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QuantLib::FDDividendEngineMerton73 – Finite-differences pricing engine for dividend options using. Synopsis #include <ql/pricingengines/vanilla/fddividendengine.hpp> Inherits QuantLib::FDDividendEngineBase. Public Member Functions FDDividendEngineMerton73 (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Detailed Description Finite-differences pricing engine for dividend options using. Author Generated 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 Functions FDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Protected Member Functions virtual void setupArguments (const PricingEngine::arguments *) const void setGridLimits () const =0 void executeIntermediateStep (Size step) const =0 Real…

NAME ql/pricingengines/vanilla/fddividendengine.hpp – base engine for option with dividends SYNOPSIS #include <ql/pricingengines/vanilla/fdmultiperiodengine.hpp> #include <ql/cashflows/dividend.hpp> Classes class FDDividendEngineBase Abstract base class for dividend engines. class FDDividendEngineMerton73 Finite-differences pricing engine for dividend options using. class FDDividendEngineShiftScale Finite-differences engine for dividend options using shifted dividends. Typedefs typedef FDDividendEngineMerton73 FDDividendEngine Detailed Description base engine for option with dividends Author…

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 dividends…

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 dividends…

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…