quant Namespace Reference

Barrier option primitives and configuration. More...

Namespaces
namespace	american
namespace	asian
	Asian option Monte Carlo (arithmetic/geometric) with optional geometric CV.
namespace	bs
	Analytic Black–Scholes European option pricing and Greeks.
namespace	digital
	Digital option pricing (cash-or-nothing and asset-or-nothing)
namespace	grid_utils
namespace	heston
	Heston model: analytic European call and QE Monte Carlo.
namespace	lookback
	Lookback option Monte Carlo (fixed/floating strike) with optional bridge.
namespace	math
	Common mathematical utilities shared across engines.
namespace	mc
	Monte Carlo GBM pricer with antithetic variates and optional control variate.
namespace	multi
	Multi-asset MC pricing: basket and jump-diffusion.
namespace	pde
	Finite-difference PDE pricer (Crank–Nicolson) for European options.
namespace	qmc
	Brownian bridge mapping for quasi Monte Carlo Brownian paths.
namespace	risk
	Simple VaR/CVaR computation utilities.
namespace	rng
	Deterministic random number generation utilities.
namespace	stats
	Streaming statistics utilities.

Classes
struct	BarrierSpec
struct	PiecewiseConstant

Enumerations
enum class	BarrierType { UpOut , DownOut , UpIn , DownIn }
enum class	OptionType { Call , Put }

Functions
std::string	version_string ()
	Return the semantic version string "major.minor.patch".

Variables
constexpr int	kVersionMajor = 0
	Project semantic version components.
constexpr int	kVersionMinor = 3
	Minor version.
constexpr int	kVersionPatch = 2
	Patch version.

Detailed Description

Barrier option primitives and configuration.

Quant pricer version utilities.

Simple piecewise-constant term structures for r(t), q(t), sigma(t)

Enumeration Type Documentation

BarrierType

enum class quant::BarrierType

strong

Enumerator
UpOut
DownOut
UpIn
DownIn

OptionType

enum class quant::OptionType

strong

Enumerator
Call
Put

Function Documentation

version_string()

std::string quant::version_string ( )

inline

Return the semantic version string "major.minor.patch".

Variable Documentation

kVersionMajor

constexpr int quant::kVersionMajor = 0

constexpr

Project semantic version components.

kVersionMinor

constexpr int quant::kVersionMinor = 3

constexpr

Minor version.

kVersionPatch

constexpr int quant::kVersionPatch = 2

constexpr

Patch version.