C++ API

Namespaces

• Namespace otyca
  • Classes
  • Enums
  • Functions
  • Typedefs

• Namespace std
  • Functions

Classes and Structs

• Struct CompositeStochasticProcessConfig
  • Struct Documentation
    • otyca::CompositeStochasticProcessConfig
      • specification
      • max_n_event
      • min_tenor
      • max_tenor

• Struct Event
  • Struct Documentation
    • otyca::Event
      • Event()
      • Event()
      • operator<()
      • tenor
      • variance
      • significance
      • get_header()

• Struct Model::CalibrationConfig
  • Nested Relationships
  • Struct Documentation
    • otyca::Model::CalibrationConfig
      • maxfev
      • ftol
      • xtol
      • gtol
      • epsfcn
      • factor

• Struct Model::CalibrationInput
  • Nested Relationships
  • Struct Documentation
    • otyca::Model::CalibrationInput
      • size_consistent()
      • clear()
      • min_y()
      • serialize()
      • deserialize()
      • subset()
      • subset()
      • sort_by_x()
      • x
      • y
      • dy

• Struct Model::CalibrationStatus
  • Nested Relationships
  • Struct Documentation
    • otyca::Model::CalibrationStatus
      • reduced_chi2()
      • reduced_robust_chi2()
      • aic()
      • bic()
      • message()
      • converged()
      • chi2
      • robust_chi2
      • cost2
      • residuals
      • iterations
      • parameters
      • info

• Class AlphaStable
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::AlphaStable
      • AlphaStable()
      • AlphaStable()
      • clone()
      • laplace_transform()
      • d_phi_d_psi()
      • d_phi_d_p()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • transformation_derivatives()
      • get_transformed_calibration_parameters()
      • get_parameters()
      • get_transformed_calibration_parameter_variances()
      • name()
      • get_parameter_names()
      • get_alpha()
      • set_alpha()

• Class AutoStochasticProcessPricer
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::AutoStochasticProcessPricer
      • name()
      • price()
      • price_derivatives()
      • implied_volatility()
      • pdf()

• Class BimodalGaussian
  • Inheritance Relationships
    • Base Type
    • Derived Types
  • Class Documentation
    • otyca::BimodalGaussian
      • clone()
      • BimodalGaussian()
      • BimodalGaussian()
      • ~BimodalGaussian()
      • get_mu()
      • set_mu()
      • get_sigma()
      • set_sigma()
      • characteristic_function()
      • characteristic_function()
      • characteristic_function_derivatives()
      • characteristic_function_derivatives()
      • transformation_derivatives()
      • set_parameters()
      • set_transformed_calibration_parameters()
      • get_transformed_calibration_parameters()
      • get_parameters()
      • get_transformed_calibration_parameter_variances()
      • name()
      • get_parameter_names()
      • get_header()

• Template Class BoundedSchedule
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::BoundedSchedule
      • split()
      • add_with_bounds()
      • add_centered_on()
      • diff()
      • to_map()

• Class BrownianMotion
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::BrownianMotion
      • clone()
      • BrownianMotion()
      • BrownianMotion()
      • characteristic_exponent()
      • characteristic_exponent_derivatives()
      • get_sigma()
      • set_sigma()
      • transformation_derivatives()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • get_transformed_calibration_parameters()
      • get_parameters()
      • get_transformed_calibration_parameter_variances()
      • name()
      • get_parameter_names()

• Class BumpModel
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::BumpModel
      • BumpModel()
      • evaluate()
      • core_model_evaluate()
      • set_transformed_calibration_parameters()
      • add_bump()
      • calibrate()
      • bump()
      • get_transformed_calibration_parameters()
      • get_parameters()
      • set_parameters()
      • name()
      • set_core_model()
      • get_core_model()
      • print()
      • get_bumps()

• Class CGMY
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::CGMY
      • CGMY()
      • CGMY()
      • clone()
      • ~CGMY()
      • characteristic_exponent()
      • characteristic_exponent_derivatives()
      • get_c()
      • get_g()
      • get_m()
      • get_y()
      • set_c()
      • set_g()
      • set_m()
      • set_y()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • transformation_derivatives()
      • get_transformed_calibration_parameters()
      • get_parameters()
      • get_transformed_calibration_parameter_variances()
      • name()
      • get_parameter_names()
      • set_multiplier()

• Class Chuckle
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::Chuckle
      • Chuckle()
      • get_parameter_names()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • get_parameters()
      • get_transformed_calibration_parameters()
      • name()
      • evaluate()
      • get_regularizer_penalties()
      • pre_calibration()

• Class CIR
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::CIR
      • CIR()
      • CIR()
      • clone()
      • transformation_derivatives()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • sigma_parameter_index()
      • get_transformed_calibration_parameters()
      • get_transformed_calibration_parameter_variances()
      • get_parameters()
      • name()
      • get_parameter_names()
      • d_phi_d_p()

• Class ClaimFourierTransform
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::ClaimFourierTransform
      • ClaimFourierTransform()
      • integrand()
      • integrand_derivatives()
      • dampen_factor()
      • claim_type()

• Class CompositeLevyProcess
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::CompositeLevyProcess
      • clone()
      • CompositeLevyProcess()
      • CompositeLevyProcess()
      • add_component()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • get_transformed_calibration_parameters()
      • get_parameters()
      • get_parameter_names()
      • get_transformed_calibration_parameter_variances()
      • name()
      • specification()
      • characteristic_exponent()
      • characteristic_exponent_derivatives()
      • transformation_derivatives()
      • print()
      • get_levy_components()

• Template Class CompositeModel
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::CompositeModel
      • add_component()
      • get_components()
      • evaluate()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • get_transformed_calibration_parameters()
      • get_parameters()
      • get_parameter_names()
      • get_transformed_calibration_parameter_variances()
      • get_regularizer_penalties()
      • name()
      • print()
      • _get_values()

• Class CompositeStochasticProcess
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::CompositeStochasticProcess
      • clone()
      • CompositeStochasticProcess()
      • CompositeStochasticProcess()
      • characteristic_function()
      • characteristic_function_derivatives()
      • add_component()
      • set_transformed_calibration_parameters()
      • set_calibration_parameters()
      • set_parameters()
      • get_transformed_calibration_parameters()
      • get_calibration_parameters()
      • transformation_derivatives()
      • get_parameters()
      • get_parameter_names()
      • get_transformed_calibration_parameter_variances()
      • name()
      • specification()
      • print()
      • get_components()
      • scheduled_jumps_stripped()

• Class CompositeStochasticProcessFactory
  • Class Documentation
    • otyca::CompositeStochasticProcessFactory
      • create_composite_stochastic_process()

