SysTutorials Posts

QuantLib::AssetSwap – Bullet bond vs Libor swap. Synopsis#include <ql/instruments/assetswap.hpp> Inherits QuantLib::Swap. Classesclass arguments Arguments for asset swap calculation class results Results from simple swap calculation Public Member FunctionsAssetSwap (bool payFixedRate, const boost::shared_ptr< Bond > &bond, Real bondCleanPrice, const boost::shared_ptr< IborIndex > &index, Spread spread, const Handle< YieldTermStructure > &discountCurve, const Schedule &floatSchedule=Schedule(), const DayCounter &floatingDayCount=DayCounter(),…

QuantLib::AssetOrNothingPayoff – Binary asset-or-nothing payoff. Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member FunctionsAssetOrNothingPayoff (Option::Type type, Real strike) Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed DescriptionBinary asset-or-nothing payoff. Definitions of Binary path-independent payoffs used below, can be found in M. Rubinstein, E. Reiner:’Unscrambling The Binary Code’, Risk,…

QuantLib::Array – 1-D array used in linear algebra. Synopsis#include <ql/math/array.hpp> Public Typestypedef Real value_type typedef Real * iterator typedef const Real * const_iterator typedef boost::reverse_iterator< iterator > reverse_iterator typedef boost::reverse_iterator< const_iterator > const_reverse_iterator Public Member FunctionsConstructors, destructor, and assignment Array (Size size=0) creates the array with the given dimension Array (Size size, Real value) creates…

QuantLib::ArmijoLineSearch – Armijo line search. Synopsis#include <ql/math/optimization/armijo.hpp> Inherits QuantLib::LineSearch. Public Member FunctionsArmijoLineSearch (Real eps=1e-8, Real alpha=0.05, Real beta=0.65) Default constructor. Real operator() (Problem &P, EndCriteria::Type &ecType, const EndCriteria &, const Real t_ini) Perform line search. Detailed DescriptionArmijo line search. Let $ lpha $ and $ 2 scalars in $ [0,1] $. Let $ x $…

QuantLib::Argentina – Argentinian calendars. Synopsis#include <ql/time/calendars/argentina.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { Merval } Public Member FunctionsArgentina (Market m=Merval) Detailed DescriptionArgentinian calendars. Holidays for the Buenos Aires stock exchange (data from <http://www.merval.sba.com.ar/>): * Saturdays * Sundays * New Year’s Day, January 1st * Holy Thursday * Good Friday * Labour Day, May 1st * May…

QuantLib::AnalyticPerformanceEngine – Pricing engine for performance options using analytical formulae. Synopsis#include <ql/pricingengines/cliquet/analyticperformanceengine.hpp> Inherits QuantLib::CliquetOption::engine. Public Member FunctionsAnalyticPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed DescriptionPricing engine for performance options using analytical formulae. Tests the correctness of the returned greeks is tested by reproducing numerical derivatives.AuthorGenerated automatically by Doxygen for QuantLib from the…

QuantLib::AnalyticHestonHullWhiteEngine – Analytic Heston engine incl. stochastic interest rates. Synopsis#include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp> Inherits QuantLib::AnalyticHestonEngine. Public Member FunctionsAnalyticHestonHullWhiteEngine (const boost::shared_ptr< HestonModel > &hestonModel, const boost::shared_ptr< HullWhite > &hullWhiteModel, Size integrationOrder=144) AnalyticHestonHullWhiteEngine (const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhite > &hullWhiteModel, Real relTolerance, Size maxEvaluations) void update () void calculate () const Protected Member Functionsstd::complex< Real >…

QuantLib::AnalyticHestonEngine – analytic Heston-model engine based on Fourier transform Synopsis#include <ql/pricingengines/vanilla/analytichestonengine.hpp> Inherits GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results >. Inherited by AnalyticHestonHullWhiteEngine, BatesDoubleExpEngine, and BatesEngine. Public Typesenum ComplexLogFormula { Gatheral, BranchCorrection } Public Member FunctionsAnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, Real relTolerance, Size maxEvaluations) AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, Size integrationOrder=144) AnalyticHestonEngine (const boost::shared_ptr< HestonModel >…

QuantLib::AnalyticHaganPricer – CMS-coupon pricer. Synopsis#include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::HaganPricer. Public Member FunctionsAnalyticHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion) Protected Member FunctionsReal optionletPrice (Option::Type optionType, Real strike) const Real swapletPrice () const Detailed DescriptionCMS-coupon pricer. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::AnalyticGJRGARCHEngine – GJR-GARCH(1,1) engine. Synopsis#include <ql/pricingengines/vanilla/analyticgjrgarchengine.hpp> Inherits GenericModelEngine< GJRGARCHModel, VanillaOption::arguments, VanillaOption::results >. Public Member FunctionsAnalyticGJRGARCHEngine (const boost::shared_ptr< GJRGARCHModel > &model) void calculate () const Detailed DescriptionGJR-GARCH(1,1) engine. References: Jin-Chuan Duan, Genevieve Gauthier, Jean-Guy Simonato, Caroline Sasseville, 2006. Approximating the GJR-GARCH and EGARCH option pricing models analytically Journal of Computational Finance, Volume 9, Number 3, Spring…

