Todo List

Class AmericanCondition
Unify the intrinsicValues/Payoff thing

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

Class AmericanPayoffAtExpiry
calculate greeks

Class AmericanPayoffAtHit
calculate greeks

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

Class AUDLibor
check settlement days

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 BivariateCumulativeNormalDistribution
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.

Class BlackScholesProcess
revise extrapolation

Class BlackVarianceCurve
check time extrapolation

Class BlackVarianceSurface
check time extrapolation

Member Side
Generalize for n-dimensional conditions

Class CADLibor
check settlement days

Class CapFlatVolatilityVector
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 CHFLibor
check settlement days and day-count

Class ContinuousGeometricAPO
add Average Strike version and make it backward starting

Class DirichletBC
generalize to time-dependent conditions.

Class DiscreteGeometricAPO
add analytical greeks

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 JPYLibor
check settlement days

Class LogLinearInterpolation
Implement primitive, derivative, and secondDerivative functions.

Member pseudoSqrt (const Matrix &, SalvagingAlgorithm::Type)
a) 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" b) implement Higham algorithm: Higham "Computing the nearest correlation matrix"

Class McDiscreteArithmeticAPO
Continous-averaging version

Class McDiscreteArithmeticASO
Continous Averaging version

Class MixedScheme
a) derive variable theta schemes b) introduce multi time-level schemes.

Class MultiPath
a) make it time-aware b) rename it as MultiAssetPath

Class MultiPathGenerator
why store correlation Matrix rather than covariance?

Class NeumannBC
generalize to time-dependent conditions.

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

Class Path
should Path include the t=0.0 point? Alternatively all path pricers must be revisited.

Class ShoutCondition
Unify the intrinsicValues/Payoff thing

Class Solver1D
a) Clean up the interface so that it is clear whether the accuracy is specified for x or f(x). b) Add target value (now the target value is 0.0)

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 TermStructure
add derived class ParSwapTermStructure similar to ZeroYieldTermStructure, DiscountStructure, ForwardRateStructure

allow for different compounding rules and compounding frequencies

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 ZARLibor
check settlement days

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