SysTutorials Posts

QuantLib::MakeCapFloor – helper class Synopsis#include <ql/instruments/makecapfloor.hpp> Public Member FunctionsMakeCapFloor (CapFloor::Type capFloorType, const Period &capFloorTenor, const boost::shared_ptr< IborIndex > &iborIndex, Rate strike=Null< Rate >(), const Period &forwardStart=0 *Days) operator CapFloor () const operator boost::shared_ptr< CapFloor > () const MakeCapFloor & withNominal (Real n) MakeCapFloor & withEffectiveDate (const Date &effectiveDate, bool firstCapletExcluded) MakeCapFloor & withTenor (const Period…

QuantLib::MTBrownianGenerator – Mersenne-twister Brownian generator for market-model simulations. Synopsis#include <ql/models/marketmodels/browniangenerators/mtbrowniangenerator.hpp> Inherits QuantLib::BrownianGenerator. Public Member FunctionsMTBrownianGenerator (Size factors, Size steps, unsigned long seed=0) Real nextStep (std::vector< Real > &) Real nextPath () Size numberOfFactors () const Size numberOfSteps () const Detailed DescriptionMersenne-twister Brownian generator for market-model simulations. Incremental Brownian generator using a Mersenne-twister uniform generator and…

QuantLib::MCVarianceSwapEngine – Variance-swap pricing engine using Monte Carlo simulation,. Synopsis#include <ql/pricingengines/forward/mcvarianceswapengine.hpp> Inherits QuantLib::VarianceSwap::engine, and McSimulation< SingleVariate, RNG, S >. Public Typestypedef McSimulation< SingleVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< SingleVariate, RNG, S >::stats_type stats_type Public Member FunctionsMCVarianceSwapEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge,…

QuantLib::MCVanillaEngine – Pricing engine for vanilla options using Monte Carlo simulation. Synopsis#include <ql/pricingengines/vanilla/mcvanillaengine.hpp> Inherits Inst::engine, and McSimulation< MC, RNG, S >. Public Member Functionsvoid calculate () const Protected Typestypedef McSimulation< MC, RNG, S >::path_generator_type path_generator_type typedef McSimulation< MC, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< MC, RNG, S >::stats_type stats_type typedef McSimulation< MC, RNG, S >::result_type…

QuantLib::MCPerformanceEngine – Pricing engine for performance options using Monte Carlo simulation. Synopsis#include <ql/pricingengines/cliquet/mcperformanceengine.hpp> Inherits QuantLib::CliquetOption::engine, and McSimulation< SingleVariate, RNG, S >. Public Typestypedef McSimulation< SingleVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< SingleVariate, RNG, S >::stats_type stats_type Public Member FunctionsMCPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool brownianBridge, bool antitheticVariate,…

QuantLib::MCPathBasketEngine – Pricing engine for path dependent basket options using Monte Carlo simulation. Synopsis#include <ql/experimental/mcbasket/mcpathbasketengine.hpp> Inherits QuantLib::PathMultiAssetOption::engine, and McSimulation< MultiVariate, RNG, S >. Public Typestypedef McSimulation< MultiVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< MultiVariate, RNG, S >::stats_type stats_type Public Member FunctionsMCPathBasketEngine (Size timeSteps, bool brownianBridge, bool antitheticVariate, bool…

QuantLib::MCPagodaEngine – Pricing engine for pagoda options using Monte Carlo simulation. Synopsis#include <ql/pricingengines/basket/mcpagodaengine.hpp> Inherits QuantLib::PagodaOption::engine, and McSimulation< MultiVariate, RNG, S >. Public Typestypedef McSimulation< MultiVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< MultiVariate, RNG, S >::stats_type stats_type Public Member FunctionsMCPagodaEngine (const boost::shared_ptr< StochasticProcessArray > &, bool brownianBridge, bool antitheticVariate,…

QuantLib::MCLongstaffSchwartzEngine – Longstaff-Schwarz Monte Carlo engine for early exercise options. Synopsis#include <ql/pricingengines/mclongstaffschwartzengine.hpp> Inherits QuantLib::GenericEngine, and McSimulation< MC, RNG, S >. Public Typestypedef MC< RNG >::path_type path_type typedef McSimulation< MC, RNG, S >::stats_type stats_type typedef McSimulation< MC, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< MC, RNG, S >::path_generator_type path_generator_type Public Member FunctionsMCLongstaffSchwartzEngine (const boost::shared_ptr< StochasticProcess > &process,…

QuantLib::MCHullWhiteCapFloorEngine – Monte Carlo Hull-White engine for cap/floors. Synopsis#include <ql/pricingengines/capfloor/mchullwhiteengine.hpp> Inherits QuantLib::CapFloor::engine, and McSimulation< SingleVariate, RNG, S >. Public Typestypedef simulation::path_generator_type path_generator_type typedef simulation::path_pricer_type path_pricer_type typedef simulation::stats_type stats_type Public Member FunctionsMCHullWhiteCapFloorEngine (const boost::shared_ptr< HullWhite > &model, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) void calculate () const Protected Member Functionsboost::shared_ptr<…

QuantLib::MCEuropeanHestonEngine – Monte Carlo Heston-model engine for European options. Synopsis#include <ql/pricingengines/vanilla/mceuropeanhestonengine.hpp> Inherits MCVanillaEngine< MultiVariate, RNG, S >. Public Typestypedef MCVanillaEngine< MultiVariate, RNG, S >::path_pricer_type path_pricer_type Public Member FunctionsMCEuropeanHestonEngine (const boost::shared_ptr< HestonProcess > &, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) Protected Member Functionsboost::shared_ptr< path_pricer_type > pathPricer () const…

