QuantLib 0.3.7
Getting started
Reference manual
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- Class ActualActual
- the correctness of the results is checked against known good values.
- Class AnalyticBarrierEngine
- the correctness of the returned value is tested by reproducing results available in literature.
- Class AnalyticCliquetEngine
- a) the correctness of the returned value is tested by reproducing results available in literature.
b) the correctness of the returned greeks is tested by reproducing numerical derivatives.
- Class AnalyticContinuousAveragingAsianEngine
- a) the correctness of the returned value is tested by reproducing results available in literature.
b) the correctness of the returned greeks is tested by reproducing numerical derivatives.
- Class AnalyticDigitalAmericanEngine
- a) the correctness of the returned value in case of cash-or-nothing at-hit digital payoff is tested by reproducing results available in literature.
b) the correctness of the returned value in case of asset-or-nothing at-hit digital payoff is tested by reproducing results available in literature.
c) the correctness of the returned value in case of cash-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.
d) the correctness of the returned value in case of asset-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.
e) the correctness of the returned greeks in case of cash-or-nothing at-hit digital payoff is tested by reproducing numerical derivatives.
- Class AnalyticDiscreteAveragingAsianEngine
- a) the correctness of the returned value is tested by reproducing results available in literature.
b) the correctness of the returned greeks is tested by reproducing numerical derivatives.
- Class AnalyticDividendEuropeanEngine
- the correctness of the returned greeks is tested by reproducing numerical derivatives.
- Class AnalyticEuropeanEngine
- a) the correctness of the returned value in case of cash-or-nothing digital payoff is tested by reproducing results available in literature.
b) the correctness of the returned value in case of asset-or-nothing digital payoff is tested by reproducing results available in literature.
c) the correctness of the returned value in case of gap digital payoff is tested by reproducing results available in literature.
d) the correctness of the returned greeks in case of cash-or-nothing digital payoff is tested by reproducing numerical derivatives.
- Class AnalyticEuropeanEngine
- a) the correctness of the returned value is tested by reproducing results available in literature.
b) the correctness of the returned greeks is tested by reproducing results available in literature.
c) the correctness of the returned greeks is tested by reproducing numerical derivatives.
d) the correctness of the returned implied volatility is tested by using it for reproducing the target value.
e) the implied-volatility calculation is tested by checking that it does not modify the option.
- Class AnalyticPerformanceEngine
- the correctness of the returned greeks is tested by reproducing numerical derivatives.
- Class BaroneAdesiWhaleyApproximationEngine
- the correctness of the returned value is tested by reproducing results available in literature.
- Class BinomialVanillaEngine
- the correctness of the returned value is tested by checking it against analytic results.
- Class Bisection
- the correctness of the returned values is tested by checking them against known good results.
- Class BivariateCumulativeNormalDistribution
- the correctness of the returned value is tested by checking it against known good results.
- Class BjerksundStenslandApproximationEngine
- the correctness of the returned value is tested by reproducing results available in literature.
- Class Brent
- the correctness of the returned values is tested by checking them against known good results.
- Class Calendar
- the methods for adding and removing holidays are tested by inspecting the calendar before and after their invocation.
- Class CapFloor
- a) the correctness of the returned value is tested by checking that the price of a cap (resp. floor) decreases (resp. increases) with the strike rate.
b) the relationship between the values of caps, floors and the resulting collars is checked.
c) the put-call parity between the values of caps, floors and swaps is checked.
d) the correctness of the returned implied volatility is tested by using it for reproducing the target value.
e) the correctness of the returned value is tested by checking it against a known good value.
- Class CompositeQuote
- the correctness of the returned values is tested by checking them against numerical calculations.
- Class CompoundForward
- a) the correctness of the curve is tested by reproducing the input data.
b) the correctness of the curve is tested by checking the consistency between returned rates and swaps priced on the curve.
- Class CubicSpline
- the correctness of the returned values is tested by reproducing results available in literature.
- Class Date
- self-consistency of dates, serial numbers, days of month, months, and weekdays is checked over the whole date range.
- Class DerivedQuote
- the correctness of the returned values is tested by checking them against numerical calculations.
- Class DPlusDMinus
- the correctness of the returned values is tested by checking them against numerical calculations.
- Class DZero
- the correctness of the returned values is tested by checking them against numerical calculations.
- Class Factorial
- the correctness of the returned value is tested by checking it against numerical calculations.
- Class FalsePosition
- the correctness of the returned values is tested by checking them against known good results.
- Class ForwardEngine
- a) the correctness of the returned value is tested by reproducing results available in literature.
b) the correctness of the returned greeks is tested by reproducing numerical derivatives.
- Class ForwardPerformanceEngine
- a) the correctness of the returned value is tested by reproducing results available in literature.
b) the correctness of the returned greeks is tested by reproducing numerical derivatives.
- Class ForwardSpreadedTermStructure
- a) the correctness of the returned values is tested by checking them against numerical calculations.
b) observability of the term structure is checked.
