Section 3: library functions
select, pselect, FD_CLR, FD_ISSET, FD_SET, FD_ZERO – synchronous I/O multiplexing Synopsis #include <sys/select.h> int select(int nfds, fd_set *readfds, fd_set *writefds, fd_set *exceptfds, struct timeval *timeout); void FD_CLR(int fd, fd_set *set); int FD_ISSET(int fd, fd_set *set); void FD_SET(int fd, fd_set *set); void FD_ZERO(fd_set *set); int pselect(int nfds, fd_set *readfds, fd_set *writefds, fd_set *exceptfds, const struct timespec…
select, pselect, FD_CLR, FD_ISSET, FD_SET, FD_ZERO – synchronous I/O multiplexing Synopsis #include <sys/select.h> int select(int nfds, fd_set *readfds, fd_set *writefds, fd_set *exceptfds, struct timeval *timeout); void FD_CLR(int fd, fd_set *set); int FD_ISSET(int fd, fd_set *set); void FD_SET(int fd, fd_set *set); void FD_ZERO(fd_set *set); int pselect(int nfds, fd_set *readfds, fd_set *writefds, fd_set *exceptfds, const struct timespec…
select, pselect, FD_CLR, FD_ISSET, FD_SET, FD_ZERO – synchronous I/O multiplexing Synopsis #include <sys/select.h> int select(int nfds, fd_set *readfds, fd_set *writefds, fd_set *exceptfds, struct timeval *timeout); void FD_CLR(int fd, fd_set *set); int FD_ISSET(int fd, fd_set *set); void FD_SET(int fd, fd_set *set); void FD_ZERO(fd_set *set); int pselect(int nfds, fd_set *readfds, fd_set *writefds, fd_set *exceptfds, const struct timespec…
select, pselect, FD_CLR, FD_ISSET, FD_SET, FD_ZERO – synchronous I/O multiplexing Synopsis #include <sys/select.h> int select(int nfds, fd_set *readfds, fd_set *writefds, fd_set *exceptfds, struct timeval *timeout); void FD_CLR(int fd, fd_set *set); int FD_ISSET(int fd, fd_set *set); void FD_SET(int fd, fd_set *set); void FD_ZERO(fd_set *set); int pselect(int nfds, fd_set *readfds, fd_set *writefds, fd_set *exceptfds, const struct timespec…
NAME ql/pricingengines/vanilla/fdvanillaengine.hpp – Finite-differences vanilla-option engine. SYNOPSIS #include <ql/pricingengine.hpp> #include <ql/methods/finitedifferences/tridiagonaloperator.hpp> #include <ql/methods/finitedifferences/boundarycondition.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/math/sampledcurve.hpp> #include <ql/payoff.hpp> Classes class FDVanillaEngine Finite-differences pricing engine for BSM one asset options. Detailed Description Finite-differences vanilla-option engine. Author Generated automatically by Doxygen for QuantLib from the source code. Index
NAME ql/pricingengines/vanilla/fdstepconditionengine.hpp – Finite-differences step-condition engine. SYNOPSIS #include <ql/pricingengines/vanilla/fdvanillaengine.hpp> #include <ql/methods/finitedifferences/fdtypedefs.hpp> #include <ql/methods/finitedifferences/boundarycondition.hpp> Classes class FDStepConditionEngine Finite-differences pricing engine for American-style vanilla options. Detailed Description Finite-differences step-condition engine. Author Generated automatically by Doxygen for QuantLib from the source code. Index
NAME ql/pricingengines/vanilla/fdshoutengine.hpp – Finite-differences shout engine. SYNOPSIS #include <ql/pricingengines/vanilla/fdstepconditionengine.hpp> #include <ql/pricingengines/vanilla/fdconditions.hpp> #include <ql/instruments/vanillaoption.hpp> Typedefs typedef FDEngineAdapter< FDShoutCondition< FDStepConditionEngine >, VanillaOption::engine > FDShoutEngine Finite-differences pricing engine for shout vanilla options. Detailed Description Finite-differences shout engine. Author Generated automatically by Doxygen for QuantLib from the source code. Index
NAME ql/pricingengines/vanilla/fdeuropeanengine.hpp – Finite-difference European engine. SYNOPSIS #include <ql/instruments/oneassetoption.hpp> #include <ql/pricingengines/vanilla/fdvanillaengine.hpp> #include <ql/math/sampledcurve.hpp> Classes class FDEuropeanEngine Pricing engine for European options using finite-differences. Detailed Description Finite-difference European engine. Author Generated automatically by Doxygen for QuantLib from the source code. Index
ql/pricingengines/vanilla/fddividendshoutengine.hpp – base class for shout engine with dividends Synopsis #include <ql/instruments/dividendvanillaoption.hpp> #include <ql/pricingengines/vanilla/fddividendengine.hpp> #include <ql/pricingengines/vanilla/fdconditions.hpp> #include <ql/methods/finitedifferences/shoutcondition.hpp> Typedefs typedef FDEngineAdapter< FDShoutCondition< FDDividendEngine >, DividendVanillaOption::engine > FDDividendShoutEngine Finite-differences shout engine with dividends. typedef FDEngineAdapter< FDShoutCondition< FDDividendEngineMerton73 >, DividendVanillaOption::engine > FDDividendShoutEngineMerton73 typedef FDEngineAdapter< FDShoutCondition< FDDividendEngineShiftScale >, DividendVanillaOption::engine > FDDividendShoutEngineShiftScale Detailed Description base class for shout engine…
