Linux Manuals session 3

ql/pricingengines/vanilla/fddividendeuropeanengine.hpp – finite-differences engine for European option with dividends Synopsis#include <ql/instruments/dividendvanillaoption.hpp> #include <ql/pricingengines/vanilla/fddividendengine.hpp> Typedefstypedef FDEngineAdapter< FDDividendEngine, DividendVanillaOption::engine > FDDividendEuropeanEngine Finite-differences pricing engine for dividend European options. typedef FDEngineAdapter< FDDividendEngineMerton73, DividendVanillaOption::engine > FDDividendEuropeanEngineMerton73 typedef FDEngineAdapter< FDDividendEngineShiftScale, DividendVanillaOption::engine > FDDividendEuropeanEngineShiftScale Detailed Descriptionfinite-differences engine for European option with dividends AuthorGenerated automatically by Doxygen for QuantLib from the source…

ql/pricingengines/vanilla/fddividendeuropeanengine.hpp – finite-differences engine for European option with dividends Synopsis#include <ql/instruments/dividendvanillaoption.hpp> #include <ql/pricingengines/vanilla/fddividendengine.hpp> Typedefstypedef FDEngineAdapter< FDDividendEngine, DividendVanillaOption::engine > FDDividendEuropeanEngine Finite-differences pricing engine for dividend European options. typedef FDEngineAdapter< FDDividendEngineMerton73, DividendVanillaOption::engine > FDDividendEuropeanEngineMerton73 typedef FDEngineAdapter< FDDividendEngineShiftScale, DividendVanillaOption::engine > FDDividendEuropeanEngineShiftScale Detailed Descriptionfinite-differences engine for European option with dividends AuthorGenerated automatically by Doxygen for QuantLib from the source…

QuantLib::FDDividendEngineShiftScale – Finite-differences engine for dividend options using shifted dividends. Synopsis#include <ql/pricingengines/vanilla/fddividendengine.hpp> Inherits QuantLib::FDDividendEngineBase. Public Member FunctionsFDDividendEngineShiftScale (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Detailed DescriptionFinite-differences engine for dividend options using shifted dividends. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::FDDividendEngineMerton73 – Finite-differences pricing engine for dividend options using. Synopsis#include <ql/pricingengines/vanilla/fddividendengine.hpp> Inherits QuantLib::FDDividendEngineBase. Public Member FunctionsFDDividendEngineMerton73 (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Detailed DescriptionFinite-differences pricing engine for dividend options using. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::FDDividendEngineBase – Abstract base class for dividend engines. Synopsis#include <ql/pricingengines/vanilla/fddividendengine.hpp> Inherits QuantLib::FDMultiPeriodEngine. Inherited by FDDividendEngineMerton73, and FDDividendEngineShiftScale. Public Member FunctionsFDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Protected Member Functionsvirtual void setupArguments (const PricingEngine::arguments *) const void setGridLimits () const =0 void executeIntermediateStep (Size step) const =0 Real getDividendAmount (Size i)…

ql/pricingengines/vanilla/fddividendengine.hpp – base engine for option with dividends Synopsis#include <ql/pricingengines/vanilla/fdmultiperiodengine.hpp> #include <ql/cashflows/dividend.hpp> Classesclass FDDividendEngineBase Abstract base class for dividend engines. class FDDividendEngineMerton73 Finite-differences pricing engine for dividend options using. class FDDividendEngineShiftScale Finite-differences engine for dividend options using shifted dividends. Typedefstypedef FDDividendEngineMerton73 FDDividendEngine Detailed Descriptionbase engine for option with dividends AuthorGenerated automatically by Doxygen for QuantLib…

ql/pricingengines/vanilla/fddividendamericanengine.hpp – american engine with discrete deterministic dividends Synopsis#include <ql/instruments/dividendvanillaoption.hpp> #include <ql/pricingengines/vanilla/fddividendengine.hpp> #include <ql/pricingengines/vanilla/fdconditions.hpp> Typedefstypedef FDEngineAdapter< FDAmericanCondition< FDDividendEngine >, DividendVanillaOption::engine > FDDividendAmericanEngine Finite-differences pricing engine for dividend American options. typedef FDEngineAdapter< FDAmericanCondition< FDDividendEngineMerton73 >, DividendVanillaOption::engine > FDDividendAmericanEngineMerton73 typedef FDEngineAdapter< FDAmericanCondition< FDDividendEngineShiftScale >, DividendVanillaOption::engine > FDDividendAmericanEngineShiftScale Detailed Descriptionamerican engine with discrete deterministic dividends AuthorGenerated automatically by…

ql/pricingengines/vanilla/fddividendamericanengine.hpp – american engine with discrete deterministic dividends Synopsis#include <ql/instruments/dividendvanillaoption.hpp> #include <ql/pricingengines/vanilla/fddividendengine.hpp> #include <ql/pricingengines/vanilla/fdconditions.hpp> Typedefstypedef FDEngineAdapter< FDAmericanCondition< FDDividendEngine >, DividendVanillaOption::engine > FDDividendAmericanEngine Finite-differences pricing engine for dividend American options. typedef FDEngineAdapter< FDAmericanCondition< FDDividendEngineMerton73 >, DividendVanillaOption::engine > FDDividendAmericanEngineMerton73 typedef FDEngineAdapter< FDAmericanCondition< FDDividendEngineShiftScale >, DividendVanillaOption::engine > FDDividendAmericanEngineShiftScale Detailed Descriptionamerican engine with discrete deterministic dividends AuthorGenerated automatically by…

ql/pricingengines/vanilla/fddividendamericanengine.hpp – american engine with discrete deterministic dividends Synopsis#include <ql/instruments/dividendvanillaoption.hpp> #include <ql/pricingengines/vanilla/fddividendengine.hpp> #include <ql/pricingengines/vanilla/fdconditions.hpp> Typedefstypedef FDEngineAdapter< FDAmericanCondition< FDDividendEngine >, DividendVanillaOption::engine > FDDividendAmericanEngine Finite-differences pricing engine for dividend American options. typedef FDEngineAdapter< FDAmericanCondition< FDDividendEngineMerton73 >, DividendVanillaOption::engine > FDDividendAmericanEngineMerton73 typedef FDEngineAdapter< FDAmericanCondition< FDDividendEngineShiftScale >, DividendVanillaOption::engine > FDDividendAmericanEngineShiftScale Detailed Descriptionamerican engine with discrete deterministic dividends AuthorGenerated automatically by…

