Linux Manuals session 3

QuantLib::MakeMCAmericanEngine – Monte Carlo American engine factory. Synopsis#include <ql/pricingengines/vanilla/mcamericanengine.hpp> Public Member FunctionsMakeMCAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) MakeMCAmericanEngine & withSteps (Size steps) MakeMCAmericanEngine & withStepsPerYear (Size steps) MakeMCAmericanEngine & withSamples (Size samples) MakeMCAmericanEngine & withTolerance (Real tolerance) MakeMCAmericanEngine & withMaxSamples (Size samples) MakeMCAmericanEngine & withSeed (BigNatural seed) MakeMCAmericanEngine & withAntitheticVariate (bool b=true) MakeMCAmericanEngine & withControlVariate…

QuantLib::MakeCms – helper class for instantiating CMS Synopsis#include <ql/instruments/makecms.hpp> Public Member FunctionsMakeCms (const Period &swapTenor, const boost::shared_ptr< SwapIndex > &swapIndex, const boost::shared_ptr< IborIndex > &iborIndex, Spread iborSpread=0.0, const Period &forwardStart=0 *Days) MakeCms (const Period &swapTenor, const boost::shared_ptr< SwapIndex > &swapIndex, Spread iborSpread=0.0, const Period &forwardStart=0 *Days) operator Swap () const operator boost::shared_ptr< Swap > ()…

QuantLib::MakeCapFloor – helper class Synopsis#include <ql/instruments/makecapfloor.hpp> Public Member FunctionsMakeCapFloor (CapFloor::Type capFloorType, const Period &capFloorTenor, const boost::shared_ptr< IborIndex > &iborIndex, Rate strike=Null< Rate >(), const Period &forwardStart=0 *Days) operator CapFloor () const operator boost::shared_ptr< CapFloor > () const MakeCapFloor & withNominal (Real n) MakeCapFloor & withEffectiveDate (const Date &effectiveDate, bool firstCapletExcluded) MakeCapFloor & withTenor (const Period…

QuantLib::HullWhiteForwardProcess – Forward Hull-White stochastic process Synopsis#include <ql/processes/hullwhiteprocess.hpp> Inherits QuantLib::ForwardMeasureProcess1D. Public Member FunctionsHullWhiteForwardProcess (const Handle< YieldTermStructure > &h, Real a, Real sigma) Real a () const Real sigma () const Real alpha (Time t) const Real M_T (Real s, Real t, Real T) const Real B (Time t, Time T) const StochasticProcess1D interface Real x0…

dsecndtst.f – SynopsisFunctions/Subroutinesprogram __dsecndtst.f__ DSECNDTST subroutine mysub (N, X, Y) Function/Subroutine Documentationprogram __dsecndtst.f__ ()DSECNDTST Author: Univ. of Tennessee Univ. of California Berkeley Univ. of Colorado Denver NAG Ltd. Date: November 2011 Definition at line 37 of file dsecndtst.f. subroutine mysub (integerN, double precision, dimension(n)X, double precision, dimension(n)Y)Definition at line 120 of file dsecndtst.f. AuthorGenerated automatically…

QuantLib::MTBrownianGenerator – Mersenne-twister Brownian generator for market-model simulations. Synopsis#include <ql/models/marketmodels/browniangenerators/mtbrowniangenerator.hpp> Inherits QuantLib::BrownianGenerator. Public Member FunctionsMTBrownianGenerator (Size factors, Size steps, unsigned long seed=0) Real nextStep (std::vector< Real > &) Real nextPath () Size numberOfFactors () const Size numberOfSteps () const Detailed DescriptionMersenne-twister Brownian generator for market-model simulations. Incremental Brownian generator using a Mersenne-twister uniform generator and…

MENU – Stores the entries of a menu. Allegro game programming library. Synopsis#include <allegro.h> typedef struct MENU Description char *text; – the text to display for the menu item int (*proc)(void); – called when the menu item is clicked struct MENU *child; – nested child menu int flags; – disabled or checked state void *dp;…

ql/pricingengines/forward/mcvarianceswapengine.hpp – Monte Carlo variance-swap engine. Synopsis#include <ql/pricingengines/mcsimulation.hpp> #include <ql/math/integrals/segmentintegral.hpp> #include <ql/instruments/varianceswap.hpp> #include <ql/processes/blackscholesprocess.hpp> Classesclass MCVarianceSwapEngine< RNG, S > Variance-swap pricing engine using Monte Carlo simulation,. class MakeMCVarianceSwapEngine< RNG, S > Monte Carlo variance-swap engine factory. Detailed DescriptionMonte Carlo variance-swap engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::MCVanillaEngine – Pricing engine for vanilla options using Monte Carlo simulation. Synopsis#include <ql/pricingengines/vanilla/mcvanillaengine.hpp> Inherits Inst::engine, and McSimulation< MC, RNG, S >. Public Member Functionsvoid calculate () const Protected Typestypedef McSimulation< MC, RNG, S >::path_generator_type path_generator_type typedef McSimulation< MC, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< MC, RNG, S >::stats_type stats_type typedef McSimulation< MC, RNG, S >::result_type…

