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BlackPixelOfScreen, WhitePixelOfScreen, CellsOfScreen, DefaultColormapOfScreen, DefaultDepthOfScreen, DefaultGCOfScreen, DefaultVisualOfScreen, DoesBackingStore, DoesSaveUnders, DisplayOfScreen, XScreenNumberOfScreen, EventMaskOfScreen, HeightOfScreen, HeightMMOfScreen, MaxCmapsOfScreen, MinCmapsOfScreen, PlanesOfScreen, RootWindowOfScreen, WidthOfScreen, WidthMMOfScreen – screen information functions and macros Syntax unsigned long BlackPixelOfScreen(Screen *screen); unsigned long WhitePixelOfScreen(Screen *screen); int CellsOfScreen(Screen *screen); Colormap DefaultColormapOfScreen(Screen *screen); int DefaultDepthOfScreen(Screen *screen); GC DefaultGCOfScreen(Screen *screen); Visual *DefaultVisualOfScreen(Screen *screen); int DoesBackingStore(Screen *screen); Bool DoesSaveUnders(Screen…

AllPlanes, BlackPixel, WhitePixel, ConnectionNumber, DefaultColormap, DefaultDepth, XListDepths, DefaultGC, DefaultRootWindow, DefaultScreenOfDisplay, DefaultScreen, DefaultVisual, DisplayCells, DisplayPlanes, DisplayString, XMaxRequestSize, XExtendedMaxRequestSize, LastKnownRequestProcessed, NextRequest, ProtocolVersion, ProtocolRevision, QLength, RootWindow, ScreenCount, ScreenOfDisplay, ServerVendor, VendorRelease – Display macros and functions Syntax unsigned long AllPlanes; unsigned long BlackPixel(Display *display, int screen_number); unsigned long WhitePixel(Display *display, int screen_number); int ConnectionNumber(Display *display); Colormap DefaultColormap(Display *display, int…

NAME ql/models/shortrate/onefactormodels/blackkarasinski.hpp – Black-Karasinski model. SYNOPSIS #include <ql/models/shortrate/onefactormodel.hpp> #include <ql/processes/ornsteinuhlenbeckprocess.hpp> Classes class BlackKarasinski Standard Black-Karasinski model class. class Dynamics Short-rate dynamics in the Black-Karasinski model. Detailed Description Black-Karasinski model. Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::BlackIborCouponPricer – Black-formula pricer for capped/floored Ibor coupons. Synopsis #include <ql/cashflows/couponpricer.hpp> Inherits QuantLib::IborCouponPricer. Inherited by BlackIborQuantoCouponPricer. Public Member Functions BlackIborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >()) virtual void initialize (const FloatingRateCoupon &coupon) Real swapletPrice () const Rate swapletRate () const Real capletPrice (Rate effectiveCap) const Rate capletRate (Rate effectiveCap) const Real floorletPrice (Rate effectiveFloor)…

NAME ql/termstructures/volatility/equityfx/blackconstantvol.hpp – Black constant volatility, no time dependence, no strike dependence. SYNOPSIS #include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> #include <ql/quotes/simplequote.hpp> #include <ql/time/daycounters/actual365fixed.hpp> Classes class BlackConstantVol Constant Black volatility, no time-strike dependence. Detailed Description Black constant volatility, no time dependence, no strike dependence. Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::BlackCapFloorEngine – Black-formula cap/floor engine. Synopsis #include <ql/pricingengines/capfloor/blackcapfloorengine.hpp> Inherits QuantLib::CapFloor::engine. Public Member Functions BlackCapFloorEngine (const Handle< YieldTermStructure > &termStructure, Volatility vol, const DayCounter &dc=Actual365Fixed()) BlackCapFloorEngine (const Handle< YieldTermStructure > &termStructure, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed()) BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< OptionletVolatilityStructure > &vol) void calculate () const Handle< YieldTermStructure…

QuantLib::BlackCallableZeroCouponBondEngine – Black-formula callable zero coupon bond engine. Synopsis #include <ql/experimental/callablebonds/blackcallablebondengine.hpp> Inherits QuantLib::BlackCallableFixedRateBondEngine. Public Member Functions BlackCallableZeroCouponBondEngine (const Handle< Quote > &fwdYieldVol, const Handle< YieldTermStructure > &discountCurve) volatility is the quoted fwd yield volatility, not price vol BlackCallableZeroCouponBondEngine (const Handle< CallableBondVolatilityStructure > &yieldVolStructure, const Handle< YieldTermStructure > &discountCurve) volatility is the quoted fwd yield volatility,…

QuantLib::BlackCallableFixedRateBondEngine – Black-formula callable fixed rate bond engine. Synopsis #include <ql/experimental/callablebonds/blackcallablebondengine.hpp> Inherits QuantLib::CallableBond::engine. Inherited by BlackCallableZeroCouponBondEngine. Public Member Functions BlackCallableFixedRateBondEngine (const Handle< Quote > &fwdYieldVol, const Handle< YieldTermStructure > &discountCurve) volatility is the quoted fwd yield volatility, not price vol BlackCallableFixedRateBondEngine (const Handle< CallableBondVolatilityStructure > &yieldVolStructure, const Handle< YieldTermStructure > &discountCurve) volatility is the quoted…

QuantLib::BlackCalculator – Black 1976 calculator class. Synopsis #include <ql/pricingengines/blackcalculator.hpp> Inherited by BlackScholesCalculator. Public Member Functions BlackCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) Real value () const Real deltaForward () const virtual Real delta (Real spot) const Real elasticityForward () const virtual Real elasticity (Real spot) const Real gammaForward () const…

