SysTutorials Posts

QuantLib::PerturbativeBarrierOptionEngine – perturbative barrier-option engine Synopsis#include <ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp> Inherits QuantLib::BarrierOption::engine. Public Member FunctionsPerturbativeBarrierOptionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Natural order=1, bool zeroGamma=false) void calculate () const Detailed Descriptionperturbative barrier-option engine This engine implements the approach described in <http://www.econ.univpm.it/recchioni/finance/w3/>. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Period – Synopsis#include <ql/time/period.hpp> Public Member FunctionsPeriod (Integer n, TimeUnit units) Period (Frequency f) Integer length () const TimeUnit units () const Frequency frequency () const Period & operator+= (const Period &) Period & operator-= (const Period &) Period & operator/= (Integer) void normalize () Related Functions(Note that these are not member functions.) Real years…

QuantLib::PercentageStrikePayoff – Payoff with strike expressed as percentage Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member FunctionsPercentageStrikePayoff (Option::Type type, Real moneyness) Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed DescriptionPayoff with strike expressed as percentage Member Function Documentationstd::string name () const [virtual]Warning This method is used for output…

QuantLib::Payoff – Abstract base class for option payoffs. Synopsis#include <ql/payoff.hpp> Inherits std::unary_function<Real,Real>. Inherited by BasketPayoff, DoubleStickyRatchetPayoff, ForwardTypePayoff, NullPayoff, and TypePayoff. Public Member FunctionsPayoff interface virtual std::string name () const =0 virtual std::string description () const =0 virtual Real operator() (Real price) const =0 Visitability virtual void accept (AcyclicVisitor &) Detailed DescriptionAbstract base class for option…

QuantLib::PathwiseVegasAccountingEngine – Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas. Synopsis#include <ql/models/marketmodels/pathwiseaccountingengine.hpp> Public Member FunctionsPathwiseVegasAccountingEngine (const boost::shared_ptr< LogNormalFwdRateEuler > &evolver, const Clone< MarketModelPathwiseMultiProduct > &product, const boost::shared_ptr< MarketModel > &pseudoRootStructure, const std::vector< std::vector< Matrix > > &VegaBumps, Real initialNumeraireValue) void multiplePathValues (std::vector< Real > &means, std::vector< Real…

QuantLib::PathwiseAccountingEngine – Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas. Synopsis#include <ql/models/marketmodels/pathwiseaccountingengine.hpp> Public Member FunctionsPathwiseAccountingEngine (const boost::shared_ptr< LogNormalFwdRateEuler > &evolver, const Clone< MarketModelPathwiseMultiProduct > &product, const boost::shared_ptr< MarketModel > &pseudoRootStructure, Real initialNumeraireValue) void multiplePathValues (SequenceStatisticsInc &stats, Size numberOfPaths) Detailed DescriptionEngine collecting cash flows along a market-model simulation for doing…

QuantLib::PathPricer – base class for path pricers Synopsis#include <ql/methods/montecarlo/pathpricer.hpp> Inherits std::unary_function<PathType, ValueType>. Public Member Functionsvirtual ValueType operator() (const PathType &path) const =0 Detailed Descriptiontemplate<class PathType, class ValueType = Real> class QuantLib::PathPricer< PathType, ValueType >base class for path pricers Returns the value of an option on a given path. Examples: DiscreteHedging.cpp. AuthorGenerated automatically by Doxygen for…

QuantLib::PathPayoff – Abstract base class for path-dependent option payoffs. Synopsis#include <ql/experimental/mcbasket/pathpayoff.hpp> Inherits std::unary_function<Matrix,Array>. Public Member FunctionsPayoff interface virtual std::string name () const =0 virtual std::string description () const =0 virtual Real operator() (const Matrix &values) const =0 Visitability virtual void accept (AcyclicVisitor &) Detailed DescriptionAbstract base class for path-dependent option payoffs. Member Function Documentationvirtual std::string…

QuantLib::PathMultiAssetOption::arguments – Arguments for multi-asset option calculation Synopsis#include <ql/experimental/mcbasket/pathmultiassetoption.hpp> Inherits QuantLib::PricingEngine::arguments. Public Member Functionsvoid validate () const Public Attributesboost::shared_ptr< StochasticProcess > stochasticProcess boost::shared_ptr< PathPayoff > payoff std::vector< Date > fixingDates Detailed DescriptionArguments for multi-asset option calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::PathMultiAssetOption – Base class for path-dependent options on multiple assets. Synopsis#include <ql/experimental/mcbasket/pathmultiassetoption.hpp> Inherits QuantLib::Instrument. Classesclass arguments Arguments for multi-asset option calculation class results Results from multi-asset option calculation Public Member FunctionsPathMultiAssetOption (const boost::shared_ptr< StochasticProcess > &, const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >()) Instrument interfaceboost::shared_ptr< StochasticProcess > stochasticProcess_ bool isExpired () const returns whether the…