• Class CubicSpline
  • Inheritance Relationships
    • Base Types
  • Class Documentation
    • otyca::CubicSpline
      • CubicSpline()
      • reset()
      • add_knot()
      • name()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • get_transformed_calibration_parameters()
      • get_parameters()
      • evaluate()
      • print()
      • get_knot_x()
      • get_knot_y()
      • get_regularizer_penalties()
      • set_wiggle_penalty()
      • set_left_wing_penalty()
      • set_right_wing_penalty()
      • calibrate()

• Class DirectIntegrationPricer
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::DirectIntegrationPricer
      • DirectIntegrationPricer()
      • ~DirectIntegrationPricer()
      • name()
      • price()
      • price_derivatives()
      • implied_volatility()
      • pdf()
      • implied_volatility()
      • implied_volatility()
      • pdf()
      • pdf()
      • price()
      • price()
      • _x
      • _w
      • _exp_u
      • _u2_real
      • _w_col
      • _x_col
      • _u
      • _iu
      • _u2
      • _order

• Class Dividend
  • Class Documentation
    • otyca::Dividend
      • Dividend()
      • Dividend()
      • Dividend()
      • operator==()
      • operator!=()
      • equal()
      • operator+=()
      • get_fixed()
      • set_fixed()
      • get_proportional()
      • set_proportional()
      • get_header()
      • operator+
      • operator<<

• Class DividendTable
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::DividendTable
      • fixed_present_value()
      • yield()
      • adapt_grid()
      • allocate_fixed()
      • fixed_present_value_t()
      • finite()
      • equal()

• Class Estimate
  • Class Documentation
    • otyca::Estimate
      • Estimate()
      • Estimate()
      • operator<()
      • operator==()
      • operator!=()
      • operator+=()
      • add_value()
      • finite()
      • min_value()
      • max_value()
      • get_value()
      • set_value()
      • get_weight()
      • get_uncertainty()
      • set_uncertainty()
      • set()
      • weighted_average()
      • weighted_variance()
      • mean_squared_signal_to_noise()
      • get_header()
      • operator<<

• Class FFTPricer
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::FFTPricer
      • FFTPricer()
      • ~FFTPricer()
      • name()

• Class FLCIR
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::FLCIR
      • FLCIR()
      • FLCIR()
      • clone()
      • set_transformed_calibration_parameters()
      • get_transformed_calibration_parameters()
      • get_parameters()
      • transformation_derivatives()
      • set_parameters()
      • get_transformed_calibration_parameter_variances()
      • name()
      • get_parameter_names()
      • sigma_parameter_index()
      • d_phi_d_p()

• Template Class FlexibleSchedule
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::FlexibleSchedule
      • to_bounded_schedule()

• Class Forward
  • Class Documentation
    • otyca::Forward
      • Forward()
      • set_tenor()
      • set_spot()
      • set_borrow_rate()
      • set_interest_rate()
      • set_dividend()
      • forward()
      • d_forward_d_q()
      • implied_borrow()
      • hedge_rate_growth()
      • hedge_rate_discount()

• Class FourierTransform
  • Inheritance Relationships
    • Derived Types
  • Class Documentation
    • otyca::FourierTransform
      • ClaimType
        • CALL_CLAIM
        • PUT_CLAIM
        • COVERED_CALL
        • TIME_VALUE
      • ~FourierTransform()
      • integrand()
      • integrand_derivatives()
      • dampen_factor()
      • claim_type()

• Class FourierTransformPricer
  • Inheritance Relationships
    • Base Type
    • Derived Types
  • Class Documentation
    • otyca::FourierTransformPricer
      • FourierTransformPricer()
      • ~FourierTransformPricer()
      • price()
      • price_derivatives()
      • implied_volatility()
      • pdf()
      • set_fourier_transform()
      • get_u()
      • implied_volatility()
      • implied_volatility()
      • pdf()
      • pdf()
      • _price_kernal()
      • _price_derivatives_kernal()
      • _pdf_kernal()
      • _interpolate()
      • _interpolate()
      • _calls_to_vols()
      • _cn_to_calls()
      • _n
      • _lambda
      • _eta
      • _scaler
      • _um
      • _iu
      • _u2
      • _x
      • _y
      • _u
      • _ya
      • _kj
      • _kn
      • _expirations
      • _vn
      • _cn
      • _calls
      • _pdf
      • _ft
      • _dampen_factor

• Class FRFTPricer
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::FRFTPricer
      • FRFTPricer()
      • ~FRFTPricer()
      • name()

• Class Frown
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::Frown
      • Frown()
      • get_parameter_names()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • get_parameters()
      • get_transformed_calibration_parameters()
      • name()
      • evaluate()
      • pre_calibration()

• Class Gamma
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::Gamma
      • Gamma()
      • Gamma()
      • clone()
      • laplace_transform()
      • d_phi_d_psi()
      • d_phi_d_p()
      • set_transformed_calibration_parameters()
      • transformation_derivatives()
      • set_parameters()
      • get_transformed_calibration_parameters()
      • get_parameters()
      • get_transformed_calibration_parameter_variances()
      • name()
      • get_parameter_names()
      • get_mu()
      • set_mu()
      • get_nu()
      • set_nu()

• Class GaussQuadrature
  • Class Documentation
    • otyca::GaussQuadrature
      • IntegrationType
        • Legendre
        • ChebyshevType1
        • Gegenbauer
        • Jacobi
        • GeneralizedLaguerre
        • GeneralizedHermite
        • Exponential
        • Rational
        • ChebyshevType2
      • GaussQuadrature()
      • integrate()
      • get_abscissas_and_weights()
      • ~GaussQuadrature()
      • _order
      • _kind
      • _w
      • _x
      • _a
      • _b
      • _alpha
      • _beta

• Class GeneralizedNelsonSiegel
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::GeneralizedNelsonSiegel
      • GeneralizedNelsonSiegel()
      • GeneralizedNelsonSiegel()
      • evaluate()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • get_parameters()
      • get_transformed_calibration_parameters()
      • get_parameter_names()
      • name()
      • add_slope_component()
      • add_curvature_component()

• Class Giggle
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::Giggle
      • Giggle()
      • get_parameter_names()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • get_parameters()
      • get_transformed_calibration_parameters()
      • name()
      • evaluate()
      • get_regularizer_penalties()
      • pre_calibration()

• Class Grin
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::Grin
      • Grin()
      • get_parameter_names()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • get_parameters()
      • get_transformed_calibration_parameters()
      • name()
      • evaluate()
      • get_regularizer_penalties()
      • pre_calibration()

• Class Heston
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::Heston
      • Heston()
      • Heston()
      • clone()
      • characteristic_function()
      • characteristic_function_derivatives()
      • transformation_derivatives()
      • set_transformed_calibration_parameters()
      • get_transformed_calibration_parameters()
      • get_parameters()
      • set_parameters()
      • get_transformed_calibration_parameter_variances()
      • name()
      • get_parameter_names()

