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<div class="textblock"><dl class="reflist">
<dt><a class="anchor" id="_todo000041"></a>Class <a class="el" href="class_quant_lib_1_1_american_condition.html">AmericanCondition</a> </dt>
<dd>unify the intrinsicValues/Payoff thing </dd>
<dt><a class="anchor" id="_todo000003"></a>Class <a class="el" href="class_quant_lib_1_1_american_exercise.html">AmericanExercise</a> </dt>
<dd>check that everywhere the American condition is applied from earliestDate and not earlier </dd>
<dt><a class="anchor" id="_todo000049"></a>Class <a class="el" href="class_quant_lib_1_1_american_payoff_at_expiry.html">AmericanPayoffAtExpiry</a> </dt>
<dd>calculate greeks </dd>
<dt><a class="anchor" id="_todo000050"></a>Class <a class="el" href="class_quant_lib_1_1_american_payoff_at_hit.html">AmericanPayoffAtHit</a> </dt>
<dd>calculate greeks </dd>
<dt><a class="anchor" id="_todo000051"></a>Class <a class="el" href="class_quant_lib_1_1_analytic_continuous_geometric_average_price_asian_engine.html">AnalyticContinuousGeometricAveragePriceAsianEngine</a> </dt>
<dd>handle seasoned options </dd>
<dt><a class="anchor" id="_todo000054"></a>Class <a class="el" href="class_quant_lib_1_1_analytic_digital_american_engine.html">AnalyticDigitalAmericanEngine</a> </dt>
<dd>add more greeks (as of now only delta and rho available) </dd>
<dt><a class="anchor" id="_todo000052"></a>Class <a class="el" href="class_quant_lib_1_1_analytic_discrete_geometric_average_price_asian_engine.html">AnalyticDiscreteGeometricAveragePriceAsianEngine</a> </dt>
<dd>implement correct theta, rho, and dividend-rho calculation </dd>
<dt><a class="anchor" id="_todo000032"></a>Class <a class="el" href="class_quant_lib_1_1_bicubic_spline.html">BicubicSpline</a> </dt>
<dd>revise end conditions </dd>
<dt><a class="anchor" id="_todo000055"></a>Class <a class="el" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine< T ></a> </dt>
<dd>Greeks are not overly accurate. They could be improved by building a tree so that it has three points at the current time. The value would be fetched from the middle one, while the two side points would be used for estimating partial derivatives. </dd>
<dt><a class="anchor" id="_todo000030"></a>Class <a class="el" href="class_quant_lib_1_1_bivariate_cumulative_normal_distribution_dr78.html">BivariateCumulativeNormalDistributionDr78</a> </dt>
<dd>check accuracy of this algorithm and compare with: 1) Drezner, Z, (1978), Computation of the bivariate normal integral, Mathematics of Computation 32, pp. 277-279. 2) Drezner, Z. and Wesolowsky, G. O. (1990) `On the Computation of the Bivariate Normal Integral', Journal of Statistical Computation and Simulation 35, pp. 101-107. 3) Drezner, Z (1992) Computation of the Multivariate Normal Integral, ACM Transactions on Mathematics Software 18, pp. 450-460. 4) Drezner, Z (1994) Computation of the Trivariate Normal Integral, Mathematics of Computation 62, pp. 289-294. 5) Genz, A. (1992) `Numerical Computation of the Multivariate Normal Probabilities', J. Comput. Graph. Stat. 1, pp. 141-150. </dd>
<dt><a class="anchor" id="_todo000004"></a>Class <a class="el" href="class_quant_lib_1_1_black_callable_fixed_rate_bond_engine.html">BlackCallableFixedRateBondEngine</a> </dt>
<dd>set additionalResults (e.g. vega, fairStrike, etc.) </dd>
<dt><a class="anchor" id="_todo000061"></a>Class <a class="el" href="class_quant_lib_1_1_black_variance_curve.html">BlackVarianceCurve</a> </dt>
<dd>check time extrapolation </dd>
<dt><a class="anchor" id="_todo000062"></a>Class <a class="el" href="class_quant_lib_1_1_black_variance_surface.html">BlackVarianceSurface</a> </dt>
<dd>check time extrapolation </dd>
<dt><a class="anchor" id="_todo000044"></a>Member <a class="el" href="class_quant_lib_1_1_boundary_condition.html#a8c0137d7160ad71b6ed265c53c99ed00">BoundaryCondition< Operator >::Side</a> </dt>
<dd>Generalize for n-dimensional conditions </dd>
<dt><a class="anchor" id="_todo000005"></a>Class <a class="el" href="class_quant_lib_1_1_callable_bond.html">CallableBond</a> </dt>
<dd><p class="startdd">models/shortrate/calibrationHelpers </p>
<p>OAS/OAD </p>
<p class="enddd">floating rate callable bonds ? </p>
