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NAME ql/math/statistics/gaussianstatistics.hpp – statistics tool for gaussian-assumption risk measures SYNOPSIS #include <ql/math/distributions/normaldistribution.hpp> #include <ql/math/statistics/generalstatistics.hpp> Classes class GenericGaussianStatistics< Stat > Statistics tool for gaussian-assumption risk measures. class StatsHolder Helper class for precomputed distributions. Typedefs typedef GenericGaussianStatistics< GeneralStatistics > GaussianStatistics default gaussian statistic tool Detailed Description statistics tool for gaussian-assumption risk measures Author Generated automatically by Doxygen…

QuantLib::GaussianRandomDefaultModel – Synopsis #include <ql/experimental/credit/randomdefaultmodel.hpp> Inherits QuantLib::RandomDefaultModel. Public Member Functions GaussianRandomDefaultModel (boost::shared_ptr< Pool > pool, Handle< OneFactorCopula > copula, Real accuracy, long seed) void nextSequence (Real tmax=QL_MAX_REAL) Detailed Description Random default times using a one-factor Gaussian copula. Member Function Documentation void nextSequence (Real tmax = QL_MAX_REAL) [virtual] Generate a sequence of random default times, one…

QuantLib::GaussianQuadrature – Integral of a 1-dimensional function using the Gauss quadratures method. Synopsis #include <ql/math/integrals/gaussianquadratures.hpp> Inherited by GaussChebyshev2thIntegration, GaussChebyshevIntegration, GaussGegenbauerIntegration, GaussHermiteIntegration, GaussHyperbolicIntegration, GaussJacobiIntegration, GaussLaguerreIntegration, and GaussLegendreIntegration. Public Member Functions GaussianQuadrature (Size n, const GaussianOrthogonalPolynomial &p) template<class F > Real operator() (const F &f) const Size order () const Detailed Description Integral of a 1-dimensional function…

QuantLib::GaussianLHPCDOEngine – Synopsis #include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits CDOEngine. Public Member Functions GaussianLHPCDOEngine (const Handle< OneFactorCopula > copula, Period stepSize=1 *Days) Detailed Description template<class CDOEngine> class QuantLib::GaussianLHPCDOEngine< CDOEngine > CDO engine with analytical expected tranche loss for a large homogeneous pool with Gaussian one-factor copula. See for example ‘The Normal Inverse Gaussian Distribution for Synthetic CDO pricing.’,…

ql/math/distributions/normaldistribution.hpp – normal, cumulative and inverse cumulative distributions Synopsis #include <ql/math/errorfunction.hpp> #include <ql/errors.hpp> Classes class NormalDistribution Normal distribution function. class CumulativeNormalDistribution Cumulative normal distribution function. class InverseCumulativeNormal Inverse cumulative normal distribution function. class MoroInverseCumulativeNormal Moro Inverse cumulative normal distribution class. Typedefs typedef NormalDistribution GaussianDistribution typedef InverseCumulativeNormal InvCumulativeNormalDistribution Detailed Description normal, cumulative and inverse cumulative distributions…

NAME ql/math/integrals/gausslobattointegral.hpp – integral of a one-dimensional function using the adaptive Gauss-Lobatto integral SYNOPSIS #include <ql/errors.hpp> #include <ql/utilities/null.hpp> #include <ql/math/integrals/integral.hpp> Classes class GaussLobattoIntegral Integral of a one-dimensional function. Detailed Description integral of a one-dimensional function using the adaptive Gauss-Lobatto integral Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::GaussLegendreIntegration – Gauss-Legendre integration. Synopsis #include <ql/math/integrals/gaussianquadratures.hpp> Inherits QuantLib::GaussianQuadrature. Public Member Functions GaussLegendreIntegration (Size n) Detailed Description Gauss-Legendre integration. This class performs a 1-dimensional Gauss-Legendre integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [ w(x)=1 ] Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::GaussLaguerrePolynomial – Gauss-Laguerre polynomial. Synopsis #include <ql/math/integrals/gaussianorthogonalpolynomial.hpp> Inherits QuantLib::GaussianOrthogonalPolynomial. Public Member Functions GaussLaguerrePolynomial (Real s=0.0) Real mu_0 () const Real alpha (Size i) const Real beta (Size i) const Real w (Real x) const Detailed Description Gauss-Laguerre polynomial. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::GaussLaguerreIntegration – generalized Gauss-Laguerre integration Synopsis #include <ql/math/integrals/gaussianquadratures.hpp> Inherits QuantLib::GaussianQuadrature. Public Member Functions GaussLaguerreIntegration (Size n, Real s=0.0) Detailed Description generalized Gauss-Laguerre integration This class performs a 1-dimensional Gauss-Laguerre integration. [ int_{0}^{inf} f(x) mathrm{d}x ] The weighting function is [ w(x;s)=x^s

QuantLib::GaussKronrodNonAdaptive – Integral of a 1-dimensional function using the Gauss-Kronrod methods. Synopsis #include <ql/math/integrals/kronrodintegral.hpp> Inherits QuantLib::Integrator. Public Member Functions GaussKronrodNonAdaptive (Real absoluteAccuracy, Size maxEvaluations, Real relativeAccuracy) void setRelativeAccuracy (Real) Real relativeAccuracy () const Protected Member Functions Real integrate (const boost::function< Real(Real)> &f, Real a, Real b) const Detailed Description Integral of a 1-dimensional function using…

