QuantLib 0.3.12

http://quantlib.org

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Getting started

• Introduction
• Project overview
• Where to get QuantLib
• Installation
• Configuration
• Usage
• Frequently asked questions
• Version history
• Additional resources
• The QuantLib group
• Copyright and license

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Reference manual

• Modules
• Class Hierarchy
• Compound List
• File List
• Compound Members
• File Members
• Todo List
• Known Bugs
• Caveats
• Test Suite
• Deprecated Features
• Examples

Vanilla option engines
[Pricing engines]

Classes
class	AnalyticDigitalAmericanEngine
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	BaroneAdesiWhaleyApproximationEngine
class	BatesEngine
	Bates model engines based on Fourier transform. More...
class	BinomialVanillaEngine
	Pricing engine for vanilla options using binomial trees. More...
class	BjerksundStenslandApproximationEngine
class	FDBermudanEngine
	Finite-differences Bermudan engine. More...
class	FDDividendEngineMerton73
	Finite-differences pricing engine for dividend options using. More...
class	FDDividendEngineShiftScale
	Finite-differences pricing engine for dividend options using. 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	IntegralEngine
class	JumpDiffusionEngine
	Jump-diffusion engine for vanilla options. More...
class	JuQuadraticApproximationEngine
class	MCDigitalEngine
	Pricing engine for digital options using Monte Carlo simulation. More...
class	MCEuropeanEngine
	European option pricing engine using Monte Carlo simulation. More...
class	MCEuropeanHestonEngine
	Monte Carlo Heston-model engine for European options. More...
class	MCVanillaEngine
	Pricing engine for vanilla options using Monte Carlo simulation. More...
Typedefs
typedef FDEngineAdapter< FDAmericanCondition< FDStepConditionEngine >, OneAssetOption::engine >	QuantLib::FDAmericanEngine
	Finite-differences pricing engine for American one asset options.
typedef FDEngineAdapter< FDAmericanCondition< FDDividendEngine >, DividendVanillaOption::engine >	QuantLib::FDDividendAmericanEngine
	Finite-differences pricing engine for dividend American options.
typedef FDEngineAdapter< FDDividendEngine, DividendVanillaOption::engine >	QuantLib::FDDividendEuropeanEngine
	Finite-differences pricing engine for dividend European options.
typedef FDEngineAdapter< FDShoutCondition< FDDividendEngine >, DividendVanillaOption::engine >	QuantLib::FDDividendShoutEngine
	Finite-differences shout engine with dividends.
typedef FDEngineAdapter< FDShoutCondition< FDStepConditionEngine >, VanillaOption::engine >	QuantLib::FDShoutEngine
	Finite-differences pricing engine for shout vanilla options.

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Typedef Documentation

typedef FDEngineAdapter<FDAmericanCondition<FDStepConditionEngine>, OneAssetOption::engine> FDAmericanEngine

Finite-differences pricing engine for American one asset options. Tests: the correctness of the returned value is tested by reproducing results available in literature. the correctness of the returned greeks is tested by reproducing numerical derivatives. Examples: EquityOption.cpp.

typedef FDEngineAdapter<FDAmericanCondition<FDDividendEngine>, DividendVanillaOption::engine> FDDividendAmericanEngine

Finite-differences pricing engine for dividend American options. Tests: the correctness of the returned greeks is tested by reproducing numerical derivatives. the invariance of the results upon addition of null dividends is tested. Bug: results are not overly reliable. Bug: method impliedVolatility() utterly fails

typedef FDEngineAdapter<FDDividendEngine, DividendVanillaOption::engine> FDDividendEuropeanEngine

Finite-differences pricing engine for dividend European options. Tests: the correctness of the returned greeks is tested by reproducing numerical derivatives. the invariance of the results upon addition of null dividends is tested.

typedef FDEngineAdapter<FDShoutCondition<FDDividendEngine>, DividendVanillaOption::engine> FDDividendShoutEngine

Finite-differences shout engine with dividends. Bug: results are not overly reliable.

typedef FDEngineAdapter<FDShoutCondition<FDStepConditionEngine>, VanillaOption::engine> FDShoutEngine

Finite-differences pricing engine for shout vanilla options. Tests: the correctness of the returned greeks is tested by reproducing numerical derivatives.

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