QuantLib::MCPerformanceEngine – Pricing engine for performance options using Monte Carlo simulation. Synopsis#include <ql/pricingengines/cliquet/mcperformanceengine.hpp> Inherits QuantLib::CliquetOption::engine, and McSimulation< SingleVariate, RNG, S >. Public Typestypedef McSimulation< SingleVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< SingleVariate, RNG, S >::stats_type stats_type Public Member FunctionsMCPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool brownianBridge, bool antitheticVariate,…

ql/experimental/mcbasket/mcpathbasketengine.hpp – Path-dependent European basket MC engine. Synopsis#include <ql/experimental/mcbasket/pathmultiassetoption.hpp> #include <ql/experimental/mcbasket/pathpayoff.hpp> #include <ql/pricingengines/mcsimulation.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/processes/stochasticprocessarray.hpp> #include <ql/timegrid.hpp> Classesclass MCPathBasketEngine< RNG, S > Pricing engine for path dependent basket options using Monte Carlo simulation. class MakeMCPathBasketEngine< RNG, S > Monte Carlo Path Basket engine factory. Detailed DescriptionPath-dependent European basket MC engine. AuthorGenerated automatically by…

ql/pricingengines/basket/mcpagodaengine.hpp – Monte Carlo engine for pagoda options. Synopsis#include <ql/instruments/pagodaoption.hpp> #include <ql/pricingengines/mcsimulation.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/processes/stochasticprocessarray.hpp> #include <ql/exercise.hpp> Classesclass MCPagodaEngine< RNG, S > Pricing engine for pagoda options using Monte Carlo simulation. Detailed DescriptionMonte Carlo engine for pagoda options. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/pricingengines/mclongstaffschwartzengine.hpp – Longstaff Schwartz Monte Carlo engine for early exercise options. Synopsis#include <ql/pricingengines/mcsimulation.hpp> #include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp> Classesclass MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S > Longstaff-Schwarz Monte Carlo engine for early exercise options. Detailed DescriptionLongstaff Schwartz Monte Carlo engine for early exercise options. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::MCHullWhiteCapFloorEngine – Monte Carlo Hull-White engine for cap/floors. Synopsis#include <ql/pricingengines/capfloor/mchullwhiteengine.hpp> Inherits QuantLib::CapFloor::engine, and McSimulation< SingleVariate, RNG, S >. Public Typestypedef simulation::path_generator_type path_generator_type typedef simulation::path_pricer_type path_pricer_type typedef simulation::stats_type stats_type Public Member FunctionsMCHullWhiteCapFloorEngine (const boost::shared_ptr< HullWhite > &model, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) void calculate () const Protected Member Functionsboost::shared_ptr<…

ql/pricingengines/vanilla/mceuropeanhestonengine.hpp – Monte Carlo Heston-model engine for European options. Synopsis#include <ql/pricingengines/vanilla/mcvanillaengine.hpp> #include <ql/processes/hestonprocess.hpp> Classesclass MCEuropeanHestonEngine< RNG, S > Monte Carlo Heston-model engine for European options. class MakeMCEuropeanHestonEngine< RNG, S > Monte Carlo Heston European engine factory. Detailed DescriptionMonte Carlo Heston-model engine for European options. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp – Monte Carlo GJR-GARCH-model engine for European options. Synopsis#include <ql/pricingengines/vanilla/mcvanillaengine.hpp> #include <ql/processes/gjrgarchprocess.hpp> Classesclass MCEuropeanGJRGARCHEngine< RNG, S > Monte Carlo GJR-GARCH-model engine for European options. class MakeMCEuropeanGJRGARCHEngine< RNG, S > Monte Carlo GJR-GARCH European engine factory. Detailed DescriptionMonte Carlo GJR-GARCH-model engine for European options. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/pricingengines/vanilla/mceuropeanengine.hpp – Monte Carlo European option engine. Synopsis#include <ql/pricingengines/vanilla/mcvanillaengine.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp> #include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp> Classesclass MCEuropeanEngine< RNG, S > European option pricing engine using Monte Carlo simulation. class MakeMCEuropeanEngine< RNG, S > Monte Carlo European engine factory. Detailed DescriptionMonte Carlo European option engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::MCDiscreteGeometricAPEngine – Monte Carlo pricing engine for discrete geometric average price Asian. Synopsis#include <ql/pricingengines/asian/mc_discr_geom_av_price.hpp> Inherits MCDiscreteAveragingAsianEngine< RNG, S >. Public Typestypedef MCDiscreteAveragingAsianEngine< RNG, S >::path_generator_type path_generator_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_pricer_type path_pricer_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::stats_type stats_type Public Member FunctionsMCDiscreteGeometricAPEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size…

QuantLib::MCDiscreteAveragingAsianEngine – Pricing engine for discrete average Asians using Monte Carlo simulation. Synopsis#include <ql/pricingengines/asian/mcdiscreteasianengine.hpp> Inherits QuantLib::DiscreteAveragingAsianOption::engine, and McSimulation< SingleVariate, RNG, S >. Public Typestypedef McSimulation< SingleVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< SingleVariate, RNG, S >::stats_type stats_type Public Member FunctionsMCDiscreteAveragingAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepsPerYear, bool…

QuantLib::MCDiscreteArithmeticASEngine – Monte Carlo pricing engine for discrete arithmetic average-strike Asian. Synopsis#include <ql/pricingengines/asian/mc_discr_arith_av_strike.hpp> Inherits MCDiscreteAveragingAsianEngine< RNG, S >. Public Typestypedef MCDiscreteAveragingAsianEngine< RNG, S >::path_generator_type path_generator_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_pricer_type path_pricer_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::stats_type stats_type Public Member FunctionsMCDiscreteArithmeticASEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples,…