QuantLib::BlackAtmVolCurve – Black at-the-money (no-smile) volatility curve. Synopsis #include <ql/experimental/volatility/blackatmvolcurve.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by AbcdAtmVolCurve, and BlackVolSurface. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. BlackAtmVolCurve (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackAtmVolCurve (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a…

QuantLib::BjerksundStenslandApproximationEngine – Bjerksund and Stensland pricing engine for American options (1993). Synopsis #include <ql/pricingengines/vanilla/bjerksundstenslandengine.hpp> Inherits VanillaOption::engine. Public Member Functions BjerksundStenslandApproximationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Detailed Description Bjerksund and Stensland pricing engine for American options (1993). Tests the correctness of the returned value is tested by reproducing results available in literature….

Date and time calculations – Classes class DateInterval Date interval described by a number of a given time unit. class PricingPeriod Time pricingperiod described by a number of a given time unit. class Calendar calendar class class Date Concrete date class. struct DateGeneration Date-generation rule. class DayCounter day counter class class Period Modules Calendars Day…

QuantLib::BivariateCumulativeNormalDistributionWe04DP – Cumulative bivariate normal distibution function (West 2004). Synopsis #include <ql/math/distributions/bivariatenormaldistribution.hpp> Public Member Functions BivariateCumulativeNormalDistributionWe04DP (Real rho) Real operator() (Real a, Real b) const Detailed Description Cumulative bivariate normal distibution function (West 2004). The implementation derives from the article ‘Better Approximations To Cumulative Normal Distibutions’, Graeme West, Dec 2004 available at www.finmod.co.za. Also available…

QuantLib::BivariateCumulativeNormalDistributionDr78 – Cumulative bivariate normal distribution function. Synopsis #include <ql/math/distributions/bivariatenormaldistribution.hpp> Public Member Functions BivariateCumulativeNormalDistributionDr78 (Real rho) Real operator() (Real a, Real b) const Detailed Description Cumulative bivariate normal distribution function. Drezner (1978) algorithm, six decimal places accuracy. For this implementation see ‘Option pricing formulas’, E.G. Haug, McGraw-Hill 1998 Possible enhancements check accuracy of this algorithm…

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

ImageByteOrder, BitmapBitOrder, BitmapPad, BitmapUnit, DisplayHeight, DisplayHeightMM, DisplayWidth, DisplayWidthMM, XListPixmapFormats, XPixmapFormatValues – image format functions and macros Syntax XPixmapFormatValues *XListPixmapFormats(Display *display, int *count_return); int ImageByteOrder(Display *display); int BitmapBitOrder(Display *display); int BitmapPad(Display *display); int BitmapUnit(Display *display); int DisplayHeight(Display *display, int screen_number); int DisplayHeightMM(Display *display, int screen_number); int DisplayWidth(Display *display, int screen_number); int DisplayWidthMM(Display *display, int screen_number); Arguments…

ImageByteOrder, BitmapBitOrder, BitmapPad, BitmapUnit, DisplayHeight, DisplayHeightMM, DisplayWidth, DisplayWidthMM, XListPixmapFormats, XPixmapFormatValues – image format functions and macros Syntax XPixmapFormatValues *XListPixmapFormats(Display *display, int *count_return); int ImageByteOrder(Display *display); int BitmapBitOrder(Display *display); int BitmapPad(Display *display); int BitmapUnit(Display *display); int DisplayHeight(Display *display, int screen_number); int DisplayHeightMM(Display *display, int screen_number); int DisplayWidth(Display *display, int screen_number); int DisplayWidthMM(Display *display, int screen_number); Arguments…

ImageByteOrder, BitmapBitOrder, BitmapPad, BitmapUnit, DisplayHeight, DisplayHeightMM, DisplayWidth, DisplayWidthMM, XListPixmapFormats, XPixmapFormatValues – image format functions and macros Syntax XPixmapFormatValues *XListPixmapFormats(Display *display, int *count_return); int ImageByteOrder(Display *display); int BitmapBitOrder(Display *display); int BitmapPad(Display *display); int BitmapUnit(Display *display); int DisplayHeight(Display *display, int screen_number); int DisplayHeightMM(Display *display, int screen_number); int DisplayWidth(Display *display, int screen_number); int DisplayWidthMM(Display *display, int screen_number); Arguments…

QuantLib::BinomialVanillaEngine – Pricing engine for vanilla options using binomial trees. Synopsis #include <ql/pricingengines/vanilla/binomialengine.hpp> Inherits QuantLib::OneAssetOption::engine. Public Member Functions BinomialVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps) void calculate () const Detailed Description template<class T> class QuantLib::BinomialVanillaEngine< T > Pricing engine for vanilla options using binomial trees. Tests the correctness of the returned values is tested…

NAME ql/methods/lattices/binomialtree.hpp – Binomial tree class. SYNOPSIS #include <ql/methods/lattices/tree.hpp> #include <ql/instruments/dividendschedule.hpp> #include <ql/stochasticprocess.hpp> Classes class BinomialTree< T > Binomial tree base class. class EqualProbabilitiesBinomialTree< T > Base class for equal probabilities binomial tree. class EqualJumpsBinomialTree< T > Base class for equal jumps binomial tree. class JarrowRudd Jarrow-Rudd (multiplicative) equal probabilities binomial tree. class CoxRossRubinstein Cox-Ross-Rubinstein…