</dd>
<dt><a class="anchor" id="_todo000001"></a>Class <a class="el" href="class_quant_lib_1_1_cash_flows.html">CashFlows</a> </dt>
<dd>add tests </dd>
<dt><a class="anchor" id="_todo000006"></a>Class <a class="el" href="class_quant_lib_1_1_c_d_o.html">CDO</a> </dt>
<dd>Investigate and fix cases <img class="formulaInl" alt="$ E_{i+1} < E_i. $" src="form_86.png"/> </dd>
<dt><a class="anchor" id="_todo000014"></a>Class <a class="el" href="class_quant_lib_1_1_cdor.html">Cdor</a> </dt>
<dd>check settlement days, end-of-month adjustment, and day-count convention. </dd>
<dt><a class="anchor" id="_todo000021"></a>Class <a class="el" href="class_quant_lib_1_1_cliquet_option.html">CliquetOption</a> </dt>
<dd><ul>
<li>add local/global caps/floors</li>
<li>add accrued coupon and last fixing </li>
</ul>
</dd>
<dt><a class="anchor" id="_todo000020"></a>Class <a class="el" href="class_quant_lib_1_1_continuous_averaging_asian_option.html">ContinuousAveragingAsianOption</a> </dt>
<dd>add running average </dd>
<dt><a class="anchor" id="_todo000002"></a>Class <a class="el" href="class_quant_lib_1_1_c_p_i_coupon.html">CPICoupon</a> </dt>
<dd>we do not do any convexity adjustment for lags different to the natural ZCIIS lag that was used to create the forward inflation curve. </dd>
<dt><a class="anchor" id="_todo000033"></a>Class <a class="el" href="class_quant_lib_1_1_cubic_interpolation.html">CubicInterpolation</a> </dt>
<dd>implement missing schemes (FourthOrder and ModifiedParabolic) and missing boundary conditions (Periodic and Lagrange). </dd>
<dt><a class="anchor" id="_todo000043"></a>Class <a class="el" href="class_quant_lib_1_1_dirichlet_b_c.html">DirichletBC</a> </dt>
<dd>generalize to time-dependent conditions. </dd>
<dt><a class="anchor" id="_todo000045"></a>Class <a class="el" href="class_quant_lib_1_1_explicit_euler.html">ExplicitEuler< Operator ></a> </dt>
<dd>add Richardson extrapolation </dd>
<dt><a class="anchor" id="_todo000056"></a>Class <a class="el" href="class_quant_lib_1_1_f_d_dividend_engine_base.html">FDDividendEngineBase< Scheme ></a> </dt>
<dd>The dividend class really needs to be made more sophisticated to distinguish between fixed dividends and fractional dividends </dd>
<dt><a class="anchor" id="_todo000057"></a>Class <a class="el" href="class_quant_lib_1_1_f_d_dividend_engine_shift_scale.html">FDDividendEngineShiftScale< Scheme ></a> </dt>
<dd>Review literature to see whether this is described </dd>
<dt><a class="anchor" id="_todo000063"></a>Class <a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve.html">FittedBondDiscountCurve</a> </dt>
<dd><p class="startdd">refactor the bond helper class so that it is pure virtual and returns a generic bond or its cash flows. Derived classes would include helpers for fixed-rate and zero-coupon bonds. In this way, both bonds and bills can be used to fit a discount curve using the exact same machinery. At present, only fixed-coupon bonds are supported. An even better way to move forward might be to get rate helpers to return cashflows, in which case this class could be used to fit any set of cash flows, not just bonds.</p>
<p>add more fitting diagnostics: smoothness, standard deviation, student-t test, etc. Generic smoothness method may be useful for smoothing splines fitting. See Fisher, M., D. Nychka and D. Zervos: "Fitting the term
structure of interest rates with smoothing splines." Board of Governors of the Federal Reserve System, Federal Resere Board Working Paper, 95-1.</p>
<p class="enddd">add extrapolation routines </p>
</dd>
<dt><a class="anchor" id="_todo000066"></a>Class <a class="el" href="class_quant_lib_1_1_fitted_bond_discount_curve_1_1_fitting_method.html">FittedBondDiscountCurve::FittingMethod</a> </dt>
<dd>derive the special-case class LinearFittingMethods from FittingMethod. A linear fitting to a set of basis functions <img class="formulaInl" alt="$ b_i(t) $" src="form_390.png"/> is any fitting of the form <p class="formulaDsp">
<img class="formulaDsp" alt="\[ d(t) = \sum_{i=0} c_i b_i(t) \]" src="form_391.png"/>
</p>