QuantLib::PathGenerator – Generates random paths using a sequence generator. Synopsis#include <ql/methods/montecarlo/pathgenerator.hpp> Public Typestypedef Sample< Path > sample_type Public Member FunctionsPathGenerator (const boost::shared_ptr< StochasticProcess > &, Time length, Size timeSteps, const GSG &generator, bool brownianBridge) PathGenerator (const boost::shared_ptr< StochasticProcess > &, const TimeGrid &timeGrid, const GSG &generator, bool brownianBridge) inspectors const sample_type & next () const…

QuantLib::Path – single-factor random walk Synopsis#include <ql/methods/montecarlo/path.hpp> Public Member FunctionsPath (const TimeGrid &timeGrid, const Array &values=Array()) inspectors bool empty () const Size length () const Real operator[] (Size i) const asset value at the $ i $-th point Real at (Size i) const Real & operator[] (Size i) Real & at (Size i) Real value…

QuantLib::Parameter – Base class for model arguments. Synopsis#include <ql/models/parameter.hpp> Inherited by ConstantParameter, NullParameter, PiecewiseConstantParameter, and TermStructureFittingParameter. Classesclass Impl Base class for model parameter implementation. Public Member Functionsconst Array & params () const void setParam (Size i, Real x) bool testParams (const Array &params) const Size size () const Real operator() (Time t) const const boost::shared_ptr<…

QuantLib::PagodaOption – Roofed Asian option on a number of assets. Synopsis#include <ql/instruments/pagodaoption.hpp> Inherits QuantLib::MultiAssetOption. Classesclass engine Pagoda-option engine base class Public Member FunctionsPagodaOption (const std::vector< Date > &fixingDates, Real roof, Real fraction) void setupArguments (PricingEngine::arguments *) const Protected Attributesstd::vector< Date > fixingDates_ Real roof_ Real fraction_ Detailed DescriptionRoofed Asian option on a number of assets….

QuantLib::OrthogonalizedBumpFinder – Synopsis#include <ql/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.hpp> Public Member FunctionsOrthogonalizedBumpFinder (const VegaBumpCollection &bumps, const std::vector< VolatilityBumpInstrumentJacobian::Swaption > &swaptions, const std::vector< VolatilityBumpInstrumentJacobian::Cap > &caps, Real multiplierCutOff, Real tolerance) void GetVegaBumps (std::vector< std::vector< Matrix > > &theBumps) const Detailed DescriptionPass in a market model, a list of instruments, and possible bumps. Get out pseudo-root bumps that shift each implied vol…

QuantLib::OrthogonalProjections – Synopsis#include <ql/math/matrixutilities/basisincompleteordered.hpp> Public Member FunctionsOrthogonalProjections (const Matrix &originalVectors, Real multiplierCutOff, Real tolerance) const std::vector< bool > & validVectors () const const std::vector< Real > & GetVector (Size index) const Size numberValidVectors () const Detailed DescriptionGiven a collection of vectors, w_i, find a collection of vectors x_i such that x_i is orthogonal to w_j…

QuantLib::OrnsteinUhlenbeckProcess – Ornstein-Uhlenbeck process class. Synopsis#include <ql/processes/ornsteinuhlenbeckprocess.hpp> Inherits QuantLib::StochasticProcess1D. Public Member FunctionsOrnsteinUhlenbeckProcess (Real speed, Volatility vol, Real x0=0.0, Real level=0.0) StochasticProcess interface Real x0 () const returns the initial value of the state variable Real speed () const Real volatility () const Real level () const Real drift (Time t, Real x) const returns the…

QuantLib::OptionletVolatilityStructure – Optionlet (caplet/floorlet) volatility structure. Synopsis#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by CapletVarianceCurve, ConstantOptionletVolatility, SpreadedOptionletVolatility, and StrippedOptionletAdapter. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. OptionletVolatilityStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) default constructor OptionletVolatilityStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) initialize with a fixed…

QuantLib::OptionletStripper2 – Synopsis#include <ql/termstructures/volatility/optionlet/optionletstripper2.hpp> Inherits QuantLib::OptionletStripper. Public Member FunctionsOptionletStripper2 (const boost::shared_ptr< OptionletStripper1 > &optionletStripper1, const Handle< CapFloorTermVolCurve > &atmCapFloorTermVolCurve) std::vector< Rate > atmCapFloorStrikes () const std::vector< Real > atmCapFloorPrices () const std::vector< Volatility > spreadsVol () const LazyObject interface void performCalculations () const Detailed DescriptionHelper class to extend an OptionletStripper1 object stripping additional optionlet (i.e….

QuantLib::OptionletStripper1 – Synopsis#include <ql/termstructures/volatility/optionlet/optionletstripper1.hpp> Inherits QuantLib::OptionletStripper. Public Member FunctionsOptionletStripper1 (const boost::shared_ptr< CapFloorTermVolSurface > &, const boost::shared_ptr< IborIndex > &index, Rate switchStrikes=Null< Rate >(), Real accuracy=1.0e-6, Natural maxIter=100) const Matrix & capFloorPrices () const const Matrix & capFloorVolatilities () const const Matrix & optionletPrices () const Rate switchStrike () const LazyObject interface void performCalculations () const…