QuantLib 0.3.6
User manual
Introduction to QuantLib
QuantLib components
Reference manual
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- Class AmericanCondition
- Unify the intrinsicValues/Payoff thing
- Class AmericanExercise
- check that everywhere the American condition is applied from the earliestDate and not earlier
- Class AmericanPayoffAtExpiry
- calculate greeks
- Class AmericanPayoffAtHit
- calculate greeks
- Class AnalyticDigitalAmericanEngine
- add more greeks (as of now only delta and rho available)
- Class AUDLibor
- check settlement days
- Class BermudanExercise
- it would be nice to have a way for making a Bermudan with one exercise date equivalent to an European
- Class BicubicSpline
- revise end conditions
- Class BivariateCumulativeNormalDistribution
- check accuracy of this algorithm and compare with: 1) Drezner, Z, (1978), Computation of the bivariate normal integral, Mathematics of Computation 32, pp. 277-279. 2) Drezner, Z. and Wesolowsky, G. O. (1990) `On the Computation of the Bivariate Normal Integral', Journal of Statistical Computation and Simulation 35, pp. 101-107. 3) Drezner, Z (1992) Computation of the Multivariate Normal Integral, ACM Transactions on Mathematics Software 18, pp. 450-460. 4) Drezner, Z (1994) Computation of the Trivariate Normal Integral, Mathematics of Computation 62, pp. 289-294. 5) Genz, A. (1992) `Numerical Computation of the Multivariate Normal Probabilities', J. Comput. Graph. Stat. 1, pp. 141-150.
- Class BlackScholesProcess
- revise extrapolation
- Class BlackVarianceCurve
- check time extrapolation
- Class BlackVarianceSurface
- check time extrapolation
- Member Side
- Generalize for n-dimensional conditions
- Class CADLibor
- check settlement days
- Class CapFlatVolatilityVector
- Either add correct copy behavior or inhibit copy. Right now, a copied instance would end up with its own copy of the length vector but an interpolation pointing to the original ones.
- Class CHFLibor
- check settlement days and day-count
- Class ContinuousGeometricAPO
- add Average Strike version and make it backward starting
- Class DirichletBC
- generalize to time-dependent conditions.
- Class DiscreteGeometricAPO
- add analytical greeks
- Class DiscreteGeometricASO
- add analytical greeks
- Class EarlyExercise
- derive a plain American Exercise class (no earliestDate, no payoffAtExpiry)
- Class ExplicitEuler
- add Richardson extrapolation
- Class FraRateHelper
- convexity adjustment should be implemented.
- Class GenericRiskStatistics
- add historical annualized volatility
- Class IntegralEngine
- define tolerance for calculate()
- Class JPYLibor
- check settlement days
- Class LogLinearInterpolation
- Implement primitive, derivative, and secondDerivative functions.
- Member pseudoSqrt (const Matrix &, SalvagingAlgorithm::Type)
- a) implement Hypersphere decomposition: 1) Jäckel "Monte Carlo Methods in Finance", Chapter 6 2) Brigo "A Note on Correlation and Rank Reduction" 3) Rapisarda, Brigo, Mercurio "Parameterizing correlations: a geometric interpretation" b) implement Higham algorithm: Higham "Computing the nearest correlation matrix"
- Class McDiscreteArithmeticAPO
- Continous-averaging version
- Class McDiscreteArithmeticASO
- Continous Averaging version
- Class MixedScheme
- a) derive variable theta schemes b) introduce multi time-level schemes.
- Class MultiPath
- a) make it time-aware b) rename it as MultiAssetPath
- Class MultiPathGenerator
- why store correlation Matrix rather than covariance?
- Class NeumannBC
- generalize to time-dependent conditions.
- Class Option::arguments
- a) remove std::vector<Time> stoppingTimes b) how to handle strike-less option (asian average strike, forward, etc.)?
- Class Path
- should Path include the t=0.0 point? Alternatively all path pricers must be revisited.
- Class ShoutCondition
- Unify the intrinsicValues/Payoff thing
- Class Solver1D
- a) Clean up the interface so that it is clear whether the accuracy is specified for x or f(x). b) Add target value (now the target value is 0.0)
- Class SwaptionVolatilityMatrix
- Either add correct copy behavior or inhibit copy. Right now, a copied instance would end up with its own copy of the exercise date and length vector but an interpolation pointing to the original ones.
- Class TermStructure
- add derived class ParSwapTermStructure similar to ZeroYieldTermStructure, DiscountStructure, ForwardRateStructure
allow for different compounding rules and compounding frequencies
- Class TimeGrid
- What was the rationale for limiting the grid to positive times? Investigate and see whether we can use it for negative ones as well.
- Class ZARLibor
- check settlement days
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