QuantLib Namespace Reference
Detailed Description
abstract base class implementation specifies how to decide volatility structure for additional synthetic rates which are interleaved
Classes | |
class | CashFlow |
Base class for cash flows. More... | |
class | AverageBMACoupon |
Average BMA coupon. More... | |
class | AverageBMALeg |
helper class building a sequence of average BMA coupons More... | |
class | CappedFlooredCoupon |
Capped and/or floored floating-rate coupon. More... | |
class | CashFlows |
cashflow-analysis functions More... | |
class | CmsCoupon |
CMS coupon class. More... | |
class | CmsLeg |
helper class building a sequence of capped/floored cms-rate coupons More... | |
class | ConundrumPricer |
CMS-coupon pricer. More... | |
class | ConundrumPricerByNumericalIntegration |
CMS-coupon pricer. More... | |
class | ConundrumPricerByBlack |
CMS-coupon pricer. More... | |
class | Coupon |
coupon accruing over a fixed period More... | |
class | FloatingRateCouponPricer |
generic pricer for floating-rate coupons More... | |
class | IborCouponPricer |
base pricer for capped/floored Ibor coupons More... | |
class | BlackIborCouponPricer |
Black-formula pricer for capped/floored Ibor coupons. More... | |
class | CmsCouponPricer |
base pricer for vanilla CMS coupons More... | |
class | DigitalCmsCoupon |
Cms-rate coupon with digital digital call/put option. More... | |
class | DigitalCmsLeg |
helper class building a sequence of digital ibor-rate coupons More... | |
class | DigitalCoupon |
Digital-payoff coupon. More... | |
class | DigitalIborCoupon |
Ibor rate coupon with digital digital call/put option. More... | |
class | DigitalIborLeg |
helper class building a sequence of digital ibor-rate coupons More... | |
class | Dividend |
Predetermined cash flow. More... | |
class | FixedDividend |
Predetermined cash flow. More... | |
class | FractionalDividend |
Predetermined cash flow. More... | |
struct | Duration |
duration type More... | |
class | FixedRateCoupon |
Coupon paying a fixed interest rate More... | |
class | FixedRateLeg |
helper class building a sequence of fixed rate coupons More... | |
class | FloatingRateCoupon |
base floating-rate coupon class More... | |
class | IborCoupon |
Coupon paying a Libor-type index More... | |
class | IborLeg |
helper class building a sequence of capped/floored ibor-rate coupons More... | |
class | RangeAccrualLeg |
helper class building a sequence of range-accrual floating-rate coupons More... | |
struct | Replication |
Digital option replication strategy. More... | |
class | SimpleCashFlow |
Predetermined cash flow. More... | |
class | TimeBasket |
Distribution over a number of dates. More... | |
class | ZARCurrency |
South-African rand. More... | |
class | ARSCurrency |
Argentinian peso. More... | |
class | BRLCurrency |
Brazilian real. More... | |
class | CADCurrency |
Canadian dollar. More... | |
class | CLPCurrency |
Chilean peso. More... | |
class | COPCurrency |
Colombian peso. More... | |
class | MXNCurrency |
Mexican peso. More... | |
class | TTDCurrency |
Trinidad & Tobago dollar. More... | |
class | USDCurrency |
U.S. dollar. More... | |
class | VEBCurrency |
Venezuelan bolivar. More... | |
class | BDTCurrency |
Bangladesh taka. More... | |
class | CNYCurrency |
Chinese yuan. More... | |
class | HKDCurrency |
Honk Kong dollar. More... | |
class | ILSCurrency |
Israeli shekel. More... | |
class | INRCurrency |
Indian rupee. More... | |
class | IQDCurrency |
Iraqi dinar. More... | |
class | IRRCurrency |
Iranian rial. More... | |
class | JPYCurrency |
Japanese yen. More... | |
class | KRWCurrency |
South-Korean won. More... | |
class | KWDCurrency |
Kuwaiti dinar. More... | |
class | NPRCurrency |
Nepal rupee. More... | |
class | PKRCurrency |
Pakistani rupee. More... | |
class | SARCurrency |
Saudi riyal. More... | |
class | SGDCurrency |
Singapore dollar More... | |
class | THBCurrency |
Thai baht. More... | |
class | TWDCurrency |
Taiwan dollar More... | |
class | BGLCurrency |
Bulgarian lev. More... | |
class | BYRCurrency |
Belarussian ruble. More... | |
class | CHFCurrency |
Swiss franc. More... | |
class | CYPCurrency |
Cyprus pound. More... | |
class | CZKCurrency |
Czech koruna. More... | |
class | DKKCurrency |
Danish krone. More... | |
class | EEKCurrency |
Estonian kroon. More... | |
class | EURCurrency |
European Euro. More... | |
class | GBPCurrency |
British pound sterling. More... | |
class | HUFCurrency |
Hungarian forint. More... | |
class | ISKCurrency |
Icelandic krona. More... | |
class | LTLCurrency |
Lithuanian litas. More... | |
class | LVLCurrency |
Latvian lat. More... | |
class | MTLCurrency |
Maltese lira. More... | |
class | NOKCurrency |
Norwegian krone. More... | |
class | PLNCurrency |
Polish zloty. More... | |
class | ROLCurrency |
Romanian leu. More... | |
class | RONCurrency |
Romanian new leu. More... | |
class | SEKCurrency |
Swedish krona. More... | |
class | SITCurrency |
Slovenian tolar. More... | |
class | SKKCurrency |
Slovak koruna. More... | |
class | TRLCurrency |
Turkish lira. More... | |
class | TRYCurrency |
New Turkish lira. More... | |
class | ATSCurrency |
Austrian shilling. More... | |
class | BEFCurrency |
Belgian franc. More... | |
class | DEMCurrency |
Deutsche mark. More... | |
class | ESPCurrency |
Spanish peseta. More... | |
class | FIMCurrency |
Finnish markka. More... | |
class | FRFCurrency |
French franc. More... | |
class | GRDCurrency |
Greek drachma. More... | |
class | IEPCurrency |
Irish punt. More... | |
class | ITLCurrency |
Italian lira. More... | |
class | LUFCurrency |
Luxembourg franc. More... | |
class | NLGCurrency |
Dutch guilder. More... | |
class | PTECurrency |
Portuguese escudo. More... | |
class | ExchangeRateManager |
exchange-rate repository More... | |
class | AUDCurrency |
Australian dollar. More... | |
class | NZDCurrency |
New Zealand dollar. More... | |
class | Currency |
Currency specification More... | |
class | DiscretizedAsset |
Discretized asset class used by numerical methods. More... | |
class | DiscretizedDiscountBond |
Useful discretized discount bond asset. More... | |
class | DiscretizedOption |
Discretized option on a given asset. More... | |
class | Error |
Base error class. More... | |
class | Event |
Base class for event. More... | |
class | ExchangeRate |
exchange rate between two currencies More... | |
class | Exercise |
Base exercise class. More... | |
class | EarlyExercise |
Early-exercise base class. More... | |
class | AmericanExercise |
American exercise. More... | |
class | BermudanExercise |
Bermudan exercise. More... | |
class | EuropeanExercise |
European exercise. More... | |
class | AbcdAtmVolCurve |
Abcd-interpolated at-the-money (no-smile) volatility curve. More... | |
class | BlackAtmVolCurve |
Black at-the-money (no-smile) volatility curve. More... | |
class | BlackVolSurface |
Black volatility (smile) surface. More... | |
class | EquityFXVolSurface |
Equity/FX volatility (smile) surface. More... | |
class | InterestRateVolSurface |
Interest rate volatility (smile) surface. More... | |
class | SabrVolSurface |
SABR volatility (smile) surface. More... | |
class | Handle |
Shared handle to an observable. More... | |
class | RelinkableHandle |
Relinkable handle to an observable. More... | |
class | Index |
purely virtual base class for indexes More... | |
class | BMAIndex |
Bond Market Association index. More... | |
class | AUDLibor |
AUD LIBOR rate More... | |
class | CADLibor |
CAD LIBOR rate More... | |
class | Cdor |
CDOR rate More... | |
class | CHFLibor |
CHF LIBOR rate More... | |
class | DKKLibor |
DKK LIBOR rate More... | |
class | Euribor |
Euribor index More... | |
class | Euribor365 |
Actual/365 Euribor index. More... | |
class | EuriborSW |
1-week Euribor index More... | |
class | Euribor2W |
2-weeks Euribor index More... | |
class | Euribor3W |
3-weeks Euribor index More... | |
class | Euribor1M |
1-month Euribor index More... | |
class | Euribor2M |
2-months Euribor index More... | |
class | Euribor3M |
3-months Euribor index More... | |
class | Euribor4M |
4-months Euribor index More... | |
class | Euribor5M |
5-months Euribor index More... | |
class | Euribor6M |
6-months Euribor index More... | |
class | Euribor7M |
7-months Euribor index More... | |
class | Euribor8M |
8-months Euribor index More... | |
class | Euribor9M |
9-months Euribor index More... | |
class | Euribor10M |
10-months Euribor index More... | |
class | Euribor11M |
11-months Euribor index More... | |
class | Euribor1Y |
1-year Euribor index More... | |
class | Euribor365_SW |
1-week Euribor365 index More... | |
class | Euribor365_2W |
2-weeks Euribor365 index More... | |
class | Euribor365_3W |
3-weeks Euribor365 index More... | |
class | Euribor365_1M |
1-month Euribor365 index More... | |
class | Euribor365_2M |
2-months Euribor365 index More... | |
class | Euribor365_3M |
3-months Euribor365 index More... | |
class | Euribor365_4M |
4-months Euribor365 index More... | |
class | Euribor365_5M |
5-months Euribor365 index More... | |
class | Euribor365_6M |
6-months Euribor365 index More... | |
class | Euribor365_7M |
7-months Euribor365 index More... | |
class | Euribor365_8M |
8-months Euribor365 index More... | |
class | Euribor365_9M |
9-months Euribor365 index More... | |
class | Euribor365_10M |
10-months Euribor365 index More... | |
class | Euribor365_11M |
11-months Euribor365 index More... | |
class | Euribor365_1Y |
1-year Euribor365 index More... | |
class | EURLibor |
EUR LIBOR rate More... | |
class | EURLiborSW |
1-week EURLibor index More... | |
class | EURLibor2W |
2-weeks Euribor index More... | |
class | EURLibor1M |
1-month EURLibor index More... | |
class | EURLibor2M |
2-months EURLibor index More... | |
class | EURLibor3M |
3-months EURLibor index More... | |
class | EURLibor4M |
4-months EURLibor index More... | |
class | EURLibor5M |
5-months EURLibor index More... | |
class | EURLibor6M |
6-months EURLibor index More... | |
class | EURLibor7M |
7-months EURLibor index More... | |
class | EURLibor8M |
8-months EURLibor index More... | |
class | EURLibor9M |
9-months EURLibor index More... | |
class | EURLibor10M |
10-months EURLibor index More... | |
class | EURLibor11M |
11-months EURLibor index More... | |
class | EURLibor1Y |
1-year EURLibor index More... | |
class | GBPLibor |
GBP LIBOR rate More... | |
class | Jibar |
JIBAR rate More... | |
class | JPYLibor |
JPY LIBOR rate More... | |
class | Libor |
base class for all BBA LIBOR indexes but the EUR ones More... | |
class | NZDLibor |
NZD LIBOR rate More... | |
class | Tibor |
JPY TIBOR index More... | |
class | TRLibor |
TRY LIBOR rate More... | |
class | USDLibor |
USD LIBOR rate More... | |
class | Zibor |
CHF ZIBOR rate More... | |
class | IborIndex |
base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) More... | |
class | IndexManager |
global repository for past index fixings More... | |
class | EUHICP |
EU HICP index. More... | |
class | YYEUHICP |
Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP). More... | |
class | YYEUHICPr |
Fake year-on-year EU HICP (i.e. a ratio of EU HICP). More... | |
class | UKRPI |
UK Retail Price Inflation Index. More... | |
class | YYUKRPI |
Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI). More... | |
class | YYUKRPIr |
Fake year-on-year UK RPI (i.e. a ratio of UK RPI). More... | |
class | InflationIndex |
Base class for inflation-rate indexes,. More... | |
class | ZeroInflationIndex |
Base class for zero inflation indices. More... | |
class | YoYInflationIndex |
Base class for year-on-year inflation indices. More... | |
class | InterestRateIndex |
base class for interest rate indexes More... | |
class | Region |
Region class, used for inflation applicability. More... | |
class | AustraliaRegion |
Australia as geographical/economic region. More... | |
class | EURegion |
European Union as geographical/economic region. More... | |
class | FranceRegion |
France as geographical/economic region. More... | |
class | UKRegion |
United Kingdom as geographical/economic region. More... | |
class | EuriborSwapFixA |
EuriborSwapFixA index base class More... | |
class | EuriborSwapFixA1Y |
1-year EuriborSwapFixA index More... | |
class | EuriborSwapFixA2Y |
2-year EuriborSwapFixA index More... | |
class | EuriborSwapFixA3Y |
3-year EuriborSwapFixA index More... | |
class | EuriborSwapFixA4Y |
4-year EuriborSwapFixA index More... | |
class | EuriborSwapFixA5Y |
5-year EuriborSwapFixA index More... | |
class | EuriborSwapFixA6Y |
6-year EuriborSwapFixA index More... | |
class | EuriborSwapFixA7Y |
7-year EuriborSwapFixA index More... | |
class | EuriborSwapFixA8Y |
8-year EuriborSwapFixA index More... | |
class | EuriborSwapFixA9Y |
