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QuantLib::CallableBondVolatilityStructure – Callable-bond volatility structure. Synopsis #include <ql/experimental/callablebonds/callablebondvolstructure.hpp> Inherits QuantLib::TermStructure. Inherited by CallableBondConstantVolatility. Public Member Functions virtual 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)…

QuantLib::BrownianBridge – Builds Wiener process paths using Gaussian variates. Synopsis #include <ql/methods/montecarlo/brownianbridge.hpp> Public Member Functions BrownianBridge (Size steps) unit-time path BrownianBridge (const std::vector< Time > &times) generic times BrownianBridge (const TimeGrid &timeGrid) generic times inspectors Size size () const const std::vector< Time > & times () const Brownian-bridge constructor template<class RandomAccessIterator1 , class RandomAccessIterator2 >…

QuantLib::Brazil – Brazilian calendar. Synopsis #include <ql/time/calendars/brazil.hpp> Inherits QuantLib::Calendar. Public Types enum Market { Settlement, Exchange } Brazilian calendars. Public Member Functions Brazil (Market market=Settlement) Detailed Description Brazilian calendar. Banking holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Tiradentes’s Day, April 21th * Labour Day, May 1st * Independence Day, September…

QuantLib::BoxMullerGaussianRng – Gaussian random number generator. Synopsis #include <ql/math/randomnumbers/boxmullergaussianrng.hpp> Public Types typedef Sample< Real > sample_type typedef RNG urng_type Public Member Functions BoxMullerGaussianRng (const RNG &uniformGenerator) sample_type next () const returns a sample from a Gaussian distribution Detailed Description template<class RNG> class QuantLib::BoxMullerGaussianRng< RNG > Gaussian random number generator. It uses the well-known Box-Muller transformation…

NAME ql/methods/finitedifferences/boundarycondition.hpp – boundary conditions for differential operators SYNOPSIS #include <ql/utilities/null.hpp> #include <ql/methods/finitedifferences/tridiagonaloperator.hpp> Classes class BoundaryCondition< Operator > Abstract boundary condition class for finite difference problems. class NeumannBC Neumann boundary condition (i.e., constant derivative). class DirichletBC Neumann boundary condition (i.e., constant value). Detailed Description boundary conditions for differential operators Author Generated automatically by Doxygen for…

NAME ql/termstructures/bootstraphelper.hpp – base helper class used for bootstrapping SYNOPSIS #include <ql/quote.hpp> #include <ql/time/date.hpp> #include <ql/handle.hpp> #include <ql/patterns/observable.hpp> #include <ql/patterns/visitor.hpp> #include <ql/quotes/simplequote.hpp> Classes class BootstrapHelper< TS > Base helper class for bootstrapping. Detailed Description base helper class used for bootstrapping Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::BootstrapError – bootstrap error Synopsis #include <ql/termstructures/bootstraperror.hpp> Public Member Functions BootstrapError (const Curve *curve, const boost::shared_ptr< typename Traits::helper > &instrument, Size segment) Real operator() (Rate guess) const Detailed Description template<class Curve> class QuantLib::BootstrapError< Curve > bootstrap error Author Generated automatically by Doxygen for QuantLib from the source code.

NAME ql/instruments/bond.hpp – concrete bond class SYNOPSIS #include <ql/instrument.hpp> #include <ql/cashflow.hpp> #include <ql/cashflows/coupon.hpp> #include <ql/time/calendar.hpp> #include <ql/time/daycounter.hpp> #include <ql/time/schedule.hpp> #include <ql/types.hpp> #include <ql/handle.hpp> #include <ql/termstructures/yieldtermstructure.hpp> #include <vector> Classes class Bond Base bond class. Detailed Description concrete bond class Author Generated automatically by Doxygen for QuantLib from the source code. Index

