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Searched refs:BlackScholesMertonProcess (Results 1 – 25 of 50) sorted by relevance

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/dports/finance/quantlib/QuantLib-1.20/test-suite/
H A Dtwoassetcorrelationoption.cpp57 ext::shared_ptr<BlackScholesMertonProcess> process1 = in testAnalyticEngine()
58 ext::make_shared<BlackScholesMertonProcess>(underlying1, in testAnalyticEngine()
63 ext::shared_ptr<BlackScholesMertonProcess> process2 = in testAnalyticEngine()
64 ext::make_shared<BlackScholesMertonProcess>(underlying2, in testAnalyticEngine()
H A Deverestoption.cpp51 new BlackScholesMertonProcess( in testCached()
57 new BlackScholesMertonProcess( in testCached()
63 new BlackScholesMertonProcess( in testCached()
69 new BlackScholesMertonProcess( in testCached()
H A Dpagodaoption.cpp51 new BlackScholesMertonProcess( in testCached()
57 new BlackScholesMertonProcess( in testCached()
63 new BlackScholesMertonProcess( in testCached()
69 new BlackScholesMertonProcess( in testCached()
H A Dhimalayaoption.cpp49 new BlackScholesMertonProcess( in testCached()
55 new BlackScholesMertonProcess( in testCached()
61 new BlackScholesMertonProcess( in testCached()
67 new BlackScholesMertonProcess( in testCached()
H A Ddigitaloption.cpp110 ext::shared_ptr<BlackScholesMertonProcess> stochProcess(new in testCashOrNothingEuropeanValues()
111 BlackScholesMertonProcess(Handle<Quote>(spot), in testCashOrNothingEuropeanValues()
165 ext::shared_ptr<BlackScholesMertonProcess> stochProcess(new in testAssetOrNothingEuropeanValues()
166 BlackScholesMertonProcess(Handle<Quote>(spot), in testAssetOrNothingEuropeanValues()
221 BlackScholesMertonProcess(Handle<Quote>(spot), in testGapEuropeanValues()
289 BlackScholesMertonProcess(Handle<Quote>(spot), in testCashAtHitOrNothingAmericanValues()
355 BlackScholesMertonProcess(Handle<Quote>(spot), in testAssetAtHitOrNothingAmericanValues()
421 BlackScholesMertonProcess(Handle<Quote>(spot), in testCashAtExpiryOrNothingAmericanValues()
494 BlackScholesMertonProcess(Handle<Quote>(spot), in testAssetAtExpiryOrNothingAmericanValues()
560 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testCashAtHitOrNothingAmericanGreeks()
[all …]
H A Dtwoassetbarrieroption.cpp85 ext::shared_ptr<BlackScholesMertonProcess> process1( in testHaugValues()
86 new BlackScholesMertonProcess(Handle<Quote>(s1), in testHaugValues()
97 ext::shared_ptr<BlackScholesMertonProcess> process2( in testHaugValues()
98 new BlackScholesMertonProcess(Handle<Quote>(s2), in testHaugValues()
H A Dasianoptions.cpp106 BlackScholesMertonProcess(Handle<Quote>(spot), in testAnalyticContinuousGeometricAveragePrice()
203 ext::shared_ptr<BlackScholesMertonProcess> process( in testAnalyticContinuousGeometricAveragePriceGreeks()
345 BlackScholesMertonProcess(Handle<Quote>(spot), in testAnalyticDiscreteGeometricAveragePrice()
404 BlackScholesMertonProcess(Handle<Quote>(spot), in testAnalyticDiscreteGeometricAverageStrike()
467 BlackScholesMertonProcess(Handle<Quote>(spot), in testMCDiscreteGeometricAveragePrice()
646 BlackScholesMertonProcess(Handle<Quote>(spot), in testMCDiscreteArithmeticAveragePrice()
797 BlackScholesMertonProcess(Handle<Quote>(spot), in testMCDiscreteArithmeticAverageStrike()
859 ext::shared_ptr<BlackScholesMertonProcess> process( in testAnalyticDiscreteGeometricAveragePriceGreeks()
1011 new BlackScholesMertonProcess(Handle<Quote>(spot), in testPastFixings()
1145 new BlackScholesMertonProcess(Handle<Quote>(spot), in testAllFixingsInThePast()
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H A Dmargrabeoption.cpp198 ext::shared_ptr<BlackScholesMertonProcess> stochProcess1(new in testEuroExchangeTwoAssets()
199 BlackScholesMertonProcess(Handle<Quote>(spot1), in testEuroExchangeTwoAssets()
204 ext::shared_ptr<BlackScholesMertonProcess> stochProcess2(new in testEuroExchangeTwoAssets()
205 BlackScholesMertonProcess(Handle<Quote>(spot2), in testEuroExchangeTwoAssets()
364 ext::shared_ptr<BlackScholesMertonProcess> stochProcess1(new in testGreeks()
365 BlackScholesMertonProcess(Handle<Quote>(spot1), in testGreeks()
371 BlackScholesMertonProcess(Handle<Quote>(spot2), in testGreeks()
559 ext::shared_ptr<BlackScholesMertonProcess> stochProcess1(new in testAmericanExchangeTwoAssets()
560 BlackScholesMertonProcess(Handle<Quote>(spot1), in testAmericanExchangeTwoAssets()
565 ext::shared_ptr<BlackScholesMertonProcess> stochProcess2(new in testAmericanExchangeTwoAssets()
