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NAME ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp – Analytic discrete-dividend European engine. SYNOPSIS #include <ql/instruments/dividendvanillaoption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classes class AnalyticDividendEuropeanEngine Analytic pricing engine for European options with discrete dividends. Detailed Description Analytic discrete-dividend European engine. Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::AnalyticDiscreteGeometricAveragePriceAsianEngine – Pricing engine for European discrete geometric average price Asian. Synopsis #include <ql/pricingengines/asian/analytic_discr_geom_av_price.hpp> Inherits QuantLib::DiscreteAveragingAsianOption::engine. Public Member Functions AnalyticDiscreteGeometricAveragePriceAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed Description Pricing engine for European discrete geometric average price Asian. This class implements a discrete geometric average price Asian option, with European exercise. The formula…

NAME ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp – analytic digital American option engine SYNOPSIS #include <ql/instruments/vanillaoption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classes class AnalyticDigitalAmericanEngine Analytic pricing engine for American vanilla options with digital payoff. Detailed Description analytic digital American option engine Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::AnalyticContinuousGeometricAveragePriceAsianEngine – Pricing engine for European continuous geometric average price Asian. Synopsis #include <ql/pricingengines/asian/analytic_cont_geom_av_price.hpp> Inherits QuantLib::ContinuousAveragingAsianOption::engine. Public Member Functions AnalyticContinuousGeometricAveragePriceAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed Description Pricing engine for European continuous geometric average price Asian. This class implements a continuous geometric average price Asian option with European exercise. The formula…

QuantLib::AnalyticContinuousFloatingLookbackEngine – Pricing engine for European continuous floating-strike lookback. Synopsis #include <ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp> Inherits QuantLib::ContinuousFloatingLookbackOption::engine. Public Member Functions AnalyticContinuousFloatingLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed Description Pricing engine for European continuous floating-strike lookback. Formula from ‘Option Pricing Formulas’, E.G. Haug, McGraw-Hill, 1998, p.61-62 Tests returned values verified against results from literature Author…

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

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

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

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

NAME 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> Classes class AnalyticBarrierEngine Pricing engine for barrier options using analytical formulae. Detailed Description Analytic barrier option engines. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME 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> Classes class AnalyticBSMHullWhiteEngine analytic european option pricer including stochastic interest rates Detailed Description analytic Black-Scholes engines including stochastic interest rates Author Generated automatically by Doxygen for QuantLib from the source code. Index

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

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

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

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

QuantLib::AmericanPayoffAtExpiry – Analytic formula for American exercise payoff at-expiry options. Synopsis #include <ql/pricingengines/americanpayoffatexpiry.hpp> Public Member Functions AmericanPayoffAtExpiry (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff) Real value () const Detailed Description Analytic formula for American exercise payoff at-expiry options. Possible enhancements calculate greeks Author Generated automatically by Doxygen for QuantLib…

QuantLib::AmericanExercise – American exercise. Synopsis #include <ql/exercise.hpp> Inherits QuantLib::EarlyExercise. Public Member Functions AmericanExercise (const Date &earliestDate, const Date &latestDate, bool payoffAtExpiry=false) AmericanExercise (const Date &latestDate, bool payoffAtExpiry=false) Detailed Description American 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…

QuantLib::AmericanCondition – American exercise condition. Synopsis #include <ql/methods/finitedifferences/americancondition.hpp> Inherits CurveDependentStepCondition< Array >. Public Member Functions AmericanCondition (Option::Type type, Real strike) AmericanCondition (const Array &intrinsicValues) Detailed Description American exercise condition. Possible enhancements unify the intrinsicValues/Payoff thing Author Generated 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 Syntax unsigned 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…

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