9-year EuriborSwapFixA index More... | |
class | EuriborSwapFixA10Y |
10-year EuriborSwapFixA index More... | |
class | EuriborSwapFixA12Y |
12-year EuriborSwapFixA index More... | |
class | EuriborSwapFixA15Y |
15-year EuriborSwapFixA index More... | |
class | EuriborSwapFixA20Y |
20-year EuriborSwapFixA index More... | |
class | EuriborSwapFixA25Y |
25-year EuriborSwapFixA index More... | |
class | EuriborSwapFixA30Y |
30-year EuriborSwapFixA index More... | |
class | EuriborSwapFixB |
EuriborSwapFix index base class More... | |
class | EuriborSwapFixB1Y |
1-year EuriborSwapFixB index More... | |
class | EuriborSwapFixB2Y |
2-year EuriborSwapFixB index More... | |
class | EuriborSwapFixB3Y |
3-year EuriborSwapFixB index More... | |
class | EuriborSwapFixB4Y |
4-year EuriborSwapFixB index More... | |
class | EuriborSwapFixB5Y |
5-year EuriborSwapFixB index More... | |
class | EuriborSwapFixB6Y |
6-year EuriborSwapFixB index More... | |
class | EuriborSwapFixB7Y |
7-year EuriborSwapFixB index More... | |
class | EuriborSwapFixB8Y |
8-year EuriborSwapFixB index More... | |
class | EuriborSwapFixB9Y |
9-year EuriborSwapFixB index More... | |
class | EuriborSwapFixB10Y |
10-year EuriborSwapFixB index More... | |
class | EuriborSwapFixB12Y |
12-year EuriborSwapFixB index More... | |
class | EuriborSwapFixB15Y |
15-year EuriborSwapFixB index More... | |
class | EuriborSwapFixB20Y |
20-year EuriborSwapFixB index More... | |
class | EuriborSwapFixB25Y |
25-year EuriborSwapFixB index More... | |
class | EuriborSwapFixB30Y |
30-year EuriborSwapFixB index More... | |
class | EuriborSwapFixIFR |
EuriborSwapFixIFR index base class More... | |
class | EuriborSwapFixIFR1Y |
1-year EuriborSwapFixIFR3M index More... | |
class | EuriborSwapFixIFR2Y |
2-year EuriborSwapFixIFR index More... | |
class | EuriborSwapFixIFR3Y |
3-year EuriborSwapFixIFR index More... | |
class | EuriborSwapFixIFR4Y |
4-year EuriborSwapFixIFR index More... | |
class | EuriborSwapFixIFR5Y |
5-year EuriborSwapFixIFR index More... | |
class | EuriborSwapFixIFR6Y |
6-year EuriborSwapFixIFR index More... | |
class | EuriborSwapFixIFR7Y |
7-year EuriborSwapFixIFR index More... | |
class | EuriborSwapFixIFR8Y |
8-year EuriborSwapFixIFR index More... | |
class | EuriborSwapFixIFR9Y |
9-year EuriborSwapFixIFR index More... | |
class | EuriborSwapFixIFR10Y |
10-year EuriborSwapFixIFR index More... | |
class | EuriborSwapFixIFR12Y |
12-year EuriborSwapFixIFR index More... | |
class | EuriborSwapFixIFR15Y |
15-year EuriborSwapFixIFR index More... | |
class | EuriborSwapFixIFR20Y |
20-year EuriborSwapFixIFR index More... | |
class | EuriborSwapFixIFR25Y |
25-year EuriborSwapFixIFR index More... | |
class | EuriborSwapFixIFR30Y |
30-year EuriborSwapFixIFR index More... | |
class | EurliborSwapFixA |
EurliborSwapFixA index base class More... | |
class | EurliborSwapFixA1Y |
1-year EurliborSwapFixA index More... | |
class | EurliborSwapFixA2Y |
2-year EurliborSwapFixA index More... | |
class | EurliborSwapFixA3Y |
3-year EurliborSwapFixA index More... | |
class | EurliborSwapFixA4Y |
4-year EurliborSwapFixA index More... | |
class | EurliborSwapFixA5Y |
5-year EurliborSwapFixA index More... | |
class | EurliborSwapFixA6Y |
6-year EurliborSwapFixA index More... | |
class | EurliborSwapFixA7Y |
7-year EurliborSwapFixA index More... | |
class | EurliborSwapFixA8Y |
8-year EurliborSwapFixA index More... | |
class | EurliborSwapFixA9Y |
9-year EurliborSwapFixA index More... | |
class | EurliborSwapFixA10Y |
10-year EurliborSwapFixA index More... | |
class | EurliborSwapFixA12Y |
12-year EurliborSwapFixA index More... | |
class | EurliborSwapFixA15Y |
15-year EurliborSwapFixA index More... | |
class | EurliborSwapFixA20Y |
20-year EurliborSwapFixA index More... | |
class | EurliborSwapFixA25Y |
25-year EurliborSwapFixA index More... | |
class | EurliborSwapFixA30Y |
30-year EurliborSwapFixA index More... | |
class | EurliborSwapFixB |
EurliborSwapFixB index base class More... | |
class | EurliborSwapFixB1Y |
1-year EurliborSwapFixB index More... | |
class | EurliborSwapFixB2Y |
2-year EurliborSwapFixB index More... | |
class | EurliborSwapFixB3Y |
3-year EurliborSwapFixB index More... | |
class | EurliborSwapFixB4Y |
4-year EurliborSwapFixB index More... | |
class | EurliborSwapFixB5Y |
5-year EurliborSwapFixB index More... | |
class | EurliborSwapFixB6Y |
6-year EurliborSwapFixB index More... | |
class | EurliborSwapFixB7Y |
7-year EurliborSwapFixB index More... | |
class | EurliborSwapFixB8Y |
8-year EurliborSwapFixB index More... | |
class | EurliborSwapFixB9Y |
9-year EurliborSwapFixB index More... | |
class | EurliborSwapFixB10Y |
10-year EurliborSwapFixB index More... | |
class | EurliborSwapFixB12Y |
12-year EurliborSwapFixB index More... | |
class | EurliborSwapFixB15Y |
15-year EurliborSwapFixB index More... | |
class | EurliborSwapFixB20Y |
20-year EurliborSwapFixB index More... | |
class | EurliborSwapFixB25Y |
25-year EurliborSwapFixB index More... | |
class | EurliborSwapFixB30Y |
30-year EurliborSwapFixB index More... | |
class | EurliborSwapFixIFR |
EurliborSwapFixIFR index base class More... | |
class | EurliborSwapFixIFR1Y |
1-year EurliborSwapFixIFR index More... | |
class | EurliborSwapFixIFR2Y |
2-year EurliborSwapFixIFR index More... | |
class | EurliborSwapFixIFR3Y |
3-year EurliborSwapFixIFR index More... | |
class | EurliborSwapFixIFR4Y |
4-year EurliborSwapFixIFR index More... | |
class | EurliborSwapFixIFR5Y |
5-year EurliborSwapFixIFR index More... | |
class | EurliborSwapFixIFR6Y |
6-year EurliborSwapFixIFR index More... | |
class | EurliborSwapFixIFR7Y |
7-year EurliborSwapFixIFR index More... | |
class | EurliborSwapFixIFR8Y |
8-year EurliborSwapFixIFR index More... | |
class | EurliborSwapFixIFR9Y |
9-year EurliborSwapFixIFR index More... | |
class | EurliborSwapFixIFR10Y |
10-year EurliborSwapFixIFR index More... | |
class | EurliborSwapFixIFR12Y |
12-year EurliborSwapFixIFR index More... | |
class | EurliborSwapFixIFR15Y |
15-year EurliborSwapFixIFR index More... | |
class | EurliborSwapFixIFR20Y |
20-year EurliborSwapFixIFR index More... | |
class | EurliborSwapFixIFR25Y |
25-year EurliborSwapFixIFR index More... | |
class | EurliborSwapFixIFR30Y |
30-year EurliborSwapFixIFR index More... | |
class | SwapIndex |
base class for swap-rate indexes More... | |
class | Instrument |
Abstract instrument class. More... | |
class | ContinuousAveragingAsianOption |
Continuous-averaging Asian option. More... | |
class | DiscreteAveragingAsianOption |
Discrete-averaging Asian option. More... | |
class | AssetSwap |
Bullet bond vs Libor swap. More... | |
struct | Average |
Placeholder for enumerated averaging types. More... | |
class | BarrierOption |
Barrier option on a single asset. More... | |
struct | Barrier |
Placeholder for enumerated barrier types. More... | |
class | BasketOption |
Basket option on a number of assets. More... | |
class | BMASwap |
swap paying Libor against BMA coupons More... | |
class | Bond |
Base bond class. More... | |
class | CmsRateBond |
CMS-rate bond. More... | |
class | SoftCallability |
callability leaving to the holder the possibility to convert More... | |
class | ConvertibleBond |
base class for convertible bonds More... | |
class | ConvertibleZeroCouponBond |
convertible zero-coupon bond More... | |
class | ConvertibleFixedCouponBond |
convertible fixed-coupon bond More... | |
class | ConvertibleFloatingRateBond |
convertible floating-rate bond More... | |
class | FixedRateBond |
fixed-rate bond More... | |
class | FloatingRateBond |
floating-rate bond (possibly capped and/or floored) More... | |
class | ZeroCouponBond |
zero-coupon bond More... | |
class | Callability |
instrument callability More... | |
class | CapFloor |
Base class for cap-like instruments. More... | |
class | Cap |
Concrete cap class. More... | |
class | Floor |
Concrete floor class. More... | |
class | Collar |
Concrete collar class. More... | |
class | CliquetOption |
cliquet (Ratchet) option More... | |
class | CompositeInstrument |
Composite instrument More... | |
class | DividendVanillaOption |
Single-asset vanilla option (no barriers) with discrete dividends. More... | |
class | EuropeanOption |
European option on a single asset. More... | |
class | FixedRateBondForward |
Forward contract on a fixed-rate bond More... | |
class | Forward |
Abstract base forward class. More... | |
class | ForwardTypePayoff |
Class for forward type payoffs. More... | |
class | ForwardOptionArguments |
Arguments for forward (strike-resetting) option calculation More... | |
class | ForwardVanillaOption |
Forward version of a vanilla option More... | |
class | ImpliedVolatilityHelper |
helper class for one-asset implied-volatility calculation More... | |
class | InflationSwap |
Abstract base class for inflation swaps. More... | |
class | ContinuousFloatingLookbackOption |
Continuous-floating lookback option. More... | |
class | ContinuousFixedLookbackOption |
Continuous-fixed lookback option. More... | |
class | MakeCapFloor |
helper class More... | |
class | MakeCms |
helper class More... | |
class | MakeSwaption |
helper class More... | |
class | MakeVanillaSwap |
helper class More... | |
class | MultiAssetOption |
Base class for options on multiple assets. More... | |
class | OneAssetOption |
Base class for options on a single asset. More... | |
class | TypePayoff |
Intermediate class for put/call payoffs. More... | |
class | FloatingTypePayoff |
Payoff based on a floating strike More... | |
class | StrikedTypePayoff |
Intermediate class for payoffs based on a fixed strike. More... | |
class | PlainVanillaPayoff |
Plain-vanilla payoff. More... | |
class | PercentageStrikePayoff |
Payoff with strike expressed as percentage More... | |
class | AssetOrNothingPayoff |
Binary asset-or-nothing payoff. More... | |
class | CashOrNothingPayoff |
Binary cash-or-nothing payoff. More... | |
class | GapPayoff |
Binary gap payoff. More... | |
class | SuperFundPayoff |
Binary supershare and superfund payoffs. More... | |
class | SuperSharePayoff |
Binary supershare payoff. More... | |
class | QuantoForwardVanillaOption |
Quanto version of a forward vanilla option. More... | |
class | QuantoOptionResults |
Results from quanto option calculation More... | |
class | QuantoVanillaOption |
quanto version of a vanilla option More... | |
class | DoubleStickyRatchetPayoff |
Intermediate class for single/double sticky/ratchet payoffs. More... | |
class | RatchetPayoff |
Ratchet payoff (single option). More... | |
class | StickyPayoff |
Sticky payoff (single option). More... | |
class | RatchetMaxPayoff |
RatchetMax payoff (double option). More... | |
class | RatchetMinPayoff |
RatchetMin payoff (double option). More... | |
class | StickyMaxPayoff |
StickyMax payoff (double option). More... | |
class | StickyMinPayoff |
StickyMin payoff (double option). More... | |
class | Stock |
Simple stock class. More... | |
class | Swap |
Interest rate swap. More... | |
struct | Settlement |
settlement information More... | |
class | Swaption |
Swaption class More... | |
class | VanillaOption |
Vanilla option (no discrete dividends, no barriers) on a single asset. More... | |
class | VanillaSwap |
Plain-vanilla swap. More... | |
class | VarianceSwap |
Variance swap. More... | |
class | YearOnYearInflationSwap |
Year-on-year inflation-indexed swap. More... | |
class | ZeroCouponInflationSwap |
Zero-coupon inflation-indexed swap. More... | |
class | InterestRate |
Concrete interest rate class. More... | |
class | LfmCovarianceParameterization |
Libor market model parameterization More... | |
class | LfmCovarianceProxy |
proxy for a libor forward model covariance parameterization More... | |
class | LfmHullWhiteParameterization |
Libor market model parameterization based on Hull White paper More... | |
class | LiborForwardModelProcess |
libor-forward-model process More... | |
class | LfmSwaptionEngine |
Libor forward model swaption engine based on Black formula More... | |
class | LiborForwardModel |
Libor forward model More... | |
class | LmConstWrapperVolatilityModel |
caplet const volatility model More... | |
class | LmCorrelationModel |
libor forward correlation model More... | |
class | LmExponentialCorrelationModel |
exponential correlation model More... | |
class | LmExtLinearExponentialVolModel |
extended linear exponential volatility model More... | |
class | LmLinearExponentialCorrelationModel |
linear exponential correlation model More... | |
class | LmLinearExponentialVolatilityModel |
linear exponential volatility model More... | |
class | LmVolatilityModel |
caplet volatility model More... | |
class | DiscreteGeometricASO |
Discrete geometric average-strike Asian option (European style). More... | |
