The main header file for the FTQlib library. More...
#include <cmath>#include <functional>#include <string>#include <vector>#include "BlackSholes.hpp"#include "LocalVolatility.hpp"
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Classes | |
| class | MonteCarloResult |
| A container for storing the result of a Monte-Carlo simulation. More... | |
| class | MonteCarloPricer< T > |
| A controller for derivatives pricing via a Monte-Carlo simulation. More... | |
| class | PartialDiffEqPricer< T > |
| A controller for derivatives pricing via a PDE solution. More... | |
Variables | |
| const int | ERROR_MATHEMATICS |
| Error code for any mathematical errors. More... | |
| const int | SUCCESS = 0 |
| Success code. More... | |
| const int | ERROR_NO_CONVERGENCE |
| Error code for lack of convergence in simulations and other numerical estimations. More... | |
| const int | ERROR_INVALID_INPUT |
| Error code for invalid input-related issues. More... | |
| const int | ERROR_INVALID_MODEL |
| Error code for model-related issues. More... | |
Detailed Description
The main header file for the FTQlib library.
This file contains the main header file for the FTQlib library. It contains the main classes and functions for the library.
- See also
- include/BlackSholes.hpp
- include/LocalVolatility.hpp
- include/MonteCarlo.hpp
- Date
- 2023-12-09
Definition in file ftqlib.hpp.
Variable Documentation
◆ ERROR_INVALID_INPUT
| const int ERROR_INVALID_INPUT |
Initial value:
=
2
Error code for invalid input-related issues.
Definition at line 30 of file ftqlib.hpp.
◆ ERROR_INVALID_MODEL
| const int ERROR_INVALID_MODEL |
◆ ERROR_MATHEMATICS
| const int ERROR_MATHEMATICS |
Initial value:
=
-1
Error code for any mathematical errors.
Definition at line 25 of file ftqlib.hpp.
◆ ERROR_NO_CONVERGENCE
| const int ERROR_NO_CONVERGENCE |
Initial value:
=
1
Error code for lack of convergence in simulations and other numerical estimations.
Definition at line 28 of file ftqlib.hpp.
Referenced by MonteCarloPricer< T >::estimate_price().
◆ SUCCESS
| const int SUCCESS = 0 |
Success code.
Definition at line 27 of file ftqlib.hpp.
Referenced by MonteCarloPricer< T >::estimate_price().