QuantLib::GaussKronrodAdaptive – Integral of a 1-dimensional function using the Gauss-Kronrod methods. Synopsis #include <ql/math/integrals/kronrodintegral.hpp> Inherits QuantLib::Integrator. Public Member Functions GaussKronrodAdaptive (Real tolerance, Size maxFunctionEvaluations=Null< Size >()) Protected Member Functions Real integrate (const boost::function< Real(Real)> &f, Real a, Real b) const Detailed Description Integral of a 1-dimensional function using the Gauss-Kronrod methods. This class provide an…

QuantLib::GaussJacobiPolynomial – Gauss-Jacobi polynomial. Synopsis #include <ql/math/integrals/gaussianorthogonalpolynomial.hpp> Inherits QuantLib::GaussianOrthogonalPolynomial. Inherited by GaussChebyshev2thPolynomial, GaussChebyshevPolynomial, GaussGegenbauerPolynomial, and GaussLegendrePolynomial. Public Member Functions GaussJacobiPolynomial (Real alpha, Real beta) Real mu_0 () const Real alpha (Size i) const Real beta (Size i) const Real w (Real x) const Detailed Description Gauss-Jacobi polynomial. Author Generated automatically by Doxygen for QuantLib from…

QuantLib::GaussHyperbolicIntegration – Gauss-Hyperbolic integration. Synopsis #include <ql/math/integrals/gaussianquadratures.hpp> Inherits QuantLib::GaussianQuadrature. Public Member Functions GaussHyperbolicIntegration (Size n) Detailed Description Gauss-Hyperbolic integration. This class performs a 1-dimensional Gauss-Hyperbolic integration. [ int_{-inf}^{inf} f(x) mathrm{d}x ] The weighting function is [ w(x)=1/cosh(x) ] Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::GaussHermitePolynomial – Gauss-Hermite polynomial. Synopsis #include <ql/math/integrals/gaussianorthogonalpolynomial.hpp> Inherits QuantLib::GaussianOrthogonalPolynomial. Public Member Functions GaussHermitePolynomial (Real mu=0.0) Real mu_0 () const Real alpha (Size i) const Real beta (Size i) const Real w (Real x) const Detailed Description Gauss-Hermite polynomial. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::GaussHermiteIntegration – generalized Gauss-Hermite integration Synopsis #include <ql/math/integrals/gaussianquadratures.hpp> Inherits QuantLib::GaussianQuadrature. Public Member Functions GaussHermiteIntegration (Size n, Real mu=0.0) Detailed Description generalized Gauss-Hermite integration This class performs a 1-dimensional Gauss-Hermite integration. [ int_{-inf}^{inf} f(x) mathrm{d}x ] The weighting function is [ w(x;mu)=|x|^{2mu}

QuantLib::GaussGegenbauerIntegration – Gauss-Gegenbauer integration. Synopsis #include <ql/math/integrals/gaussianquadratures.hpp> Inherits QuantLib::GaussianQuadrature. Public Member Functions GaussGegenbauerIntegration (Size n, Real lambda) Detailed Description Gauss-Gegenbauer integration. This class performs a 1-dimensional Gauss-Gegenbauer integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [ w(x)=(1-x^2)^{ -1/2} ] Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::GaussChebyshevIntegration – Gauss-Chebyshev integration. Synopsis #include <ql/math/integrals/gaussianquadratures.hpp> Inherits QuantLib::GaussianQuadrature. Public Member Functions GaussChebyshevIntegration (Size n) Detailed Description Gauss-Chebyshev integration. This class performs a 1-dimensional Gauss-Chebyshev integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [ w(x)=(1-x^2)^{-1/2} ] Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::GaussChebyshev2thIntegration – Gauss-Chebyshev integration (second kind). Synopsis #include <ql/math/integrals/gaussianquadratures.hpp> Inherits QuantLib::GaussianQuadrature. Public Member Functions GaussChebyshev2thIntegration (Size n) Detailed Description Gauss-Chebyshev integration (second kind). This class performs a 1-dimensional Gauss-Chebyshev integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [ w(x)=(1-x^2)^{1/2} ] Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::GarmanKohlagenProcess – Garman-Kohlhagen (1983) stochastic process. Synopsis #include <ql/processes/blackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Member Functions GarmanKohlagenProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &foreignRiskFreeTS, const Handle< YieldTermStructure > &domesticRiskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) Detailed Description Garman-Kohlhagen (1983) stochastic process. This class describes the stochastic process…

QuantLib::GarmanKlassAbstract – Garman-Klass volatility model. Synopsis #include <ql/models/volatility/garmanklass.hpp> Inherits QuantLib::LocalVolatilityEstimator<IntervalPrice>. Inherited by GarmanKlassSigma4, GarmanKlassSigma5, GarmanKlassSimpleSigma, and ParkinsonSigma. Public Member Functions GarmanKlassAbstract (Real y) TimeSeries< Volatility > calculate (const TimeSeries< IntervalPrice > &quoteSeries) Protected Member Functions virtual Real calculatePoint (const IntervalPrice &p)=0 Protected Attributes Real yearFraction_ Detailed Description Garman-Klass volatility model. This class implements a concrete…