• Class ImpliedVarianceTenorCalculator
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::ImpliedVarianceTenorCalculator
      • ImpliedVarianceTenorCalculator()
      • ~ImpliedVarianceTenorCalculator()
      • tenor()
      • set_original_time_calculator()
      • get_reference_expiration()
      • set_reference_expiration()
      • get_valuation_time()
      • set_valuation_time()
      • get_variance_schedule()
      • set_variance_schedule()

• Class InterestRateCurve
  • Class Documentation
    • otyca::InterestRateCurve
      • InterestRateCurve()
      • create_interest_rate_spot()
      • create_interest_rate_future()
      • create_interest_rate_swap()
      • set_valuation_time()
      • clone()
      • create()
      • get_yield_curve()
      • operator<<

• Class InterestRateFuture
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::InterestRateFuture
      • InterestRateFuture()
      • InterestRateFuture()
      • rate()
      • get_expiration()
      • set_expiration()
      • operator<<

• Class InterestRateSpot
  • Class Documentation
    • otyca::InterestRateSpot
      • InterestRateSpot()
      • _days
      • _rate
      • operator<<

• Class InterestRateSwap
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::InterestRateSwap
      • InterestRateSwap()
      • InterestRateSwap()
      • rate()
      • get_tenor()
      • set_tenor()
      • operator<<

• Class InverseGaussian
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::InverseGaussian
      • InverseGaussian()
      • InverseGaussian()
      • clone()
      • laplace_transform()
      • d_phi_d_psi()
      • d_phi_d_p()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • transformation_derivatives()
      • get_transformed_calibration_parameters()
      • get_parameters()
      • get_transformed_calibration_parameter_variances()
      • name()
      • get_parameter_names()
      • get_mu()
      • set_mu()
      • get_sigma()
      • set_sigma()

• Class Kou
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::Kou
      • Kou()
      • Kou()
      • clone()
      • ~Kou()
      • characteristic_exponent()
      • characteristic_exponent_derivatives()
      • get_eta1()
      • get_eta2()
      • get_lambda()
      • get_p()
      • set_eta1()
      • set_eta2()
      • set_lambda()
      • set_p()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • transformation_derivatives()
      • get_transformed_calibration_parameters()
      • get_parameters()
      • get_transformed_calibration_parameter_variances()
      • name()
      • get_parameter_names()

• Class LCIR
  • Inheritance Relationships
    • Base Type
    • Derived Types
  • Class Documentation
    • otyca::LCIR
      • LCIR()
      • LCIR()
      • clone()
      • laplace_transform()
      • d_phi_d_psi()
      • d_phi_d_p()
      • get_multiplier()
      • set_multiplier()
      • get_kappa()
      • get_omega()
      • get_rho()
      • get_v0()
      • get_sigma()
      • set_kappa()
      • set_omega()
      • set_rho()
      • set_v0()
      • set_sigma()
      • transformation_derivatives()
      • set_transformed_calibration_parameters()
      • get_transformed_calibration_parameters()
      • get_parameters()
      • set_parameters()
      • sigma_parameter_index()
      • get_transformed_calibration_parameter_variances()
      • name()
      • get_parameter_names()
      • _kappa
      • _omega
      • _v0
      • _rho
      • _sigma
      • _multiplier

• Class LevyProcess
  • Inheritance Relationships
    • Base Type
    • Derived Types
  • Class Documentation
    • otyca::LevyProcess
      • LevyProcess()
      • clone()
      • characteristic_exponent()
      • characteristic_exponent_drift_adjustment()
      • characteristic_exponent_derivatives()
      • characteristic_function()
      • characteristic_function_derivatives()
      • characteristic_exponent_derivatives_finite_difference()
      • compare_characteristic_exponent_derivatives()
      • jump_characteristic_exponent_integrand()
      • set_multiplier()
      • _multiplier

• Class LevyProcessFactory
  • Class Documentation
    • otyca::LevyProcessFactory
      • create_levy_process()

• Class Logger
  • Class Documentation
    • otyca::Logger
      • LogCallback
      • set_log_callback()
      • set_log_level()
      • get_log_level()
      • level_to_string()
      • log()
      • log()

• Class LogStable
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::LogStable
      • LogStable()
      • LogStable()
      • clone()
      • characteristic_exponent()
      • characteristic_exponent_derivatives()
      • get_lambda()
      • set_lambda()
      • set_transformed_calibration_parameters()
      • get_transformed_calibration_parameters()
      • get_parameters()
      • set_parameters()
      • transformation_derivatives()
      • get_transformed_calibration_parameter_variances()
      • name()
      • get_parameter_names()

• Class Merton
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::Merton
      • Merton()
      • Merton()
      • clone()
      • ~Merton()
      • characteristic_exponent()
      • characteristic_exponent_derivatives()
      • get_lambda()
      • get_mu()
      • get_sigma()
      • set_lambda()
      • set_mu()
      • set_sigma()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • transformation_derivatives()
      • get_transformed_calibration_parameters()
      • get_parameters()
      • get_transformed_calibration_parameter_variances()
      • name()
      • get_parameter_names()

• Template Class Model
  • Nested Relationships
    • Nested Types
  • Inheritance Relationships
    • Base Type
    • Derived Type
  • Class Documentation
    • otyca::Model
      • ~Model()
      • evaluate()
      • evaluate()
      • evaluate()
      • evaluate()
      • ukf()
      • chi2()
      • robust_chi2()
      • bias()
      • violations()
      • get_regularizer_penalties()
      • pre_calibration()
      • calibrate()
      • is_calibrated()
      • get_last_calibration_status()
      • get_last_calibration_reduced_chi2()
      • get_last_calibration_reduced_robust_chi2()
      • get_last_calibration_aic()
      • get_last_calibration_bic()
      • get_last_calibration_iterations()
      • get_last_calibration_residuals()
      • reset_calibration_status()
      • robust_residual()
      • otyca::Model::CalibrationConfig
        • maxfev
        • ftol
        • xtol
        • gtol
        • epsfcn
        • factor
      • otyca::Model::CalibrationInput
        • size_consistent()
        • clear()
        • min_y()
        • serialize()
        • deserialize()
        • subset()
        • subset()
        • sort_by_x()
        • x
        • y
        • dy
      • otyca::Model::CalibrationStatus
        • reduced_chi2()
        • reduced_robust_chi2()
        • aic()
        • bic()
        • message()
        • converged()
        • chi2
        • robust_chi2
        • cost2
        • residuals
        • iterations
        • parameters
        • info

• Class ModelBase
  • Inheritance Relationships
    • Derived Types
  • Class Documentation
    • otyca::ModelBase
      • get_parameters()
      • set_parameters()
      • set_transformed_calibration_parameters()
      • get_transformed_calibration_parameters()
      • set_calibration_parameters()
      • get_calibration_parameters()
      • get_transformed_calibration_parameter_variances()
      • transformation_derivatives()
      • get_parameter_names()
      • name()
      • print()