class | McCliquetOption |
simple example of Monte Carlo pricer More... | |
class | McDiscreteArithmeticASO |
Discrete arithmetic average-strike Asian option. More... | |
class | McEverest |
Everest-type option pricer. More... | |
class | McHimalaya |
Himalayan-type option pricer. More... | |
class | McPagoda |
roofed Asian option More... | |
class | McPerformanceOption |
Performance option computed using Monte Carlo simulation. More... | |
class | McPricer |
base class for Monte Carlo pricers More... | |
class | SingleAssetOption |
Black-Scholes-Merton option. More... | |
class | CompoundForward |
compound-forward structure More... | |
class | ExtendedDiscountCurve |
Term structure based on loglinear interpolation of discount factors. More... | |
class | Array |
1-D array used in linear algebra. More... | |
class | BernsteinPolynomial |
class of Bernstein polynomials More... | |
class | BSpline |
B-spline basis functions. More... | |
class | Curve |
abstract curve class More... | |
class | BinomialDistribution |
Binomial probability distribution function. More... | |
class | CumulativeBinomialDistribution |
Cumulative binomial distribution function. More... | |
class | BivariateCumulativeNormalDistributionDr78 |
Cumulative bivariate normal distribution function. More... | |
class | BivariateCumulativeNormalDistributionWe04DP |
Cumulative bivariate normal distibution function (West 2004). More... | |
class | GammaFunction |
Gamma function class. More... | |
class | NormalDistribution |
Normal distribution function. More... | |
class | CumulativeNormalDistribution |
Cumulative normal distribution function. More... | |
class | InverseCumulativeNormal |
Inverse cumulative normal distribution function. More... | |
class | MoroInverseCumulativeNormal |
Moro Inverse cumulative normal distribution class. More... | |
class | PoissonDistribution |
Normal distribution function. More... | |
class | CumulativePoissonDistribution |
Cumulative Poisson distribution function. More... | |
class | InverseCumulativePoisson |
Inverse cumulative Poisson distribution function. More... | |
class | Domain |
domain abstract lcass More... | |
class | ErrorFunction |
Error function More... | |
class | Factorial |
Factorial numbers calculator More... | |
class | GaussianOrthogonalPolynomial |
orthogonal polynomial for Gaussian quadratures More... | |
class | GaussLaguerrePolynomial |
Gauss-Laguerre polynomial. More... | |
class | GaussHermitePolynomial |
Gauss-Hermite polynomial. More... | |
class | GaussJacobiPolynomial |
Gauss-Jacobi polynomial. More... | |
class | GaussLegendrePolynomial |
Gauss-Legendre polynomial. More... | |
class | GaussChebyshevPolynomial |
Gauss-Chebyshev polynomial. More... | |
class | GaussChebyshev2thPolynomial |
Gauss-Chebyshev polynomial (second kind). More... | |
class | GaussGegenbauerPolynomial |
Gauss-Gegenbauer polynomial. More... | |
class | GaussHyperbolicPolynomial |
Gauss hyperbolic polynomial. More... | |
class | GaussianQuadrature |
Integral of a 1-dimensional function using the Gauss quadratures method. More... | |
class | GaussLaguerreIntegration |
generalized Gauss-Laguerre integration More... | |
class | GaussHermiteIntegration |
generalized Gauss-Hermite integration More... | |
class | GaussJacobiIntegration |
Gauss-Jacobi integration. More... | |
class | GaussHyperbolicIntegration |
Gauss-Hyperbolic integration. More... | |
class | GaussLegendreIntegration |
Gauss-Legendre integration. More... | |
class | GaussChebyshevIntegration |
Gauss-Chebyshev integration. More... | |
class | GaussChebyshev2thIntegration |
Gauss-Chebyshev integration (second kind). More... | |
class | GaussGegenbauerIntegration |
Gauss-Gegenbauer integration. More... | |
class | TabulatedGaussLegendre |
tabulated Gauss-Legendre quadratures More... | |
class | GaussKronrodNonAdaptive |
Integral of a 1-dimensional function using the Gauss-Kronrod methods. More... | |
class | GaussKronrodAdaptive |
Integral of a 1-dimensional function using the Gauss-Kronrod methods. More... | |
class | SegmentIntegral |
Integral of a one-dimensional function. More... | |
class | SimpsonIntegral |
Integral of a one-dimensional function. More... | |
class | TrapezoidIntegral |
Integral of a one-dimensional function. More... | |
class | Interpolation |
base class for 1-D interpolations. More... | |
class | BackwardFlatInterpolation |
Backward-flat interpolation between discrete points. More... | |
class | BackwardFlat |
Backward-flat interpolation factory and traits. More... | |
class | BicubicSpline |
bicubic-spline interpolation between discrete points More... | |
class | Bicubic |
bicubic-spline-interpolation factory More... | |
class | BilinearInterpolation |
bilinear interpolation between discrete points More... | |
class | Bilinear |
bilinear-interpolation factory More... | |
class | CubicSplineInterpolation |
Cubic spline interpolation between discrete points. More... | |
class | MonotonicCubicSpline |
Cubic spline with monotonicity constraint More... | |
class | NaturalCubicSpline |
Cubic spline with null second derivative at end points More... | |
class | NaturalMonotonicCubicSpline |
Natural cubic spline with monotonicity constraint. More... | |
class | CubicSpline |
Cubic spline interpolation factory and traits More... | |
class | Extrapolator |
base class for classes possibly allowing extrapolation More... | |
class | ForwardFlatInterpolation |
Forward-flat interpolation between discrete points. More... | |
class | ForwardFlat |
Forward-flat interpolation factory and traits. More... | |
class | Interpolation2D |
base class for 2-D interpolations. More... | |
class | LinearInterpolation |
Linear interpolation between discrete points More... | |
class | Linear |
Linear-interpolation factory and traits More... | |
class | LogLinearInterpolation |
log-linear interpolation between discrete points More... | |
class | LogCubicInterpolation |
log-cubic interpolation between discrete points More... | |
class | LogLinear |
log-linear interpolation factory and traits More... | |
class | LogCubic |
log-cubic interpolation factory and traits More... | |
class | MultiCubicSpline |
N-dimensional cubic spline interpolation between discrete points. More... | |
class | SABRInterpolation |
SABR smile interpolation between discrete volatility points. More... | |
class | SABR |
SABR interpolation factory and traits More... | |
class | LexicographicalView |
Lexicographical 2-D view of a contiguous set of data. More... | |
class | LinearLeastSquaresRegression |
general linear least squares regression More... | |
class | Matrix |
Matrix used in linear algebra. More... | |
class | CovarianceDecomposition |
Covariance decomposition into correlation and variances. More... | |
struct | SalvagingAlgorithm |
algorithm used for matricial pseudo square root More... | |
class | SVD |
Singular value decomposition. More... | |
class | SymmetricSchurDecomposition |
symmetric threshold Jacobi algorithm. More... | |
class | TqrEigenDecomposition |
tridiag. QR eigen decomposition with explicite shift aka Wilkinson More... | |
class | ArmijoLineSearch |
Armijo line search. More... | |
class | ConjugateGradient |
Multi-dimensional Conjugate Gradient class. More... | |
class | Constraint |
Base constraint class. More... | |
class | NoConstraint |
No constraint. More... | |
class | PositiveConstraint |
Constraint imposing positivity to all arguments More... | |
class | BoundaryConstraint |
Constraint imposing all arguments to be in [low,high] More... | |
class | CompositeConstraint |
Constraint enforcing both given sub-constraints More... | |
class | CostFunction |
Cost function abstract class for optimization problem. More... | |
class | EndCriteria |
Criteria to end optimization process:. More... | |
class | LeastSquareProblem |
Base class for least square problem. More... | |
class | LeastSquareFunction |
Cost function for least-square problems. More... | |
class | NonLinearLeastSquare |
Non-linear least-square method. More... | |
class | LevenbergMarquardt |
Levenberg-Marquardt optimization method. More... | |
class | LineSearch |
Base class for line search. More... | |
class | OptimizationMethod |
Abstract class for constrained optimization method. More... | |
class | Problem |
Constrained optimization problem. More... | |
class | ProjectedCostFunction |
Parameterized cost function. More... | |
class | Simplex |
Multi-dimensional simplex class. More... | |
class | SphereCylinderOptimizer |
class | SteepestDescent |
Multi-dimensional steepest-descent class. More... | |
class | PrimeNumbers |
Prime numbers calculator. More... | |
class | BoxMullerGaussianRng |
Gaussian random number generator. More... | |
class | CLGaussianRng |
Gaussian random number generator. More... | |
class | FaureRsg |
Faure low-discrepancy sequence generator. More... | |
class | HaltonRsg |
Halton low-discrepancy sequence generator. More... | |
class | InverseCumulativeRng |
Inverse cumulative random number generator. More... | |
class | InverseCumulativeRsg |
Inverse cumulative random sequence generator. More... | |
class | KnuthUniformRng |
Uniform random number generator. More... | |
class | LecuyerUniformRng |
Uniform random number generator. More... | |
class | MersenneTwisterUniformRng |
Uniform random number generator. More... | |
class | RandomizedLDS |
Randomized (random shift) low-discrepancy sequence. More... | |
class | RandomSequenceGenerator |
Random sequence generator based on a pseudo-random number generator. More... | |
class | SeedGenerator |
Random seed generator. More... | |
class | SobolRsg |
Sobol low-discrepancy sequence generator. More... | |
class | Rounding |
basic rounding class More... | |
class | UpRounding |
Up-rounding. More... | |
class | DownRounding |
Down-rounding. More... | |
class | ClosestRounding |
Closest rounding. More... | |
class | CeilingTruncation |
Ceiling truncation. More... | |
class | FloorTruncation |
Floor truncation. More... | |
class | SampledCurve |
This class contains a sampled curve. More... | |
class | Solver1D |
Base class for 1-D solvers. More... | |
class | Bisection |
Bisection 1-D solver More... | |
class | Brent |
Brent 1-D solver More... | |
class | FalsePosition |
False position 1-D solver. More... | |
class | Newton |
Newton 1-D solver More... | |
class | NewtonSafe |
safe Newton 1-D solver More... | |
class | Ridder |
Ridder 1-D solver More... | |
class | Secant |
Secant 1-D solver More... | |
class | ConvergenceStatistics |
statistics class with convergence table More... | |
class | DiscrepancyStatistics |
Statistic tool for sequences with discrepancy calculation. More... | |
class | GenericGaussianStatistics |
Statistics tool for gaussian-assumption risk measures. More... | |
class | StatsHolder |
Helper class for precomputed distributions. More... | |
class | GeneralStatistics |
Statistics tool. More... | |
class | Histogram |
Histogram class. More... | |
class | IncrementalStatistics |
Statistics tool based on incremental accumulation. More... | |
class | GenericRiskStatistics |
empirical-distribution risk measures More... | |
class | GenericSequenceStatistics |
Statistics analysis of N-dimensional (sequence) data. More... | |
class | Surface |
Surface abstract class More... | |
class | TransformedGrid |
transformed grid More... | |
class | AmericanCondition |
American exercise condition. More... | |
class | BoundaryCondition |
Abstract boundary condition class for finite difference problems. More... | |
class | NeumannBC |
Neumann boundary condition (i.e., constant derivative). More... | |
class | DirichletBC |
Neumann boundary condition (i.e., constant value). More... | |
class | BSMOperator |
Black-Scholes-Merton differential operator. More... | |
class | CrankNicolson |
Crank-Nicolson scheme for finite difference methods. More... | |
class | DMinus |
![]() | |
class | DPlus |
![]() | |
class | DPlusDMinus |
![]() | |
class | DZero |
![]() | |
class | ExplicitEuler |
Forward Euler scheme for finite difference methods More... | |
class | FiniteDifferenceModel |
Generic finite difference model. More... | |
class | ImplicitEuler |
Backward Euler scheme for finite difference methods. More... | |
class | MixedScheme |
Mixed (explicit/implicit) scheme for finite difference methods. More... | |
class | OperatorFactory |
Black-Scholes-Merton differential operator. More... | |
class | StepConditionSet |
Parallel evolver for multiple arrays. More... | |
class | ShoutCondition |
Shout option condition. More... | |
class | StepCondition |
condition to be applied at every time step More... | |
class | NullCondition |
null step condition More... | |
class | TridiagonalOperator |
Base implementation for tridiagonal operator. More... | |
