QuantlibPlugin Class Reference

#include <QuantlibPlugin.hpp>

Inheritance diagram for QuantlibPlugin:

Public Member Functions
	QuantlibPlugin ()
custom_t< OptionResultsChunk >	modelPrice (double _underlying, double _strike, const char *_currentBussinessDate, const char *_maturity, double _riskFreeRate, double _volatility, double _dividendYield, const char *_t, const char *_modelName)
custom_t< OptionResultsChunk >	modelImplVol (double _price, double _underlying, double _strike, const char *_currentBussinessDate, const char *_maturityDate, double _riskFreeRate, double _dividendYield, const char *_t, const char *_modelName)
custom_t< OptionResultsChunk >	modelGreeks (double _underlying, double _strike, const char *_currentBussinessDate, const char *_maturity, double _riskFreeRate, double _volatility, double _dividendYield, const char *_t, const char *_modelName)
custom_t< OptionResultsChunk >	btcoxrossrubinsteinGreeks (double _underlying, double _strike, const char *_currentBussinessDate, const char *_maturity, double _riskFreeRate, double _volatility, double _dividendYield, int64_t _timeSteps, const char *_t)
custom_t< OptionResultsChunk >	btcoxrossrubinsteinPrice (double _underlying, double _strike, const char *_currentBussinessDate, const char *_maturity, double _riskFreeRate, double _volatility, double _dividendYield, int64_t _timeSteps, const char *_t)
custom_t< OptionResultsChunk >	btcoxrossrubinsteinImplVol (double _price, double _underlying, double _strike, const char *_currentBussinessDate, const char *_maturity, double _riskFreeRate, double _dividendYield, int64_t _timeSteps, const char *_t)
const char *	error (const custom_t< OptionResultsChunk > &results)
double	npv (const custom_t< OptionResultsChunk > &results)
double	delta (const custom_t< OptionResultsChunk > &results)
double	gamma (const custom_t< OptionResultsChunk > &results)
double	theta (const custom_t< OptionResultsChunk > &results)
double	vega (const custom_t< OptionResultsChunk > &results)
double	rho (const custom_t< OptionResultsChunk > &results)
double	implVol (const custom_t< OptionResultsChunk > &results)
double	yield (const char *_symbol, double _price, const char *_issueDate, const char *_maturityDate, const char *_settlementDate, double _rate, int64_t _freq)
double	dv01 (const char *_symbol, double _yield, const char *_issueDate, const char *_maturityDate, const char *_settlementDate, double _rate, int64_t _freq)
double	price (const char *_symbol, double _yield, const char *_issueDate, const char *_maturityDate, const char *_settlementDate, double _rate, int64_t _freq)
int64_t	createBond (const char *_symbol, const char *_issueDate, const char *_maturityDate, const char *_settlementDate, double _rate, int64_t _frequency, bool _updateFlag)
void	addToDataset (double _value, double _weight)
void	removeFromDataset (double _value, double _weight)
void	resetDataset ()
double	mean ()
double	stddev ()
double	weightSum ()
double	variance ()
double	kurtosis ()
double	skew ()
double	min ()
double	max ()
int64_t	numSamples ()

Static Public Member Functions
static void	initialize (base_plugin_t::method_data_t &md)
static bond_ptr	_getBond (const char *symbol, const char *issueDate, const char *maturityDate, const char *settlementDate, Rate rate, Frequency frequency, bool updateFlag, int &ouputValue, std::string &discrepancyMessage)
static Rate	_yield (bond_ptr bond, const Real &price, const char *settlementDate)
static Real	_dv01 (bond_ptr bond, const Rate &yield, const char *settlementDate)
static Real	_price (bond_ptr bond, const Rate &yield, const char *settlementDate)
static std::string	getDiscrepancyErrorMessage (int outputValue, BondKey cachedBondKey, BondKey inputBondKey)
static void	dumpCaches ()

