Linux Manuals session 3

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 Functions void calculate () const Protected Types typedef 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,…

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 Types typedef 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 Functions MCPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool…

NAME 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> Classes class 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 Description Path-dependent European basket MC…

NAME 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> Classes class MCPagodaEngine< RNG, S > Pricing engine for pagoda options using Monte Carlo simulation. Detailed Description Monte Carlo engine for pagoda options. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME 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> Classes class MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S > Longstaff-Schwarz Monte Carlo engine for early exercise options. Detailed Description Longstaff Schwartz Monte Carlo engine for early exercise options. Author Generated 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 Types typedef simulation::path_generator_type path_generator_type typedef simulation::path_pricer_type path_pricer_type typedef simulation::stats_type stats_type Public Member Functions MCHullWhiteCapFloorEngine (const boost::shared_ptr< HullWhite > &model, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) void calculate () const…

NAME 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> Classes class MCEuropeanHestonEngine< RNG, S > Monte Carlo Heston-model engine for European options. class MakeMCEuropeanHestonEngine< RNG, S > Monte Carlo Heston European engine factory. Detailed Description Monte Carlo Heston-model engine for European options. Author Generated automatically by Doxygen for QuantLib…

NAME 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> Classes class MCEuropeanGJRGARCHEngine< RNG, S > Monte Carlo GJR-GARCH-model engine for European options. class MakeMCEuropeanGJRGARCHEngine< RNG, S > Monte Carlo GJR-GARCH European engine factory. Detailed Description Monte Carlo GJR-GARCH-model engine for European options. Author Generated automatically by Doxygen for QuantLib…

NAME 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> Classes class MCEuropeanEngine< RNG, S > European option pricing engine using Monte Carlo simulation. class MakeMCEuropeanEngine< RNG, S > Monte Carlo European engine factory. Detailed Description Monte Carlo European option engine. Author Generated automatically by Doxygen for QuantLib…

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 Types typedef 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 Functions MCDiscreteGeometricAPEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepPerYear, bool brownianBridge, bool antitheticVariate,…

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 Types typedef 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 Functions MCDiscreteAveragingAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process,…

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 Types typedef 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 Functions MCDiscreteArithmeticASEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real…

QuantLib::MCDiscreteArithmeticAPEngine – Monte Carlo pricing engine for discrete arithmetic average price Asian. Synopsis #include <ql/pricingengines/asian/mc_discr_arith_av_price.hpp> Inherits MCDiscreteAveragingAsianEngine< RNG, S >. Public Types typedef 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 Functions MCDiscreteArithmeticAPEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepPerYear, bool brownianBridge, bool antitheticVariate,…

NAME ql/pricingengines/vanilla/mcdigitalengine.hpp – digital option Monte Carlo engine SYNOPSIS #include <ql/exercise.hpp> #include <ql/termstructures/yieldtermstructure.hpp> #include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> #include <ql/methods/montecarlo/mctraits.hpp> #include <ql/pricingengines/vanilla/mcvanillaengine.hpp> #include <ql/processes/blackscholesprocess.hpp> Classes class MCDigitalEngine< RNG, S > Pricing engine for digital options using Monte Carlo simulation. class MakeMCDigitalEngine< RNG, S > Monte Carlo digital engine factory. Detailed Description digital option Monte Carlo engine Author Generated…

NAME ql/pricingengines/basket/mcbasketengine.hpp – European basket MC Engine. SYNOPSIS #include <ql/instruments/basketoption.hpp> #include <ql/pricingengines/mcsimulation.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/processes/stochasticprocessarray.hpp> #include <ql/exercise.hpp> Classes class MCBasketEngine< RNG, S > Pricing engine for basket options using Monte Carlo simulation. Detailed Description European basket MC Engine. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/pricingengines/barrier/mcbarrierengine.hpp – Monte Carlo barrier option engines. SYNOPSIS #include <ql/instruments/barrieroption.hpp> #include <ql/pricingengines/mcsimulation.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/exercise.hpp> Classes class MCBarrierEngine< RNG, S > Pricing engine for barrier options using Monte Carlo simulation. Detailed Description Monte Carlo barrier option engines. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/pricingengines/vanilla/mcamericanengine.hpp – American Monte Carlo engine. SYNOPSIS #include <ql/qldefines.hpp> #include <ql/payoff.hpp> #include <ql/exercise.hpp> #include <ql/methods/montecarlo/lsmbasissystem.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/pricingengines/mclongstaffschwartzengine.hpp> #include <ql/pricingengines/vanilla/mceuropeanengine.hpp> #include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp> Classes class MCAmericanEngine< RNG, S > American Monte Carlo engine. class MakeMCAmericanEngine< RNG, S > Monte Carlo American engine factory. Detailed Description American Monte Carlo engine. Author Generated automatically by Doxygen…

NAME ql/pricingengines/basket/mcamericanbasketengine.hpp – Least-square Monte Carlo engines. SYNOPSIS #include <ql/qldefines.hpp> #include <ql/instruments/basketoption.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/processes/stochasticprocessarray.hpp> #include <ql/methods/montecarlo/lsmbasissystem.hpp> #include <ql/pricingengines/mclongstaffschwartzengine.hpp> #include <ql/exercise.hpp> #include <boost/function.hpp> Classes class MCAmericanBasketEngine< RNG > least-square Monte Carlo engine Detailed Description Least-square Monte Carlo engines. Author Generated automatically by Doxygen for QuantLib from the source code. Index

MB_LEN_MAX – maximum multibyte length of a character across all locales Synopsis #include <limits.h> Description The MB_LEN_MAX macro is the maximum number of bytes needed to represent a single wide character, in any of the supported locales. Return Value A constant integer greater than zero. Conforming To POSIX.1-2001, POSIX.1-2008, C99. Notes The entities MB_LEN_MAX and…

MB_CUR_MAX – maximum length of a multibyte character in the current locale Synopsis #include <stdlib.h> Description The MB_CUR_MAX macro defines an integer expression giving the maximum number of bytes needed to represent a single wide character in the current locale. This value is locale dependent and therefore not a compile-time constant. Return Value An integer…