- Class GammaFunction
- the correctness of the returned value is tested by checking it against known good results.
- Class Germany
- the correctness of the returned results is tested against a list of known holidays.
- Class HaltonRsg
- a) the correctness of the returned values is tested by reproducing known good values.
b) the correctness of the returned values is tested by checking their discrepancy against known good values.
- Class ImpliedTermStructure
- a) the correctness of the returned values is tested by checking them against numerical calculations.
b) observability of the term structure is checked.
- Class Instrument
- observability of class instances is checked.
- Class Italy
- the correctness of the returned results is tested against a list of known holidays.
- Class JointCalendar
- the correctness of the returned results is tested by reproducing the calculations.
- Class JumpDiffusionEngine
- a) the correctness of the returned value is tested by reproducing results available in literature.
b) the correctness of the returned greeks is tested by reproducing numerical derivatives.
- Class KronrodIntegral
- the correctness of the result is tested by checking it against known good values.
- Class MCBarrierEngine
- the correctness of the returned value is tested by reproducing results available in literature.
- Class MCBasketEngine
- the correctness of the returned value is tested by reproducing results available in literature.
- Class MCDigitalEngine
- the correctness of the returned value in case of cash-or-nothing at-hit digital payoff is tested by reproducing known good results.
- Class MCEuropeanEngine
- the correctness of the returned value is tested by checking it against analytic results.
- Class MersenneTwisterUniformRng
- the correctness of the returned values is tested by checking them against known good results.
- Class Newton
- the correctness of the returned values is tested by checking them against known good results.
- Class NewtonSafe
- the correctness of the returned values is tested by checking them against known good results.
- Class NormalDistribution
- the correctness of the returned value is tested by checking it against numerical calculations. Cross-checks are also performed against the CumulativeNormalDistribution and InverseCumulativeNormal classes.
- Class PiecewiseFlatForward
- a) the correctness of the returned values is tested by checking them against the original inputs.
b) the observability of the term structure is tested.
- Class PoissonDistribution
- the correctness of the returned value is tested by checking it against known good results.
- Class QuantoEngine
- a) the correctness of the returned value is tested by reproducing results available in literature.
b) the correctness of the returned greeks is tested by reproducing numerical derivatives.
- Class Quote
- the observability of class instances is tested.
- Class Ridder
- the correctness of the returned values is tested by checking them against known good results.
- Class RiskStatistics
- the correctness of the returned values is tested by checking them against numerical calculations.
- Class Rounding
- the correctness of the returned values is tested by checking them against known good results.
- Class Secant
- the correctness of the returned values is tested by checking them against known good results.
- Class SegmentIntegral
- the correctness of the result is tested by checking it against known good values.
- Class SequenceStatistics
- the correctness of the returned values is tested by checking them against numerical calculations.
- Class SimpleDayCounter
- the correctness of the results is checked against known good values.
- Class SimpleSwap
- a) the correctness of the returned value is tested by checking that the price of a swap paying the fair fixed rate is null.
b) the correctness of the returned value is tested by checking that the price of a swap receiving the fair floating-rate spread is null.
c) the correctness of the returned value is tested by checking that the price of a swap decreases with the paid fixed rate.
d) the correctness of the returned value is tested by checking that the price of a swap increases with the received floating-rate spread.
e) the correctness of the returned value is tested by checking it against a known good value.
- Class SimpsonIntegral
- the correctness of the result is tested by checking it against known good values.
- Class SobolRsg
- a) the correctness of the returned values is tested by reproducing known good values.
b) the correctness of the returned values is tested by checking their discrepancy against known good values.
- Class Statistics
- the correctness of the returned values is tested by checking them against numerical calculations.
- Class StulzEngine
- the correctness of the returned value is tested by reproducing results available in literature.
- Class SVD
- the correctness of the returned values is tested by checking their properties.
- Class Swaption
- a) the correctness of the returned value is tested by checking that the price of a payer (resp. receiver) swaption decreases (resp. increases) with the strike.
b) the correctness of the returned value is tested by checking that the price of a payer (resp. receiver) swaption increases (resp. decreases) with the spread.
c) the correctness of the returned value is tested by checking it against that of a swaption on a swap with no spread and a correspondingly adjusted fixed rate.
d) the correctness of the returned value is tested by checking it against a known good value.
- Class SymmetricSchurDecomposition
- the correctness of the returned values is tested by checking their properties.
- Class TARGET
- the correctness of the returned results is tested against a list of known holidays.
- Class TrapezoidIntegral
- the correctness of the result is tested by checking it against known good values.
- Class UnitedKingdom
- the correctness of the returned results is tested against a list of known holidays.
- Class UnitedStates
- the correctness of the returned results is tested against a list of known holidays.
- Class ZeroSpreadedTermStructure
- a) the correctness of the returned values is tested by checking them against numerical calculations.
b) observability of the term structure is checked.
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