class | ZeroCondition |
Zero exercise condition. More... | |
class | BinomialTree |
Binomial tree base class. More... | |
class | EqualProbabilitiesBinomialTree |
Base class for equal probabilities binomial tree. More... | |
class | EqualJumpsBinomialTree |
Base class for equal jumps binomial tree. More... | |
class | JarrowRudd |
Jarrow-Rudd (multiplicative) equal probabilities binomial tree. More... | |
class | CoxRossRubinstein |
Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. More... | |
class | AdditiveEQPBinomialTree |
Additive equal probabilities binomial tree. More... | |
class | Trigeorgis |
Trigeorgis (additive equal jumps) binomial tree More... | |
class | Tian |
Tian tree: third moment matching, multiplicative approach More... | |
class | LeisenReimer |
Leisen & Reimer tree: multiplicative approach. More... | |
class | BlackScholesLattice |
Simple binomial lattice approximating the Black-Scholes model. More... | |
class | TreeLattice |
Tree-based lattice-method base class. More... | |
class | TreeLattice1D |
One-dimensional tree-based lattice. More... | |
class | TreeLattice2D |
Two-dimensional tree-based lattice. More... | |
class | TsiveriotisFernandesLattice |
Binomial lattice approximating the Tsiveriotis-Fernandes model. More... | |
class | Tree |
Tree approximating a single-factor diffusion More... | |
class | TrinomialTree |
Recombining trinomial tree class. More... | |
class | BrownianBridge |
Builds Wiener process paths using Gaussian variates. More... | |
class | EarlyExercisePathPricer |
base class for early exercise path pricers More... | |
class | LongstaffSchwartzPathPricer |
Longstaff-Schwarz path pricer for early exercise options. More... | |
struct | SingleVariate |
default Monte Carlo traits for single-variate models More... | |
struct | MultiVariate |
default Monte Carlo traits for multi-variate models More... | |
class | MonteCarloModel |
General-purpose Monte Carlo model for path samples. More... | |
class | MultiPath |
Correlated multiple asset paths. More... | |
class | MultiPathGenerator |
Generates a multipath from a random number generator. More... | |
class | Path |
single-factor random walk More... | |
class | PathGenerator |
Generates random paths using a sequence generator. More... | |
class | PathPricer |
base class for path pricers More... | |
struct | Sample |
weighted sample More... | |
class | CalibrationHelper |
liquid market instrument used during calibration More... | |
class | BatesModel |
Bates stochastic-volatility model. More... | |
class | HestonModel |
Heston model for the stochastic volatility of an asset. More... | |
class | HestonModelHelper |
calibration helper for Heston model More... | |
class | AccountingEngine |
Engine collecting cash flows along a market-model simulation. More... | |
class | MTBrownianGenerator |
Mersenne-twister Brownian generator for market-model simulations. More... | |
class | SobolBrownianGenerator |
Sobol Brownian generator for market-model simulations. More... | |
class | UpperBoundEngine |
Market-model engine for upper-bound estimation. More... | |
class | ConstrainedEvolver |
Constrained market-model evolver. More... | |
class | CurveState |
Curve state for market-model simulations More... | |
class | CMSwapCurveState |
Curve state for constant-maturity-swap market models More... | |
class | CoterminalSwapCurveState |
Curve state for coterminal-swap market models More... | |
class | LMMCurveState |
Curve state for Libor market models More... | |
class | CMSMMDriftCalculator |
Drift computation for CMS market models. More... | |
class | LMMDriftCalculator |
Drift computation for log-normal Libor market models. More... | |
class | LMMNormalDriftCalculator |
Drift computation for normal Libor market models. More... | |
class | SMMDriftCalculator |
Drift computation for coterminal swap market models. More... | |
class | EvolutionDescription |
Market-model evolution description. More... | |
class | MarketModelEvolver |
Market-model evolver. More... | |
class | LogNormalCmSwapRatePc |
Predictor-Corrector. More... | |
class | LogNormalCotSwapRatePc |
Predictor-Corrector. More... | |
class | LogNormalFwdRateEuler |
Euler. More... | |
class | LogNormalFwdRateEulerConstrained |
euler stepping More... | |
class | LogNormalFwdRateIpc |
Iterative Predictor-Corrector. More... | |
class | LogNormalFwdRatePc |
Predictor-Corrector. More... | |
class | NormalFwdRatePc |
Predictor-Corrector. More... | |
class | HistoricalForwardRatesAnalysisImpl |
Historical correlation class More... | |
class | HistoricalRatesAnalysis |
Historical rate analysis class More... | |
class | MarketModel |
base class for market models More... | |
class | MarketModelFactory |
base class for market-model factories More... | |
class | AbcdVol |
Abcd-interpolated volatility structure More... | |
class | MarketModelMultiProduct |
market-model product More... | |
class | MarketModelComposite |
Composition of two or more market-model products. More... | |
class | MultiProductComposite |
Composition of one or more market-model products. More... | |
class | MultiProductMultiStep |
Multiple-step market-model product. More... | |
class | MultiProductOneStep |
Single-step market-model product. More... | |
class | SingleProductComposite |
Composition of one or more market-model products. More... | |
class | AffineModel |
Affine model class. More... | |
class | TermStructureConsistentModel |
Term-structure consistent model class. More... | |
class | CalibratedModel |
Calibrated model class. More... | |
class | ShortRateModel |
Abstract short-rate model class. More... | |
class | Parameter |
Base class for model arguments. More... | |
class | ConstantParameter |
Standard constant parameter ![]() | |
class | NullParameter |
Parameter which is always zero ![]() | |
class | PiecewiseConstantParameter |
Piecewise-constant parameter. More... | |
class | TermStructureFittingParameter |
Deterministic time-dependent parameter used for yield-curve fitting. More... | |
class | CapHelper |
calibration helper for ATM cap More... | |
class | SwaptionHelper |
calibration helper for ATM swaption More... | |
class | OneFactorModel |
Single-factor short-rate model abstract class. More... | |
class | OneFactorAffineModel |
Single-factor affine base class. More... | |
class | BlackKarasinski |
Standard Black-Karasinski model class. More... | |
class | CoxIngersollRoss |
Cox-Ingersoll-Ross model class. More... | |
class | ExtendedCoxIngersollRoss |
Extended Cox-Ingersoll-Ross model class. More... | |
class | HullWhite |
Single-factor Hull-White (extended Vasicek) model class. More... | |
class | Vasicek |
Vasicek model class More... | |
class | TwoFactorModel |
Abstract base-class for two-factor models. More... | |
class | G2 |
Two-additive-factor gaussian model class. More... | |
class | ConstantEstimator |
Constant-estimator volatility model. More... | |
class | Garch11 |
GARCH volatility model. More... | |
class | GarmanKlassAbstract |
Garman-Klass volatility model. More... | |
class | SimpleLocalEstimator |
Local-estimator volatility model. More... | |
class | Money |
amount of cash More... | |
class | Lattice |
Lattice (tree, finite-differences) base class More... | |
class | Option |
base option class More... | |
class | Greeks |
additional option results More... | |
class | MoreGreeks |
more additional option results More... | |
class | Composite |
Composite pattern. More... | |
class | CuriouslyRecurringTemplate |
Support for the curiously recurring template pattern. More... | |
class | LazyObject |
Framework for calculation on demand and result caching. More... | |
class | Observable |
Object that notifies its changes to a set of observables. More... | |
class | Observer |
Object that gets notified when a given observable changes. More... | |
class | Singleton |
Basic support for the singleton pattern. More... | |
class | AcyclicVisitor |
degenerate base class for the Acyclic Visitor pattern More... | |
class | Visitor |
Visitor for a specific class More... | |
class | Payoff |
Abstract base class for option payoffs. More... | |
class | IntervalPrice |
interval price More... | |
class | PricingEngine |
interface for pricing engines More... | |
class | GenericEngine |
template base class for option pricing engines More... | |
class | AmericanPayoffAtExpiry |
Analytic formula for American exercise payoff at-expiry options. More... | |
class | AmericanPayoffAtHit |
Analytic formula for American exercise payoff at-hit options. More... | |
class | AnalyticContinuousGeometricAveragePriceAsianEngine |
Pricing engine for European continuous geometric average price Asian. More... | |
class | AnalyticDiscreteGeometricAveragePriceAsianEngine |
Pricing engine for European discrete geometric average price Asian. More... | |
class | MCDiscreteArithmeticAPEngine |
Monte Carlo pricing engine for discrete arithmetic average price Asian. More... | |
class | MCDiscreteGeometricAPEngine |
Monte Carlo pricing engine for discrete geometric average price Asian. More... | |
class | MCDiscreteAveragingAsianEngine |
Pricing engine for discrete average Asians using Monte Carlo simulation. More... | |
class | AnalyticBarrierEngine |
Pricing engine for barrier options using analytical formulae. More... | |
class | MCBarrierEngine |
Pricing engine for barrier options using Monte Carlo simulation. More... | |
class | MCAmericanBasketEngine |
least-square Monte Carlo engine More... | |
class | MCBasketEngine |
Pricing engine for basket options using Monte Carlo simulation. More... | |
class | StulzEngine |
Pricing engine for 2D European Baskets. More... | |
class | BlackCalculator |
Black 1976 calculator class. More... | |
class | BlackScholesCalculator |
Black-Scholes 1973 calculator class. More... | |
class | AnalyticCapFloorEngine |
Analytic engine for cap/floor. More... | |
class | BlackCapFloorEngine |
Black-formula cap/floor engine. More... | |
class | MCHullWhiteCapFloorEngine |
Monte Carlo Hull-White engine for cap/floors. More... | |
class | MakeMCHullWhiteCapFloorEngine |
Monte Carlo Hull-White cap-floor engine factory. More... | |
class | TreeCapFloorEngine |
Numerical lattice engine for cap/floors. More... | |
class | AnalyticCliquetEngine |
Pricing engine for Cliquet options using analytical formulae. More... | |
class | AnalyticPerformanceEngine |
Pricing engine for performance options using analytical formulae. More... | |
class | ForwardVanillaEngine |
Forward engine for vanilla options More... | |
class | ForwardPerformanceVanillaEngine |
Forward performance engine for vanilla options More... | |
class | MCVarianceSwapEngine |
Variance-swap pricing engine using Monte Carlo simulation,. More... | |
class | MakeMCVarianceSwapEngine |
Monte Carlo variance-swap engine factory. More... | |
class | ReplicatingVarianceSwapEngine |
Variance-swap pricing engine using replicating cost,. More... | |
class | GenericModelEngine |
Base class for some pricing engine on a particular model. More... | |
class | BinomialConvertibleEngine |
Binomial Tsiveriotis-Fernandes engine for convertible bonds. More... | |
class | LatticeShortRateModelEngine |
Engine for a short-rate model specialized on a lattice. More... | |
class | AnalyticContinuousFixedLookbackEngine |
Pricing engine for European continuous fixed-strike lookback. More... | |
class | AnalyticContinuousFloatingLookbackEngine |
Pricing engine for European continuous floating-strike lookback. More... | |
class | MCLongstaffSchwartzEngine |
Longstaff-Schwarz Monte Carlo engine for early exercise options. More... | |
class | McSimulation |
base class for Monte Carlo engines More... | |
class | QuantoEngine |
Quanto engine. More... | |
class | TreeVanillaSwapEngine |
Numerical lattice engine for simple swaps. More... | |
class | BlackSwaptionEngine |
Black-formula swaption engine. More... | |
class | G2SwaptionEngine |
Swaption priced by means of the Black formula More... | |
class | JamshidianSwaptionEngine |
Jamshidian swaption engine. More... | |
class | TreeSwaptionEngine |
Numerical lattice engine for swaptions. More... | |
class | AnalyticBSMHullWhiteEngine |
analytic european option pricer including stochastic interest rates More... | |
class | AnalyticDigitalAmericanEngine |
Analytic pricing engine for American vanilla options with digital payoff. More... | |
class | AnalyticDividendEuropeanEngine |
Analytic pricing engine for European options with discrete dividends. More... | |
class | AnalyticEuropeanEngine |
Pricing engine for European vanilla options using analytical formulae. More... | |
class | AnalyticHestonEngine |
analytic Heston-model engine based on Fourier transform More... | |
class | AnalyticHestonHullWhiteEngine |