• Class MultipleBimodalGaussian
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::MultipleBimodalGaussian
      • clone()
      • MultipleBimodalGaussian()
      • MultipleBimodalGaussian()
      • ~MultipleBimodalGaussian()
      • get_mu()
      • set_mu()
      • get_sigma()
      • set_sigma()
      • characteristic_function()
      • characteristic_function_derivatives()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • get_transformed_calibration_parameters()
      • get_parameters()
      • get_transformed_calibration_parameter_variances()
      • name()
      • get_parameter_names()
      • get_events()
      • add_event()

• Class NelsonSiegel
  • Inheritance Relationships
    • Base Type
    • Derived Type
  • Class Documentation
    • otyca::NelsonSiegel
      • NelsonSiegel()
      • NelsonSiegel()
      • evaluate()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • get_parameters()
      • get_transformed_calibration_parameters()
      • name()
      • get_level()
      • get_slope()
      • get_curvature()
      • get_tau()
      • set_level()
      • set_slope()
      • set_curvature()
      • set_tau()

• Class NelsonSiegelSvensson
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::NelsonSiegelSvensson
      • NelsonSiegelSvensson()
      • NelsonSiegelSvensson()
      • evaluate()
      • set_transformed_calibration_parameters()
      • get_parameters()
      • get_transformed_calibration_parameters()
      • name()
      • get_curvature2()
      • set_curvature2()
      • get_tau2()
      • set_tau2()

• Class NumericalUtil
  • Class Documentation
    • otyca::NumericalUtil
      • calculate_first_derivative()
      • to_lower_case()
      • spline()
      • splint()
      • interpolate_values()
      • gaussian_kernal2_d()
      • local_polynomial_regression()
      • gaussian_kernal1_d()
      • local_regression()
      • newton()
      • zbrent()
      • first_order_variability()
      • second_order_variability()

• Class Option
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::Option
      • Option()
      • Option()
      • set_strike_and_type()
      • mid_implied_volatility()
      • get_mid_volatility()
      • get_mid_delta()
      • bid_ask_within_bounds()
      • intrinsic()
      • mid_above_intrinsic()
      • bid_above_intrinsic()
      • get_bid_ask_volatility_spread()
      • get_osi_sub()
      • get_osi()
      • get_ask_volatility()
      • get_bid_volatility()
      • get_expiration()
      • get_strike()
      • get_style()
      • get_type()
      • set_type()
      • get_premium()
      • get_delta()
      • get_gamma()
      • get_theta()
      • get_vega()
      • get_vanna()
      • get_volga()
      • get_phi()
      • get_rho()
      • get_delta_decay()
      • get_fugit()
      • reset()
      • get_pricer_result_getters()
      • get_pricer_result_labels()
      • operator<<

• Template Class OptionCalculator
  • Class Documentation
    • otyca::OptionCalculator
      • OptionCalculator()
      • OptionCalculator()
      • OptionCalculator()
      • OptionCalculator()
      • operator=()
      • set_interest_rate()
      • set_borrow_rate()
      • set_strike()
      • set_underlying_settlement_lag()
      • set_option_settlement_lag()
      • set_exercise_settlement_lag()
      • set_underlying_price()
      • set_valuation_time()
      • set_expiration()
      • set_dividend_schedule()
      • dividend_schedule_updated()
      • set_variance_tenor_calculator()
      • variance_tenor_calculator_updated()
      • set_trading_calendar()
      • trading_calendar_updated()
      • set_variance_schedule()
      • variance_schedule_updated()
      • set_precision()
      • set_volatility()
      • set_option_type()
      • set_option_style()
      • overwrite()
      • set_tenor()
      • intrinsic()
      • forward()
      • forward_phi()
      • forward_rho()
      • implied_borrow()
      • implied_interest()
      • premium()
      • delta()
      • dual_delta()
      • gamma()
      • rho()
      • theta()
      • vega()
      • phi()
      • delta_decay()
      • vanna()
      • volga()
      • time_value()
      • forward_intrinsic()
      • fugit()
      • implied_volatility()
      • european_grid_premium()
      • european_grid_bias()
      • american_grid_premium()
      • premium_function_cost_in_seconds()
      • ctrl_smooth()
      • set_ctrl_smooth()
      • variance_tenor()
      • hedge_tenor()
      • carry_tenor()
      • get_borrow_rate()
      • get_interest_rate()
      • get_strike()
      • get_underlying_price()
      • get_volatility()
      • get_steps()
      • get_p()
      • european_premium()
      • european_delta()
      • european_gamma()
      • european_rho()
      • european_theta()
      • european_vega()
      • european_phi()
      • european_delta_decay()
      • european_vanna()
      • european_volga()
      • european_dual_delta()
      • european_dual_gamma()
      • early_exercise_premium()
      • early_exercise_delta()
      • early_exercise_dual_delta()
      • early_exercise_gamma()
      • early_exercise_rho()
      • early_exercise_theta()
      • early_exercise_vega()
      • early_exercise_phi()
      • early_exercise_delta_decay()
      • early_exercise_vanna()
      • early_exercise_volga()
      • price_lower_bound()
      • price_upper_bound()
      • _reset_susp()
      • standard_price()
      • delta_to_log_relative_strike()
      • delta_to_stdev()

• Class OptionExpiration
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::OptionExpiration
      • OptionExpiration()
      • setup()
      • atm_option_strike()
      • tightest_option_strike()
      • get_option_strikes()
      • create_option()
      • get_strike_values()
      • not_expired()
      • expired()
      • get_expiration()
      • set_expiration()
      • get_forward()
      • get_forward_value()
      • get_forward_uncertainty()
      • get_interest_rate()
      • get_interest_rate_value()
      • get_interest_rate_uncertainty()
      • get_borrow_rate()
      • get_borrow_rate_value()
      • get_borrow_rate_uncertainty()
      • get_strikes()
      • get_n_strikes()
      • get_event_tenor()
      • get_variance_tenor()
      • get_hedge_tenor()
      • get_carry_tenor()
      • get_options()
      • get_vix_style_volatility()
      • get_implied_forward()
      • get_implied_forward_value()
      • get_implied_forward_uncertainty()
      • get_accumulated_fixed_dividend()
      • get_accumulated_proportional_dividend()
      • get_accumulated_dividend()
      • get_atm_volatility()
      • get_atm_variance()
      • get_atm_volatility_value()
      • get_fair_atm_volatility()
      • get_stochastic_process_atm_volatility()
      • atm_volatility()
      • variance()
      • get_fair_1_stdev_call_volatility()
      • get_fair_1_stdev_put_volatility()
      • get_fair_volatility_skew()
      • get_fair_volatility_model_reduced_chi2()
      • stochastic_process_atm_volatility()
      • stochastic_process_1_stdev_call_volatility()
      • stochastic_process_1_stdev_put_volatility()
      • get_variance_term_structure_model_value()
      • get_variance_term_structure_core_model_value()
      • get_atm_volatility_uncertainty()
      • get_fair_volatility_model()
      • get_poker_volatility_model()
      • get_smile_volatility_model()
      • get_grin_volatility_model()
      • get_smirk_volatility_model()
      • get_sneer_volatility_model()
      • get_chuckle_volatility_model()
      • get_giggle_volatility_model()
      • get_cubic_spline_volatility_model()
      • get_stochastic_process()
      • lowest_strike_with_bid_ask_volatility()
      • highest_strike_with_bid_ask_volatility()
      • lowest_strike_with_put_bid_ask_volatility()
      • highest_strike_with_call_bid_ask_volatility()
      • get_option_strike_dataframe()
      • implied_borrow()
      • implied_interest()
      • get_jointly_implied_interest_borrow_forward()
      • get_jointly_implied_interest_value()
      • get_jointly_implied_borrow_value()
      • get_jointly_implied_forward_value()
      • get_jointly_implied_interest_uncertainty()
      • get_jointly_implied_borrow_uncertainty()
      • get_jointly_implied_forward_uncertainty()
      • reset()
      • effective_european()
      • get_option_calculator()
      • implied_forward()
      • implied_forward()
      • implied_interest_borrow_forward()
      • _get_option_expiration_value_functions()
      • operator<<

