> #include <vector> Classes class PiecewiseZeroSpreadedTermStructure Term structure with an added vector of spreads on the zero-yield rate. Detailed Description Piecewise-zero-spreaded term structure. Author Generated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/inflation/piecewisezeroinflationcurve.hpp – Piecewise zero-inflation term structure. Synopsis #include <ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp> #include <ql/termstructures/iterativebootstrap.hpp> #include <ql/patterns/lazyobject.hpp> Classes class ZeroInflationTraits Bootstrap traits to use for PiecewiseZeroInflationCurve. class PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits > Piecewise zero-inflation term structure. Detailed Description Piecewise zero-inflation term structure. Author Generated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp – Piecewise year-on-year inflation term structure. Synopsis #include <ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp> #include <ql/termstructures/iterativebootstrap.hpp> #include <ql/patterns/lazyobject.hpp> Classes class YoYInflationTraits Bootstrap traits to use for PiecewiseZeroInflationCurve. class PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits > Piecewise year-on-year inflation term structure. Detailed Description Piecewise year-on-year inflation term structure. Author Generated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/yield/piecewiseyieldcurve.hpp – piecewise-interpolated term structure Synopsis #include <ql/termstructures/iterativebootstrap.hpp> #include <ql/termstructures/localbootstrap.hpp> #include <ql/termstructures/yield/bootstraptraits.hpp> #include <ql/patterns/lazyobject.hpp> #include <ql/quote.hpp> Classes class PiecewiseYieldCurve< Traits, Interpolator, Bootstrap > Piecewise yield term structure. Detailed Description piecewise-interpolated term structure Author Generated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/credit/piecewisedefaultcurve.hpp – piecewise-interpolated default-probability structure Synopsis #include <ql/termstructures/iterativebootstrap.hpp> #include <ql/termstructures/credit/probabilitytraits.hpp> #include <ql/patterns/lazyobject.hpp> #include <ql/quote.hpp> Classes class PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap > Piecewise default-probability term structure. Detailed Description piecewise-interpolated default-probability structure Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::PiecewiseConstantParameter – Piecewise-constant parameter. Synopsis #include <ql/models/parameter.hpp> Inherits QuantLib::Parameter. Public Member Functions PiecewiseConstantParameter (const std::vector< Time > &times) Detailed Description Piecewise-constant parameter. $ a(t) = a_i if t_{i-1} geq t < t_i $. This kind of parameter is usually used to enhance the fitting of a model Author Generated automatically by Doxygen for QuantLib from…

QuantLib::PerturbativeBarrierOptionEngine – perturbative barrier-option engine Synopsis #include <ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp> Inherits QuantLib::BarrierOption::engine. Public Member Functions PerturbativeBarrierOptionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Natural order=1, bool zeroGamma=false) void calculate () const Detailed Description perturbative barrier-option engine This engine implements the approach described in <http://www.econ.univpm.it/recchioni/finance/w3/>. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::CubicInterpolation – Cubic interpolation between discrete points. Synopsis #include <ql/math/interpolations/cubicinterpolation.hpp> Inherits QuantLib::Interpolation. Inherited by MonotonicNaturalCubicInterpolation, and NaturalCubicInterpolation. Public Types enum DerivativeApprox { Spline, FourthOrder, Parabolic, ModifiedParabolic, FritschButland, Akima, Kruger } enum BoundaryCondition { NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange } Public Member Functions template<class I1 , class I2 > CubicInterpolation (const I1 &xBegin, const I1 &xEnd,…

ql/time/period.hpp – period- and frequency-related classes and enumerations Synopsis #include <ql/time/frequency.hpp> #include <ql/time/timeunit.hpp> #include <ql/types.hpp> Classes class Period Functions std::ostream & operator<< (std::ostream &, const long_period_holder &) std::ostream & operator<< (std::ostream &, const short_period_holder &) detail::long_period_holder long_period (const Period &) output periods in long format (e.g. ‘2 weeks’) detail::short_period_holder short_period (const Period &) output periods…

QuantLib::PercentageStrikePayoff – Payoff with strike expressed as percentage Synopsis #include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member Functions PercentageStrikePayoff (Option::Type type, Real moneyness) Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed Description Payoff with strike expressed as percentage Member Function Documentation std::string name () const [virtual] Warning This…

