examples.docs

Go to the documentation of this file.

 
/*
 Copyright (C) 2000-2003 StatPro Italia srl
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*!
 
    \example BasketLosses.cpp
    This example shows how to model losses across correlated assets.
    
    \example BermudanSwaption.cpp
    This example prices a bermudan swaption using different models
    calibrated to market swaptions. The calibration examples include
    Hull and White's using both an analytic formula as well as
    numerically, and Black and Karasinski's model. Using these three
    calibrations, Bermudan swaptions are priced for at-the-money,
    out-of-the-money and in-the-money volatilities.
 
    \example Bonds.cpp
    This example shows how to set up a term structure and then price
    some simple bonds. The last part is dedicated to peripherical
    computations such as yield-to-price or price-to-yield.
    
    \example CallableBonds.cpp
    This example prices a number of callable bonds and compares the
    results to known good data.
 
    \example CDS.cpp
    This example bootstraps a default-probability curve over a number
    of CDS and reprices them.
 
    \example ConvertibleBonds.cpp
    For a given set of option parameters, this example computes the
    value of a convertible bond with an embedded put option for two
    different equity options types (with european and american
    exercise features) using the Tsiveriotis-Fernandes method with
    different implied tree algorithms.  The tree types are
    Jarrow-Rudd, Cox-Ross-Rubinstein, Additive equiprobabilities,
    Trigeorgis, Tian and Leisen-Reimer.
 
    \example CVAIRS.cpp
    This example shows how to calculate credit value adjustment for an
    interest rate swap.
 
    \example DiscreteHedging.cpp
    This example computes profit and loss of a discrete interval
    hedging strategy and compares with the outcome with the results of
    Derman and Kamal's Goldman Sachs Equity Derivatives Research Note
    "When You Cannot Hedge Continuously: The Corrections to
    Black-Scholes".  It shows the use of the Monte Carlo framework.
 
    \example EquityOption.cpp
    For a given set of option parameters, this example computes the
    value of three different equity options types (with european,
    bermudan and american exercise features) using different valuation
    algorithms. The calculation methods are Black-Scholes (for
    european options only), Barone-Adesi/Whaley (american-only),
    Bjerksund/Stensland (american), Integral (european), finite
    differences, binomial trees, crude Monte Carlo (european-only) and
    Sobol-sequence Monte Carlo (european-only).
 
    \example FittedBondCurve.cpp
    For a given set of coupons and terms to maturity, this example
    computes the value of a bond by fitting the yields to a curve
    using different methods. The fitting methods are exponential
    splines, simple polynomials, Nelson-Siegel, and cubic B-splines.
    It then shifts the evaluation date into the future to compute
    implied forward par rates. It also computes yields after small
    price shifts.
 
    \example FRA.cpp
    This example values a forward-rate agreement (FRA) at different
    forward dates under two yield curve assumptions. It thereby
    illustrates how set up a term structure, and to use it to price a
    simple forward-rate agreement.
 
    \example Gaussian1dModels.cpp
    This example shows the use of Gaussian short rate model for
    interest rate derivatives.
    
    \example GlobalOptimizer.cpp
    This example shows the use of several different optimizers:
    firefly algorithm, hybrid simulated annealing, particle swarm
    optimization, simulated annealing, and differential evolution.
 
    \example LatentModel.cpp
    This example shows the calculation of correlated defaults.
 
    \example MarketModels.cpp
    This example shows the use of interest-rate market models.
 
    \example MulticurveBootstrapping.cpp
    This example prices an interest rate swap over a term structure
    and calculates its fair fixed rate and floating spread.
 
    \example MultidimIntegral.cpp
    This example shows multi-dimensional numerical integration.
 
    \example Replication.cpp
    This example uses the CompositeInstrument class to statically
    replicate a down-and-out barrier options.
 
    \example Repo.cpp
    This example values a fixed-coupon bond repurchase (repo). The
    repurchase agreement example is set up to use the repo rate to do
    all discounting (including the underlying bond income). Forward
    delivery price is also obtained using this repo rate. All this is
    done by supplying the FixedCouponBondForward constructor with a
    flat repo YieldTermStructure.
 
*/