Static Public Attributes
static Logger *	_logger

Detailed Description

QuantlibPlugin Class

Constructor & Destructor Documentation

QuantlibPlugin::QuantlibPlugin ( )

inline

QuantlibPlugin constructor

Member Function Documentation

static Real QuantlibPlugin::_dv01 ( bond_ptr  bond, const Rate &  yield, const char *  settlementDate  )

static

Helper method for QuantlibPlugin::dv01

static bond_ptr QuantlibPlugin::_getBond ( const char *  symbol, const char *  issueDate, const char *  maturityDate, const char *  settlementDate, Rate  rate, Frequency  frequency, bool  updateFlag, int &  ouputValue, std::string &  discrepancyMessage  )

static

getBond: return a bond matching the specs. updateFlag is a boolean to indicate whether the input specs should override the specs of any matching bond found in the cache (keyed by symbol). outputValue is actually a return value containing an indicator of the discrepancies between the specs of the input compared to the specs of the matching bond found in the cache. The values are OR'ed together (see QuantlibPlugin.hpp)

static Real QuantlibPlugin::_price ( bond_ptr  bond, const Rate &  yield, const char *  settlementDate  )

static

Helper method for QuantlibPlugin::price

static Rate QuantlibPlugin::_yield ( bond_ptr  bond, const Real &  price, const char *  settlementDate  )

static

Helper method for QuantlibPlugin::yield()

void QuantlibPlugin::addToDataset	(	double	_value,
		double	_weight
	)

adds data to the GeneralStatistics instance for use in stats calculations.

Parameters

[in]	_value
[in]	_weight

custom_t<OptionResultsChunk> QuantlibPlugin::btcoxrossrubinsteinGreeks	(	double	_underlying,
		double	_strike,
		const char *	_currentBussinessDate,
		const char *	_maturity,
		double	_riskFreeRate,
		double	_volatility,
		double	_dividendYield,
		int64_t	_timeSteps,
		const char *	_t
	)

Calculates all the Greeks(delta,gamma,rho,theta,vega) values of QuantLib for europeanOption and americanOption by Cox-Ross-Rubinstein Option Pricing Model

Parameters

[in]	_underlying	float value
[in]	_strike	float value
[in]	_currentBussinessDate	Current Business date in form of const char*
[in]	_maturity	Maturity date in form of const char*
[in]	_riskFreeRate	Risk free rate
[in]	_volatility	volatility value
[in]	_dividendYield	dividendYield value
[in]	_timeSteps	timeSteps value
[in]	_t	Option value

Returns

chunk object

custom_t<OptionResultsChunk> QuantlibPlugin::btcoxrossrubinsteinImplVol	(	double	_price,
		double	_underlying,
		double	_strike,
		const char *	_currentBussinessDate,
		const char *	_maturity,
		double	_riskFreeRate,
		double	_dividendYield,
		int64_t	_timeSteps,
		const char *	_t
	)

Calculates Implied volatility for europeanOption and americanOption by Cox-Ross-Rubinstein Option Pricing Model

Parameters

[in]	_price	float value
[in]	_underlying	float value
[in]	_strike	float value
[in]	_currentBussinessDate	Current Business date in form of const char*
[in]	_maturity	Maturity date in form of const char*
[in]	_riskFreeRate	Risk free rate
[in]	_dividendYield	dividendYield value
[in]	_timeSteps	timeSteps value
[in]	_t	Option value

Returns

chunk object

custom_t<OptionResultsChunk> QuantlibPlugin::btcoxrossrubinsteinPrice	(	double	_underlying,
		double	_strike,
		const char *	_currentBussinessDate,
		const char *	_maturity,
		double	_riskFreeRate,
		double	_volatility,
		double	_dividendYield,
		int64_t	_timeSteps,
		const char *	_t
	)

Calculates Net present value of cash flows for europeanOption and americanOption by Cox-Ross-Rubinstein Option Pricing Model

Parameters

[in]	_underlying	float value
[in]	_strike	float value
[in]	_currentBussinessDate	Current Business date in form of const char*
[in]	_maturity	Maturity date in form of const char*
[in]	_riskFreeRate	Risk free rate
[in]	_volatility	volatility value
[in]	_dividendYield	dividendYield value
[in]	_timeSteps	timeSteps value
[in]	_t	Option value

