QuantLib 0.3.6
User manual
Introduction to QuantLib
QuantLib components
Reference manual
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- Class BPSBasketCalculator
- This class must still be checked. It is not guaranteed to yield the right results.
- Class CoxIngersollRoss
- This class was not tested enough to guarantee its functionality.
- Class ExtendedCoxIngersollRoss
- This class was not tested enough to guarantee its functionality.
- Class FdDividendAmericanOption
- sometimes yields negative vega when deeply in-the-money
method impliedVolatility() utterly fails
- Class G2
- This class was not tested enough to guarantee its functionality.
- Class LocalVolSurface
- This class is untested, probably unreliable.
- Class MCAmericanBasketEngine
- This engine does not yet work for put options. More problems might surface.
- Member impliedVolatility (double price, double accuracy=1.0e-4, Size maxEvaluations=100, double minVol=QL_MIN_VOLATILITY, double maxVol=QL_MAX_VOLATILITY) const
- run-time crashes are possible with the Borland compiler
- Member sensitivity (int basis=2) const
- This method must still be checked. It is not guaranteed to yield the right results.
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