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NAME 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…

QuantLib::FDBermudanEngine – Finite-differences Bermudan engine. Synopsis #include <ql/pricingengines/vanilla/fdbermudanengine.hpp> Inherits VanillaOption::engine, and QuantLib::FDMultiPeriodEngine. Public Member Functions FDBermudanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) void calculate () const Protected Member Functions void initializeStepCondition () const void executeIntermediateStep (Size) const Protected Attributes Real extraTermInBermudan Detailed Description Finite-differences Bermudan engine. Examples: EquityOption.cpp. Author Generated…

NAME 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> Typedefs typedef FDEngineAdapter< FDAmericanCondition< FDStepConditionEngine >, OneAssetOption::engine > FDAmericanEngine Finite-differences pricing engine for American one asset options. Detailed Description Finite-differences American option engine. Author Generated automatically by Doxygen for QuantLib from the source code. Index

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

QuantLib::ExtendedTian – Tian tree: third moment matching, multiplicative approach Synopsis #include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< ExtendedTian >. Public Member Functions ExtendedTian (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 Attributes Real up_ Real down_ Real pu_ Real pd_…

QuantLib::ExtendedLeisenReimer – Leisen & Reimer tree: multiplicative approach. Synopsis #include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< ExtendedLeisenReimer >. Public Member Functions ExtendedLeisenReimer (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 Attributes Time end_ Size oddSteps_ Real strike_ Real up_ Real…

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

QuantLib::ExtendedEqualProbabilitiesBinomialTree – Base class for equal probabilities binomial tree. Synopsis #include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< T >. Public Member Functions ExtendedEqualProbabilitiesBinomialTree (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 Functions virtual Real upStep (Time stepTime) const =0 Protected Attributes Real…

QuantLib::ExtendedEqualJumpsBinomialTree – Base class for equal jumps binomial tree. Synopsis #include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< T >. Public Member Functions ExtendedEqualJumpsBinomialTree (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 Functions virtual Real probUp (Time stepTime) const =0 virtual…

NAME ql/legacy/termstructures/extendeddiscountcurve.hpp – discount factor structure with detailed compound-forward calculation SYNOPSIS #include <ql/termstructures/yield/discountcurve.hpp> #include <map> Classes class ExtendedDiscountCurve Term structure based on loglinear interpolation of discount factors. Detailed Description discount factor structure with detailed compound-forward calculation Author Generated automatically by Doxygen for QuantLib from the source code. Index

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

NAME ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp – Extended Cox-Ingersoll-Ross model. SYNOPSIS #include <ql/models/shortrate/onefactormodels/coxingersollross.hpp> Classes class 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 Description Extended Cox-Ingersoll-Ross model. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/experimental/volatility/extendedblackvariancesurface.hpp – Black volatility surface modelled as variance surface. SYNOPSIS #include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> #include <ql/math/matrix.hpp> #include <ql/math/interpolations/interpolation2d.hpp> #include <ql/handle.hpp> #include <ql/quote.hpp> Classes class ExtendedBlackVarianceSurface Black volatility surface modelled as variance surface. Detailed Description Black volatility surface modelled as variance surface. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/experimental/volatility/extendedblackvariancecurve.hpp – Black volatility curve modelled as variance curve. SYNOPSIS #include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> #include <ql/math/interpolation.hpp> #include <ql/handle.hpp> #include <ql/quote.hpp> Classes class ExtendedBlackVarianceCurve Black volatility curve modelled as variance curve. Detailed Description Black volatility curve modelled as variance curve. Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::ExtendedBlackScholesMertonProcess – experimental Black-Scholes-Merton stochastic process Synopsis #include <ql/experimental/processes/extendedblackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Types enum Discretization { Euler, Milstein, PredictorCorrector } Public Member Functions ExtendedBlackScholesMertonProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization), Discretization evolDisc=Milstein) Real…

NAME ql/experimental/lattices/extendedbinomialtree.hpp – Time-dependent binomial tree class. SYNOPSIS #include <ql/methods/lattices/tree.hpp> #include <ql/instruments/dividendschedule.hpp> #include <ql/stochasticprocess.hpp> Classes class ExtendedBinomialTree< T > Binomial tree base class. class ExtendedEqualProbabilitiesBinomialTree< T > Base class for equal probabilities binomial tree. class ExtendedEqualJumpsBinomialTree< T > Base class for equal jumps binomial tree. class ExtendedJarrowRudd Jarrow-Rudd (multiplicative) equal probabilities binomial tree. class ExtendedCoxRossRubinstein…

QuantLib::ExtendedAdditiveEQPBinomialTree – Additive equal probabilities binomial tree. Synopsis #include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedEqualProbabilitiesBinomialTree< ExtendedAdditiveEQPBinomialTree >. Public Member Functions ExtendedAdditiveEQPBinomialTree (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Protected Member Functions Real upStep (Time stepTime) const Detailed Description Additive equal probabilities binomial tree. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::ExponentialSplinesFitting – Exponential-splines fitting method. Synopsis #include <ql/termstructures/yield/nonlinearfittingmethods.hpp> Inherits QuantLib::FittedBondDiscountCurve::FittingMethod. Public Member Functions ExponentialSplinesFitting (bool constrainAtZero=true) std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const clone of the current object Detailed Description Exponential-splines fitting method. Fits a discount function to the exponential form [ d(t) = um_{i=1}^9 c_i

QuantLib::ExplicitEuler – Forward Euler scheme for finite difference methods Synopsis #include <ql/methods/finitedifferences/expliciteuler.hpp> Inherits MixedScheme< Operator >. Public Types typedef OperatorTraits< Operator > traits typedef traits::operator_type operator_type typedef traits::array_type array_type typedef traits::bc_type bc_type typedef traits::bc_set bc_set typedef traits::condition_type condition_type Public Member Functions ExplicitEuler (const operator_type &L, const std::vector< boost::shared_ptr< bc_type > > &bcs) Detailed Description template<class…

NAME exp, expf, expl – base-e exponential function SYNOPSIS #include <math.h> double exp(double x); float expf(float x); long double expl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): expf(), expl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION These functions return the value of e (the base of…