Returns

chunk object

int64_t QuantlibPlugin::createBond	(	const char *	_symbol,
		const char *	_issueDate,
		const char *	_maturityDate,
		const char *	_settlementDate,
		double	_rate,
		int64_t	_frequency,
		bool	_updateFlag
	)

creates a bond with the supplied specs or validates an existing bond with the same symbol. the bond is checked against the internal cache (bondSpecCache) and if it is different an exception is thrown

Parameters

[in]	_symbol
[in]	_issueDate
[in]	_maturityDate
[in]	_settlementDate
[in]	_rate
[in]	_frequency
[in]	_updateFlag

Returns

price

double QuantlibPlugin::delta

(

const custom_t< OptionResultsChunk > &

results

)

returns delta value of OptionResultsChunk set by either modelGreeks or btcoxrossrubinsteinGreeks

Parameters

[in]

results

Reference of Chunk object

Returns

const char* error

static void QuantlibPlugin::dumpCaches ( )

static

Dumps all cache created by bond and instruments

double QuantlibPlugin::dv01	(	const char *	_symbol,
		double	_yield,
		const char *	_issueDate,
		const char *	_maturityDate,
		const char *	_settlementDate,
		double	_rate,
		int64_t	_freq
	)

returns dv01 which is calculated as the price from a given yield less one basis point minus the price based on the given yield

Parameters

[in]	_symbol
[in]	_yield
[in]	_issueDate
[in]	_maturityDate
[in]	_settlementDate
[in]	_rate
[in]	_freq

Returns

dv01

const char* QuantlibPlugin::error

(

const custom_t< OptionResultsChunk > &

results

)

returns error value of OptionResultsChunk set by either modelGreeks or btcoxrossrubinsteinGreeks

Parameters

[in]

results

Reference of Chunk object

Returns

const char* error

double QuantlibPlugin::gamma

(

const custom_t< OptionResultsChunk > &

results

)

returns gamma value of OptionResultsChunk set by either modelGreeks or btcoxrossrubinsteinGreeks

Parameters

[in]

results

Reference of Chunk object

Returns

const char* error

static std::string QuantlibPlugin::getDiscrepancyErrorMessage ( int  outputValue, BondKey  cachedBondKey, BondKey  inputBondKey  )

static

Returns error while creating bond by _getBond method in string format

double QuantlibPlugin::implVol

(

const custom_t< OptionResultsChunk > &

results

)

returns Implied volatility value of OptionResultsChunk set by either modelImplVol or btcoxrossrubinsteinImplVol

Parameters

[in]

results

Reference of Chunk object

Returns

const char* error

static void QuantlibPlugin::initialize ( base_plugin_t::method_data_t &  md )

static

Plugin intitialization

double QuantlibPlugin::kurtosis

(

)

mean: see quantlib Incremental Stats in docs

double QuantlibPlugin::max

(

)

mean: see quantlib Incremental Stats in docs

double QuantlibPlugin::mean

(

)

mean: see quantlib Incremental Stats in docs

double QuantlibPlugin::min

(

)

mean: see quantlib Incremental Stats in docs

custom_t<OptionResultsChunk> QuantlibPlugin::modelGreeks	(	double	_underlying,
		double	_strike,
		const char *	_currentBussinessDate,
		const char *	_maturity,
		double	_riskFreeRate,
		double	_volatility,
		double	_dividendYield,
		const char *	_t,
		const char *	_modelName
	)

Calculates all the Greeks(delta,gamma,rho,theta,vega) values of QuantLib for europeanOption and americanOption

Parameters

[in]	_underlying	float value
[in]	_strike	float value
[in]	_currentBussinessDate	Current Business date in form of const char*
[in]	_maturity	Maturity date in form of const char*
[in]	_riskFreeRate	Risk free rate
[in]	_volatility	volatility value
[in]	_dividendYield	dividendYield value
[in]	_t	Option value
[in]	_modelName	modelName value

Returns

chunk object

custom_t<OptionResultsChunk> QuantlibPlugin::modelImplVol	(	double	_price,
		double	_underlying,
		double	_strike,
		const char *	_currentBussinessDate,
		const char *	_maturityDate,
		double	_riskFreeRate,
		double	_dividendYield,
		const char *	_t,
		const char *	_modelName
	)