• Class OptionStrike
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::OptionStrike
      • OptionStrike()
      • create_option()
      • distance_to_forward()
      • synthetic_forward()
      • synthetic_forward_spread()
      • call_put_disparity()
      • get_expiration()
      • get_strike()
      • set_strike()
      • finite_call_put_bid_ask_volatility()
      • get_strike_volatility()
      • get_strike_volatility_value()
      • get_strike_volatility_uncertainty()
      • get_average_volatility_value()
      • get_average_volatility_uncertainty()
      • get_fair_volatility()
      • get_stochastic_process_volatility()
      • get_implied_forward()
      • get_implied_forward_value()
      • get_implied_forward_uncertainty()
      • get_standard_price_value()
      • get_standard_price_uncertainty()
      • get_options()
      • effective_european()
      • get_style()
      • otm_option()
      • itm_option()
      • get_call()
      • get_put()
      • get_log_relative_strike()
      • get_z2()
      • get_relative_strike()
      • setup()
      • get_volatility_model_outputs()
      • implied_forward()
      • forward_bias()
      • implied_borrow()
      • implied_interest()
      • bid_ask_within_bounds()
      • bid_above_intrinsic()
      • mid_above_intrinsic()
      • put_call_volatility_crossed()
      • operator<<

• Class PieceWiseTermStructure
  • Inheritance Relationships
    • Base Types
    • Derived Type
  • Class Documentation
    • otyca::PieceWiseTermStructure
      • PieceWiseTermStructure()
      • PieceWiseTermStructure()
      • PieceWiseTermStructure()
      • ~PieceWiseTermStructure()
      • term_estimate()

• Class PieceWiseYieldCurve
  • Inheritance Relationships
    • Base Types
  • Class Documentation
    • otyca::PieceWiseYieldCurve
      • PieceWiseYieldCurve()
      • PieceWiseYieldCurve()
      • ~PieceWiseYieldCurve()

• Class Poisson
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::Poisson
      • Poisson()
      • Poisson()
      • clone()
      • laplace_transform()
      • d_phi_d_psi()
      • d_phi_d_p()
      • set_transformed_calibration_parameters()
      • get_transformed_calibration_parameters()
      • get_parameters()
      • set_parameters()
      • transformation_derivatives()
      • get_transformed_calibration_parameter_variances()
      • name()
      • get_parameter_names()
      • get_lambda()
      • set_lambda()

• Class Poker
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::Poker
      • Poker()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • get_parameters()
      • get_transformed_calibration_parameters()
      • name()
      • evaluate()
      • pre_calibration()

• Class RealizedVarianceTenorCalculator
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::RealizedVarianceTenorCalculator
      • RealizedVarianceTenorCalculator()
      • RealizedVarianceTenorCalculator()
      • init()
      • ~RealizedVarianceTenorCalculator()
      • trade_day_non_trade_hour_seconds()
      • non_trade_seconds()
      • trade_hour_seconds()
      • non_trade_day_seconds()
      • tenor()
      • get_day_finish()
      • get_day_start()
      • set_day_start_finish()
      • set_variance_weights()

• Template Class Scatter
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::Scatter
      • Scatter()
      • Scatter()
      • Scatter()
      • add()
      • finite()
      • first()
      • last()
      • min_space_x()
      • print()
      • get_xs()
      • get_ys()
      • set_y()
      • sum()

• Template Class Schedule
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::Schedule
      • add()
      • generate()
      • accumulate()
      • extrapolate()
      • extrapolate()
      • scatter()
      • to_map()

• Class ScheduledJump
  • Inheritance Relationships
    • Derived Types
  • Class Documentation
    • otyca::ScheduledJump
      • before_or_at()
      • after()
      • effective_time()
      • effective_time_end()

• Class Security
  • Inheritance Relationships
    • Derived Types
  • Class Documentation
    • otyca::Security
      • Security()
      • Security()
      • ~Security()
      • id()
      • get_ask_price()
      • get_bid_price()
      • get_bid_size()
      • get_ask_size()
      • set_bid_ask()
      • mid()
      • simple_mid()
      • weighted_mid()
      • spread()
      • valid_price()
      • _generate_id()
      • _bid_price
      • _ask_price
      • _bid_size
      • _ask_size
      • _id
      • operator<<

• Class ShiftedLognormal
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::ShiftedLognormal
      • ShiftedLognormal()
      • name()
      • evaluate()
      • set_transformed_calibration_parameters()
      • get_transformed_calibration_parameters()

• Class Smile
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::Smile
      • Smile()
      • reset()
      • get_parameter_names()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • get_parameters()
      • get_transformed_calibration_parameters()
      • name()
      • evaluate()
      • get_regularizer_penalties()
      • pre_calibration()

• Class Smirk
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::Smirk
      • Smirk()
      • get_parameter_names()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • get_parameters()
      • get_transformed_calibration_parameters()
      • name()
      • evaluate()
      • get_regularizer_penalties()
      • pre_calibration()

• Class Sneer
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::Sneer
      • Sneer()
      • get_parameter_names()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • get_parameters()
      • get_transformed_calibration_parameters()
      • name()
      • evaluate()
      • get_regularizer_penalties()
      • pre_calibration()

• Class StochasticProcess
  • Inheritance Relationships
    • Base Type
    • Derived Types
  • Class Documentation
    • otyca::StochasticProcess
      • clone()
      • evaluate()
      • evaluate()
      • jacobian()
      • jacobian_finite_difference()
      • compare_jacobian()
      • volatility()
      • characteristic_function()
      • characteristic_function_drift_adjustment()
      • characteristic_function_derivatives()
      • characteristic_function_derivatives_finite_difference()
      • compare_characteristic_function_derivatives()
      • variance()
      • volatility()
      • set_pricer()
      • specification()
      • print()
      • _pricer

