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NAME ql/math/distributions/binomialdistribution.hpp – Binomial distribution. SYNOPSIS #include <ql/math/factorial.hpp> #include <ql/math/beta.hpp> Classes class BinomialDistribution Binomial probability distribution function. class CumulativeBinomialDistribution Cumulative binomial distribution function. Functions Real binomialCoefficientLn (BigNatural n, BigNatural k) Real binomialCoefficient (BigNatural n, BigNatural k) Real PeizerPrattMethod2Inversion (Real z, BigNatural n) Detailed Description Binomial distribution. Author Generated automatically by Doxygen for QuantLib from the…

NAME ql/pricingengines/hybrid/binomialconvertibleengine.hpp – binomial engine for convertible bonds SYNOPSIS #include <ql/methods/lattices/tflattice.hpp> #include <ql/pricingengines/hybrid/discretizedconvertible.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/termstructures/yield/flatforward.hpp> #include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp> #include <ql/instruments/bonds/convertiblebond.hpp> #include <ql/instruments/payoffs.hpp> Classes class BinomialConvertibleEngine< T > Binomial Tsiveriotis-Fernandes engine for convertible bonds. Detailed Description binomial engine for convertible bonds Author Generated automatically by Doxygen for QuantLib from the source code. Index

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…

NAME ql/math/interpolations/bilinearinterpolation.hpp – bilinear interpolation between discrete points SYNOPSIS #include <ql/math/interpolations/interpolation2d.hpp> Classes class BilinearInterpolation bilinear interpolation between discrete points class Bilinear bilinear-interpolation factory Detailed Description bilinear interpolation between discrete points Author Generated automatically by Doxygen for QuantLib from the source code. Index

ql/types.hpp – Custom types. Synopsis #include <ql/qldefines.hpp> #include <cstddef> Typedefs typedef QL_INTEGER Integer integer number typedef QL_BIG_INTEGER BigInteger large integer number typedef unsigned QL_INTEGER Natural positive integer typedef unsigned QL_BIG_INTEGER BigNatural large positive integer typedef QL_REAL Real real number typedef Real Decimal decimal number typedef std::size_t Size size of a container typedef Real Time continuous…

Numeric types – Typedefs typedef Real Probability probability typedef QL_INTEGER Integer integer number typedef QL_BIG_INTEGER BigInteger large integer number typedef unsigned QL_INTEGER Natural positive integer typedef QL_REAL Real real number typedef Real Decimal decimal number typedef std::size_t Size size of a container typedef Real Time continuous quantity with 1-year units typedef Real DiscountFactor discount factor…

QuantLib::BicubicSpline – bicubic-spline interpolation between discrete points Synopsis #include <ql/math/interpolations/bicubicsplineinterpolation.hpp> Inherits QuantLib::Interpolation2D. Public Member Functions template<class I1 , class I2 , class M > BicubicSpline (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const I2 &yEnd, const M &zData) Detailed Description bicubic-spline interpolation between discrete points Possible enhancements revise end conditions Constructor & Destructor…

QuantLib::BespokeCalendar – Bespoke calendar. Synopsis #include <ql/time/calendars/bespokecalendar.hpp> Inherits QuantLib::Calendar. Public Member Functions BespokeCalendar (const std::string &name=”) void addWeekend (Weekday) marks the passed day as part of the weekend Detailed Description Bespoke calendar. This calendar has no predefined set of business days. Holidays and weekdays can be defined by means of the provided interface. Instances constructed…

QuantLib::BermudanExercise – Bermudan exercise. Synopsis #include <ql/exercise.hpp> Inherits QuantLib::EarlyExercise. Public Member Functions BermudanExercise (const std::vector< Date > &dates, bool payoffAtExpiry=false) Detailed Description Bermudan exercise. A Bermudan option can only be exercised at a set of fixed dates. Examples: BermudanSwaption.cpp, and EquityOption.cpp. Author Generated automatically by Doxygen for QuantLib from the source code.

NAME 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> Classes class BatesProcess Square-root stochastic-volatility Bates process. Detailed Description Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size. Author Generated automatically by Doxygen for QuantLib from the source…

QuantLib::BatesModel – Bates stochastic-volatility model. Synopsis #include <ql/models/equity/batesmodel.hpp> Inherits QuantLib::HestonModel. Inherited by BatesDetJumpModel. Public Member Functions BatesModel (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 Description Bates stochastic-volatility model. extended versions of Heston model for the stochastic volatility of…

QuantLib::BatesEngine – Bates model engines based on Fourier transform. Synopsis #include <ql/pricingengines/vanilla/batesengine.hpp> Inherits QuantLib::AnalyticHestonEngine. Inherited by BatesDetJumpEngine. Public Member Functions BatesEngine (const boost::shared_ptr< BatesModel > &model, Size integrationOrder=144) BatesEngine (const boost::shared_ptr< BatesModel > &model, Real relTolerance, Size maxEvaluations) Protected Member Functions std::complex< Real > addOnTerm (Real phi, Time t, Size j) const Detailed Description Bates…

NAME 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> Classes class BasketOption Basket option on a number of assets. class engine Basket-option engine base class Detailed Description Basket option on a number of assets. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME 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> Classes class Basket Detailed Description basket of issuers and related notionals Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::Quantity – Amount of a commodity. Synopsis #include <ql/experimental/commodities/quantity.hpp> Public Member Functions Constructors 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…

QuantLib::Money – amount of cash Synopsis #include <ql/money.hpp> Public Member Functions Constructors Money () Money (const Currency &currency, Decimal value) Money (Decimal value, const Currency &currency) 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…

NAME 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> Classes class BarrierOption Barrier option on a single asset. class arguments Arguments for barrier option calculation class engine Barrier-option engine base class Detailed Description Barrier option on a single asset. Author Generated automatically by Doxygen for QuantLib from the…

QuantLib::BaroneAdesiWhaleyApproximationEngine – Barone-Adesi and Whaley pricing engine for American options (1987). Synopsis #include <ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp> Inherits VanillaOption::engine. Public Member Functions BaroneAdesiWhaleyApproximationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Static Public Member Functions static Real criticalPrice (const boost::shared_ptr< StrikedTypePayoff > &payoff, DiscountFactor riskFreeDiscount, DiscountFactor dividendDiscount, Real variance, Real tolerance=1e-6) Detailed Description Barone-Adesi and Whaley pricing…

NAME ql/math/interpolations/backwardflatinterpolation.hpp – backward-flat interpolation between discrete points SYNOPSIS #include <ql/math/interpolation.hpp> #include <vector> Classes class BackwardFlatInterpolation Backward-flat interpolation between discrete points. class BackwardFlat Backward-flat interpolation factory and traits. Detailed Description backward-flat interpolation between discrete points Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::DateGeneration – Date-generation rule. Synopsis #include <ql/time/dategenerationrule.hpp> Public Types enum Rule { Backward, Forward, Zero, ThirdWednesday, Twentieth, TwentiethIMM } Related Functions (Note that these are not member functions.) std::ostream & operator<< (std::ostream &, DateGeneration::Rule) Detailed Description Date-generation rule. These conventions specify the rule used to generate dates in a Schedule. Member Enumeration Documentation enum Rule…