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QuantLib::BermudanExercise – Bermudan exercise. Synopsis#include <ql/exercise.hpp> Inherits QuantLib::EarlyExercise. Public Member FunctionsBermudanExercise (const std::vector< Date > &dates, bool payoffAtExpiry=false) Detailed DescriptionBermudan exercise. A Bermudan option can only be exercised at a set of fixed dates. Examples: BermudanSwaption.cpp, and EquityOption.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
ql/processes/batesprocess.hpp – Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size. Synopsis#include <ql/processes/hestonprocess.hpp> #include <ql/math/distributions/normaldistribution.hpp> Classesclass BatesProcess Square-root stochastic-volatility Bates process. Detailed DescriptionBates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::BatesModel – Bates stochastic-volatility model. Synopsis#include <ql/models/equity/batesmodel.hpp> Inherits QuantLib::HestonModel. Inherited by BatesDetJumpModel. Public Member FunctionsBatesModel (const boost::shared_ptr< HestonProcess > &process, Real lambda=0.1, Real nu=0.0, Real delta=0.1) Real nu () const Real delta () const Real lambda () const Detailed DescriptionBates stochastic-volatility model. extended versions of Heston model for the stochastic volatility of an asset including…
QuantLib::BatesEngine – Bates model engines based on Fourier transform. Synopsis#include <ql/pricingengines/vanilla/batesengine.hpp> Inherits QuantLib::AnalyticHestonEngine. Inherited by BatesDetJumpEngine. Public Member FunctionsBatesEngine (const boost::shared_ptr< BatesModel > &model, Size integrationOrder=144) BatesEngine (const boost::shared_ptr< BatesModel > &model, Real relTolerance, Size maxEvaluations) Protected Member Functionsstd::complex< Real > addOnTerm (Real phi, Time t, Size j) const Detailed DescriptionBates model engines based on…
ql/instruments/basketoption.hpp – Basket option on a number of assets. Synopsis#include <ql/instruments/payoffs.hpp> #include <ql/instruments/multiassetoption.hpp> #include <ql/math/array.hpp> Classesclass BasketOption Basket option on a number of assets. class engine Basket-option engine base class Detailed DescriptionBasket option on a number of assets. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
ql/experimental/credit/basket.hpp – basket of issuers and related notionals Synopsis#include <ql/default.hpp> #include <ql/issuer.hpp> #include <ql/termstructures/defaulttermstructure.hpp> #include <ql/experimental/credit/pool.hpp> #include <ql/experimental/credit/loss.hpp> Classesclass Basket Detailed Descriptionbasket of issuers and related notionals AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::Quantity – Amount of a commodity. Synopsis#include <ql/experimental/commodities/quantity.hpp> Public Member FunctionsConstructors Quantity () Quantity (const CommodityType &commodityType, const UnitOfMeasure &unitOfMeasure, Real amount) Inspectors const CommodityType & commodityType () const const UnitOfMeasure & unitOfMeasure () const Real amount () const Quantity rounded () const Quantity arithmetics See below for non-member functions and for settings which determine…
QuantLib::Money – amount of cash Synopsis#include <ql/money.hpp> Public Member FunctionsConstructors Money () Money (const Currency ¤cy, Decimal value) Money (Decimal value, const Currency ¤cy) Inspectors const Currency & currency () const Decimal value () const Money rounded () const Money arithmetics See below for non-member functions and for settings which determine the behavior of the…
ql/instruments/barrieroption.hpp – Barrier option on a single asset. Synopsis#include <ql/instruments/oneassetoption.hpp> #include <ql/instruments/barriertype.hpp> #include <ql/instruments/payoffs.hpp> Classesclass BarrierOption Barrier option on a single asset. class arguments Arguments for barrier option calculation class engine Barrier-option engine base class Detailed DescriptionBarrier option on a single asset. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::BaroneAdesiWhaleyApproximationEngine – Barone-Adesi and Whaley pricing engine for American options (1987). Synopsis#include <ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp> Inherits VanillaOption::engine. Public Member FunctionsBaroneAdesiWhaleyApproximationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Static Public Member Functionsstatic Real criticalPrice (const boost::shared_ptr< StrikedTypePayoff > &payoff, DiscountFactor riskFreeDiscount, DiscountFactor dividendDiscount, Real variance, Real tolerance=1e-6) Detailed DescriptionBarone-Adesi and Whaley pricing engine for American options…