[all …]
H A Ddividendoption.cpp111 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testEuropeanValues()
198 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testEuropeanKnownValue()
273 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testEuropeanStartLimit()
372 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testEuropeanEndLimit()
472 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testEuropeanGreeks()
618 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testFdEuropeanValues()
716 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testFdGreeks()
846 ext::shared_ptr<BlackScholesMertonProcess> process( in testFdDegenerate()
940 ext::shared_ptr<BlackScholesMertonProcess> process( in testFdDividendAtTZero()
1051 const ext::shared_ptr<BlackScholesMertonProcess> process = in testEscrowedDividendModel()
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H A Dchooseroption.cpp72 ext::shared_ptr<BlackScholesMertonProcess> stochProcess = in testAnalyticSimpleChooserEngine()
73 ext::make_shared<BlackScholesMertonProcess>( in testAnalyticSimpleChooserEngine()
122 ext::shared_ptr<BlackScholesMertonProcess> stochProcess = in testAnalyticComplexChooserEngine()
123 ext::make_shared<BlackScholesMertonProcess>( in testAnalyticComplexChooserEngine()
H A Dpathgenerator.cpp158 new BlackScholesMertonProcess(x0,q,r,sigma)), in testPathGenerator()
162 new BlackScholesMertonProcess(x0,q,r,sigma)), in testPathGenerator()
203 new BlackScholesMertonProcess(x0,q,r,sigma)); in testMultiPathGenerator()
205 new BlackScholesMertonProcess(x0,q,r,sigma)); in testMultiPathGenerator()
207 new BlackScholesMertonProcess(x0,q,r,sigma)); in testMultiPathGenerator()
H A Damericanoption.cpp156 ext::shared_ptr<BlackScholesMertonProcess> stochProcess(new in testBaroneAdesiWhaleyValues()
157 BlackScholesMertonProcess(Handle<Quote>(spot), in testBaroneAdesiWhaleyValues()
230 ext::shared_ptr<BlackScholesMertonProcess> stochProcess(new in testBjerksundStenslandValues()
231 BlackScholesMertonProcess(Handle<Quote>(spot), in testBjerksundStenslandValues()
361 ext::shared_ptr<BlackScholesMertonProcess> stochProcess(new in testJuValues()
362 BlackScholesMertonProcess(Handle<Quote>(spot), in testJuValues()
416 ext::shared_ptr<BlackScholesMertonProcess> stochProcess = in testFdValues()
417 ext::make_shared<BlackScholesMertonProcess>(Handle<Quote>(spot), in testFdValues()
482 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testFdGreeks()
483 new BlackScholesMertonProcess(Handle<Quote>(spot), in testFdGreeks()
H A Dforwardoption.cpp101 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testValues()
102 new BlackScholesMertonProcess(Handle<Quote>(spot), in testValues()
167 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testPerformanceValues()
168 new BlackScholesMertonProcess(Handle<Quote>(spot), in testPerformanceValues()
243 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testForwardGreeks()
244 new BlackScholesMertonProcess(Handle<Quote>(spot), qTS, rTS, volTS)); in testForwardGreeks()
414 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testGreeksInitialization()
415 new BlackScholesMertonProcess(Handle<Quote>(spot), qTS, rTS, volTS)); in testGreeksInitialization()
H A Dlookbackoptions.cpp158 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testAnalyticContinuousFloatingLookback()
159 new BlackScholesMertonProcess( in testAnalyticContinuousFloatingLookback()
258 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testAnalyticContinuousFixedLookback()
259 new BlackScholesMertonProcess( in testAnalyticContinuousFixedLookback()
368 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testAnalyticContinuousPartialFloatingLookback()
369 new BlackScholesMertonProcess( in testAnalyticContinuousPartialFloatingLookback()
479 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testAnalyticContinuousPartialFixedLookback()
480 new BlackScholesMertonProcess( in testAnalyticContinuousPartialFixedLookback()
535 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testMonteCarloLookback()
536 new BlackScholesMertonProcess( in testMonteCarloLookback()
H A Dquantooption.cpp257 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testValues()
258 new BlackScholesMertonProcess(Handle<Quote>(spot), in testValues()
344 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testGreeks()
538 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testForwardValues()
