SysTutorials Posts

QuantLib::ExtendedTrigeorgis – Trigeorgis (additive equal jumps) binomial tree Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedEqualJumpsBinomialTree< ExtendedTrigeorgis >. Public Member FunctionsExtendedTrigeorgis (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Protected Member FunctionsReal dxStep (Time stepTime) const Real probUp (Time stepTime) const Detailed DescriptionTrigeorgis (additive equal jumps) binomial tree AuthorGenerated automatically by Doxygen for QuantLib from the…

QuantLib::ExtendedTian – Tian tree: third moment matching, multiplicative approach Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< ExtendedTian >. Public Member FunctionsExtendedTian (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Real underlying (Size i, Size index) const Real probability (Size, Size, Size branch) const Protected AttributesReal up_ Real down_ Real pu_ Real pd_ Detailed DescriptionTian tree:…

QuantLib::ExtendedLeisenReimer – Leisen & Reimer tree: multiplicative approach. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< ExtendedLeisenReimer >. Public Member FunctionsExtendedLeisenReimer (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Real underlying (Size i, Size index) const Real probability (Size, Size, Size branch) const Protected AttributesTime end_ Size oddSteps_ Real strike_ Real up_ Real down_ Real pu_…

QuantLib::ExtendedJarrowRudd – Jarrow-Rudd (multiplicative) equal probabilities binomial tree. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd >. Public Member FunctionsExtendedJarrowRudd (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Protected Member FunctionsReal upStep (Time stepTime) const Detailed DescriptionJarrow-Rudd (multiplicative) equal probabilities binomial tree. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ExtendedEqualProbabilitiesBinomialTree – Base class for equal probabilities binomial tree. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< T >. Public Member FunctionsExtendedEqualProbabilitiesBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) Real underlying (Size i, Size index) const Real probability (Size, Size, Size) const Protected Member Functionsvirtual Real upStep (Time stepTime) const =0 Protected AttributesReal up_ Detailed Descriptiontemplate<class T>…

QuantLib::ExtendedEqualJumpsBinomialTree – Base class for equal jumps binomial tree. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedBinomialTree< T >. Public Member FunctionsExtendedEqualJumpsBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) Real underlying (Size i, Size index) const Real probability (Size i, Size, Size branch) const Protected Member Functionsvirtual Real probUp (Time stepTime) const =0 virtual Real dxStep (Time…

QuantLib::ExtendedDiscountCurve – Term structure based on loglinear interpolation of discount factors. Synopsis#include <ql/legacy/termstructures/extendeddiscountcurve.hpp> Inherits QuantLib::InterpolatedDiscountCurve< LogLinear >. Public Member FunctionsExtendedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const Calendar &calendar, const BusinessDayConvention conv, const DayCounter &dayCounter) BusinessDayConvention businessDayConvention () const void update () Rate compoundForward (const Date &d1, Integer f, bool extrapolate=false)…

QuantLib::ExtendedCoxRossRubinstein – Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedEqualJumpsBinomialTree< ExtendedCoxRossRubinstein >. Public Member FunctionsExtendedCoxRossRubinstein (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Protected Member FunctionsReal dxStep (Time stepTime) const Real probUp (Time stepTime) const Detailed DescriptionCox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. AuthorGenerated automatically by Doxygen for QuantLib from the…

QuantLib::ExtendedCoxIngersollRoss::FittingParameter – Analytical term-structure fitting parameter $ te/onefactormodels/extendedcoxingersollross.hpp> Inherits QuantLib::TermStructureFittingParameter. Public Member FunctionsFittingParameter (const Handle< YieldTermStructure > &termStructure, Real theta, Real k, Real sigma, Real x0) Detailed DescriptionAnalytical term-structure fitting parameter $ lytically defined by [ c{2k heta(e^{th}-1)}{2h+(k+h)(e^{th}-1)} – ac{4 x_0 h^2 e^{th}}{(2h+(k+h)(e^{th}-1))^1}, ] where $ f(t) $ is the instantaneous forward rate at $…

QuantLib::ExtendedCoxIngersollRoss::Dynamics – Short-rate dynamics in the extended Cox-Ingersoll-Ross model. Synopsis#include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp> Inherits QuantLib::CoxIngersollRoss::Dynamics. Public Member FunctionsDynamics (const Parameter &phi, Real theta, Real k, Real sigma, Real x0) virtual Real variable (Time t, Rate r) const Compute state variable from short rate. virtual Real shortRate (Time t, Real y) const Compute short rate from state variable….