Analytic Heston engine incl. stochastic interest rates. More... | |
class | BaroneAdesiWhaleyApproximationEngine |
Barone-Adesi and Whaley pricing engine for American options (1987). More... | |
class | BatesEngine |
Bates model engines based on Fourier transform. More... | |
class | BinomialVanillaEngine |
Pricing engine for vanilla options using binomial trees. More... | |
class | BjerksundStenslandApproximationEngine |
Bjerksund and Stensland pricing engine for American options (1993). More... | |
class | FDBermudanEngine |
Finite-differences Bermudan engine. More... | |
class | FDDividendEngineBase |
Abstract base class for dividend engines. More... | |
class | FDDividendEngineMerton73 |
Finite-differences pricing engine for dividend options using. More... | |
class | FDDividendEngineShiftScale |
Finite-differences engine for dividend options using shifted dividends. More... | |
class | FDEuropeanEngine |
Pricing engine for European options using finite-differences. More... | |
class | FDStepConditionEngine |
Finite-differences pricing engine for American-style vanilla options. More... | |
class | FDVanillaEngine |
Finite-differences pricing engine for BSM one asset options. More... | |
class | IntegralEngine |
Pricing engine for European vanilla options using integral approach. More... | |
class | JumpDiffusionEngine |
Jump-diffusion engine for vanilla options. More... | |
class | JuQuadraticApproximationEngine |
Pricing engine for American options with Ju quadratic approximation. More... | |
class | MCAmericanEngine |
American Monte Carlo engine. More... | |
class | MakeMCAmericanEngine |
Monte Carlo American engine factory. More... | |
class | MCDigitalEngine |
Pricing engine for digital options using Monte Carlo simulation. More... | |
class | MakeMCDigitalEngine |
Monte Carlo digital engine factory. More... | |
class | MCEuropeanEngine |
European option pricing engine using Monte Carlo simulation. More... | |
class | MakeMCEuropeanEngine |
Monte Carlo European engine factory. More... | |
class | MCEuropeanHestonEngine |
Monte Carlo Heston-model engine for European options. More... | |
class | MakeMCEuropeanHestonEngine |
Monte Carlo Heston European engine factory. More... | |
class | MCVanillaEngine |
Pricing engine for vanilla options using Monte Carlo simulation. More... | |
class | GeneralizedBlackScholesProcess |
Generalized Black-Scholes stochastic process. More... | |
class | BlackScholesProcess |
Black-Scholes (1973) stochastic process. More... | |
class | BlackScholesMertonProcess |
Merton (1973) extension to the Black-Scholes stochastic process. More... | |
class | BlackProcess |
Black (1976) stochastic process. More... | |
class | GarmanKohlagenProcess |
Garman-Kohlhagen (1983) stochastic process. More... | |
class | EulerDiscretization |
Euler discretization for stochastic processes. More... | |
class | ForwardMeasureProcess |
forward-measure stochastic process More... | |
class | ForwardMeasureProcess1D |
forward-measure 1-D stochastic process More... | |
class | G2Process |
G2 stochastic process More... | |
class | G2ForwardProcess |
Forward G2 stochastic process More... | |
class | GeometricBrownianMotionProcess |
Geometric brownian-motion process. More... | |
class | HestonProcess |
Square-root stochastic-volatility Heston process. More... | |
class | HullWhiteProcess |
Hull-White stochastic process. More... | |
class | HullWhiteForwardProcess |
Forward Hull-White stochastic process More... | |
class | HybridHestonHullWhiteProcess |
Hybrid Heston Hull-White stochastic process. More... | |
class | Merton76Process |
Merton-76 jump-diffusion process. More... | |
class | OrnsteinUhlenbeckProcess |
Ornstein-Uhlenbeck process class. More... | |
class | SquareRootProcess |
Square-root process class. More... | |
class | StochasticProcessArray |
Array of correlated 1-D stochastic processes More... | |
class | Quote |
purely virtual base class for market observables More... | |
class | CompositeQuote |
market element whose value depends on two other market element More... | |
class | DerivedQuote |
market quote whose value depends on another quote More... | |
class | EurodollarFuturesImpliedStdDevQuote |
quote for the Eurodollar-future implied standard deviation More... | |
class | ForwardSwapQuote |
Quote for a forward starting swap. More... | |
class | ForwardValueQuote |
quote for the forward value of an index More... | |
class | FuturesConvAdjustmentQuote |
quote for the futures-convexity adjustment of an index More... | |
class | ImpliedStdDevQuote |
quote for the implied standard deviation of an underlying More... | |
class | SimpleQuote |
market element returning a stored value More... | |
class | Settings |
global repository for run-time library settings More... | |
class | StochasticProcess |
multi-dimensional stochastic process class. More... | |
class | StochasticProcess1D |
1-dimensional stochastic process More... | |
class | TermStructure |
Basic term-structure functionality. More... | |
class | BootstrapHelper |
Base helper class for bootstrapping. More... | |
class | IterativeBootstrap |
Universal piecewise-term-structure boostrapper. More... | |
class | ZciisInflationHelper |
Zero-coupon inflation-swap bootstrap helper. More... | |
class | YyiisInflationHelper |
Year-on-year inflation-swap bootstrap helper. More... | |
class | InterpolatedYoYInflationCurve |
Inflation term structure based on interpolated year-on-year rates. More... | |
class | InterpolatedZeroInflationCurve |
Inflation term structure based on the interpolation of zero rates. More... | |
class | YoYInflationTraits |
Bootstrap traits to use for PiecewiseZeroInflationCurve. More... | |
class | PiecewiseYoYInflationCurve |
Piecewise year-on-year inflation term structure. More... | |
class | ZeroInflationTraits |
Bootstrap traits to use for PiecewiseZeroInflationCurve. More... | |
class | PiecewiseZeroInflationCurve |
Piecewise zero-inflation term structure. More... | |
class | InflationTermStructure |
Interface for inflation term structures. More... | |
class | ZeroInflationTermStructure |
Interface for zero inflation term structures. More... | |
class | YoYInflationTermStructure |
Base class for year-on-year inflation term structures. More... | |
class | AbcdFunction |
Abcd functional form for instantaneous volatility More... | |
class | CapFloorTermVolatilityStructure |
Cap/floor term-volatility structure. More... | |
class | CapFloorTermVolCurve |
Cap/floor at-the-money term-volatility vector. More... | |
class | CapFloorTermVolSurface |
Cap/floor smile volatility surface. More... | |
class | BlackConstantVol |
Constant Black volatility, no time-strike dependence. More... | |
class | BlackVarianceCurve |
Black volatility curve modelled as variance curve. More... | |
class | BlackVarianceSurface |
Black volatility surface modelled as variance surface. More... | |
class | BlackVolTermStructure |
Black-volatility term structure. More... | |
class | BlackVolatilityTermStructure |
Black-volatility term structure. More... | |
class | BlackVarianceTermStructure |
Black variance term structure. More... | |
class | ImpliedVolTermStructure |
Implied vol term structure at a given date in the future. More... | |
class | LocalConstantVol |
Constant local volatility, no time-strike dependence. More... | |
class | LocalVolCurve |
Local volatility curve derived from a Black curve. More... | |
class | LocalVolSurface |
Local volatility surface derived from a Black vol surface. More... | |
class | LocalVolTermStructure |
class | ConstantOptionletVol |
Constant caplet volatility, no time-strike dependence. More... | |
class | OptionletVolatilityStructure |
Optionlet (caplet/floorlet) volatility structure. More... | |
class | SmileSection |
interest rate volatility smile section More... | |
class | CmsMarket |
set of CMS quotes More... | |
class | SwaptionConstantVolatility |
Constant swaption volatility, no time-strike dependence. More... | |
class | SwaptionVolatilityCube |
swaption-volatility cube More... | |
class | SwaptionVolatilityMatrix |
At-the-money swaption-volatility matrix. More... | |
class | SwaptionVolatilityStructure |
Swaption-volatility structure More... | |
class | VolatilityTermStructure |
Volatility term structure. More... | |
class | FixedRateBondHelper |
fixed-coupon bond helper More... | |
struct | Discount |
Discount-curve traits. More... | |
struct | ZeroYield |
Zero-curve traits. More... | |
struct | ForwardRate |
Forward-curve traits. More... | |
class | InterpolatedDiscountCurve |
Term structure based on interpolation of discount factors. More... | |
class | DriftTermStructure |
Drift term structure. More... | |
class | FittedBondDiscountCurve |
Discount curve fitted to a set of fixed-coupon bonds. More... | |
class | FlatForward |
Flat interest-rate curve. More... | |
class | InterpolatedForwardCurve |
Term structure based on interpolation of forward rates. More... | |
class | ForwardSpreadedTermStructure |
Term structure with added spread on the instantaneous forward rate. More... | |
class | ForwardRateStructure |
Forward-rate term structure More... | |
class | ImpliedTermStructure |
Implied term structure at a given date in the future. More... | |
class | ExponentialSplinesFitting |
Exponential-splines fitting method. More... | |
class | NelsonSiegelFitting |
Nelson-Siegel fitting method. More... | |
class | CubicBSplinesFitting |
CubicSpline B-splines fitting method. More... | |
class | SimplePolynomialFitting |
Simple polynomial fitting method. More... | |
class | PiecewiseYieldCurve |
Piecewise yield term structure. More... | |
class | PiecewiseZeroSpreadedTermStructure |
Term structure with an added vector of spreads on the zero-yield rate. More... | |
class | QuantoTermStructure |
Quanto term structure. More... | |
class | FuturesRateHelper |
Rate helper for bootstrapping over interest-rate futures prices. More... | |
class | RelativeDateRateHelper |
Rate helper with date schedule relative to the global evaluation date. More... | |
class | DepositRateHelper |
Rate helper for bootstrapping over deposit rates. More... | |
class | FraRateHelper |
Rate helper for bootstrapping over FRA rates. More... | |
class | SwapRateHelper |
Rate helper for bootstrapping over swap rates. More... | |
class | BMASwapRateHelper |
Rate helper for bootstrapping over BMA swap rates. More... | |
class | InterpolatedZeroCurve |
Term structure based on interpolation of zero yields. More... | |
class | ZeroSpreadedTermStructure |
Term structure with an added spread on the zero yield rate. More... | |
class | ZeroYieldStructure |
Zero-yield term structure. More... | |
class | YieldTermStructure |
Interest-rate term structure. More... | |
class | Calendar |
calendar class More... | |
class | Argentina |
Argentinian calendars. More... | |
class | Australia |
Australian calendar. More... | |
class | Brazil |
Brazilian calendar. More... | |
class | Canada |
Canadian calendar. More... | |
class | China |
Chinese calendar. More... | |
class | CzechRepublic |
Czech calendars. More... | |
class | Denmark |
Danish calendar. More... | |
class | Finland |
Finnish calendar. More... | |
class | Germany |
German calendars. More... | |
class | HongKong |
Hong Kong calendars. More... | |
class | Hungary |
Hungarian calendar. More... | |
class | Iceland |
Icelandic calendars. More... | |
class | India |
Indian calendars. More... | |
class | Indonesia |
Indonesian calendars More... | |
class | Italy |
Italian calendars. More... | |
class | Japan |
Japanese calendar. More... | |
class | JointCalendar |
Joint calendar. More... | |
class | Mexico |
Mexican calendars More... | |
class | NewZealand |
New Zealand calendar. More... | |
class | Norway |
Norwegian calendar. More... | |
class | NullCalendar |
Calendar for reproducing theoretical calculations. More... | |
class | Poland |
Polish calendar. More... | |
class | SaudiArabia |
Saudi Arabian calendar. More... | |
class | Singapore |
Singapore calendars More... | |
class | Slovakia |
Slovak calendars. More... | |
class | SouthAfrica |
South-African calendar. More... | |
class | SouthKorea |
South Korean calendars. More... | |
class | Sweden |
Swedish calendar. More... | |
class | Switzerland |
Swiss calendar. More... | |
class | Taiwan |
Taiwanese calendars. More... | |
class | TARGET |
TARGET calendar More... | |
class | Turkey |
Turkish calendar. More... | |
class | Ukraine |
Ukrainian calendars. More... | |
class | UnitedKingdom |
United Kingdom calendars. More... | |
class | UnitedStates |
United States calendars. More... | |
class | Date |
Concrete date class. More... | |
struct | DateGeneration |
Date-generation rule. More... | |
class | DayCounter |
day counter class More... | |
class | Actual360 |