539 new BlackScholesMertonProcess(Handle<Quote>(spot), in testForwardValues()
833 new BlackScholesMertonProcess(Handle<Quote>(spot), in testForwardPerformanceValues()
916 new BlackScholesMertonProcess(Handle<Quote>(spot), in testBarrierValues()
1001 new BlackScholesMertonProcess(Handle<Quote>(spot), in testDoubleBarrierValues()
1087 = ext::make_shared<BlackScholesMertonProcess>( in testFDMQuantoHelper()
1191 = ext::make_shared<BlackScholesMertonProcess>( in testPDEOptionValues()
[all …]
H A Dcliquetoption.cpp70 ext::shared_ptr<BlackScholesMertonProcess> process( in testValues()
71 new BlackScholesMertonProcess(Handle<Quote>(spot), in testValues()
140 ext::shared_ptr<BlackScholesMertonProcess> process( in testOptionGreeks()
141 new BlackScholesMertonProcess(Handle<Quote>(spot), in testOptionGreeks()
304 ext::shared_ptr<BlackScholesMertonProcess> process( in testMcPerformance()
305 new BlackScholesMertonProcess(Handle<Quote>(spot), in testMcPerformance()
H A Dpartialtimebarrieroption.cpp69 const ext::shared_ptr<BlackScholesMertonProcess> process = in testAnalyticEngine()
70 ext::make_shared<BlackScholesMertonProcess>(underlying, in testAnalyticEngine()
H A Dfdcir.cpp80 ext::shared_ptr<BlackScholesMertonProcess> bsmProcess( in testFdmCIRConvergence()
81 new BlackScholesMertonProcess(underlyingH, flatDividendTS, in testFdmCIRConvergence()
H A Dinstruments.cpp89 ext::shared_ptr<BlackScholesMertonProcess> process( in testCompositeWhenShiftingDates()
90 new BlackScholesMertonProcess(Handle<Quote>(spot), in testCompositeWhenShiftingDates()
H A Dbinaryoption.cpp169 ext::shared_ptr<BlackScholesMertonProcess> stochProcess(new in testCashOrNothingHaugValues()
170 BlackScholesMertonProcess(Handle<Quote>(spot), in testCashOrNothingHaugValues()
257 ext::shared_ptr<BlackScholesMertonProcess> stochProcess(new in testAssetOrNothingHaugValues()
258 BlackScholesMertonProcess(Handle<Quote>(spot), in testAssetOrNothingHaugValues()
H A Dhybridhestonhullwhiteprocess.cpp83 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testBsmHullWhiteEngine()
84 new BlackScholesMertonProcess(spot, qTS, rTS, volTS)); in testBsmHullWhiteEngine()
110 ext::shared_ptr<BlackScholesMertonProcess> bsProcess( in testBsmHullWhiteEngine()
188 ext::shared_ptr<BlackScholesMertonProcess> bsmProcess( in testCompareBsmHWandHestonHW()
189 new BlackScholesMertonProcess(spot, qTS, rTS, volTS)); in testCompareBsmHWandHestonHW()
403 const ext::shared_ptr<BlackScholesMertonProcess> bsmProcess( in testMcVanillaPricing()
404 new BlackScholesMertonProcess(s0, qTS, rTS, volTS)); in testMcVanillaPricing()
797 const ext::shared_ptr<BlackScholesMertonProcess> bsmProcess( in testDiscretizationError()
877 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testFdmHestonHullWhiteEngine()
1063 ext::shared_ptr<BlackScholesMertonProcess> bsmProcess( in testBsmHullWhitePricing()
[all …]
H A Dbasketoption.cpp305 new BlackScholesMertonProcess( in testEuroTwoValues()
311 new BlackScholesMertonProcess( in testEuroTwoValues()
531 BlackScholesMertonProcess(Handle<Quote>(spot1), in testBarraquandThreeValues()
537 BlackScholesMertonProcess(Handle<Quote>(spot2), in testBarraquandThreeValues()
543 BlackScholesMertonProcess(Handle<Quote>(spot3), in testBarraquandThreeValues()
677 BlackScholesMertonProcess(Handle<Quote>(spot1), in testTavellaValues()
683 BlackScholesMertonProcess(Handle<Quote>(spot2), in testTavellaValues()
689 BlackScholesMertonProcess(Handle<Quote>(spot3), in testTavellaValues()
806 BlackScholesMertonProcess(Handle<Quote>(spot1), in testOneDAmericanValues()
894 BlackScholesMertonProcess(Handle<Quote>(spot1), in testOddSamples()
H A Dcompoundoption.cpp168 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testPutCallParity()
169 new BlackScholesMertonProcess( in testPutCallParity()
297 ext::shared_ptr<BlackScholesMertonProcess> stochProcess( in testValues()
298 new BlackScholesMertonProcess( in testValues()
/dports/finance/quantlib/QuantLib-1.20/ql/experimental/exoticoptions/
H A Danalyticamericanmargrabeengine.cpp94 ext::shared_ptr<BlackScholesMertonProcess> stochProcess(new in calculate()
95 BlackScholesMertonProcess(Handle<Quote>(spot), in calculate()
/dports/finance/quantlib/QuantLib-1.20/ql/processes/
H A Dblackscholesprocess.hpp146 class BlackScholesMertonProcess : public GeneralizedBlackScholesProcess { class
148 BlackScholesMertonProcess(

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