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QuantLib::BlackVolTermStructure – Black-volatility term structure. Synopsis#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by BlackVarianceTermStructure, and BlackVolatilityTermStructure. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. BlackVolTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference date BlackVolTermStructure…

QuantLib::BlackVarianceCurve – Black volatility curve modelled as variance curve. Synopsis#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp> Inherits QuantLib::BlackVarianceTermStructure. Public Member FunctionsBlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &blackVolCurve, const DayCounter &dayCounter, bool forceMonotoneVariance=true) TermStructure interface DayCounter dayCounter () const the day counter used for date/time conversion Date maxDate () const the latest date for…

QuantLib::CallableBondVolatilityStructure – Callable-bond volatility structure. Synopsis#include <ql/experimental/callablebonds/callablebondvolstructure.hpp> Inherits QuantLib::TermStructure. Inherited by CallableBondConstantVolatility. Public Member Functionsvirtual std::pair< Time, Time > convertDates (const Date &optionDate, const Period &bondTenor) const implements the conversion between dates and times virtual BusinessDayConvention businessDayConvention () const the business day convention used for option date calculation Date optionDateFromTenor (const Period &optionTenor) const implements…

ql/pricingengines/greeks.hpp – default greek calculations Synopsis#include <ql/processes/blackscholesprocess.hpp> FunctionsReal blackScholesTheta (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Real value, Real delta, Real gamma) default theta calculation for Black-Scholes options Real defaultThetaPerDay (Real theta) default theta-per-day calculation Detailed Descriptiondefault greek calculations AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::CalibrationHelper – liquid market instrument used during calibration Synopsis#include <ql/models/calibrationhelper.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by CapHelper, HestonModelHelper, and SwaptionHelper. Public Member FunctionsCalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) void update () Real marketValue () const returns the actual price of the instrument (from volatility) virtual Real modelValue ()…

QuantLib::BlackVolTermStructure – Black-volatility term structure. Synopsis#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by BlackVarianceTermStructure, and BlackVolatilityTermStructure. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. BlackVolTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference date BlackVolTermStructure…

QuantLib::BlackVolTermStructure – Black-volatility term structure. Synopsis#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by BlackVarianceTermStructure, and BlackVolatilityTermStructure. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. BlackVolTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference date BlackVolTermStructure…

QuantLib::CallableBond – Callable bond base class. Synopsis#include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::Bond. Inherited by CallableFixedRateBond. Classesclass engine base class for callable fixed rate bond engine class results results for a callable bond calculation Public Member Functionsvirtual void setupArguments (PricingEngine::arguments *args) const Inspectors const CallabilitySchedule & callability () const return the bond’s put/call schedule Calculations Volatility impliedVolatility (Real…

QuantLib::CallableBond – Callable bond base class. Synopsis#include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::Bond. Inherited by CallableFixedRateBond. Classesclass engine base class for callable fixed rate bond engine class results results for a callable bond calculation Public Member Functionsvirtual void setupArguments (PricingEngine::arguments *args) const Inspectors const CallabilitySchedule & callability () const return the bond’s put/call schedule Calculations Volatility impliedVolatility (Real…

ql/pricingengines/vanilla/bjerksundstenslandengine.hpp – Bjerksund and Stensland approximation engine. Synopsis#include <ql/instruments/vanillaoption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classesclass BjerksundStenslandApproximationEngine Bjerksund and Stensland pricing engine for American options (1993). Detailed DescriptionBjerksund and Stensland approximation engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/math/distributions/bivariatenormaldistribution.hpp – bivariate cumulative normal distribution Synopsis#include <ql/math/distributions/normaldistribution.hpp> Classesclass BivariateCumulativeNormalDistributionDr78 Cumulative bivariate normal distribution function. class BivariateCumulativeNormalDistributionWe04DP Cumulative bivariate normal distibution function (West 2004). Typedefstypedef BivariateCumulativeNormalDistributionWe04DP BivariateCumulativeNormalDistribution default bivariate implementation Detailed Descriptionbivariate cumulative normal distribution AuthorGenerated automatically by Doxygen for QuantLib from the source code.

