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QuantLib::FittedBondDiscountCurve::FittingMethod – Base fitting method used to construct a fitted bond discount curve. Synopsis#include <ql/termstructures/yield/fittedbonddiscountcurve.hpp> Inherited by CubicBSplinesFitting, ExponentialSplinesFitting, NelsonSiegelFitting, and SimplePolynomialFitting. Public Member Functionsvirtual Size size () const =0 total number of coefficients to fit/solve for Array solution () const output array of results of optimization problem Integer numberOfIterations () const final number of…

QuantLib::FittedBondDiscountCurve – Discount curve fitted to a set of fixed-coupon bonds. Synopsis#include <ql/termstructures/yield/fittedbonddiscountcurve.hpp> Inherits QuantLib::YieldTermStructure, and QuantLib::LazyObject. Classesclass FittingMethod Base fitting method used to construct a fitted bond discount curve. Public Member FunctionsConstructors FittedBondDiscountCurve (Natural settlementDays, const Calendar &calendar, const std::vector< boost::shared_ptr< FixedRateBondHelper > > &instruments, const DayCounter &dayCounter, const FittingMethod &fittingMethod, Real accuracy=1.0e-10, Size…

QuantLib::Finland – Finnish calendar. Synopsis#include <ql/time/calendars/finland.hpp> Inherits QuantLib::Calendar. Detailed DescriptionFinnish calendar. Holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Epiphany, January 6th * Good Friday * Easter Monday * Ascension Thursday * Labour Day, May 1st * Midsummer Eve (Friday between June 18-24) * Independence Day, December 6th * Christmas Eve,…

QuantLib::FiniteDifferenceModel – Generic finite difference model. Synopsis#include <ql/methods/finitedifferences/finitedifferencemodel.hpp> Public Typestypedef Evolver::traits traits typedef traits::operator_type operator_type typedef traits::array_type array_type typedef traits::bc_set bc_set typedef traits::condition_type condition_type Public Member FunctionsFiniteDifferenceModel (const operator_type &L, const bc_set &bcs, const std::vector< Time > &stoppingTimes=std::vector< Time >()) FiniteDifferenceModel (const Evolver &evolver, const std::vector< Time > &stoppingTimes=std::vector< Time >()) const Evolver & evolver…

QuantLib::FdHestonVanillaEngine – Finite-Differences Heston Vanilla Option engine. Synopsis#include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp> Inherits GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results >. Public Member FunctionsFdHestonVanillaEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=20) void calculate () const Detailed DescriptionFinite-Differences Heston Vanilla Option engine. Tests the correctness of the returned value is tested by reproducing results available in web/literature and…

QuantLib::FdHestonRebateEngine – Finite-Differences Heston Barrier Option rebate helper engine. Synopsis#include <ql/experimental/finitedifferences/fdhestonrebateengine.hpp> Inherits GenericModelEngine< HestonModel, DividendBarrierOption::arguments, DividendBarrierOption::results >. Public Member FunctionsFdHestonRebateEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=20) void calculate () const Detailed DescriptionFinite-Differences Heston Barrier Option rebate helper engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::FdHestonBarrierEngine – Finite-Differences Heston Barrier Option engine. Synopsis#include <ql/experimental/finitedifferences/fdhestonbarrierengine.hpp> Inherits GenericModelEngine< HestonModel, DividendBarrierOption::arguments, DividendBarrierOption::results >. Public Member FunctionsFdHestonBarrierEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=20) void calculate () const Detailed DescriptionFinite-Differences Heston Barrier Option engine. Tests the correctness of the returned value is tested by reproducing results available in web/literature and…

QuantLib::FdBlackScholesVanillaEngine – Finite-Differences Black Scholes vanilla option engine. Synopsis#include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp> Inherits GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results >. Public Member FunctionsFdBlackScholesVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Size tGrid=100, Size xGrid=100) void calculate () const Detailed DescriptionFinite-Differences Black Scholes vanilla option engine. Tests the correctness of the returned value is tested by reproducing results available in web/literature and comparison…

