SysTutorials Posts

QuantLib::MultiAssetOption – Base class for options on multiple assets. Synopsis#include <ql/instruments/multiassetoption.hpp> Inherits QuantLib::Option. Inherited by BasketOption, EverestOption, HimalayaOption, and PagodaOption. Classesclass results Results from multi-asset option calculation Public Member FunctionsMultiAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &) void setupArguments (PricingEngine::arguments *) const void fetchResults (const PricingEngine::results *) const Instrument interface bool isExpired…

QuantLib::MoroInverseCumulativeNormal – Moro Inverse cumulative normal distribution class. Synopsis#include <ql/math/distributions/normaldistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsMoroInverseCumulativeNormal (Real average=0.0, Real sigma=1.0) Real operator() (Real x) const Detailed DescriptionMoro Inverse cumulative normal distribution class. Given x between zero and one as the integral value of a gaussian normal distribution this class provides the value y such that formula…

QuantLib::MoreGreeks – more additional option results Synopsis#include <ql/option.hpp> Inherits QuantLib::PricingEngine::results. Inherited by results. Public Member Functionsvoid reset () Public AttributesReal itmCashProbability Real deltaForward Real elasticity Real thetaPerDay Real strikeSensitivity Detailed Descriptionmore additional option results AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::MonteCarloModel – General-purpose Monte Carlo model for path samples. Synopsis#include <ql/methods/montecarlo/montecarlomodel.hpp> Public Typestypedef MC< RNG > mc_traits typedef RNG rng_traits typedef MC< RNG >::path_generator_type path_generator_type typedef MC< RNG >::path_pricer_type path_pricer_type typedef path_generator_type::sample_type sample_type typedef path_pricer_type::result_type result_type typedef S stats_type Public Member FunctionsMonteCarloModel (const boost::shared_ptr< path_generator_type > &pathGenerator, const boost::shared_ptr< path_pricer_type > &pathPricer, const stats_type &sampleAccumulator,…

QuantLib::MonteCarloCDOEngine2 – CDO engine, Monte Carlo for the sample payoff. Synopsis#include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits QuantLib::SyntheticCDO::engine. Public Member FunctionsMonteCarloCDOEngine2 (boost::shared_ptr< RandomDefaultModel > rdm, Size samples) void calculate () const Detailed DescriptionCDO engine, Monte Carlo for the sample payoff. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::MonteCarloCDOEngine1 – CDO engine, Monte Carlo for the exptected tranche loss distribution. Synopsis#include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits QuantLib::MidPointCDOEngine. Public Member FunctionsMonteCarloCDOEngine1 (boost::shared_ptr< RandomDefaultModel > rdm, Size samples) Detailed DescriptionCDO engine, Monte Carlo for the exptected tranche loss distribution. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Money – amount of cash Synopsis#include <ql/money.hpp> Public Member FunctionsConstructors 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 of the…

QuantLib::MixedScheme – Mixed (explicit/implicit) scheme for finite difference methods. Synopsis#include <ql/methods/finitedifferences/mixedscheme.hpp> Public Typestypedef OperatorTraits< Operator > traits typedef traits::operator_type operator_type typedef traits::array_type array_type typedef traits::bc_set bc_set typedef traits::condition_type condition_type Public Member FunctionsMixedScheme (const operator_type &L, Real theta, const bc_set &bcs) void step (array_type &a, Time t) void setStep (Time dt) Protected Attributesoperator_type L_ operator_type I_…

QuantLib::MidPointCDOEngine – CDO base engine taking schedule steps. Synopsis#include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits QuantLib::SyntheticCDO::engine. Inherited by MonteCarloCDOEngine1. Public Member FunctionsMidPointCDOEngine (Period stepSize=0 *Days) void calculate () const Detailed DescriptionCDO base engine taking schedule steps. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Mexico – Mexican calendars Synopsis#include <ql/time/calendars/mexico.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { BMV } Public Member FunctionsMexico (Market m=BMV) Detailed DescriptionMexican calendars Holidays for the Mexican stock exchange (data from <http://www.bmv.com.mx/>): * Saturdays * Sundays * New Year’s Day, January 1st * Constitution Day, February 5th * Birthday of Benito Juarez, March 21st * Holy…

QuantLib::Merton76Process – Merton-76 jump-diffusion process. Synopsis#include <ql/processes/merton76process.hpp> Inherits QuantLib::StochasticProcess1D. Public Member FunctionsMerton76Process (const Handle< Quote > &stateVariable, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const Handle< Quote > &jumpInt, const Handle< Quote > &logJMean, const Handle< Quote > &logJVol, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization))…

QuantLib::MersenneTwisterUniformRng – Uniform random number generator. Synopsis#include <ql/math/randomnumbers/mt19937uniformrng.hpp> Public Typestypedef Sample< Real > sample_type Public Member FunctionsMersenneTwisterUniformRng (unsigned long seed=0) MersenneTwisterUniformRng (const std::vector< unsigned long > &seeds) sample_type next () const unsigned long nextInt32 () const return a random number on [0,0xffffffff]-interval Detailed DescriptionUniform random number generator. Mersenne Twister random number generator of period 2**19937-1…

