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QuantLib::BMASwapRateHelper – Rate helper for bootstrapping over BMA swap rates. Synopsis #include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member Functions BMASwapRateHelper (const Handle< Quote > &liborFraction, const Period &tenor, Natural settlementDays, const Calendar &calendar, const Period &bmaPeriod, BusinessDayConvention bmaConvention, const DayCounter &bmaDayCount, const boost::shared_ptr< BMAIndex > &bmaIndex, const boost::shared_ptr< IborIndex > &index) RateHelper interface Real impliedQuote ()…

QuantLib::BMASwapRateHelper – Rate helper for bootstrapping over BMA swap rates. Synopsis #include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member Functions BMASwapRateHelper (const Handle< Quote > &liborFraction, const Period &tenor, Natural settlementDays, const Calendar &calendar, const Period &bmaPeriod, BusinessDayConvention bmaConvention, const DayCounter &bmaDayCount, const boost::shared_ptr< BMAIndex > &bmaIndex, const boost::shared_ptr< IborIndex > &index) RateHelper interface Real impliedQuote ()…

QuantLib::BMASwapRateHelper – Rate helper for bootstrapping over BMA swap rates. Synopsis #include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member Functions BMASwapRateHelper (const Handle< Quote > &liborFraction, const Period &tenor, Natural settlementDays, const Calendar &calendar, const Period &bmaPeriod, BusinessDayConvention bmaConvention, const DayCounter &bmaDayCount, const boost::shared_ptr< BMAIndex > &bmaIndex, const boost::shared_ptr< IborIndex > &index) RateHelper interface Real impliedQuote ()…

NAME blit – Copies a rectangular area from one bitmap to another. Allegro game programming library. SYNOPSIS #include <allegro.h> void blit(BITMAP *source, BITMAP *dest, int source_x, int source_y, int dest_x, int dest_y, int width, int height); DESCRIPTION Copies a rectangular area of the source bitmap to the destination bitmap. The source_x and source_y parameters are…

NAME ql/pricingengines/blackformula.hpp – Black formula. SYNOPSIS #include <ql/option.hpp> #include <ql/instruments/payoffs.hpp> Functions Real blackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) Real blackFormula (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) Real blackFormulaImpliedStdDevApproximation (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0) Real…

NAME ql/experimental/callablebonds/blackcallablebondengine.hpp – Black-formula callable bond engines. SYNOPSIS #include <ql/experimental/callablebonds/callablebond.hpp> #include <ql/experimental/callablebonds/callablebondvolstructure.hpp> Classes class BlackCallableFixedRateBondEngine Black-formula callable fixed rate bond engine. class BlackCallableZeroCouponBondEngine Black-formula callable zero coupon bond engine. Detailed Description Black-formula callable bond engines. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME blackbox.h – SYNOPSIS #include ‘alchemist.h’ Classes struct AdmBlackBoxMethods struct AdmBlackBoxModuleVector Defines #define ALCHEMIST_BLACKBOX_MOD_PATH ‘/usr/lib/alchemist/blackbox’ Define Documentation #define ALCHEMIST_BLACKBOX_MOD_PATH ‘/usr/lib/alchemist/blackbox’ Author Generated automatically by Doxygen for Alchemist from the source code. Index

QuantLib::GeneralizedBlackScholesProcess – Generalized Black-Scholes stochastic process. Synopsis #include <ql/processes/blackscholesprocess.hpp> Inherits QuantLib::StochasticProcess1D. Inherited by BlackProcess, BlackScholesMertonProcess, BlackScholesProcess, ExtendedBlackScholesMertonProcess, and GarmanKohlagenProcess. Public Member Functions GeneralizedBlackScholesProcess (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)) Time time (const Date…

QuantLib::CallableBond – Callable bond base class. Synopsis #include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::Bond. Inherited by CallableFixedRateBond. Classes class engine base class for callable fixed rate bond engine class results results for a callable bond calculation Public Member Functions virtual void setupArguments (PricingEngine::arguments *args) const Inspectors const CallabilitySchedule & callability () const return the bond’s put/call schedule Calculations…

QuantLib::BlackConstantVol – Constant Black volatility, no time-strike dependence. Synopsis #include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp> Inherits QuantLib::BlackVolatilityTermStructure. Public Member Functions BlackConstantVol (const Date &referenceDate, const Calendar &, Volatility volatility, const DayCounter &dayCounter) BlackConstantVol (const Date &referenceDate, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter) BlackConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) BlackConstantVol…

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

QuantLib::BlackVarianceCurve – Black volatility curve modelled as variance curve. Synopsis #include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp> Inherits QuantLib::BlackVarianceTermStructure. Public Member Functions BlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &blackVolCurve, const DayCounter &dayCounter, bool forceMonotoneVariance=true) TermStructure interface DayCounter dayCounter () const the day counter used for date/time conversion Date maxDate () const the latest…

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)…

ql/pricingengines/greeks.hpp – default greek calculations Synopsis #include <ql/processes/blackscholesprocess.hpp> Functions Real blackScholesTheta (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Real value, Real delta, Real gamma) default theta calculation for Black-Scholes options Real defaultThetaPerDay (Real theta) default theta-per-day calculation Detailed Description default greek calculations Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::CalibrationHelper – liquid market instrument used during calibration Synopsis #include <ql/models/calibrationhelper.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by CapHelper, HestonModelHelper, and SwaptionHelper. Public Member Functions CalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) void update () Real marketValue () const returns the actual price of the instrument (from volatility) virtual Real…

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

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

QuantLib::CallableBond – Callable bond base class. Synopsis #include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::Bond. Inherited by CallableFixedRateBond. Classes class engine base class for callable fixed rate bond engine class results results for a callable bond calculation Public Member Functions virtual void setupArguments (PricingEngine::arguments *args) const Inspectors const CallabilitySchedule & callability () const return the bond’s put/call schedule Calculations…

QuantLib::CallableBond – Callable bond base class. Synopsis #include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::Bond. Inherited by CallableFixedRateBond. Classes class engine base class for callable fixed rate bond engine class results results for a callable bond calculation Public Member Functions virtual void setupArguments (PricingEngine::arguments *args) const Inspectors const CallabilitySchedule & callability () const return the bond’s put/call schedule Calculations…

NAME ql/pricingengines/vanilla/bjerksundstenslandengine.hpp – Bjerksund and Stensland approximation engine. SYNOPSIS #include <ql/instruments/vanillaoption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classes class BjerksundStenslandApproximationEngine Bjerksund and Stensland pricing engine for American options (1993). Detailed Description Bjerksund and Stensland approximation engine. Author Generated automatically by Doxygen for QuantLib from the source code. Index