• Class StochasticProcessPricer
  • Inheritance Relationships
    • Derived Types
  • Class Documentation
    • otyca::StochasticProcessPricer
      • StrikeType
        • LOG_STRIKE
        • STRIKE
        • DELTA
        • STDEV
      • YType
        • PRICE
        • IV
        • PDF
      • ~StochasticProcessPricer()
      • name()
      • price()
      • price_derivatives()
      • price_derivatives_finite_difference()
      • compare_price_derivatives()
      • price()
      • price()
      • implied_volatility()
      • implied_volatility()
      • implied_volatility()
      • pdf()
      • pdf()
      • pdf()
      • measure_stochastic_process()
      • get_u()
      • get_u2()
      • get_iu()
      • get_logu()
      • get_t()
      • _pdf_transformation()
      • _cut_off_vol
      • _cut_off_price
      • _cut_off_pdf
      • _u_col
      • _logu_col
      • _u2_col
      • _iu_col
      • _t_row

• Template Class Susp
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::Susp
      • Susp()
      • Susp()
      • as_is()
      • force_update_and_get()
      • get()
      • operator T const &()
      • valid()
      • reset()
      • reset_dependents_if_changed()
      • set()
      • set_updater()

• Class SuspBase
  • Inheritance Relationships
    • Derived Types
  • Class Documentation
    • otyca::SuspBase
      • reset()
      • remove_dependents()
      • add_dependent()
      • add_dependency()
      • remove_dependent()
      • reset_dependents()

• Class TenorCalculator
  • Inheritance Relationships
    • Derived Types
  • Class Documentation
    • otyca::TenorCalculator
      • tenor()
      • ~TenorCalculator()
      • time_duration_to_days()
      • days_to_time_duration()

• Class TermStructure
  • Inheritance Relationships
    • Derived Types
  • Class Documentation
    • otyca::TermStructure
      • term_estimate()
      • term_rate()
      • forward_estimate()
      • forward_rate()

• Class TimeBoundedBimodalGaussian
  • Inheritance Relationships
    • Base Types
  • Class Documentation
    • otyca::TimeBoundedBimodalGaussian
      • TimeBoundedBimodalGaussian()
      • TimeBoundedBimodalGaussian()
      • ~TimeBoundedBimodalGaussian()
      • clone()
      • characteristic_function()
      • characteristic_function_derivatives()
      • set_calibration_parameters()
      • get_calibration_parameters()
      • get_parameters()
      • name()
      • get_parameter_names()

• Class TimeBoundedJump
  • Inheritance Relationships
    • Base Type
    • Derived Type
  • Class Documentation
    • otyca::TimeBoundedJump
      • TimeBoundedJump()
      • TimeBoundedJump()
      • effective_time()
      • effective_time_end()
      • get_tau_lo()
      • set_tau_lo()
      • get_tau_hi()
      • set_tau_hi()
      • before_or_at()
      • after()
      • jump_probability()

• Class TimeChangedLevyProcess
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::TimeChangedLevyProcess
      • clone()
      • TimeChangedLevyProcess()
      • TimeChangedLevyProcess()
      • characteristic_function()
      • characteristic_function_derivatives()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • get_transformed_calibration_parameters()
      • get_parameters()
      • get_parameter_names()
      • get_transformed_calibration_parameter_variances()
      • name()
      • specification()
      • transformation_derivatives()
      • get_time_change()
      • set_time_change()
      • get_levy_process()
      • set_levy_process()
      • print()

• Class TimeChangedLevyProcessFactory
  • Class Documentation
    • otyca::TimeChangedLevyProcessFactory
      • create_time_changed_levy_process()
      • create_time_changed_levy_process()

• Class TimeChangeProcess
  • Inheritance Relationships
    • Base Type
    • Derived Types
  • Class Documentation
    • otyca::TimeChangeProcess
      • clone()
      • laplace_transform()
      • d_phi_d_psi()
      • d_phi_d_p()
      • d_phi_d_psi_finite_difference()
      • d_phi_d_p_finite_difference()
      • compare_d_phi_d_p()
      • compare_d_phi_d_psi()

• Class TimeChangeProcessFactory
  • Class Documentation
    • otyca::TimeChangeProcessFactory
      • create_time_change_process()

• Class TimeFixedBimodalGaussian
  • Inheritance Relationships
    • Base Types
  • Class Documentation
    • otyca::TimeFixedBimodalGaussian
      • TimeFixedBimodalGaussian()
      • TimeFixedBimodalGaussian()
      • ~TimeFixedBimodalGaussian()
      • clone()
      • characteristic_function()
      • characteristic_function_derivatives()
      • get_calibration_parameters()
      • set_calibration_parameters()
      • get_parameters()
      • name()
      • get_parameter_names()

• Class TimeFixedJump
  • Inheritance Relationships
    • Base Type
    • Derived Type
  • Class Documentation
    • otyca::TimeFixedJump
      • TimeFixedJump()
      • TimeFixedJump()
      • effective_time()
      • effective_time_end()
      • before_or_at()
      • after()
      • get_tau()
      • set_tau()

• Class TimeValueFourierTransform
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::TimeValueFourierTransform
      • TimeValueFourierTransform()
      • integrand()
      • integrand_derivatives()
      • dampen_factor()
      • claim_type()

• Class TradingCalendar
  • Class Documentation
    • otyca::TradingCalendar
      • TradingCalendar()
      • set_holidays()
      • next_to_non_trade_day()
      • non_trade_day()
      • trade_day()
      • half_trade_day()
      • holiday()
      • weekend()
      • non_trade_days()
      • trade_days()
      • calendar_days()
      • trade_dates()
      • previous_trade_date()
      • previous_trade_day_cutoff()
      • effective_dividend_time_for_early_exercise()
      • pre_holidays()
      • post_holidays()
      • day_of_week_days()
      • get_holidays()
      • trade_days_to_calendar_days()
      • trade_day_offset()

• Template Class TripleFusion
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::TripleFusion
      • TripleFusion()
      • TripleFusion()
      • set_transition()
      • set_transformed_calibration_parameters()
      • set_parameters()
      • get_parameters()
      • get_transformed_calibration_parameters()
      • get_transformed_calibration_parameter_variances()
      • name()
      • evaluate()
      • _left
      • _center
      • _right

• Class UKF
  • Class Documentation
    • otyca::UKF
      • get_alpha()
      • get_beta()
      • get_fading()
      • get_kappa()
      • get_q()
      • get_r()
      • set_alpha()
      • set_beta()
      • set_fading()
      • set_kappa()
      • set_q()
      • set_r()
      • UKF()
      • filter()
      • get_residual()