ql/pricingengines/vanilla/fddividendshoutengine.hpp – base class for shout engine with dividends Synopsis #include <ql/instruments/dividendvanillaoption.hpp> #include <ql/pricingengines/vanilla/fddividendengine.hpp> #include <ql/pricingengines/vanilla/fdconditions.hpp> #include <ql/methods/finitedifferences/shoutcondition.hpp> Typedefs typedef FDEngineAdapter< FDShoutCondition< FDDividendEngine >, DividendVanillaOption::engine > FDDividendShoutEngine Finite-differences shout engine with dividends. typedef FDEngineAdapter< FDShoutCondition< FDDividendEngineMerton73 >, DividendVanillaOption::engine > FDDividendShoutEngineMerton73 typedef FDEngineAdapter< FDShoutCondition< FDDividendEngineShiftScale >, DividendVanillaOption::engine > FDDividendShoutEngineShiftScale Detailed Description base class for shout engine…
NAME ql/pricingengines/vanilla/fddividendshoutengine.hpp – base class for shout engine with dividends SYNOPSIS #include <ql/instruments/dividendvanillaoption.hpp> #include <ql/pricingengines/vanilla/fddividendengine.hpp> #include <ql/pricingengines/vanilla/fdconditions.hpp> #include <ql/methods/finitedifferences/shoutcondition.hpp> Typedefs typedef FDEngineAdapter< FDShoutCondition< FDDividendEngine >, DividendVanillaOption::engine > FDDividendShoutEngine Finite-differences shout engine with dividends. typedef FDEngineAdapter< FDShoutCondition< FDDividendEngineMerton73 >, DividendVanillaOption::engine > FDDividendShoutEngineMerton73 typedef FDEngineAdapter< FDShoutCondition< FDDividendEngineShiftScale >, DividendVanillaOption::engine > FDDividendShoutEngineShiftScale Detailed Description base class for shout…
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> Typedefs typedef 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 Description finite-differences engine for European option with dividends Author Generated automatically by Doxygen for…
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> Typedefs typedef 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 Description finite-differences engine for European option with dividends Author Generated automatically by Doxygen for…
NAME 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> Typedefs typedef 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 Description finite-differences engine for European option with dividends Author Generated automatically by Doxygen…
QuantLib::FDDividendEngineShiftScale – Finite-differences engine for dividend options using shifted dividends. Synopsis #include <ql/pricingengines/vanilla/fddividendengine.hpp> Inherits QuantLib::FDDividendEngineBase. Public Member Functions FDDividendEngineShiftScale (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Detailed Description Finite-differences engine for dividend options using shifted dividends. Author Generated 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 Functions FDDividendEngineMerton73 (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Detailed Description Finite-differences pricing engine for dividend options using. Author Generated 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 Functions FDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Protected Member Functions virtual void setupArguments (const PricingEngine::arguments *) const void setGridLimits () const =0 void executeIntermediateStep (Size step) const =0 Real…
NAME ql/pricingengines/vanilla/fddividendengine.hpp – base engine for option with dividends SYNOPSIS #include <ql/pricingengines/vanilla/fdmultiperiodengine.hpp> #include <ql/cashflows/dividend.hpp> Classes class 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. Typedefs typedef FDDividendEngineMerton73 FDDividendEngine Detailed Description base engine for option with dividends Author…
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> Typedefs typedef 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 Description american engine with discrete deterministic dividends…
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> Typedefs typedef 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 Description american engine with discrete deterministic dividends…