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

NAME ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp – Black volatility term structure base classes. SYNOPSIS #include <ql/termstructures/voltermstructure.hpp> #include <ql/patterns/visitor.hpp> Classes class BlackVolTermStructure Black-volatility term structure. class BlackVolatilityTermStructure Black-volatility term structure. class BlackVarianceTermStructure Black variance term structure. Detailed Description Black volatility term structure base classes. Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::BlackVolSurface – Black volatility (smile) surface. Synopsis #include <ql/experimental/volatility/blackvolsurface.hpp> Inherits QuantLib::BlackAtmVolCurve. Inherited by EquityFXVolSurface, and InterestRateVolSurface. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. BlackVolSurface (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackVolSurface (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed…

QuantLib::BlackVarianceTermStructure – Black variance term structure. Synopsis #include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> Inherits QuantLib::BlackVolTermStructure. Inherited by BlackVarianceCurve, BlackVarianceSurface, ExtendedBlackVarianceCurve, ExtendedBlackVarianceSurface, and ImpliedVolTermStructure. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. BlackVarianceTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackVarianceTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize…

NAME ql/termstructures/volatility/equityfx/blackvariancesurface.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/time/daycounters/actual365fixed.hpp> Classes class BlackVarianceSurface 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/termstructures/volatility/equityfx/blackvariancecurve.hpp – Black volatility curve modelled as variance curve. SYNOPSIS #include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> #include <ql/math/interpolation.hpp> Classes class BlackVarianceCurve 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::BlackSwaptionEngine – Black-formula swaption engine. Synopsis #include <ql/pricingengines/swaption/blackswaptionengine.hpp> Inherits QuantLib::Swaption::engine. Public Member Functions BlackSwaptionEngine (const Handle< YieldTermStructure > &termStructure, Volatility vol, const DayCounter &dc=Actual365Fixed()) BlackSwaptionEngine (const Handle< YieldTermStructure > &termStructure, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed()) BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol) void calculate () const Handle< YieldTermStructure…

NAME ql/processes/blackscholesprocess.hpp – Black-Scholes processes. SYNOPSIS #include <ql/stochasticprocess.hpp> #include <ql/processes/eulerdiscretization.hpp> #include <ql/termstructures/yieldtermstructure.hpp> #include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> #include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp> #include <ql/quote.hpp> Classes class GeneralizedBlackScholesProcess Generalized Black-Scholes stochastic process. class BlackScholesProcess Black-Scholes (1973) stochastic process. class BlackScholesMertonProcess Merton (1973) extension to the Black-Scholes stochastic process. class BlackProcess Black (1976) stochastic process. class GarmanKohlagenProcess Garman-Kohlhagen (1983) stochastic process. Detailed Description…

QuantLib::BlackScholesMertonProcess – Merton (1973) extension to the Black-Scholes stochastic process. Synopsis #include <ql/processes/blackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Member Functions BlackScholesMertonProcess (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)) Detailed Description Merton (1973) extension to the Black-Scholes…

QuantLib::BlackScholesLattice – Simple binomial lattice approximating the Black-Scholes model. Synopsis #include <ql/methods/lattices/bsmlattice.hpp> Inherits TreeLattice1D< BlackScholesLattice< T > >. Public Member Functions BlackScholesLattice (const boost::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps) Size size (Size i) const DiscountFactor discount (Size, Size) const void stepback (Size i, const Array &values, Array &newValues) const Real underlying…

QuantLib::BlackScholesCalculator – Black-Scholes 1973 calculator class. Synopsis #include <ql/pricingengines/blackscholescalculator.hpp> Inherits QuantLib::BlackCalculator. Public Member Functions BlackScholesCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real spot, DiscountFactor growth, Real stdDev, DiscountFactor discount) Real delta () const Real elasticity () const Real gamma () const Real theta (Time maturity) const Real thetaPerDay (Time maturity) const Protected Attributes Real spot_ DiscountFactor…

QuantLib::BlackProcess – Black (1976) stochastic process. Synopsis #include <ql/processes/blackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Member Functions BlackProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) Detailed Description Black (1976) stochastic process. This class describes the stochastic process for a forward or futures…