QuantLib::AnalyticEuropeanEngine – Pricing engine for European vanilla options using analytical formulae. Synopsis#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp> Inherits VanillaOption::engine. Public Member FunctionsAnalyticEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Detailed DescriptionPricing engine for European vanilla options using analytical formulae. Tests * the correctness of the returned value is tested by reproducing results available in literature. * the…

QuantLib::AnalyticDividendEuropeanEngine – Analytic pricing engine for European options with discrete dividends. Synopsis#include <ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp> Inherits QuantLib::DividendVanillaOption::engine. Public Member FunctionsAnalyticDividendEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Detailed DescriptionAnalytic pricing engine for European options with discrete dividends. Tests the correctness of the returned greeks is tested by reproducing numerical derivatives.AuthorGenerated automatically by Doxygen for QuantLib…

QuantLib::AnalyticDiscreteGeometricAveragePriceAsianEngine – Pricing engine for European discrete geometric average price Asian. Synopsis#include <ql/pricingengines/asian/analytic_discr_geom_av_price.hpp> Inherits QuantLib::DiscreteAveragingAsianOption::engine. Public Member FunctionsAnalyticDiscreteGeometricAveragePriceAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed DescriptionPricing engine for European discrete geometric average price Asian. This class implements a discrete geometric average price Asian option, with European exercise. The formula is from ‘Asian…

QuantLib::AnalyticDigitalAmericanEngine – Analytic pricing engine for American vanilla options with digital payoff. Synopsis#include <ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp> Inherits QuantLib::OneAssetOption::engine. Public Member FunctionsAnalyticDigitalAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Detailed DescriptionAnalytic pricing engine for American vanilla options with digital payoff. Possible enhancements add more greeks (as of now only delta and rho available) Tests * the…

QuantLib::AnalyticContinuousGeometricAveragePriceAsianEngine – Pricing engine for European continuous geometric average price Asian. Synopsis#include <ql/pricingengines/asian/analytic_cont_geom_av_price.hpp> Inherits QuantLib::ContinuousAveragingAsianOption::engine. Public Member FunctionsAnalyticContinuousGeometricAveragePriceAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed DescriptionPricing engine for European continuous geometric average price Asian. This class implements a continuous geometric average price Asian option with European exercise. The formula is from ‘Option…

QuantLib::AnalyticContinuousFloatingLookbackEngine – Pricing engine for European continuous floating-strike lookback. Synopsis#include <ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp> Inherits QuantLib::ContinuousFloatingLookbackOption::engine. Public Member FunctionsAnalyticContinuousFloatingLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed DescriptionPricing engine for European continuous floating-strike lookback. Formula from ‘Option Pricing Formulas’, E.G. Haug, McGraw-Hill, 1998, p.61-62 Tests returned values verified against results from literatureAuthorGenerated automatically by Doxygen for…

QuantLib::AnalyticContinuousFixedLookbackEngine – Pricing engine for European continuous fixed-strike lookback. Synopsis#include <ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp> Inherits QuantLib::ContinuousFixedLookbackOption::engine. Public Member FunctionsAnalyticContinuousFixedLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed DescriptionPricing engine for European continuous fixed-strike lookback. Formula from ‘Option Pricing Formulas’, E.G. Haug, McGraw-Hill, 1998, p.63-64 Tests returned values are verified against results from literatureAuthorGenerated automatically by Doxygen…

QuantLib::AnalyticCliquetEngine – Pricing engine for Cliquet options using analytical formulae. Synopsis#include <ql/pricingengines/cliquet/analyticcliquetengine.hpp> Inherits QuantLib::CliquetOption::engine. Public Member FunctionsAnalyticCliquetEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed DescriptionPricing engine for Cliquet options using analytical formulae. Tests * the correctness of the returned value is tested by reproducing results available in literature. * the correctness of…

QuantLib::AnalyticCapFloorEngine – Analytic engine for cap/floor. Synopsis#include <ql/pricingengines/capfloor/analyticcapfloorengine.hpp> Inherits GenericModelEngine< AffineModel, CapFloor::arguments, CapFloor::results >. Public Member FunctionsAnalyticCapFloorEngine (const boost::shared_ptr< AffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) void calculate () const Detailed DescriptionAnalytic engine for cap/floor. Constructor & Destructor DocumentationAnalyticCapFloorEngine (const boost::shared_ptr< AffineModel > & model, const Handle< YieldTermStructure > & termStructure =…

QuantLib::AnalyticBarrierEngine – Pricing engine for barrier options using analytical formulae. Synopsis#include <ql/pricingengines/barrier/analyticbarrierengine.hpp> Inherits QuantLib::BarrierOption::engine. Public Member FunctionsAnalyticBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed DescriptionPricing engine for barrier options using analytical formulae. The formulas are taken from ‘Option pricing formulas’, E.G. Haug, McGraw-Hill, p.69 and following. Tests the correctness of the returned…