Todo List

Class AmericanCondition
unify the intrinsicValues/Payoff thing

Class AmericanExercise
check that everywhere the American condition is applied from earliestDate and not earlier

Class AmericanPayoffAtExpiry
calculate greeks

Class AmericanPayoffAtHit
calculate greeks

Class AnalyticBarrierEngine
rework to avoid repeated casts inside utility methods

Class AnalyticContinuousGeometricAveragePriceAsianEngine
handle seasoned options

Class AnalyticDigitalAmericanEngine
add more greeks (as of now only delta and rho available)

Class AnalyticDiscreteGeometricAveragePriceAsianEngine
implement correct theta, rho, and dividend-rho calculation

Class BermudanExercise
it would be nice to have a way for making a Bermudan with one exercise date equivalent to an European

Class BicubicSpline
revise end conditions

Class BivariateCumulativeNormalDistributionDr78
check accuracy of this algorithm and compare with: 1) Drezner, Z, (1978), Computation of the bivariate normal integral, Mathematics of Computation 32, pp. 277-279. 2) Drezner, Z. and Wesolowsky, G. O. (1990) `On the Computation of the Bivariate Normal Integral', Journal of Statistical Computation and Simulation 35, pp. 101-107. 3) Drezner, Z (1992) Computation of the Multivariate Normal Integral, ACM Transactions on Mathematics Software 18, pp. 450-460. 4) Drezner, Z (1994) Computation of the Trivariate Normal Integral, Mathematics of Computation 62, pp. 289-294. 5) Genz, A. (1992) `Numerical Computation of the Multivariate Normal Probabilities', J. Comput. Graph. Stat. 1, pp. 141-150.

Member BlackScholesProcess::drift (Time t, Real x) const
revise extrapolation

Member BlackScholesProcess::diffusion (Time t, Real x) const
revise extrapolation

Class BlackVarianceCurve
check time extrapolation

Class BlackVarianceSurface
check time extrapolation

Member BoundaryCondition::Side
Generalize for n-dimensional conditions

Class CapVolatilityVector
either add correct copy behavior or inhibit copy. Right now, a copied instance would end up with its own copy of the length vector but an interpolation pointing to the original ones.

Class Cashflows
add tests

Class Cdor
check settlement days and day-count convention.

Class CliquetOption
  • add local/global caps/floors
  • add accrued coupon and last fixing

Class ContinuousAveragingAsianOption
add running average

Class DirichletBC
generalize to time-dependent conditions.

Class DiscreteGeometricASO
add analytical greeks

Class EarlyExercise
derive a plain American Exercise class (no earliestDate, no payoffAtExpiry)

Class ExplicitEuler
add Richardson extrapolation

Class FraRateHelper
convexity adjustment should be implemented.

Class GenericRiskStatistics
add historical annualized volatility

Class IntegralEngine
define tolerance for calculate()

Class Jibar
check settlement days and day-count convention.

Class LogLinearInterpolation
implement primitive, derivative, and secondDerivative functions.

Member pseudoSqrt
  • implement Hypersphere decomposition:
    1. Jäckel "Monte Carlo Methods in Finance", Chapter 6
    2. Brigo "A Note on Correlation and Rank Reduction"
    3. Rapisarda, Brigo, Mercurio "Parameterizing correlations: a geometric interpretation"
  • implement Higham algorithm: Higham "Computing the nearest correlation matrix"

Class McDiscreteArithmeticASO
continous-averaging version

Class MixedScheme
  • derive variable theta schemes
  • introduce multi time-level schemes.

Class MultiCubicSpline
  • fix it for Borland compilation
  • allow extrapolation as for the other interpolations
  • investigate if and how to implement Hyman filters and different boundary conditions

Class NeumannBC
generalize to time-dependent conditions.

Class Option::arguments
  • remove std::vector<Time> stoppingTimes
  • how to handle strike-less option (asian average strike, forward, etc.)?

Class RamdomizedLDS
implement the other randomization algorithms

Class ShoutCondition
unify the intrinsicValues/Payoff thing

Class Solver1D
  • clean up the interface so that it is clear whether the accuracy is specified for $ x $ or $ f(x) $ .
  • add target value (now the target value is 0.0)

Class SwapRateHelper
currency and day counter of Xibor should be added to obtain well-defined SwapRateHelper
Warning:
This class assumes that the settlement date does not change between calls of setTermStructure().

Class Swaption
add explicit exercise lag

Class SwaptionVolatilityMatrix
either add correct copy behavior or inhibit copy. Right now, a copied instance would end up with its own copy of the exercise date and length vector but an interpolation pointing to the original ones.

Class Tibor
check settlement days.

Class TimeGrid
what was the rationale for limiting the grid to positive times? Investigate and see whether we can use it for negative ones as well.

Class UnitedKingdom
add LIFFE

Class YieldTermStructure
add derived class ParSwapTermStructure similar to ZeroYieldTermStructure, DiscountStructure, ForwardRateStructure

Class Zibor
check settlement days and day-count.

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