| american_option_approximation | This class uses the Black Scholes formulae for European options, to approximate the values of American options. The value of the American option, is approximated as the maximum value of all European options, with Tau between 0, and the Tau of the American option |
| american_option_fudge | This class approximates the value of American Options as the value of the corresponding European option, plus the addition of a fudge factor, to make the exercise boundaries align correctly. It is much faster than the binomial model |
| binomial_option | This is the classic binomial option algorithm |
| Bisection< functor, real > | : This is an encapsulation of the Bisection algorithm |
| Bisection_Secant< functor, real > | This class is a child class of Bisection. The algorithm converges faster because it changes from the bisection to the secant algorithm /// on every other iteration |
| cbot_pair | |
| european_option_pair | These are the Black Scholes option pricing formulae for puts and calls |
| GridSearch< functor, real > | This is an encapsulation of the 1 dimensional grid search algorithm. It is used to find the maximum (or minimum) value of a function, on a grid |
| Newton_functor | This functor is provided as a demonstration of how to create a functor for the template class NetwonRaphson0. It encapsulates the function: exp(x) - offset. The function variable is x. Offset is a hidden variable. This class is defined in the demonstration file NewtonRaphson.cpp |
| NewtonRaphsonSolve0< functor, real > | This template class is an encapsulation of the one dimensional NewtonRaphson iteration algorithm. It allows for calculating df twice at each iteration, or d2f, to increase the spead of convergance. It also can be used in situations with boundaries. The orignal source cand be viewed or downloaded here.
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| option_pair | This is an abstract interface class, which contains algorithms for calculating implied volatility, the derivatives with respect to sigma, and time decay. The interface also provides a standardized way of specifying options as a function of: |
| secant_functor | This is a functor which encapsulates the function: exp(x) - offset. The function variable is x. Offset is a hidden variable. This class is used to demonstrate the SecantSolve0< functor, real > template class, in the test file Secant.cpp |
| SecantSolve0< functor, real > | This is an encapsulation of the one dimensional Secant iteration algorithm. It can be used in situations with boundaries |
| somefunc | This is a functor which encapsulates the function: exp(x) - offset. The function variable is x. Offset is a hidden variable |