QuantLib::ExtendedCoxIngersollRoss – Extended Cox-Ingersoll-Ross model class. Synopsis#include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp> Inherits QuantLib::CoxIngersollRoss, and QuantLib::TermStructureConsistentModel. Classesclass Dynamics Short-rate dynamics in the extended Cox-Ingersoll-Ross model. class FittingParameter Analytical term-structure fitting parameter $ ndle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05)" Public Member FunctionsExtendedCoxIngersollRoss (const Handle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real…

QuantLib::ExtendedBlackVarianceSurface – Black volatility surface modelled as variance surface. Synopsis#include <ql/experimental/volatility/extendedblackvariancesurface.hpp> Inherits QuantLib::BlackVarianceTermStructure. Public Typesenum Extrapolation { ConstantExtrapolation, InterpolatorDefaultExtrapolation } Public Member FunctionsExtendedBlackVarianceSurface (const Date &referenceDate, const Calendar &calendar, const std::vector< Date > &dates, const std::vector< Real > &strikes, const std::vector< Handle< Quote > > &volatilities, const DayCounter &dayCounter, Extrapolation lowerExtrapolation=InterpolatorDefaultExtrapolation, Extrapolation upperExtrapolation=InterpolatorDefaultExtrapolation) DayCounter dayCounter…

QuantLib::ExtendedBlackVarianceCurve – Black volatility curve modelled as variance curve. Synopsis#include <ql/experimental/volatility/extendedblackvariancecurve.hpp> Inherits QuantLib::BlackVarianceTermStructure. Public Member FunctionsExtendedBlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Handle< Quote > > &volatilities, const DayCounter &dayCounter, bool forceMonotoneVariance=true) DayCounter dayCounter () const the day counter used for date/time conversion Date maxDate () const the latest date for…

QuantLib::ExtendedBlackScholesMertonProcess – experimental Black-Scholes-Merton stochastic process Synopsis#include <ql/experimental/processes/extendedblackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Typesenum Discretization { Euler, Milstein, PredictorCorrector } Public Member FunctionsExtendedBlackScholesMertonProcess (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), Discretization evolDisc=Milstein) Real drift (Time t,…

QuantLib::ExtendedBinomialTree – Binomial tree base class. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits Tree< T >. Public Typesenum Branches { branches = 2 } Public Member FunctionsExtendedBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) Size size (Size i) const Size descendant (Size, Size index, Size branch) const Protected Member FunctionsReal driftStep (Time driftTime) const Protected AttributesReal x0_…

QuantLib::ExtendedAdditiveEQPBinomialTree – Additive equal probabilities binomial tree. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedEqualProbabilitiesBinomialTree< ExtendedAdditiveEQPBinomialTree >. Public Member FunctionsExtendedAdditiveEQPBinomialTree (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Protected Member FunctionsReal upStep (Time stepTime) const Detailed DescriptionAdditive equal probabilities binomial tree. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ExponentialSplinesFitting – Exponential-splines fitting method. Synopsis#include <ql/termstructures/yield/nonlinearfittingmethods.hpp> Inherits QuantLib::FittedBondDiscountCurve::FittingMethod. Public Member FunctionsExponentialSplinesFitting (bool constrainAtZero=true) std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const clone of the current object Detailed DescriptionExponential-splines fitting method. Fits a discount function to the exponential form [ d(t) = um_{i=1}^9 c_i \xp^{-kappa i t} ] where the constants $ c_i $ and $ ppa…

QuantLib::ExplicitEuler – Forward Euler scheme for finite difference methods Synopsis#include <ql/methods/finitedifferences/expliciteuler.hpp> Inherits MixedScheme< Operator >. Public Typestypedef OperatorTraits< Operator > traits typedef traits::operator_type operator_type typedef traits::array_type array_type typedef traits::bc_type bc_type typedef traits::bc_set bc_set typedef traits::condition_type condition_type Public Member FunctionsExplicitEuler (const operator_type &L, const std::vector< boost::shared_ptr< bc_type > > &bcs) Detailed Descriptiontemplate<class Operator> class QuantLib::ExplicitEuler< Operator…

QuantLib::Exercise – Base exercise class. Synopsis#include <ql/exercise.hpp> Inherited by EarlyExercise, and EuropeanExercise. Public Typesenum Type { American, Bermudan, European } Public Member FunctionsExercise (Type type) Type type () const Date date (Size index) const const std::vector< Date > & dates () const Returns all exercise dates. Date lastDate () const Protected Attributesstd::vector< Date > dates_…

QuantLib::ExchangeRateManager – exchange-rate repository Synopsis#include <ql/currencies/exchangeratemanager.hpp> Inherits Singleton< ExchangeRateManager >. Public Member Functionsvoid add (const ExchangeRate &, const Date &startDate=Date::minDate(), const Date &endDate=Date::maxDate()) Add an exchange rate. ExchangeRate lookup (const Currency &source, const Currency &target, Date date=Date(), ExchangeRate::Type type=ExchangeRate::Derived) const void clear () remove the added exchange rates Friendsclass Singleton< ExchangeRateManager > Detailed Descriptionexchange-rate repository…