QuantLib::FdBlackScholesRebateEngine – Finite-Differences Black Scholes barrier option rebate helper engine. Synopsis#include <ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp> Inherits GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results >. Public Member FunctionsFdBlackScholesRebateEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size tGrid=100, Size xGrid=100) void calculate () const Detailed DescriptionFinite-Differences Black Scholes barrier option rebate helper engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::FdBlackScholesBarrierEngine – Finite-Differences Black Scholes barrier option engine. Synopsis#include <ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp> Inherits GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results >. Public Member FunctionsFdBlackScholesBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size tGrid=100, Size xGrid=100) void calculate () const Detailed DescriptionFinite-Differences Black Scholes barrier option engine. Tests the correctness of the returned value is tested by reproducing results available in web/literature and comparison…

QuantLib::FaureRsg – Faure low-discrepancy sequence generator. Synopsis#include <ql/math/randomnumbers/faurersg.hpp> Public Typestypedef Sample< std::vector< Real > > sample_type Public Member FunctionsFaureRsg (Size dimensionality) const std::vector< long int > & nextIntSequence () const const std::vector< long int > & lastIntSequence () const const sample_type & nextSequence () const const sample_type & lastSequence () const Size dimension () const…

QuantLib::FalsePosition – False position 1-D solver. Synopsis#include <ql/math/solvers1d/falseposition.hpp> Inherits Solver1D< FalsePosition >. Public Member Functionstemplate<class F > Real solveImpl (const F &f, Real xAccuracy) const Detailed DescriptionFalse position 1-D solver. Tests the correctness of the returned values is tested by checking them against known good results.AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Factorial – Factorial numbers calculator Synopsis#include <ql/math/factorial.hpp> Static Public Member Functionsstatic Real get (Natural n) static Real ln (Natural n) Detailed DescriptionFactorial numbers calculator Tests the correctness of the returned value is tested by checking it against numerical calculations.AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::FaceValueAccrualClaim – Claim on the notional of a reference security, including accrual. Synopsis#include <ql/instruments/claim.hpp> Inherits QuantLib::Claim. Public Member FunctionsFaceValueAccrualClaim (const boost::shared_ptr< Bond > &referenceSecurity) Real amount (const Date &d, Real notional, Real recoveryRate) const Detailed DescriptionClaim on the notional of a reference security, including accrual. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::FDVanillaEngine – Finite-differences pricing engine for BSM one asset options. Synopsis#include <ql/pricingengines/vanilla/fdvanillaengine.hpp> Inherited by FDEuropeanEngine, FDMultiPeriodEngine, and FDStepConditionEngine. Public Member FunctionsFDVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) const Array & grid () const Protected Typestypedef BoundaryCondition< TridiagonalOperator > bc_type Protected Member Functionsvirtual void setupArguments (const PricingEngine::arguments *) const virtual void…

QuantLib::FDStepConditionEngine – Finite-differences pricing engine for American-style vanilla options. Synopsis#include <ql/pricingengines/vanilla/fdstepconditionengine.hpp> Inherits QuantLib::FDVanillaEngine. Public Member FunctionsFDStepConditionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) Protected Member Functionsvirtual void initializeStepCondition () const =0 virtual void calculate (PricingEngine::results *) const Protected Attributesboost::shared_ptr< StandardStepCondition > stepCondition_ SampledCurve prices_ TridiagonalOperator controlOperator_ std::vector< boost::shared_ptr< bc_type > >…

QuantLib::FDEuropeanEngine – Pricing engine for European options using finite-differences. Synopsis#include <ql/pricingengines/vanilla/fdeuropeanengine.hpp> Inherits QuantLib::OneAssetOption::engine, and QuantLib::FDVanillaEngine. Public Member FunctionsFDEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Detailed DescriptionPricing engine for European options using finite-differences. Tests the correctness of the returned value is tested by checking it against analytic results. Examples: EquityOption.cpp. AuthorGenerated…

QuantLib::FDDividendEngineShiftScale – Finite-differences engine for dividend options using shifted dividends. Synopsis#include <ql/pricingengines/vanilla/fddividendengine.hpp> Inherits QuantLib::FDDividendEngineBase. Public Member FunctionsFDDividendEngineShiftScale (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Detailed DescriptionFinite-differences engine for dividend options using shifted dividends. AuthorGenerated 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 FunctionsFDDividendEngineMerton73 (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Detailed DescriptionFinite-differences pricing engine for dividend options using. AuthorGenerated 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 FunctionsFDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Protected Member Functionsvirtual void setupArguments (const PricingEngine::arguments *) const void setGridLimits () const =0 void executeIntermediateStep (Size step) const =0 Real getDividendAmount (Size i)…