Linux Manuals session 3

QuantLib::AnalyticContinuousFixedLookbackEngine – Pricing engine for European continuous fixed-strike lookback. Synopsis#include <ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp> Inherits QuantLib::ContinuousFixedLookbackOption::engine. Public Member FunctionsAnalyticContinuousFixedLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed DescriptionPricing 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 literatureAuthorGenerated automatically by Doxygen…

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

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

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

ql/pricingengines/barrier/analyticbarrierengine.hpp – Analytic barrier option engines. Synopsis#include <ql/instruments/barrieroption.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/math/distributions/normaldistribution.hpp> Classesclass AnalyticBarrierEngine Pricing engine for barrier options using analytical formulae. Detailed DescriptionAnalytic barrier option engines. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/pricingengines/vanilla/analyticbsmhullwhiteengine.hpp – analytic Black-Scholes engines including stochastic interest rates Synopsis#include <ql/instruments/vanillaoption.hpp> #include <ql/pricingengines/genericmodelengine.hpp> #include <ql/models/shortrate/onefactormodels/hullwhite.hpp> #include <ql/processes/blackscholesprocess.hpp> Classesclass AnalyticBSMHullWhiteEngine analytic european option pricer including stochastic interest rates Detailed Descriptionanalytic Black-Scholes engines including stochastic interest rates AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::AmortizingFloatingRateBond – amortizing floating-rate bond (possibly capped and/or floored) Synopsis#include <ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsAmortizingFloatingRateBond (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< Spread >(1,…

QuantLib::AmortizingFixedRateBond – amortizing fixed-rate bond Synopsis#include <ql/experimental/amortizingbonds/amortizingfixedratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsAmortizingFixedRateBond (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 &startDate, const…

QuantLib::AmortizingCmsRateBond – amortizing CMS-rate bond Synopsis#include <ql/experimental/amortizingbonds/amortizingcmsratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsAmortizingCmsRateBond (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 std::vector< Rate…

QuantLib::AmericanPayoffAtHit – Analytic formula for American exercise payoff at-hit options. Synopsis#include <ql/pricingengines/americanpayoffathit.hpp> Public Member FunctionsAmericanPayoffAtHit (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 DescriptionAnalytic formula for American exercise payoff at-hit options. Possible…

QuantLib::AmericanPayoffAtExpiry – Analytic formula for American exercise payoff at-expiry options. Synopsis#include <ql/pricingengines/americanpayoffatexpiry.hpp> Public Member FunctionsAmericanPayoffAtExpiry (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff) Real value () const Detailed DescriptionAnalytic formula for American exercise payoff at-expiry options. Possible enhancements calculate greeksAuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::AmericanExercise – American exercise. Synopsis#include <ql/exercise.hpp> Inherits QuantLib::EarlyExercise. Public Member FunctionsAmericanExercise (const Date &earliestDate, const Date &latestDate, bool payoffAtExpiry=false) AmericanExercise (const Date &latestDate, bool payoffAtExpiry=false) Detailed DescriptionAmerican exercise. An American option can be exercised at any time between two predefined dates; the first date might be omitted, in which case the option can be exercised…

QuantLib::AmericanCondition – American exercise condition. Synopsis#include <ql/methods/finitedifferences/americancondition.hpp> Inherits CurveDependentStepCondition< Array >. Public Member FunctionsAmericanCondition (Option::Type type, Real strike) AmericanCondition (const Array &intrinsicValues) Detailed DescriptionAmerican exercise condition. Possible enhancements unify the intrinsicValues/Payoff thingAuthorGenerated automatically by Doxygen for QuantLib from the source code.

AllPlanes, BlackPixel, WhitePixel, ConnectionNumber, DefaultColormap, DefaultDepth, XListDepths, DefaultGC, DefaultRootWindow, DefaultScreenOfDisplay, DefaultScreen, DefaultVisual, DisplayCells, DisplayPlanes, DisplayString, XMaxRequestSize, XExtendedMaxRequestSize, LastKnownRequestProcessed, NextRequest, ProtocolVersion, ProtocolRevision, QLength, RootWindow, ScreenCount, ScreenOfDisplay, ServerVendor, VendorRelease – Display macros and functions Syntaxunsigned long AllPlanes; unsigned long BlackPixel(Display *display, int screen_number); unsigned long WhitePixel(Display *display, int screen_number); int ConnectionNumber(Display *display); Colormap DefaultColormap(Display *display, int screen_number);…

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

AdmBlackBoxModuleVector – Synopsis#include <blackbox.h> Public Attributesint abi_major_ver int abi_minor_ver int(* getBox )(AdmBlackBoxMethods **mod, void **data, AdmList *box_list, AdmError **error) Member Data Documentationint AdmBlackBoxModuleVector::abi_major_verint AdmBlackBoxModuleVector::abi_minor_verint(* AdmBlackBoxModuleVector::getBox)(AdmBlackBoxMethods **mod, void **data, AdmList *box_list, AdmError **error)AuthorGenerated automatically by Doxygen for Alchemist from the source code.

AdmBlackBoxMethods – Synopsis#include <blackbox.h> Public Attributesvoid(* free )(void *data) AdmContext *(* read )(void *data, AdmError **error) unsigned int(* listSerial )(void *data, unsigned int *array, unsigned int array_len, unsigned int top_serial, AdmError **error) AdmContext *(* readSerial )(void *data, unsigned int serial, AdmError **error) int(* write )(void *data, AdmContext *context, AdmError **error) Member Data Documentationvoid(* AdmBlackBoxMethods::free)(void *data)AdmContext*(*…

QuantLib::AdditiveEQPBinomialTree – Additive equal probabilities binomial tree. Synopsis#include <ql/methods/lattices/binomialtree.hpp> Inherits EqualProbabilitiesBinomialTree< AdditiveEQPBinomialTree >. Public Member FunctionsAdditiveEQPBinomialTree (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Detailed DescriptionAdditive equal probabilities binomial tree. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ActualActual – Actual/Actual day count. Synopsis#include <ql/time/daycounters/actualactual.hpp> Inherits QuantLib::DayCounter. Public Typesenum Convention { ISMA, Bond, ISDA, Historical, Actual365, AFB, Euro } Public Member FunctionsActualActual (Convention c=ActualActual::ISDA) Detailed DescriptionActual/Actual day count. The day count can be calculated according to: * the ISDA convention, also known as ‘Actual/Actual (Historical)’, ‘Actual/Actual’, ‘Act/Act’, and according to ISDA also ‘Actual/365’,…

QuantLib::AccountingEngine – Engine collecting cash flows along a market-model simulation. Synopsis#include <ql/models/marketmodels/accountingengine.hpp> Public Member FunctionsAccountingEngine (const boost::shared_ptr< MarketModelEvolver > &evolver, const Clone< MarketModelMultiProduct > &product, Real initialNumeraireValue) void multiplePathValues (SequenceStatisticsInc &stats, Size numberOfPaths) Detailed DescriptionEngine collecting cash flows along a market-model simulation. AuthorGenerated automatically by Doxygen for QuantLib from the source code.