bit_alloc bit_clear bit_decl bit_ffs bit_nclear bit_nset bit_set bitstr_size bit_test – bit-string manipulation macros SynopsisIn bsd/bitstring.h Ft bitstr_t * Fn bit_alloc int nbits Ft void Fn bit_decl bitstr_t *name int nbits Ft void Fn bit_clear bitstr_t *name int bit Ft void Fn bit_ffc bitstr_t *name int nbits int *value Ft void Fn bit_ffs bitstr_t *name int…

bitmap_mask_color – Returns the mask color of the specified bitmap. Allegro game programming library. Synopsis#include <allegro.h> int bitmap_mask_color(BITMAP *bmp); DescriptionReturns the mask color for the specified bitmap (the value which is skipped when drawing sprites). For 256-color bitmaps this is zero, and for truecolor bitmaps it is bright pink (maximum red and blue, zero green)….

bitmap_color_depth – Returns the color depth of the specified bitmap. Allegro game programming library. Synopsis#include <allegro.h> int bitmap_color_depth(BITMAP *bmp); DescriptionReturns the color depth of the specified bitmap (8, 15, 16, 24, or 32). Example: switch (bitmap_color_depth(screen)) { case 8: /* Access screen using optimized 8-bit code. */ break; default: /* Use generic slow functions. */…

bin_search, copyfile, replace_line, insert_line – general purpose functions for performing a binary search Synopsischar *bin_search(char *key, FILE *fp); void copyfile(FILE *fromfp, FILE *tofp); char *replace_line(char *new_line, char *key, FILE *fp); char *insert_line(char *new_line, char *key, FILE *fp); DescriptionThe WordNet library contains several general purpose functions for performing a binary search and modifying sorted files. bin_search()…

QuantLib::Histogram – Histogram class. Synopsis#include <ql/math/statistics/histogram.hpp> Public Typesenum Algorithm { None, Sturges, FD, Scott } Public Member Functionsconstructors Histogram () template<class T > Histogram (T data_begin, T data_end, Size breaks) template<class T > Histogram (T data_begin, T data_end, Algorithm algorithm) template<class T , class U > Histogram (T data_begin, T data_end, U breaks_begin, U breaks_end)…

ql/pricingengines/vanilla/binomialengine.hpp – Binomial option engine. Synopsis#include <ql/methods/lattices/binomialtree.hpp> #include <ql/methods/lattices/bsmlattice.hpp> #include <ql/math/distributions/normaldistribution.hpp> #include <ql/pricingengines/vanilla/discretizedvanillaoption.hpp> #include <ql/pricingengines/greeks.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/termstructures/yield/flatforward.hpp> #include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp> Classesclass BinomialVanillaEngine< T > Pricing engine for vanilla options using binomial trees. Detailed DescriptionBinomial option engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::LossDist – Probability formulas and algorithms. Synopsis#include <ql/experimental/credit/lossdistribution.hpp> Inherited by LossDistBinomial, LossDistBucketing, LossDistHomogeneous, and LossDistMonteCarlo. Public Member Functionsvirtual Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const =0 virtual Size buckets () const =0 virtual Real maximum () const =0 Static Public Member Functionsstatic Real binomialProbabilityOfNEvents (int n, std::vector< Real >…

QuantLib::LossDist – Probability formulas and algorithms. Synopsis#include <ql/experimental/credit/lossdistribution.hpp> Inherited by LossDistBinomial, LossDistBucketing, LossDistHomogeneous, and LossDistMonteCarlo. Public Member Functionsvirtual Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const =0 virtual Size buckets () const =0 virtual Real maximum () const =0 Static Public Member Functionsstatic Real binomialProbabilityOfNEvents (int n, std::vector< Real >…

ql/math/distributions/binomialdistribution.hpp – Binomial distribution. Synopsis#include <ql/math/factorial.hpp> #include <ql/math/beta.hpp> Classesclass BinomialDistribution Binomial probability distribution function. class CumulativeBinomialDistribution Cumulative binomial distribution function. FunctionsReal binomialCoefficientLn (BigNatural n, BigNatural k) Real binomialCoefficient (BigNatural n, BigNatural k) Real PeizerPrattMethod2Inversion (Real z, BigNatural n) Detailed DescriptionBinomial distribution. AuthorGenerated automatically by Doxygen for QuantLib from the source code.