• Class UnderlyingDataset
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::UnderlyingDataset
      • UnderlyingDataset()
      • add_composite_stochastic_process_config()
      • get_composite_stochastic_process()
      • get_composite_stochastic_process_volatility_grid()
      • get_event_free_composite_stochastic_process_volatility_grid()
      • get_option_settlement_lag()
      • set_option_settlement_lag()
      • get_underlying_settlement_lag()
      • set_underlying_settlement_lag()
      • set_option_style()
      • get_option_style()
      • set_exercise_settlement_lag()
      • get_exercise_settlement_lag()
      • get_composite_stochastic_processes()
      • get_option_expirations()
      • get_variance_tenor_calculator()
      • set_underlying()
      • get_underlying()
      • set_variance_tenor_calculator()
      • get_trading_calendar()
      • setup()
      • get_option_pricing_dataframe()
      • get_option_implied_volatility_dataframe()
      • get_stochastic_process_volatility_grid_dataframe()
      • get_option_expiration_dataframe()
      • get_jointly_implied_interest_borrow_forward_dataframe()
      • get_stochastic_process_option_expiration_volatility_grid_dataframe()
      • _get_volatility_grid()
      • get_stochastic_process_option_strike_volatilities()
      • get_stochastic_process_option_expiration_dataframe()
      • get_expiration_volatility_model_dataframe()
      • delete_expired()
      • get_expirations()
      • get_variance_tenor()
      • get_interest()
      • get_atm_volatility_term_structure()
      • get_option_expiration()
      • short_term_volatility()
      • long_term_volatility()
      • get_dividend_schedule()
      • add_projected_dividend()
      • create_option()
      • create_underlying()
      • get_options()
      • get_option_strikes()
      • set_valuation_time()
      • get_valuation_time()
      • get_underlying_price()
      • get_variance_schedule()
      • get_yield_curve()
      • get_borrow_schedule()
      • get_borrow_curve()
      • get_stochastic_process_pricer()
      • set_yield_curve()
      • set_borrow_curve()
      • get_variance_term_structure_model()
      • get_interest_rate_model()
      • get_implied_event_schedule()
      • get_bounded_bimodal_gaussian()
      • reset()
      • get_composite_stochastic_process_volatility_grids()
      • get_event_free_composite_stochastic_process_volatility_grids()
      • get_unexpired_option_expirations()
      • get_first_unexpired_option_expiration()
      • get_delta_grid()
      • get_tenor_grid()
      • operator<<

• Class VarianceGamma
  • Inheritance Relationships
    • Base Type
  • Class Documentation
    • otyca::VarianceGamma
      • VarianceGamma()
      • VarianceGamma()
      • clone()
      • ~VarianceGamma()
      • characteristic_exponent()
      • characteristic_exponent_derivatives()
      • get_theta()
      • get_nu()
      • get_sigma()
      • set_theta()
      • set_nu()
      • set_sigma()
      • set_transformed_calibration_parameters()
      • get_transformed_calibration_parameters()
      • transformation_derivatives()
      • get_parameters()
      • set_parameters()
      • get_transformed_calibration_parameter_variances()
      • name()
      • get_parameter_names()
      • set_multiplier()

• Class VolatilitySmile
  • Inheritance Relationships
    • Base Type
    • Derived Types
  • Class Documentation
    • otyca::VolatilitySmile
      • StrikeType
        • LOG_RELATIVE_STRIKE
        • Z2
      • VolatilitySmile()
      • volatility()
      • set_strike_type()
      • get_strike_type()
      • vertical_arbitrage_penalty()
      • _strike_type
      • _t

• Class YieldCurve
  • Inheritance Relationships
    • Base Type
    • Derived Type
  • Class Documentation
    • otyca::YieldCurve
      • discount_factor()
      • growth_factor()

Enums

• Enum LogLevel
  • Enum Documentation
    • LogLevel
      • Debug
      • Info
      • Warning
      • Error

• Enum OptionStyle
  • Enum Documentation
    • OptionStyle
      • EUROPEAN
      • AMERICAN
      • INVALID_STYLE

• Enum OptionType
  • Enum Documentation
    • OptionType
      • CALL
      • PUT
      • INVALID_TYPE

• Enum TreeType
  • Enum Documentation
    • TreeType
      • CRR
      • JR
      • TIAN
      • LR
      • DCRR

• Enum VolatilityType
  • Enum Documentation
    • VolatilityType
      • SPOT_VOLATILITY
      • FORWARD_VOLATILITY

Functions

• Template Function otyca::all_finite
  • Function Documentation
    • all_finite()

• Template Function otyca::array1
  • Function Documentation
    • array1()

• Template Function otyca::array2
  • Function Documentation
    • array2()

• Template Function otyca::close_enough
  • Function Documentation
    • close_enough()

• Template Function otyca::col
  • Function Documentation
    • col()

• Template Function otyca::col_to_row_major(const std::vector<T>&, std::vector<T>&, int, int)
  • Function Documentation
    • col_to_row_major()

• Template Function otyca::col_to_row_major(const T *, T *, int, int)
  • Function Documentation
    • col_to_row_major()

• Template Function otyca::concatenate
  • Function Documentation
    • concatenate()

• Function otyca::continuous_to_365
  • Function Documentation
    • continuous_to_365()

• Template Function otyca::copy_to_raw(const std::vector<std::vector<T>>&, T *)
  • Function Documentation
    • copy_to_raw()

• Template Function otyca::copy_to_raw(const std::vector<std::vector<std::vector<T>>>&, T *)
  • Function Documentation
    • copy_to_raw()

• Template Function otyca::extend
  • Function Documentation
    • extend()

• Template Function otyca::extract_by_indices
  • Function Documentation
    • extract_by_indices()

• Template Function otyca::filter_greater
  • Function Documentation
    • filter_greater()

• Template Function otyca::filter_less_or_equal
  • Function Documentation
    • filter_less_or_equal()

• Template Function otyca::flatten
  • Function Documentation
    • flatten()

• Template Function otyca::generate_combinations
  • Function Documentation
    • generate_combinations()

• Template Function otyca::get_value_array
  • Function Documentation
    • get_value_array()

• Template Function otyca::get_value_map
  • Function Documentation
    • get_value_map()

• Template Function otyca::get_value_matrix
  • Function Documentation
    • get_value_matrix()

• Template Function otyca::has_same_size
  • Function Documentation
    • has_same_size()

• Template Function otyca::inverse_sigmoid
  • Function Documentation
    • inverse_sigmoid()

• Template Function otyca::inverse_sigmoid_clamp
  • Function Documentation
    • inverse_sigmoid_clamp()

• Template Function otyca::inverse_softplus
  • Function Documentation
    • inverse_softplus()

• Template Function otyca::inverse_tanh_clamp
  • Function Documentation
    • inverse_tanh_clamp()

