QuantLib 0.3.3 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Supported platforms Version history Todo list Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Namespace List Class Hierarchy Compound List File List Namespace Members Compound Members File Members Unstable Features Deprecated List

QuantLib::Pricers Namespace Reference Detailed Description Pricing models for options. See sect. Pricers Compounds class   AnalyticalCapFloor   Analytical pricer for cap/floor. More... class   BarrierOption   Barrier option. More... class   BinaryOption   Binary (digital) option. More... class   BlackCapFloor   CapFloor priced by the Black formula. More... class   BlackSwaption   Swaption priced by the Black formula. More... class   CliquetOption   cliquet (Ratchet) option More... class   ContinuousGeometricAPO   Continuous Geometric Average Price Option (European exercise). More... class   DiscreteGeometricAPO   Discrete Geometric Average Price Asian Option (European style). More... class   DiscreteGeometricASO   Discrete Geometric Average Strike Asian Option (European style). More... class   EuropeanOption   Black-Scholes-Merton European option. More... class   FdAmericanOption class   FdBermudanOption   Bermudan option. More... class   FdBsmOption   Black-Scholes-Merton option priced numerically. More... class   FdDividendEuropeanOption   European option with dividends. More... class   FdDividendShoutOption   Shout option with dividends. More... class   FdEuropean   Example of European option calculated using finite differences. More... class   FdStepConditionOption   option executing additional code at each time step More... class   JamshidianSwaption   Jamshidian swaption pricer. More... class   McBasket   simple example of multi-factor Monte Carlo pricer More... class   McCliquetOption   simple example of Monte Carlo pricer More... class   McDiscreteArithmeticAPO   example of Monte Carlo pricer using a control variate More... class   McDiscreteArithmeticASO   example of Monte Carlo pricer using a control variate. More... class   McEuropean   simple example of Monte Carlo pricer More... class   McEverest   Everest-type option pricer. More... class   McHimalaya   Himalayan-type option pricer. More... class   McMaxBasket   simple example of multi-factor Monte Carlo pricer More... class   McPagoda   roofed Asian option More... class   McPerformanceOption   Performance option computed using Monte Carlo simulation. More... class   McPricer   base class for Monte Carlo pricers More... class   PerformanceOption   Performance option. More... class   SingleAssetOption   Black-Scholes-Merton option. More... class   TreeCapFloor   Cap/Floor priced in a tree. More... class   TreeSwaption   Swaption priced on a lattice. More...

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