Calculates Implied volatility for europeanOption and americanOption

Parameters

[in]	_price	price value
[in]	_underlying	float value
[in]	_strike	float value
[in]	_currentBussinessDate	Current Business date in form of const char*
[in]	_maturityDate	Maturity date in form of const char*
[in]	_riskFreeRate	Risk free rate
[in]	_dividendYield	dividendYield value
[in]	_t	Option value
[in]	_modelName	modelName value

Returns

chunk object

custom_t<OptionResultsChunk> QuantlibPlugin::modelPrice	(	double	_underlying,
		double	_strike,
		const char *	_currentBussinessDate,
		const char *	_maturity,
		double	_riskFreeRate,
		double	_volatility,
		double	_dividendYield,
		const char *	_t,
		const char *	_modelName
	)

Calculates Net present value of cash flows for europeanOption and americanOption

Parameters

[in]	_underlying	float value
[in]	_strike	float value
[in]	_currentBussinessDate	Current Business date in form of const char*
[in]	_maturity	Maturity date in form of const char*
[in]	_riskFreeRate	Risk free rate
[in]	_volatility	volatility value
[in]	_dividendYield	dividendYield value
[in]	_t	value Option value
[in]	_modelName	modelName value

Returns

chunk object

double QuantlibPlugin::npv

(

const custom_t< OptionResultsChunk > &

results

)

returns npv value of OptionResultsChunk set by either modelGreeks or btcoxrossrubinsteinGreeks

Parameters

[in]

results

Reference of Chunk object

Returns

const char* error

int64_t QuantlibPlugin::numSamples

(

)

mean: see quantlib Incremental Stats in docs

double QuantlibPlugin::price	(	const char *	_symbol,
		double	_yield,
		const char *	_issueDate,
		const char *	_maturityDate,
		const char *	_settlementDate,
		double	_rate,
		int64_t	_freq
	)

returns Price calculated as the price from a given yield

Parameters

[in]	_symbol
[in]	_yield
[in]	_issueDate
[in]	_maturityDate
[in]	_settlementDate
[in]	_rate
[in]	_freq

Returns

price

void QuantlibPlugin::removeFromDataset	(	double	_value,
		double	_weight
	)

Removes from dataset

Parameters

[in]	_value
[in]	_weight

void QuantlibPlugin::resetDataset

(

)

Resets complete dataset created by addToDataset

double QuantlibPlugin::rho

(

const custom_t< OptionResultsChunk > &

results

)

returns rho value of OptionResultsChunk set by either modelGreeks or btcoxrossrubinsteinGreeks

Parameters

[in]

results

Reference of Chunk object

Returns

const char* error

double QuantlibPlugin::skew

(

)

mean: see quantlib Incremental Stats in docs

double QuantlibPlugin::stddev

(

)

mean: see quantlib Incremental Stats in docs

double QuantlibPlugin::theta

(

const custom_t< OptionResultsChunk > &

results

)

returns theta value of OptionResultsChunk set by either modelGreeks or btcoxrossrubinsteinGreeks

Parameters

[in]

results

Reference of Chunk object

Returns

const char* error

double QuantlibPlugin::variance

(

)

mean: see quantlib Incremental Stats in docs

double QuantlibPlugin::vega

(

const custom_t< OptionResultsChunk > &

results

)

returns vega value of OptionResultsChunk set by either modelGreeks or btcoxrossrubinsteinGreeks

Parameters

[in]

results

Reference of Chunk object

Returns

const char* error

double QuantlibPlugin::weightSum

(

)

mean: see quantlib Incremental Stats in docs

double QuantlibPlugin::yield	(	const char *	_symbol,
		double	_price,
		const char *	_issueDate,
		const char *	_maturityDate,
		const char *	_settlementDate,
		double	_rate,
		int64_t	_freq
	)

returns bond yield value

Parameters

[in]	_symbol
[in]	_price
[in]	_issueDate
[in]	_maturityDate
[in]	_settlementDate
[in]	_rate
[in]	_freq

Returns

yield

Member Data Documentation

Logger* QuantlibPlugin::_logger

static

Logger object for not resgistered method in QuantlibPlugin class

---

The documentation for this class was generated from the following file:

• QuantlibPlugin.hpp