QuantLib 0.3.3
User manual
Introduction to QuantLib
QuantLib components
Reference manual
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- Class AmericanCondition
- Unify the intrinsicValues/Payoff thing
- Member Side
- Generalize for n-dimensional conditions
- Class CADLibor
- check settlement days
- Class CapFlatVolatilityVector
- Either add correct copy behavior or inhibit copy. Right now, a copied instance would end up with its own copy of the length vector but an interpolation pointing to the original ones.
- Class CHFLibor
- check settlement days and day-count
- Class ContinuousGeometricAPO
- add Average Strike version and make it backward starting
- Class DirichletBC
- generalize to time-dependent conditions.
- Class DiscreteGeometricAPO
- add analytical greeks
- Class DiscreteGeometricASO
- add analytical greeks
- Class ExplicitEuler
- add Richardson extrapolation
- Class FdAmericanOption
- make american call with no dividends = european
- Class FraRateHelper
- convexity adjustment should be implemented.
- Class Interpolation2D
- Bicubic interpolation and bicubic spline
- Class McDiscreteArithmeticAPO
- Continous Averaging version
- Class McDiscreteArithmeticASO
- Continous Averaging version
- Class MixedScheme
- add Douglas Scheme
- Class MultiPath
- make it time-aware
- Class NeumannBC
- generalize to time-dependent conditions.
- Class ShoutCondition
- Unify the intrinsicValues/Payoff thing
- Class SwaptionVolatilityMatrix
- Either add correct copy behavior or inhibit copy. Right now, a copied instance would end up with its own copy of the exercise date and length vector but an interpolation pointing to the original ones.
- Class TermStructure
- add derived class ParSwapTermStructure similar to ZeroYieldTermStructure, DiscountStructure, ForwardRateStructure
allow for different compounding rules and compounding frequencies
- Class TimeGrid
- What was the rationale for limiting the grid to positive times? Investigate and see whether we can use it for negative ones as well.
- Class ZARLibor
- check settlement days
- Member FloatingRateCouponVector (const std::vector< double > &nominals, const Date &startDate, const Date &endDate, int frequency, const Calendar &calendar, RollingConvention rollingConvention, const Handle< Indexes::Xibor > &index, int fixingDays, const std::vector< Spread > &spreads, const Date &stubDate=Date())
- A suitable algorithm should be implemented for the calculation of the interpolated index fixing for a short/long first coupon.
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