Actual/360 day count convention. More... | |
class | Actual365Fixed |
Actual/365 (Fixed) day count convention. More... | |
class | ActualActual |
Actual/Actual day count. More... | |
class | Business252 |
Business/252 day count convention. More... | |
class | OneDayCounter |
1/1 day count convention More... | |
class | SimpleDayCounter |
Simple day counter for reproducing theoretical calculations. More... | |
class | Thirty360 |
30/360 day count convention More... | |
struct | IMM |
Main cycle of the International Money Market (a.k.a. IMM) months. More... | |
class | Period |
class | Schedule |
Payment schedule. More... | |
class | MakeSchedule |
helper class More... | |
class | TimeGrid |
time grid class More... | |
class | TimeSeries |
Container for historical data. More... | |
class | Clone |
cloning proxy to an underlying object More... | |
class | Disposable |
generic disposable object with move semantics More... | |
class | Null |
template class providing a null value for a given type. More... | |
class | ObservableValue |
observable and assignable proxy to concrete value More... | |
class | step_iterator |
Iterator advancing in constant steps. More... | |
Typedefs | |
typedef std::vector < boost::shared_ptr< CashFlow > > | Leg |
typedef std::vector < boost::shared_ptr < Callability > > | CallabilitySchedule |
typedef std::vector < boost::shared_ptr< Dividend > > | DividendSchedule |
typedef BivariateCumulativeNormalDistributionWe04DP | BivariateCumulativeNormalDistribution |
default bivariate implementation | |
typedef NormalDistribution | GaussianDistribution |
typedef InverseCumulativeNormal | InvCumulativeNormalDistribution |
typedef detail::SplineGrid | SplineGrid |
typedef GenericPseudoRandom < MersenneTwisterUniformRng, InverseCumulativeNormal > | PseudoRandom |
default traits for pseudo-random number generation | |
typedef GenericPseudoRandom < MersenneTwisterUniformRng, InverseCumulativePoisson > | PoissonPseudoRandom |
traits for Poisson-distributed pseudo-random number generation | |
typedef GenericLowDiscrepancy < SobolRsg, InverseCumulativeNormal > | LowDiscrepancy |
default traits for low-discrepancy sequence generation | |
typedef SampledCurve | SampledCurveSet |
typedef GenericGaussianStatistics < GeneralStatistics > | GaussianStatistics |
default gaussian statistic tool | |
typedef GenericRiskStatistics < GaussianStatistics > | RiskStatistics |
default risk measures tool | |
typedef GenericSequenceStatistics < Statistics > | SequenceStatistics |
default multi-dimensional statistics tool | |
typedef RiskStatistics | Statistics |
default statistics tool | |
typedef PdeOperator< PdeBSM > | BSMTermOperator |
Black-Scholes-Merton differential operator. | |
typedef FiniteDifferenceModel < CrankNicolson < TridiagonalOperator > > | StandardFiniteDifferenceModel |
default choice for finite-difference model | |
typedef FiniteDifferenceModel < ParallelEvolver < CrankNicolson < TridiagonalOperator > > > | StandardSystemFiniteDifferenceModel |
default choice for parallel finite-difference model | |
typedef StepCondition< Array > | StandardStepCondition |
default choice for step condition | |
typedef CurveDependentStepCondition < Array > | StandardCurveDependentStepCondition |
typedef PdeOperator< PdeShortRate > | OneFactorOperator |
Interest-rate single factor model differential operator. | |
typedef FDEngineAdapter < FDAmericanCondition < FDStepConditionEngine >, OneAssetOption::engine > | FDAmericanEngine |
Finite-differences pricing engine for American one asset options. | |
typedef FDEngineAdapter < FDAmericanCondition < FDDividendEngine >, DividendVanillaOption::engine > | FDDividendAmericanEngine |
Finite-differences pricing engine for dividend American options. | |
typedef FDEngineAdapter < FDAmericanCondition < FDDividendEngineMerton73 >, DividendVanillaOption::engine > | FDDividendAmericanEngineMerton73 |
typedef FDEngineAdapter < FDAmericanCondition < FDDividendEngineShiftScale >, DividendVanillaOption::engine > | FDDividendAmericanEngineShiftScale |
typedef FDDividendEngineMerton73 | FDDividendEngine |
typedef FDEngineAdapter < FDDividendEngine, DividendVanillaOption::engine > | FDDividendEuropeanEngine |
Finite-differences pricing engine for dividend European options. | |
typedef FDEngineAdapter < FDDividendEngineMerton73, DividendVanillaOption::engine > | FDDividendEuropeanEngineMerton73 |
typedef FDEngineAdapter < FDDividendEngineShiftScale, DividendVanillaOption::engine > | FDDividendEuropeanEngineShiftScale |
typedef FDEngineAdapter < FDShoutCondition < FDDividendEngine >, DividendVanillaOption::engine > | FDDividendShoutEngine |
Finite-differences shout engine with dividends. | |
typedef FDEngineAdapter < FDShoutCondition < FDDividendEngineMerton73 >, DividendVanillaOption::engine > | FDDividendShoutEngineMerton73 |
typedef FDEngineAdapter < FDShoutCondition < FDDividendEngineShiftScale >, DividendVanillaOption::engine > | FDDividendShoutEngineShiftScale |
typedef FDEngineAdapter < FDShoutCondition < FDStepConditionEngine >, VanillaOption::engine > | FDShoutEngine |
Finite-differences pricing engine for shout vanilla options. | |
typedef InterpolatedYoYInflationCurve < Linear > | YoYInflationCurve |
typedef InterpolatedZeroInflationCurve < Linear > | ZeroInflationCurve |
typedef std::vector < std::vector < boost::shared_ptr< CapFloor > > > | CapFloorMatrix |
typedef InterpolatedDiscountCurve < LogLinear > | DiscountCurve |
Term structure based on log-linear interpolation of discount factors. | |
typedef InterpolatedForwardCurve < BackwardFlat > | ForwardCurve |
Term structure based on flat interpolation of forward rates. | |
typedef BootstrapHelper < YieldTermStructure > | RateHelper |
typedef InterpolatedZeroCurve < Linear > | ZeroCurve |
Term structure based on linear interpolation of zero yields. | |
typedef Integer | Day |
Day number. | |
typedef Integer | Year |
Year number. | |
typedef QL_INTEGER | Integer |
integer number | |
typedef QL_BIG_INTEGER | BigInteger |
large integer number | |
typedef unsigned QL_INTEGER | Natural |
positive integer | |
typedef unsigned QL_BIG_INTEGER | BigNatural |
large positive integer | |
typedef QL_REAL | Real |
real number | |
typedef Real | Decimal |
decimal number | |
typedef std::size_t | Size |
size of a container | |
typedef Real | Time |
continuous quantity with 1-year units | |
typedef Real | DiscountFactor |
discount factor between dates | |
typedef Real | Rate |
interest rates | |
typedef Real | Spread |
spreads on interest rates | |
typedef Real | Volatility |
volatility | |
Enumerations | |
enum | Compounding { Simple = 0, Compounded = 1, Continuous = 2, SimpleThenCompounded } |
Interest rate coumpounding rule. More... | |
enum | PriceType { Bid, Ask, Last, Close, Mid, MidEquivalent, MidSafe } |
Price types. More... | |
enum | BusinessDayConvention { Following, ModifiedFollowing, Preceding, ModifiedPreceding, Unadjusted } |
Business Day conventions. More... | |
enum | JointCalendarRule { JoinHolidays, JoinBusinessDays } |
rules for joining calendars More... | |
enum | Month { January = 1, February = 2, March = 3, April = 4, May = 5, June = 6, July = 7, August = 8, September = 9, October = 10, November = 11, December = 12, Jan = 1, Feb = 2, Mar = 3, Apr = 4, Jun = 6, Jul = 7, Aug = 8, Sep = 9, Oct = 10, Nov = 11, Dec = 12 } |
Month names. More... | |
enum | Frequency { NoFrequency = -1, Once = 0, Annual = 1, Semiannual = 2, EveryFourthMonth = 3, Quarterly = 4, Bimonthly = 6, Monthly = 12, Biweekly = 26, Weekly = 52, Daily = 365 } |
Frequency of events. More... | |
enum | TimeUnit { Days, Weeks, Months, Years } |
Units used to describe time periods. More... | |
enum | Weekday { Sunday = 1, Monday = 2, Tuesday = 3, Wednesday = 4, Thursday = 5, Friday = 6, Saturday = 7, Sun = 1, Mon = 2, Tue = 3, Wed = 4, Thu = 5, Fri = 6, Sat = 7 } |
Functions | |
template<typename IndexType, typename FloatingCouponType, typename CappedFlooredCouponType> | |
Leg | FloatingLeg (const std::vector< Real > &nominals, const Schedule &schedule, const boost::shared_ptr< IndexType > &index, const DayCounter &paymentDayCounter, BusinessDayConvention paymentAdj, const std::vector< Natural > &fixingDays, const std::vector< Real > &gearings, const std::vector< Spread > &spreads, const std::vector< Rate > &caps, const std::vector< Rate > &floors, bool isInArrears, bool isZero) |
template<typename IndexType, typename FloatingCouponType, typename DigitalCouponType> | |
Leg | FloatingDigitalLeg (const std::vector< Real > &nominals, const Schedule &schedule, const boost::shared_ptr< IndexType > &index, const DayCounter &paymentDayCounter, BusinessDayConvention paymentAdj, const std::vector< Natural > &fixingDays, const std::vector< Real > &gearings, const std::vector< Spread > &spreads, bool isInArrears, const std::vector< Rate > &callStrikes, Position::Type callPosition, bool isCallATMIncluded, const std::vector< Rate > &callDigitalPayoffs, const std::vector< Rate > &putStrikes, Position::Type putPosition, bool isPutATMIncluded, const std::vector< Rate > &putDigitalPayoffs, const boost::shared_ptr< DigitalReplication > &replication) |
void | setCouponPricer (const Leg &leg, const boost::shared_ptr< FloatingRateCouponPricer > &) |
void | setCouponPricers (const Leg &leg, const std::vector< boost::shared_ptr< FloatingRateCouponPricer > > &) |
std::vector< boost::shared_ptr < Dividend > > | DividendVector (const std::vector< Date > ÷ndDates, const std::vector< Real > ÷nds) |
helper function building a sequence of fixed dividends | |
bool | operator== (const Currency &c1, const Currency &c2) |
bool | operator!= (const Currency &c1, const Currency &c2) |
Disposable< Array > | CenteredGrid (Real center, Real dx, Size steps) |
Disposable< Array > | BoundedGrid (Real xMin, Real xMax, Size steps) |
Disposable< Array > | BoundedLogGrid (Real xMin, Real xMax, Size steps) |
bool | operator== (const Region &r1, const Region &r2) |
bool | operator!= (const Region &r1, const Region &r2) |
std::ostream & | operator<< (std::ostream &out, Average::Type type) |
std::ostream & | operator<< (std::ostream &out, Barrier::Type type) |
std::ostream & | operator<< (std::ostream &, CapFloor::Type) |
std::ostream & | operator<< (std::ostream &out, Settlement::Type type) |
std::ostream & | operator<< (std::ostream &out, VanillaSwap::Type type) |
Real | DotProduct (const Array &v1, const Array &v2) |
const Disposable< Array > | operator+ (const Array &v) |
const Disposable< Array > | operator- (const Array &v) |
const Disposable< Array > | operator+ (const Array &v1, const Array &v2) |
const Disposable< Array > | operator+ (const Array &v1, Real a) |
const Disposable< Array > | operator+ (Real a, const Array &v2) |
const Disposable< Array > | operator- (const Array &v1, const Array &v2) |
const Disposable< Array > | operator- (const Array &v1, Real a) |
const Disposable< Array > | operator- (Real a, const Array &v2) |
const Disposable< Array > | operator * (const Array &v1, const Array &v2) |
const Disposable< Array > | operator * (const Array &v1, Real a) |
const Disposable< Array > | operator * (Real a, const Array &v2) |
const Disposable< Array > | operator/ (const Array &v1, const Array &v2) |
const Disposable< Array > | operator/ (const Array &v1, Real a) |
const Disposable< Array > | operator/ (Real a, const Array &v2) |
const Disposable< Array > | Abs (const Array &v) |
const Disposable< Array > | Sqrt (const Array &v) |
const Disposable< Array > | Log (const Array &v) |
const Disposable< Array > | Exp (const Array &v) |
void | swap (Array &v, Array &w) |
std::ostream & | operator<< (std::ostream &out, const Array &a) |
Real | betaFunction (Real z, Real w) |
Real | betaContinuedFraction (Real a, Real b, Real x, Real accuracy=1e-16, Integer maxIteration=100) |
Real | incompleteBetaFunction (Real a, Real b, Real x, Real accuracy=1e-16, Integer maxIteration=100) |
Incomplete Beta function. | |
bool | close (Real x, Real y) |
bool | close (Real x, Real y, Size n) |
bool | close_enough (Real x, Real y) |
bool | close_enough (Real x, Real y, Size n) |
Real | binomialCoefficientLn (BigNatural n, BigNatural k) |
Real | binomialCoefficient (BigNatural n, BigNatural k) |
Real | PeizerPrattMethod2Inversion (Real z, BigNatural n) |
template<class F, class R> | |
clipped_function< F, R > | clip (const F &f, const R &r) |
template<class F, class G> | |
composed_function< F, G > | compose (const F &f, const G &g) |
template<class F, class G, class H> | |
binary_compose3_function< F, G, H > | compose3 (const F &f, const G &g, const H &h) |
Real | incompleteGammaFunction (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) |
Incomplete Gamma function. | |
Real | incompleteGammaFunctionSeriesRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) |
Real | incompleteGammaFunctionContinuedFractionRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) |
const Disposable< Matrix > | operator+ (const Matrix &m1, const Matrix &m2) |
const Disposable< Matrix > | operator- (const Matrix &m1, const Matrix &m2) |
const Disposable< Matrix > | operator * (const Matrix &m, Real x) |
const Disposable< Matrix > | operator * (Real x, const Matrix &m) |
const Disposable< Matrix > | operator/ (const Matrix &m, Real x) |
const Disposable< Array > | operator * (const Array &v, const Matrix &m) |
const Disposable< Array > | operator * (const Matrix &m, const Array &v) |
const Disposable< Matrix > | operator * (const Matrix &m1, const Matrix &m2) |
const Disposable< Matrix > | transpose (const Matrix &m) |
const Disposable< Matrix > | outerProduct (const Array &v1, const Array &v2) |
template<class Iterator1, class Iterator2> | |
const Disposable< Matrix > | outerProduct (Iterator1 v1begin, Iterator1 v1end, Iterator2 v2begin, Iterator2 v2end) |
void | swap (Matrix &m1, Matrix &m2) |
std::ostream & | operator<< (std::ostream &out, const Matrix &m) |
template<class DataIterator> | |
Disposable< Matrix > | getCovariance (DataIterator stdDevBegin, DataIterator stdDevEnd, const Matrix &corr, Real tolerance=1.0e-12) |
Calculation of covariance from correlation and standard deviations. | |
Disposable< Matrix > | triangularAnglesParametrization (const Array &angles, Size matrixSize, Size rank) |
Returns the Triangular Angles Parametrized correlation matrix. | |
Disposable< Matrix > | lmmTriangularAnglesParametrization (const Array &angles, Size matrixSize, Size rank) |
Disposable< Matrix > | triangularAnglesParametrizationUnconstrained (const Array &x, Size matrixSize, Size rank) |
Disposable< Matrix > | lmmTriangularAnglesParametrizationUnconstrained (const Array &x, Size matrixSize, Size rank) |
Disposable< Matrix > | triangularAnglesParametrizationRankThree (Real alpha, Real t0, Real epsilon, Size nbRows) |
Returns the rank reduced Triangular Angles Parametrized correlation matrix. | |
Disposable< Matrix > | triangularAnglesParametrizationRankThreeVectorial (const Array ¶mters, Size nbRows, Size rank) |
std::ostream & | operator<< (std::ostream &out, EndCriteria::Type ecType) |
std::vector< Real > | sphereCylinderOptimizerClosest (Real r, Real s, Real alpha, Real z1, Real z2, Real z3, Natural maxIterations, Real tolerance, Real finalWeight=1.0) |
void | swap (SampledCurve &, SampledCurve &) |
std::ostream & | operator<< (std::ostream &out, const SampledCurve &a) |
void | swap (TridiagonalOperator &, TridiagonalOperator &) |
Disposable< TridiagonalOperator > | operator+ (const TridiagonalOperator &D) |
Disposable< TridiagonalOperator > | operator- (const TridiagonalOperator &D) |
Disposable< TridiagonalOperator > | operator+ (const TridiagonalOperator &D1, const TridiagonalOperator &D2) |
Disposable< TridiagonalOperator > | operator- (const TridiagonalOperator &D1, const TridiagonalOperator &D2) |
Disposable< TridiagonalOperator > | operator * (Real a, const TridiagonalOperator &D) |
Disposable< TridiagonalOperator > | operator * (const TridiagonalOperator &D, Real a) |
Disposable< TridiagonalOperator > | operator/ (const TridiagonalOperator &D, Real a) |
Real | genericLongstaffSchwartzRegression (std::vector< std::vector< NodeData > > &simulationData, std::vector< std::vector< Real > > &basisCoefficients) |
returns the biased estimate obtained while regressing | |
Real | genericEarlyExerciseOptimization (std::vector< std::vector< NodeData > > &simulationData, const ParametricExercise &exercise, std::vector< std::vector< Real > > ¶meters, const EndCriteria &endCriteria, OptimizationMethod &method) |
returns the biased estimate obtained while optimizing | |
void | collectNodeData (MarketModelEvolver &evolver, MarketModelMultiProduct &product, MarketModelNodeDataProvider &dataProvider, MarketModelExerciseValue &rebate, MarketModelExerciseValue &control, Size numberOfPaths, std::vector< std::vector< NodeData > > &collectedData) |
Disposable< Matrix > | exponentialCorrelations (const std::vector< Time > &rateTimes, Real longTermCorr=0.5, Real beta=0.2, Real gamma=1.0, Time t=0.0) |
void | forwardsFromDiscountRatios (const Size firstValidIndex, const std::vector< DiscountFactor > &ds, const std::vector< Time > &taus, std::vector< Rate > &fwds) |
void | coterminalFromDiscountRatios (const Size firstValidIndex, const std::vector< DiscountFactor > &ds, const std::vector< Time > &taus, std::vector< Rate > &cotSwapRates, std::vector< Real > &cotSwapAnnuities) |
void | constantMaturityFromDiscountRatios (const Size spanningForwards, const Size firstValidIndex, const std::vector< DiscountFactor > &ds, const std::vector< Time > &taus, std::vector< Rate > &cotSwapRates, std::vector< Real > &cotSwapAnnuities) |
void | checkCompatibility (const EvolutionDescription &evolution, const std::vector< Size > &numeraires) |
bool | isInTerminalMeasure (const EvolutionDescription &evolution, const std::vector< Size > &numeraires) |
bool | isInMoneyMarketPlusMeasure (const EvolutionDescription &evolution, const std::vector< Size > &numeraires, Size offset=1) |
bool | isInMoneyMarketMeasure (const EvolutionDescription &evolution, const std::vector< Size > &numeraires) |
std::vector< Size > | terminalMeasure (const EvolutionDescription &evolution) |
Terminal measure: the last bond is used as numeraire. | |
std::vector< Size > | moneyMarketPlusMeasure (const EvolutionDescription &, Size offset=1) |
std::vector< Size > | moneyMarketMeasure (const EvolutionDescription &) |
template<class Traits, class Interpolator> | |
void | historicalForwardRatesAnalysis (SequenceStatistics &statistics, std::vector< Date > &skippedDates, std::vector< std::string > &skippedDatesErrorMessage, std::vector< Date > &failedDates, std::vector< std::string > &failedDatesErrorMessage, std::vector< Period > &fixingPeriods, const Date &startDate, const Date &endDate, const Period &step, const boost::shared_ptr< InterestRateIndex > &fwdIndex, const Period &initialGap, const Period &horizon, const std::vector< boost::shared_ptr< IborIndex > > &iborIndexes, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const DayCounter &yieldCurveDayCounter, Real yieldCurveAccuracy=1.0e-12, const Interpolator &i=Interpolator()) |
void | historicalRatesAnalysis (SequenceStatistics &statistics, std::vector< Date > &skippedDates, std::vector< std::string > &skippedDatesErrorMessage, const Date &startDate, const Date &endDate, const Period &step, const std::vector< boost::shared_ptr< InterestRateIndex > > &indexes) |
std::vector< Volatility > | rateVolDifferences (const MarketModel &marketModel1, const MarketModel &marketModel2) |
std::vector< Spread > | rateInstVolDifferences (const MarketModel &marketModel1, const MarketModel &marketModel2, Size index) |
std::vector< Real > | coterminalSwapPseudoRoots (const PiecewiseConstantCorrelation &, const std::vector< boost::shared_ptr< PiecewiseConstantVariance > > &, const std::vector< Time > &) |
Integer | capletSwaptionPeriodicCalibration (const EvolutionDescription &evolution, const boost::shared_ptr< PiecewiseConstantCorrelation > &corr, VolatilityInterpolationSpecifier &displacedSwapVariances, const std::vector< Volatility > &capletVols, const boost::shared_ptr< CurveState > &cs, const Spread displacement, Real caplet0Swaption1Priority, Size numberOfFactors, Size period, Size max1dIterations, Real tolerance1d, Size maxUnperiodicIterations, Real toleranceUnperiodic, Size maxPeriodIterations, Real periodTolerance, Real &deformationSize, Real &totalSwaptionError, std::vector< Matrix > &swapCovariancePseudoRoots, std::vector< Real > &finalScales, Size &iterationsDone, Real &errorImprovement, Matrix &modelSwaptionVolsMatrix) |
void | mergeTimes (const std::vector< std::vector< Time > > ×, std::vector< Time > &mergedTimes, std::vector< std::vector< bool > > &isPresent) |
std::vector< bool > | isInSubset (const std::vector< Time > &set, const std::vector< Time > &subset) |
void | checkIncreasingTimes (const std::vector< Time > ×) |
check for strictly increasing times, first time greater than zero | |
void | checkIncreasingTimesAndCalculateTaus (const std::vector< Time > ×, std::vector< Time > &taus) |
Money | operator+ (const Money &m1, const Money &m2) |
Money | operator- (const Money &m1, const Money &m2) |
Money | operator * (const Money &m, Decimal x) |
Money | operator * (Decimal x, const Money &m) |
Money | operator/ (const Money &m, Decimal x) |
bool | operator!= (const Money &m1, const Money &m2) |
bool | operator> (const Money &m1, const Money &m2) |
bool | operator>= (const Money &m1, const Money &m2) |
Money | operator * (Decimal value, const Currency &c) |
Money | operator * (const Currency &c, Decimal value) |
std::ostream & | operator<< (std::ostream &out, Option::Type type) |
Real | midEquivalent (const Real bid, const Real ask, const Real last, const Real close) |
Real | midSafe (const Real bid, const Real ask) |
Real | blackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) |
Real | blackFormula (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) |
Real | blackFormulaImpliedStdDevApproximation (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0) |
Real | blackFormulaImpliedStdDevApproximation (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0) |
Real | blackFormulaImpliedStdDev (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount=1.0, Real guess=Null< Real >(), Real accuracy=1.0e-6, Real displacement=0.0) |
Real | blackFormulaImpliedStdDev (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount=1.0, Real guess=Null< Real >(), Real accuracy=1.0e-6, Real displacement=0.0) |
Real | blackFormulaCashItmProbability (Option::Type optionType, Real strike, Real forward, Real stdDev, Real displacement=0.0) |
Real | blackFormulaCashItmProbability (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real displacement=0.0) |
Real | blackFormulaStdDevDerivative (Real strike, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) |
Real | blackFormulaStdDevDerivative (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) |
Real | bachelierBlackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0) |
Real | bachelierBlackFormula (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) |
Real | blackScholesTheta (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Real value, Real delta, Real gamma) |
default theta calculation for Black-Scholes options | |
Real | defaultThetaPerDay (Real theta) |
default theta-per-day calculation | |
std::pair< Date, Date > | inflationPeriod (const Date &, Frequency) |
utility function giving the inflation period for a given date | |
void | validateAbcdParameters (Real a, Real b, Real c, Real d) |
Real | abcdBlackVolatility (Time u, Real a, Real b, Real c, Real d) |
Real | unsafeSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho) |
Real | sabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho) |
void | validateSabrParameters (Real alpha, Real beta, Real nu, Real rho) |
bool | operator== (const Calendar &c1, const Calendar &c2) |
bool | operator!= (const Calendar &c1, const Calendar &c2) |
std::ostream & | operator<< (std::ostream &out, const Calendar &c) |
BigInteger | operator- (const Date &d1, const Date &d2) |
bool | operator== (const Date &d1, const Date &d2) |
bool | operator!= (const Date &d1, const Date &d2) |
bool | operator< (const Date &d1, const Date &d2) |
bool | operator<= (const Date &d1, const Date &d2) |
bool | operator> (const Date &d1, const Date &d2) |
bool | operator>= (const Date &d1, const Date &d2) |
bool | operator== (const DayCounter &d1, const DayCounter &d2) |
bool | operator!= (const DayCounter &d1, const DayCounter &d2) |
std::ostream & | operator<< (std::ostream &out, const DayCounter &d) |
template<typename T> | |
Period | operator * (T n, TimeUnit units) |
template<typename T> | |
Period | operator * (TimeUnit units, T n) |
Period | operator- (const Period &p) |
Period | operator * (Integer n, const Period &p) |
Period | operator * (const Period &p, Integer n) |
bool | operator== (const Period &p1, const Period &p2) |
bool | operator!= (const Period &p1, const Period &p2) |
bool | operator> (const Period &p1, const Period &p2) |
bool | operator<= (const Period &p1, const Period &p2) |
bool | operator>= (const Period &p1, const Period &p2) |
template<class T> | |
void | swap (Clone< T > &t, Clone< T > &u) |
Typedef Documentation
typedef GenericPseudoRandom<MersenneTwisterUniformRng, InverseCumulativeNormal> PseudoRandom |
default traits for pseudo-random number generation
- Tests:
- a sequence generator is generated and tested by comparing samples against known good values.