QuantLib::PathwiseVegasAccountingEngine – Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas. Synopsis #include <ql/models/marketmodels/pathwiseaccountingengine.hpp> Public Member Functions PathwiseVegasAccountingEngine (const boost::shared_ptr< LogNormalFwdRateEuler > &evolver, const Clone< MarketModelPathwiseMultiProduct > &product, const boost::shared_ptr< MarketModel > &pseudoRootStructure, const std::vector< std::vector< Matrix > > &VegaBumps, Real initialNumeraireValue) void multiplePathValues (std::vector< Real > &means,…

QuantLib::PathwiseAccountingEngine – Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas. Synopsis #include <ql/models/marketmodels/pathwiseaccountingengine.hpp> Public Member Functions PathwiseAccountingEngine (const boost::shared_ptr< LogNormalFwdRateEuler > &evolver, const Clone< MarketModelPathwiseMultiProduct > &product, const boost::shared_ptr< MarketModel > &pseudoRootStructure, Real initialNumeraireValue) void multiplePathValues (SequenceStatisticsInc &stats, Size numberOfPaths) Detailed Description Engine collecting cash flows along a market-model…

ql/experimental/mcbasket/pathmultiassetoption.hpp – Option on multiple assets. Synopsis #include <ql/instrument.hpp> #include <ql/stochasticprocess.hpp> #include <ql/math/matrix.hpp> #include <ql/experimental/mcbasket/pathpayoff.hpp> Classes class PathMultiAssetOption Base class for path-dependent options on multiple assets. class arguments Arguments for multi-asset option calculation class results Results from multi-asset option calculation Detailed Description Option on multiple assets. Author Generated automatically by Doxygen for QuantLib from the…

QuantLib::MCPathBasketEngine – Pricing engine for path dependent basket options using Monte Carlo simulation. Synopsis #include <ql/experimental/mcbasket/mcpathbasketengine.hpp> Inherits QuantLib::PathMultiAssetOption::engine, and McSimulation< MultiVariate, RNG, S >. Public Types typedef McSimulation< MultiVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< MultiVariate, RNG, S >::stats_type stats_type Public Member Functions MCPathBasketEngine (Size timeSteps, bool brownianBridge,…

QuantLib::Path – single-factor random walk Synopsis #include <ql/methods/montecarlo/path.hpp> Public Member Functions Path (const TimeGrid &timeGrid, const Array &values=Array()) inspectors bool empty () const Size length () const Real operator[] (Size i) const asset value at the $ i $-th point Real at (Size i) const Real & operator[] (Size i) Real & at (Size i)…

Parse::Yapp – Perl extension for generating and using LALR parsers. Synopsis yapp -m MyParser grammar_file.yp … use MyParser; $parser=new MyParser(); $value=$parser->YYParse(yylex => \&lexer_sub, yyerror => \&error_sub); $nberr=$parser->YYNberr(); $parser->YYData->{DATA}= [ ‘Anything’, ‘You Want’ ]; $data=$parser->YYData->{DATA}[0]; Description Parse::Yapp (Yet Another Perl Parser compiler) is a collection of modules that let you generate and use yacc like thread…

ql/models/parameter.hpp – Model parameter classes. Synopsis #include <ql/qldefines.hpp> #include <ql/handle.hpp> #include <ql/math/optimization/constraint.hpp> #include <vector> Classes class Parameter Base class for model arguments. class Impl Base class for model parameter implementation. class ConstantParameter Standard constant parameter $ a(t) = a $. class NullParameter Parameter which is always zero $ a(t) = 0 $ class PiecewiseConstantParameter Piecewise-constant…

QuantLib::CubicInterpolation – Cubic interpolation between discrete points. Synopsis #include <ql/math/interpolations/cubicinterpolation.hpp> Inherits QuantLib::Interpolation. Inherited by MonotonicNaturalCubicInterpolation, and NaturalCubicInterpolation. Public Types enum DerivativeApprox { Spline, FourthOrder, Parabolic, ModifiedParabolic, FritschButland, Akima, Kruger } enum BoundaryCondition { NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange } Public Member Functions template<class I1 , class I2 > CubicInterpolation (const I1 &xBegin, const I1 &xEnd,…

ql/instruments/pagodaoption.hpp – Roofed Asian option on a number of assets. Synopsis #include <ql/instruments/multiassetoption.hpp> #include <ql/time/date.hpp> #include <vector> Classes class PagodaOption Roofed Asian option on a number of assets. class engine Pagoda-option engine base class Detailed Description Roofed Asian option on a number of assets. Author Generated automatically by Doxygen for QuantLib from the source code.