QuantLib::McSimulation – base class for Monte Carlo engines Synopsis#include <ql/pricingengines/mcsimulation.hpp> Public Typestypedef MonteCarloModel< MC, RNG, S >::path_generator_type path_generator_type typedef MonteCarloModel< MC, RNG, S >::path_pricer_type path_pricer_type typedef MonteCarloModel< MC, RNG, S >::stats_type stats_type typedef MonteCarloModel< MC, RNG, S >::result_type result_type Public Member Functionsresult_type value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const add samples until the required…

QuantLib::McPricer – base class for Monte Carlo pricers Synopsis#include <ql/legacy/pricers/mcpricer.hpp> Public Member FunctionsReal value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const add samples until the required tolerance is reached Real valueWithSamples (Size samples, Size minSamples=1023) const simulate a fixed number of samples Real errorEstimate () const estimated error of the samples simulated so far const…

QuantLib::McCliquetOption – simple example of Monte Carlo pricer Synopsis#include <ql/legacy/pricers/mccliquetoption.hpp> Inherits McPricer< SingleVariate, PseudoRandom >. Public Member FunctionsMcCliquetOption (Option::Type type, Real underlying, Real moneyness, const Handle< YieldTermStructure > &dividendYield, const Handle< YieldTermStructure > &riskFreeRate, const Handle< BlackVolTermStructure > &volatility, const std::vector< Time > &times, Real accruedCoupon, Real lastFixing, Real localCap, Real localFloor, Real globalCap, Real…

QuantLib::Matrix – Matrix used in linear algebra. Synopsis#include <ql/math/matrix.hpp> Inherited by Disposable< Matrix >. Public Typestypedef Real * iterator typedef const Real * const_iterator typedef boost::reverse_iterator< iterator > reverse_iterator typedef boost::reverse_iterator< const_iterator > const_reverse_iterator typedef Real * row_iterator typedef const Real * const_row_iterator typedef boost::reverse_iterator< row_iterator > reverse_row_iterator typedef boost::reverse_iterator< const_row_iterator > const_reverse_row_iterator typedef step_iterator<…

QuantLib::MarketModelVolProcess – Synopsis#include <ql/models/marketmodels/evolvers/marketmodelvolprocess.hpp> Inherited by SquareRootAndersen. Public Member Functionsvirtual Size variatesPerStep ()=0 virtual Size numberSteps ()=0 virtual void nextPath ()=0 virtual Real nextstep (const std::vector< Real > &variates)=0 virtual Real stepSd () const =0 virtual std::vector< Real > & stateVariables () const =0 virtual Size numberStateVariables () const =0 Detailed DescriptionDisplaced diffusion LMM with…

QuantLib::MarketModelPathwiseMultiProduct – market-model pathwise product Synopsis#include <ql/models/marketmodels/pathwisemultiproduct.hpp> Inherited by MarketModelPathwiseCoterminalSwaptionsDeflated, MarketModelPathwiseCoterminalSwaptionsNumericalDeflated, MarketModelPathwiseMultiCaplet, MarketModelPathwiseMultiDeflatedCap, and MarketModelPathwiseMultiDeflatedCaplet. Public Member Functionsvirtual std::vector< Size > suggestedNumeraires () const =0 virtual const EvolutionDescription & evolution () const =0 virtual std::vector< Time > possibleCashFlowTimes () const =0 virtual Size numberOfProducts () const =0 virtual Size maxNumberOfCashFlowsPerProductPerStep () const =0 virtual bool…

QuantLib::MarketModelPathwiseMultiDeflatedCap – Synopsis#include <ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.hpp> Inherits QuantLib::MarketModelPathwiseMultiProduct. Public Member FunctionsMarketModelPathwiseMultiDeflatedCap (const std::vector< Time > &rateTimes, const std::vector< Real > &accruals, const std::vector< Time > &paymentTimes, Rate strike, const std::vector< std::pair< Size, Size > > &startsAndEnds) virtual std::vector< Size > suggestedNumeraires () const virtual const EvolutionDescription & evolution () const virtual std::vector< Time > possibleCashFlowTimes () const…

QuantLib::MarketModelPathwiseMultiCaplet – market-model pathwise caplet Synopsis#include <ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.hpp> Inherits QuantLib::MarketModelPathwiseMultiProduct. Public Member FunctionsMarketModelPathwiseMultiCaplet (const std::vector< Time > &rateTimes, const std::vector< Real > &accruals, const std::vector< Time > &paymentTimes, const std::vector< Rate > &strikes) virtual std::vector< Size > suggestedNumeraires () const virtual const EvolutionDescription & evolution () const virtual std::vector< Time > possibleCashFlowTimes () const virtual Size…