functions to construct and use PricingEngine objects.
The first step is to load the QuantLib package.
In[1]:=
Needs["QuantLib`"]
Within the PricingEngines part there are several constructors and member functions available
In[2]:=
Select[Category[PricingEngines],QLConstructor[#]&]
Out[2]=
In[3]:=
Select[Category[PricingEngines],QLMember[#]&]
Out[3]=
In[4]:=
Select[Category[PricingEngines],QLProcedure[#]&]
Out[4]=
BlackCalculator
In[5]:=
In[8]:=
obj=BlackCalculator[PayoffID,AtmForwardValue,StdDev]
Out[8]=
BlackScholesCalculator
In[9]:=
In[12]:=
obj=BlackScholesCalculator[PayoffID,Spot,StdDev]
Out[12]=
PricingEngine
In[32]:=
In[31]:=
obj=PricingEngine["AE",ProcessID]
Out[31]=
DiscountingSwapEngine
obj=DiscountingSwapEngine[YieldCurve]
BinomialPricingEngine
obj=BinomialPricingEngine[EngineID,ProcessID,TimeSteps]
BlackSwaptionEngine
obj=BlackSwaptionEngine[YieldCurve,VolTS]
BlackSwaptionEngine2
obj=BlackSwaptionEngine2[YieldCurve,Vol]
BlackCapFloorEngine
obj=BlackCapFloorEngine[YieldCurve,VolTS]
BlackCapFloorEngine2
obj=BlackCapFloorEngine2[YieldCurve,Vol]
AnalyticCapFloorEngine
obj=AnalyticCapFloorEngine[HandleModel]
BondEngine
obj=BondEngine[YieldCurve]
BlackCalculatorValue
BlackCalculatorValue[obj]
BlackCalculatorDeltaForward
BlackCalculatorDeltaForward[obj]
BlackCalculatorDelta
BlackCalculatorDelta[obj,Spot]
BlackCalculatorElasticityForward
BlackCalculatorElasticityForward[obj]
BlackCalculatorElasticity
BlackCalculatorElasticity[obj,Spot]
BlackCalculatorGammaForward
BlackCalculatorGammaForward[obj]
BlackCalculatorGamma
BlackCalculatorGamma[obj,Spot]
BlackCalculatorTheta
BlackCalculatorTheta[obj,Spot,TimeToMaturity]
BlackCalculatorThetaPerDay
BlackCalculatorThetaPerDay[obj,Spot,TimeToMaturity]
BlackCalculatorVega
BlackCalculatorVega[obj,TimeToMaturity]
BlackCalculatorRho
BlackCalculatorRho[obj,TimeToMaturity]
BlackCalculatorDividendRho
BlackCalculatorDividendRho[obj,TimeToMaturity]
BlackCalculatorItmCashProbability
BlackCalculatorItmCashProbability[obj]
BlackCalculatorItmAssetProbability
BlackCalculatorItmAssetProbability[obj]
BlackCalculatorStrikeSensitivity
BlackCalculatorStrikeSensitivity[obj]
BlackCalculatorAlpha
BlackCalculatorAlpha[obj]
BlackCalculatorBeta
BlackCalculatorBeta[obj]
BlackScholesCalculatorDelta
BlackScholesCalculatorDelta[obj]
BlackScholesCalculatorElasticity
BlackScholesCalculatorElasticity[obj]
BlackScholesCalculatorGamma
BlackScholesCalculatorGamma[obj]
BlackScholesCalculatorTheta
BlackScholesCalculatorTheta[obj,TimeToMaturity]
BlackScholesCalculatorThetaPerDay
BlackScholesCalculatorThetaPerDay[obj,TimeToMaturity]
BlackFormula
BlackFormula[OptionType,Strike,AtmForwardValue,StdDev]
BlackFormulaCashItmProbability
BlackFormulaCashItmProbability[OptionType,Strike,AtmForwardValue,StdDev]
BlackFormulaImpliedStdDevApproximation
BlackFormulaImpliedStdDevApproximation[OptionType,Strike,AtmForwardValue,OptionPrice]
BlackFormulaImpliedStdDev3
BlackFormulaImpliedStdDev3[OptionType,Strike,AtmForwardValue,OptionPrice]
BlackFormulaStdDevDerivative
BlackFormulaStdDevDerivative[Strike,AtmForwardValue,StdDev]
BachelierBlackFormula
BachelierBlackFormula[OptionType,Strike,AtmForwardValue,StdDev]
BlackFormula2
BlackFormula2[Payoff,AtmForwardValue,StdDev]
BlackFormulaCashItmProbability2
BlackFormulaCashItmProbability2[Payoff,AtmForwardValue,StdDev]
BlackFormulaImpliedStdDevApproximation2
BlackFormulaImpliedStdDevApproximation2[Payoff,AtmForwardValue,OptionPrice]
BlackFormulaImpliedStdDev4
BlackFormulaImpliedStdDev4[PayoffID,AtmForwardValue,OptionPrice]
BlackFormulaStdDevDerivative2
BlackFormulaStdDevDerivative2[PayoffID,AtmForwardValue,StdDev]
BachelierBlackFormula2
BachelierBlackFormula2[Payoff,AtmForwardValue,StdDev]