QuantLib::FDBermudanEngine – Finite-differences Bermudan engine. Synopsis#include <ql/pricingengines/vanilla/fdbermudanengine.hpp> Inherits VanillaOption::engine, and QuantLib::FDMultiPeriodEngine. Public Member FunctionsFDBermudanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) void calculate () const Protected Member Functionsvoid initializeStepCondition () const void executeIntermediateStep (Size) const Protected AttributesReal extraTermInBermudan Detailed DescriptionFinite-differences Bermudan engine. Examples: EquityOption.cpp. AuthorGenerated automatically by Doxygen for QuantLib from…

ql/pricingengines/vanilla/fdamericanengine.hpp – Finite-differences American option engine. Synopsis#include <ql/instruments/oneassetoption.hpp> #include <ql/pricingengines/vanilla/fdstepconditionengine.hpp> #include <ql/pricingengines/vanilla/fdconditions.hpp> #include <ql/methods/finitedifferences/fdtypedefs.hpp> Typedefstypedef FDEngineAdapter< FDAmericanCondition< FDStepConditionEngine >, OneAssetOption::engine > FDAmericanEngine Finite-differences pricing engine for American one asset options. Detailed DescriptionFinite-differences American option engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ExtendedTrigeorgis – Trigeorgis (additive equal jumps) binomial tree Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedEqualJumpsBinomialTree< ExtendedTrigeorgis >. Public Member FunctionsExtendedTrigeorgis (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Protected Member FunctionsReal dxStep (Time stepTime) const Real probUp (Time stepTime) const Detailed DescriptionTrigeorgis (additive equal jumps) binomial tree AuthorGenerated automatically by Doxygen for QuantLib from the…

QuantLib::ExtendedTian – Tian tree: third moment matching, multiplicative approach Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< ExtendedTian >. Public Member FunctionsExtendedTian (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Real underlying (Size i, Size index) const Real probability (Size, Size, Size branch) const Protected AttributesReal up_ Real down_ Real pu_ Real pd_ Detailed DescriptionTian tree:…

QuantLib::ExtendedLeisenReimer – Leisen & Reimer tree: multiplicative approach. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< ExtendedLeisenReimer >. Public Member FunctionsExtendedLeisenReimer (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Real underlying (Size i, Size index) const Real probability (Size, Size, Size branch) const Protected AttributesTime end_ Size oddSteps_ Real strike_ Real up_ Real down_ Real pu_…

QuantLib::ExtendedJarrowRudd – Jarrow-Rudd (multiplicative) equal probabilities binomial tree. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd >. Public Member FunctionsExtendedJarrowRudd (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Protected Member FunctionsReal upStep (Time stepTime) const Detailed DescriptionJarrow-Rudd (multiplicative) equal probabilities binomial tree. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ExtendedEqualProbabilitiesBinomialTree – Base class for equal probabilities binomial tree. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< T >. Public Member FunctionsExtendedEqualProbabilitiesBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) Real underlying (Size i, Size index) const Real probability (Size, Size, Size) const Protected Member Functionsvirtual Real upStep (Time stepTime) const =0 Protected AttributesReal up_ Detailed Descriptiontemplate<class T>…

QuantLib::ExtendedEqualJumpsBinomialTree – Base class for equal jumps binomial tree. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< T >. Public Member FunctionsExtendedEqualJumpsBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) Real underlying (Size i, Size index) const Real probability (Size i, Size, Size branch) const Protected Member Functionsvirtual Real probUp (Time stepTime) const =0 virtual Real dxStep (Time…

ql/legacy/termstructures/extendeddiscountcurve.hpp – discount factor structure with detailed compound-forward calculation Synopsis#include <ql/termstructures/yield/discountcurve.hpp> #include <map> Classesclass ExtendedDiscountCurve Term structure based on loglinear interpolation of discount factors. Detailed Descriptiondiscount factor structure with detailed compound-forward calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ExtendedCoxRossRubinstein – Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedEqualJumpsBinomialTree< ExtendedCoxRossRubinstein >. Public Member FunctionsExtendedCoxRossRubinstein (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Protected Member FunctionsReal dxStep (Time stepTime) const Real probUp (Time stepTime) const Detailed DescriptionCox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. AuthorGenerated automatically by Doxygen for QuantLib from the…

ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp – Extended Cox-Ingersoll-Ross model. Synopsis#include <ql/models/shortrate/onefactormodels/coxingersollross.hpp> Classesclass ExtendedCoxIngersollRoss Extended Cox-Ingersoll-Ross model class. class Dynamics Short-rate dynamics in the extended Cox-Ingersoll-Ross model. class FittingParameter Analytical term-structure fitting parameter $ iled Description" Detailed DescriptionExtended Cox-Ingersoll-Ross model. AuthorGenerated automatically by Doxygen for QuantLib from the source code.