ql/math/interpolations/backwardflatinterpolation.hpp – backward-flat interpolation between discrete points Synopsis#include <ql/math/interpolation.hpp> #include <vector> Classesclass BackwardFlatInterpolation Backward-flat interpolation between discrete points. class BackwardFlat Backward-flat interpolation factory and traits. Detailed Descriptionbackward-flat interpolation between discrete points AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::DateGeneration – Date-generation rule. Synopsis#include <ql/time/dategenerationrule.hpp> Public Typesenum Rule { Backward, Forward, Zero, ThirdWednesday, Twentieth, TwentiethIMM } Related Functions(Note that these are not member functions.) std::ostream & operator<< (std::ostream &, DateGeneration::Rule) Detailed DescriptionDate-generation rule. These conventions specify the rule used to generate dates in a Schedule. Member Enumeration Documentationenum RuleEnumerator: Backward Backward from termination date…
QuantLib::BSpline – B-spline basis functions. Synopsis#include <ql/math/bspline.hpp> Public Member FunctionsBSpline (Natural p, Natural n, const std::vector< Real > &knots) Real operator() (Natural i, Real x) const Detailed DescriptionB-spline basis functions. Follows treatment and notation from: Weisstein, Eric W. ‘B-Spline.’ From MathWorld–A Wolfram Web Resource. <http://mathworld.wolfram.com/B-Spline.html> $ (p+1) $-th order B-spline (or p degree polynomial) basis…
QuantLib::Slovakia – Slovak calendars. Synopsis#include <ql/time/calendars/slovakia.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { BSSE } Public Member FunctionsSlovakia (Market m=BSSE) Detailed DescriptionSlovak calendars. Holidays for the Bratislava stock exchange (data from <http://www.bsse.sk/>): * Saturdays * Sundays * New Year’s Day, January 1st * Epiphany, January 6th * Good Friday * Easter Monday * May Day, May…
ql/methods/finitedifferences/bsmtermoperator.hpp – differential operator for Black-Scholes-Merton equation Synopsis#include <ql/methods/finitedifferences/tridiagonaloperator.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/math/transformedgrid.hpp> #include <ql/methods/finitedifferences/pdebsm.hpp> Typedefstypedef PdeOperator< PdeBSM > BSMTermOperator Black-Scholes-Merton differential operator. Detailed Descriptiondifferential operator for Black-Scholes-Merton equation AuthorGenerated automatically by Doxygen for QuantLib from the source code.
ql/methods/finitedifferences/bsmoperator.hpp – differential operator for Black-Scholes-Merton equation Synopsis#include <ql/methods/finitedifferences/tridiagonaloperator.hpp> #include <ql/processes/blackscholesprocess.hpp> Classesclass BSMOperator Black-Scholes-Merton differential operator. Detailed Descriptiondifferential operator for Black-Scholes-Merton equation AuthorGenerated automatically by Doxygen for QuantLib from the source code.
ql/qldefines.hpp – Global definitions and compiler switches. Synopsis#include <boost/config.hpp> #include <boost/version.hpp> #include <ql/config.ansi.hpp> #include <cmath> #include <boost/limits.hpp> Defines#define BOOST_ENABLE_ASSERT_HANDLER #define QL_INTEGER int #define QL_BIG_INTEGER long #define QL_REAL double #define QL_VERSION ‘0.9.7’ version string #define QL_HEX_VERSION 0x000907f0 version hexadecimal number #define QL_LIB_VERSION ‘0_9_7’ version string for output lib name #define QL_MIN_INTEGER ((std::numeric_limits<QL_INTEGER>::min)()) #define QL_MAX_INTEGER ((std::numeric_limits<QL_INTEGER>::max)()) #define…
QuantLib::Mexico – Mexican calendars Synopsis#include <ql/time/calendars/mexico.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { BMV } Public Member FunctionsMexico (Market m=BMV) Detailed DescriptionMexican calendars Holidays for the Mexican stock exchange (data from <http://www.bmv.com.mx/>): * Saturdays * Sundays * New Year’s Day, January 1st * Constitution Day, February 5th * Birthday of Benito Juarez, March 21st * Holy…
QuantLib::BMASwapRateHelper – Rate helper for bootstrapping over BMA swap rates. Synopsis#include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member FunctionsBMASwapRateHelper (const Handle< Quote > &liborFraction, const Period &tenor, Natural settlementDays, const Calendar &calendar, const Period &bmaPeriod, BusinessDayConvention bmaConvention, const DayCounter &bmaDayCount, const boost::shared_ptr< BMAIndex > &bmaIndex, const boost::shared_ptr< IborIndex > &index) RateHelper interface Real impliedQuote () const void…
QuantLib::BMASwap – swap paying Libor against BMA coupons Synopsis#include <ql/instruments/bmaswap.hpp> Inherits QuantLib::Swap. Public Typesenum Type { Receiver = -1, Payer = 1 } Public Member FunctionsBMASwap (Type type, Real nominal, const Schedule &liborSchedule, Rate liborFraction, Rate liborSpread, const boost::shared_ptr< IborIndex > &liborIndex, const DayCounter &liborDayCount, const Schedule &bmaSchedule, const boost::shared_ptr< BMAIndex > &bmaIndex, const DayCounter…