• Template Function otyca::mat_to_mat(const arma::Mat<T>&, arma::Row<T>&, arma::Col<T>&, arma::Mat<T>&)
  • Function Documentation
    • mat_to_mat()

• Template Function otyca::mat_to_mat(const arma::Row<T>&, const arma::Col<T>&, const arma::Mat<T>&, arma::Mat<T>&)
  • Function Documentation
    • mat_to_mat()

• Template Function otyca::median
  • Function Documentation
    • median()

• Template Function otyca::multiply
  • Function Documentation
    • multiply()

• Template Function otyca::operator*=(std::vector<T>&, const T&)
  • Function Documentation
    • operator*=()

• Template Function otyca::operator*=(std::vector<std::vector<T>>&, const T&)
  • Function Documentation
    • operator*=()

• Template Function otyca::operator*=(std::vector<T>&, const std::vector<T>&)
  • Function Documentation
    • operator*=()

• Template Function otyca::operator+=
  • Function Documentation
    • operator+=()

• Template Function otyca::operator-=
  • Function Documentation
    • operator-=()

• Template Function otyca::operator/=
  • Function Documentation
    • operator/=()

• Template Function otyca::operator<<(std::ostream&, const BoundedSchedule<T>&)
  • Function Documentation
    • operator<<()

• Function otyca::operator<<(std::ostream&, const Event&)
  • Function Documentation
    • operator<<()

• Function otyca::operator<<(std::ostream&, const CubicSpline&)
  • Function Documentation
    • operator<<()

• Function otyca::operator<<(std::ostream&, const ModelBase&)
  • Function Documentation
    • operator<<()

• Function otyca::operator<<(std::ostream&, const Dividend&)
  • Function Documentation
    • operator<<()

• Template Function otyca::operator<<(std::ostream&, const Scatter<T>&)
  • Function Documentation
    • operator<<()

• Template Function otyca::operator<<(std::ostream&, const Schedule<T>&)
  • Function Documentation
    • operator<<()

• Function otyca::operator<<(std::ostream&, const CompositeLevyProcess&)
  • Function Documentation
    • operator<<()

• Function otyca::operator<<(std::ostream&, const CompositeStochasticProcess&)
  • Function Documentation
    • operator<<()

• Function otyca::operator<<(std::ostream&, const StochasticProcess&)
  • Function Documentation
    • operator<<()

• Function otyca::operator<<(std::ostream&, const TimeChangedLevyProcess&)
  • Function Documentation
    • operator<<()

• Template Function otyca::prepend_value_to_array_vector
  • Function Documentation
    • prepend_value_to_array_vector()

• Template Function otyca::raw_to_vector
  • Function Documentation
    • raw_to_vector()

• Template Function otyca::read_vector
  • Function Documentation
    • read_vector()

• Template Function otyca::row_to_col_major(const std::vector<T>&, std::vector<T>&, int, int)
  • Function Documentation
    • row_to_col_major()

• Template Function otyca::row_to_col_major(const T *, T *, int, int)
  • Function Documentation
    • row_to_col_major()

• Template Function otyca::sigmoid
  • Function Documentation
    • sigmoid()

• Template Function otyca::sigmoid_clamp
  • Function Documentation
    • sigmoid_clamp()

• Template Function otyca::sigmoid_clamp_derivative
  • Function Documentation
    • sigmoid_clamp_derivative()

• Template Function otyca::sigmoid_derivative
  • Function Documentation
    • sigmoid_derivative()

• Template Function otyca::softplus
  • Function Documentation
    • softplus()

• Template Function otyca::softplus_derivative
  • Function Documentation
    • softplus_derivative()

• Template Function otyca::split_by_first
  • Function Documentation
    • split_by_first()

• Template Function otyca::sq
  • Function Documentation
    • sq()

• Template Function otyca::sum
  • Function Documentation
    • sum()

• Template Function otyca::sum_size
  • Function Documentation
    • sum_size()

• Template Function otyca::tanh_clamp
  • Function Documentation
    • tanh_clamp()

• Template Function otyca::ternary_search_min
  • Function Documentation
    • ternary_search_min()

• Template Function otyca::to_csv
  • Function Documentation
    • to_csv()

• Template Function otyca::top_n_by_value
  • Function Documentation
    • top_n_by_value()

• Template Function otyca::transform_vector
  • Function Documentation
    • transform_vector()

• Function otyca::tree_type_to_string
  • Function Documentation
    • tree_type_to_string()

• Template Function otyca::unique_elements
  • Function Documentation
    • unique_elements()

• Template Function otyca::vector_to_colvec(const std::vector<std::vector<T>>&, arma::Col<T>&)
  • Function Documentation
    • vector_to_colvec()

• Template Function otyca::vector_to_colvec(const std::vector<double>&, arma::Col<T>&)
  • Function Documentation
    • vector_to_colvec()

• Template Function otyca::vector_to_colvec(const std::vector<std::vector<T>>&)
  • Function Documentation
    • vector_to_colvec()

• Template Function otyca::vector_to_mat
  • Function Documentation
    • vector_to_mat()

• Template Function otyca::vector_to_raw
  • Function Documentation
    • vector_to_raw()

• Template Function otyca::vector_to_rowvec
  • Function Documentation
    • vector_to_rowvec()

• Function otyca::version
  • Function Documentation
    • version()

• Function otyca::volatility_type_to_string
  • Function Documentation
    • volatility_type_to_string()

• Template Function otyca::write_vector
  • Function Documentation
    • write_vector()

• Template Function otyca::zbrent
  • Function Documentation
    • zbrent()

• Template Function std::operator<<(std::ostream&, const std::pair<boost::posix_time::time_duration, T>&)
  • Function Documentation
    • operator<<()

• Template Function std::operator<<(std::ostream&, const std::pair<double, T>&)
  • Function Documentation
    • operator<<()

Defines

• Define OTYCA_LOG
  • Define Documentation
    • OTYCA_LOG

• Define OTYCA_LOG_DEBUG
  • Define Documentation
    • OTYCA_LOG_DEBUG

• Define OTYCA_LOG_ERROR
  • Define Documentation
    • OTYCA_LOG_ERROR

• Define OTYCA_LOG_INFO
  • Define Documentation
    • OTYCA_LOG_INFO

• Define OTYCA_LOG_WARNING
  • Define Documentation
    • OTYCA_LOG_WARNING

• Define PROJ_VERSION_MAJOR
  • Define Documentation
    • PROJ_VERSION_MAJOR

• Define PROJ_VERSION_MINOR
  • Define Documentation
    • PROJ_VERSION_MINOR

• Define PROJ_VERSION_PATCH
  • Define Documentation
    • PROJ_VERSION_PATCH

Typedefs

• Typedef otyca::Calibrated
  • Typedef Documentation
    • Calibrated

• Typedef otyca::ObjectGetter
  • Typedef Documentation
    • ObjectGetter