typedef GenericPseudoRandom<MersenneTwisterUniformRng, InverseCumulativePoisson> PoissonPseudoRandom |
traits for Poisson-distributed pseudo-random number generation
- Tests:
- sequence generators are generated and tested by comparing samples against known good values.
default risk measures tool
- Tests:
- the correctness of the returned values is tested by checking them against numerical calculations.
default multi-dimensional statistics tool
- Tests:
- the correctness of the returned values is tested by checking them against numerical calculations.
typedef RiskStatistics Statistics |
default statistics tool
- Tests:
- the correctness of the returned values is tested by checking them against numerical calculations.
Enumeration Type Documentation
enum Compounding |
enum PriceType |
Price types.
- Enumerator:
enum JointCalendarRule |
Function Documentation
Real QuantLib::incompleteBetaFunction | ( | Real | a, | |
Real | b, | |||
Real | x, | |||
Real | accuracy = 1e-16 , |
|||
Integer | maxIteration = 100 | |||
) |
Incomplete Beta function.
Incomplete Beta function
The implementation of the algorithm was inspired by "Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery, chapter 6
bool close | ( | Real | x, | |
Real | y | |||
) |
Follows somewhat the advice of Knuth on checking for floating-point equality. The closeness relationship is:
where is
times the machine accuracy;
equals 42 if not given.
bool close_enough | ( | Real | x, | |
Real | y | |||
) |
Follows somewhat the advice of Knuth on checking for floating-point equality. The closeness relationship is:
where is
times the machine accuracy;
equals 42 if not given.
Real QuantLib::PeizerPrattMethod2Inversion | ( | Real | z, | |
BigNatural | n | |||
) |
Given an odd integer n and a real number z it returns p such that: 1 - CumulativeBinomialDistribution((n-1)/2, n, p) = CumulativeNormalDistribution(z)
- Precondition:
- n must be odd
Real QuantLib::incompleteGammaFunction | ( | Real | a, | |
Real | x, | |||
Real | accuracy = 1.0e-13 , |
|||
Integer | maxIteration = 100 | |||
) |
Incomplete Gamma function.
Incomplete Gamma function
The implementation of the algorithm was inspired by "Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery, chapter 6
Disposable<Matrix> QuantLib::getCovariance | ( | DataIterator | stdDevBegin, | |
DataIterator | stdDevEnd, | |||
const Matrix & | corr, | |||
Real | tolerance = 1.0e-12 | |||
) |
Calculation of covariance from correlation and standard deviations.
Combines the correlation matrix and the vector of standard deviations to return the covariance matrix.
Note that only the symmetric part of the correlation matrix is used. Also it is assumed that the diagonal member of the correlation matrix equals one.
- Precondition:
- The correlation matrix must be symmetric with the diagonal members equal to one.
- Tests:
- tested on know values and cross checked with CovarianceDecomposition
Disposable<Matrix> QuantLib::triangularAnglesParametrization | ( | const Array & | angles, | |
Size | matrixSize, | |||
Size | rank | |||
) |
Returns the Triangular Angles Parametrized correlation matrix.
The matrix is filled with values corresponding to angles given in the
vector. See equation (24) in "Parameterizing correlations: a geometric interpretation" by Francesco Rapisarda, Damiano Brigo, Fabio Mercurio
- Tests:
- the correctness of the results is tested by reproducing known good data.
- the correctness of the results is tested by checking returned values against numerical calculations.
Disposable<Matrix> QuantLib::triangularAnglesParametrizationRankThree | ( | Real | alpha, | |
Real | t0, | |||
Real | epsilon, | |||
Size | nbRows | |||
) |
Returns the rank reduced Triangular Angles Parametrized correlation matrix.
The matrix is filled with values corresponding to angles corresponding to the 3D spherical spiral paramterized by
,
,
values. See equation (32) in "Parameterizing correlations: a geometric interpretation" by Francesco Rapisarda, Damiano Brigo, Fabio Mercurio
- Tests:
- the correctness of the results is tested by reproducing known good data.
- the correctness of the results is tested by checking returned values against numerical calculations.
Disposable<Matrix> QuantLib::exponentialCorrelations | ( | const std::vector< Time > & | rateTimes, | |
Real | longTermCorr = 0.5 , |
|||
Real | beta = 0.2 , |
|||
Real | gamma = 1.0 , |
|||
Time | t = 0.0 | |||
) |
Exponential correlation L = long term correlation beta = exponential decay of correlation between far away forward rates gamma = exponent for time to go t = time dependence
void QuantLib::checkCompatibility | ( | const EvolutionDescription & | evolution, | |
const std::vector< Size > & | numeraires | |||
) |
Check that there is one numeraire for each evolution time. Each numeraire must be an index amongst the rate times so it ranges from 0 to n. Each numeraire must not have expired before the end of the step.
std::vector<Size> QuantLib::moneyMarketPlusMeasure | ( | const EvolutionDescription & | , | |
Size | offset = 1 | |||
) |
Offsetted discretely compounded money market account measure: for each step the offset-th unexpired bond is used as numeraire. When offset=0 the result is the usual discretely compounded money market account measure
std::vector<Size> QuantLib::moneyMarketMeasure | ( | const EvolutionDescription & | ) |
Discretely compounded money market account measure: for each step the first unexpired bond is used as numeraire.
std::vector<bool> QuantLib::isInSubset | ( | const std::vector< Time > & | set, | |
const std::vector< Time > & | subset | |||
) |
Look for elements of a set in a subset. Returns a vector of booleans such that: element set[i] present/not present in subset.
- Precondition:
- both vectors must be strictly increasing.
Real QuantLib::midEquivalent | ( | const Real | bid, | |
const Real | ask, | |||
const Real | last, | |||
const Real | close | |||
) |
return the MidEquivalent price, i.e. the mid if available, or a suitable substitute if the proper mid is not available
Real QuantLib::midSafe | ( | const Real | bid, | |
const Real | ask | |||
) |
return the MidSafe price, i.e. the mid if both bid and ask prices are available
Real QuantLib::blackFormula | ( | Option::Type | optionType, | |
Real | strike, | |||
Real | forward, | |||
Real | stdDev, | |||
Real | discount = 1.0 , |
|||
Real | displacement = 0.0 | |||
) |
Black 1976 formula
- Warning:
- instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)
Real QuantLib::blackFormula | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff, | |
Real | forward, | |||
Real | stdDev, | |||
Real | discount = 1.0 , |
|||
Real | displacement = 0.0 | |||
) |
Black 1976 formula
- Warning:
- instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)
Real QuantLib::blackFormulaImpliedStdDevApproximation | ( | Option::Type | optionType, | |
Real | strike, | |||
Real | forward, | |||
Real | blackPrice, | |||
Real | discount = 1.0 , |
|||
Real | displacement = 0.0 | |||
) |
Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).
It is calculated using Brenner and Subrahmanyan (1988) and Feinstein (1988) approximation for at-the-money forward option, with the extended moneyness approximation by Corrado and Miller (1996)
Real QuantLib::blackFormulaImpliedStdDevApproximation | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff, | |
Real | forward, | |||
Real | blackPrice, | |||
Real | discount = 1.0 , |
|||
Real | displacement = 0.0 | |||
) |
Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).
It is calculated using Brenner and Subrahmanyan (1988) and Feinstein (1988) approximation for at-the-money forward option, with the extended moneyness approximation by Corrado and Miller (1996)
Real QuantLib::blackFormulaImpliedStdDev | ( | Option::Type | optionType, | |
Real | strike, | |||
Real | forward, | |||
Real | blackPrice, | |||
Real | discount = 1.0 , |
|||
Real | guess = Null< Real >() , |
|||
Real | accuracy = 1.0e-6 , |
|||
Real | displacement = 0.0 | |||
) |
Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)
Real QuantLib::blackFormulaImpliedStdDev | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff, | |
Real | forward, | |||
Real | blackPrice, | |||
Real | discount = 1.0 , |
|||
Real | guess = Null< Real >() , |
|||
Real | accuracy = 1.0e-6 , |
|||
Real | displacement = 0.0 | |||
) |
Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)
Real QuantLib::blackFormulaCashItmProbability | ( | Option::Type | optionType, | |
Real | strike, | |||
Real | forward, | |||
Real | stdDev, | |||
Real | displacement = 0.0 | |||
) |
Black 1976 probability of being in the money (in the bond martingale measure), i.e. N(d2). It is a risk-neutral probability, not the real world one.
- Warning:
- instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)
Real QuantLib::blackFormulaCashItmProbability | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff, | |
Real | forward, | |||
Real | stdDev, | |||
Real | displacement = 0.0 | |||
) |
Black 1976 probability of being in the money (in the bond martingale measure), i.e. N(d2). It is a risk-neutral probability, not the real world one.
- Warning:
- instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)
Real QuantLib::blackFormulaStdDevDerivative | ( | Real | strike, | |
Real | forward, | |||
Real | stdDev, | |||
Real | discount = 1.0 , |
|||
Real | displacement = 0.0 | |||
) |
Black 1976 formula for standard deviation derivative
- Warning:
- instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation. If T is the time to maturity Black vega would be blackStdDevDerivative(strike, forward, stdDev)*sqrt(T)
Real QuantLib::blackFormulaStdDevDerivative | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff, | |
Real | forward, | |||
Real | stdDev, | |||
Real | discount = 1.0 , |
|||
Real | displacement = 0.0 | |||
) |
Black 1976 formula for standard deviation derivative
- Warning:
- instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation. If T is the time to maturity Black vega would be blackStdDevDerivative(strike, forward, stdDev)*sqrt(T)
Real QuantLib::bachelierBlackFormula | ( | Option::Type | optionType, | |
Real | strike, | |||
Real | forward, | |||
Real | stdDev, | |||
Real | discount = 1.0 | |||
) |
Black style formula when forward is normal rather than log-normal. This is essentially the model of Bachelier.
- Warning:
- Bachelier model needs absolute volatility, not percentage volatility. Standard deviation is absoluteVolatility*sqrt(timeToMaturity)
Real QuantLib::bachelierBlackFormula | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff, | |
Real | forward, | |||
Real | stdDev, | |||
Real | discount = 1.0 | |||
) |
Black style formula when forward is normal rather than log-normal. This is essentially the model of Bachelier.
- Warning:
- Bachelier model needs absolute volatility, not percentage volatility. Standard deviation is absoluteVolatility*sqrt(timeToMaturity)