QuantLib::MCEuropeanGJRGARCHEngine – Monte Carlo GJR-GARCH-model engine for European options. Synopsis#include <ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp> Inherits MCVanillaEngine< MultiVariate, RNG, S >. Public Typestypedef MCVanillaEngine< MultiVariate, RNG, S >::path_pricer_type path_pricer_type Public Member FunctionsMCEuropeanGJRGARCHEngine (const boost::shared_ptr< GJRGARCHProcess > &, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) Protected Member Functionsboost::shared_ptr< path_pricer_type > pathPricer () const…

QuantLib::MCEuropeanEngine – European option pricing engine using Monte Carlo simulation. Synopsis#include <ql/pricingengines/vanilla/mceuropeanengine.hpp> Inherits MCVanillaEngine< SingleVariate, RNG, S >. Public Typestypedef MCVanillaEngine< SingleVariate, RNG, S >::path_generator_type path_generator_type typedef MCVanillaEngine< SingleVariate, RNG, S >::path_pricer_type path_pricer_type typedef MCVanillaEngine< SingleVariate, RNG, S >::stats_type stats_type Public Member FunctionsMCEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool…

QuantLib::MCDiscreteGeometricAPEngine – Monte Carlo pricing engine for discrete geometric average price Asian. Synopsis#include <ql/pricingengines/asian/mc_discr_geom_av_price.hpp> Inherits MCDiscreteAveragingAsianEngine< RNG, S >. Public Typestypedef MCDiscreteAveragingAsianEngine< RNG, S >::path_generator_type path_generator_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_pricer_type path_pricer_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::stats_type stats_type Public Member FunctionsMCDiscreteGeometricAPEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size…

QuantLib::MCDiscreteAveragingAsianEngine – Pricing engine for discrete average Asians using Monte Carlo simulation. Synopsis#include <ql/pricingengines/asian/mcdiscreteasianengine.hpp> Inherits QuantLib::DiscreteAveragingAsianOption::engine, and McSimulation< SingleVariate, RNG, S >. Public Typestypedef McSimulation< SingleVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< SingleVariate, RNG, S >::stats_type stats_type Public Member FunctionsMCDiscreteAveragingAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepsPerYear, bool…

QuantLib::MCDiscreteArithmeticASEngine – Monte Carlo pricing engine for discrete arithmetic average-strike Asian. Synopsis#include <ql/pricingengines/asian/mc_discr_arith_av_strike.hpp> Inherits MCDiscreteAveragingAsianEngine< RNG, S >. Public Typestypedef MCDiscreteAveragingAsianEngine< RNG, S >::path_generator_type path_generator_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_pricer_type path_pricer_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::stats_type stats_type Public Member FunctionsMCDiscreteArithmeticASEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples,…

QuantLib::MCDiscreteArithmeticAPEngine – Monte Carlo pricing engine for discrete arithmetic average price Asian. Synopsis#include <ql/pricingengines/asian/mc_discr_arith_av_price.hpp> Inherits MCDiscreteAveragingAsianEngine< RNG, S >. Public Typestypedef MCDiscreteAveragingAsianEngine< RNG, S >::path_generator_type path_generator_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_pricer_type path_pricer_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::stats_type stats_type Public Member FunctionsMCDiscreteArithmeticAPEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size…

QuantLib::MCDigitalEngine – Pricing engine for digital options using Monte Carlo simulation. Synopsis#include <ql/pricingengines/vanilla/mcdigitalengine.hpp> Inherits MCVanillaEngine< SingleVariate, RNG, S >. Public Typestypedef MCVanillaEngine< SingleVariate, RNG, S >::path_generator_type path_generator_type typedef MCVanillaEngine< SingleVariate, RNG, S >::path_pricer_type path_pricer_type typedef MCVanillaEngine< SingleVariate, RNG, S >::stats_type stats_type Public Member FunctionsMCDigitalEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge,…

QuantLib::MCBasketEngine – Pricing engine for basket options using Monte Carlo simulation. Synopsis#include <ql/pricingengines/basket/mcbasketengine.hpp> Inherits QuantLib::BasketOption::engine, and McSimulation< MultiVariate, RNG, S >. Public Typestypedef McSimulation< MultiVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< MultiVariate, RNG, S >::stats_type stats_type Public Member FunctionsMCBasketEngine (const boost::shared_ptr< StochasticProcessArray > &, Size maxTimeStepsPerYear, bool brownianBridge,…

QuantLib::MCBarrierEngine – Pricing engine for barrier options using Monte Carlo simulation. Synopsis#include <ql/pricingengines/barrier/mcbarrierengine.hpp> Inherits QuantLib::BarrierOption::engine, and McSimulation< SingleVariate, RNG, S >. Public Typestypedef McSimulation< SingleVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< SingleVariate, RNG, S >::stats_type stats_type Public Member FunctionsMCBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepsPerYear, bool brownianBridge,…

QuantLib::MCAmericanEngine – American Monte Carlo engine. Synopsis#include <ql/pricingengines/vanilla/mcamericanengine.hpp> Inherits MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S >. Public Member FunctionsMCAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size polynomOrder, LsmBasisSystem::PolynomType polynomType, Size nCalibrationSamples=Null< Size >()) Protected Member Functionsboost::shared_ptr< LongstaffSchwartzPathPricer< Path > > lsmPathPricer…