QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
models Directory Reference

Files

file  atmadjustedsmilesection.hpp
 smile section that allows for alternate specification of atm level and recentering the source volatility accordingly
 
file  atmsmilesection.hpp
 smile section that allows for explicit / alternate specification of atm level
 
file  basketgeneratingengine.hpp
 base class for pricing engines capable of generating a calibration basket
 
file  floatfloatswap.hpp
 swap exchanging capped floored Libor or CMS coupons with quite general specification. If no payment convention is given, the respective leg schedule convention is used. The interest rate indices should be linked to valid forwarding and in case of swap indices discounting curves
 
file  floatfloatswaption.hpp
 floatfloatswaption class
 
file  gaussian1dcapfloorengine.hpp
 
file  gaussian1dfloatfloatswaptionengine.hpp
 float float swaption engine for one factor interest rate models
 
file  gaussian1djamshidianswaptionengine.hpp
 Swaption engine using Jamshidian's decomposition.
 
file  gaussian1dmodel.hpp
 basic interface for one factor interest rate models
 
file  gaussian1dnonstandardswaptionengine.hpp
 
file  gaussian1dswaptionengine.hpp
 
file  gsr.hpp
 GSR 1 factor model.
 
file  gsrprocess.hpp
 GSR model process with piecewise volatilities and mean reversions, the dynamic is expressed in some T-forward measure. You may provide a single value for the mean reversion, then it is assumed to be constant. For many grid points (like 20 and above) evaluation may get slow. A caching is therefore provided. By that the results become inconsistent as soon as the parameters change. In that case flushCache() must be called. To ensure correct calibration this is done in the generateArguments() of the GSR model.
 
file  kahalesmilesection.hpp
 Arbitrage free smile section using a C^1 inter- and extrapolation method proposed by Kahale, see http://www.risk.net/data/Pay_per_view/risk/technical/2004/0504_tech_option2.pdf Exponential extrapolation for high strikes can be used alternatively to avoid a too slowly decreasing call price function. Note that in the leftmost interval and right from the last grid point the input smile is always replaced by the extrapolating functional forms, so if you are sure that the input smile is globally arbitrage free and you do not want to change it in these strike regions you should not use this class at all.
 
file  markovfunctional.hpp
 Markov Functional 1 Factor Model.
 
file  mfstateprocess.hpp
 State process for markov functional model.
 
file  nonstandardswap.hpp
 vanilla swap but possibly with period dependent nominal and strike
 
file  nonstandardswaption.hpp
 nonstandard swap option class
 
file  smilesectionutils.hpp
 Additional utilities for smile sections.