i.e., linear in the unknown coefficients <img class="formulaInl" alt="$ c_i $" src="form_55.png"/>. Such a fitting can be reduced to a linear algebra problem <img class="formulaInl" alt="$ Ax = b $" src="form_392.png"/>, and for large numbers of bonds, would typically be much faster computationally than the generic non-linear fitting method. </dd>
<dt><a class="anchor" id="_todo000022"></a>Class <a class="el" href="class_quant_lib_1_1_fixed_rate_bond_forward.html">FixedRateBondForward</a> </dt>
<dd><p class="startdd">Add preconditions and tests</p>
<p>Create switch- if coupon goes to seller is toggled on, don't consider income in the <img class="formulaInl" alt="$ P_{DirtyFwd}(t) $" src="form_155.png"/> calculation.</p>
<p class="enddd">Verify this works when the underlying is paper (in which case ignore all AI.) </p>
</dd>
<dt><a class="anchor" id="_todo000025"></a>Class <a class="el" href="class_quant_lib_1_1_forward.html">Forward</a> </dt>
<dd>Add preconditions and tests </dd>
<dt><a class="anchor" id="_todo000060"></a>Member <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#ab4d7fe4af7a6dd0ae710c073569821e4">GeneralizedBlackScholesProcess::diffusion</a> (Time t, Real x) const </dt>
<dd>revise extrapolation </dd>
<dt><a class="anchor" id="_todo000059"></a>Member <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#a545d33724b1d6d312eb8a17f73571842">GeneralizedBlackScholesProcess::drift</a> (Time t, Real x) const </dt>
<dd>revise extrapolation </dd>
<dt><a class="anchor" id="_todo000040"></a>Class <a class="el" href="class_quant_lib_1_1_generic_risk_statistics.html">GenericRiskStatistics< S ></a> </dt>
<dd>add historical annualized volatility </dd>
<dt><a class="anchor" id="_todo000058"></a>Class <a class="el" href="class_quant_lib_1_1_integral_engine.html">IntegralEngine</a> </dt>
<dd>define tolerance for calculate() </dd>
<dt><a class="anchor" id="_todo000019"></a>Class <a class="el" href="class_quant_lib_1_1_interest_rate_index.html">InterestRateIndex</a> </dt>
<dd>add methods returning InterestRate </dd>
<dt><a class="anchor" id="_todo000031"></a>Class <a class="el" href="class_quant_lib_1_1_inverse_cumulative_student.html">InverseCumulativeStudent</a> </dt>
<dd>Find/implement an efficient algorithm for evaluating the cumulative Student t-distribution, replacing the Newton iteration </dd>
<dt><a class="anchor" id="_todo000015"></a>Class <a class="el" href="class_quant_lib_1_1_jibar.html">Jibar</a> </dt>
<dd>check settlement days and day-count convention. </dd>
<dt><a class="anchor" id="_todo000053"></a>Class <a class="el" href="class_quant_lib_1_1_m_c_variance_swap_engine.html">MCVarianceSwapEngine< RNG, S ></a> </dt>
<dd>define tolerance of numerical integral and incorporate it in errorEstimate </dd>
<dt><a class="anchor" id="_todo000046"></a>Class <a class="el" href="class_quant_lib_1_1_mixed_scheme.html">MixedScheme< Operator ></a> </dt>
<dd><ul>
<li>derive variable theta schemes</li>
<li>introduce multi time-level schemes. </li>
</ul>
</dd>
<dt><a class="anchor" id="_todo000034"></a>Class <a class="el" href="class_quant_lib_1_1_multi_cubic_spline.html">MultiCubicSpline< i ></a> </dt>
<dd><ul>
<li>allow extrapolation as for the other interpolations</li>
<li>investigate if and how to implement Hyman filters and different boundary conditions </li>
</ul>
</dd>
<dt><a class="anchor" id="_todo000042"></a>Class <a class="el" href="class_quant_lib_1_1_neumann_b_c.html">NeumannBC</a> </dt>
<dd>generalize to time-dependent conditions. </dd>
<dt><a class="anchor" id="_todo000007"></a>Class <a class="el" href="class_quant_lib_1_1_one_factor_copula.html">OneFactorCopula</a> </dt>
<dd>Improve on simple Euler integration </dd>
<dt><a class="anchor" id="_todo000009"></a>Class <a class="el" href="class_quant_lib_1_1_one_factor_gaussian_student_copula.html">OneFactorGaussianStudentCopula</a> </dt>
<dd>Improve performance/accuracy of the calculation of inverse cumulative Y. Tabulate and store it for selected correlations? </dd>
<dt><a class="anchor" id="_todo000008"></a>Class <a class="el" href="class_quant_lib_1_1_one_factor_student_copula.html">OneFactorStudentCopula</a> </dt>
<dd>Improve performance/accuracy of the calculation of inverse cumulative Y. Tabulate and store it for selected correlations? </dd>
<dt><a class="anchor" id="_todo000010"></a>Class <a class="el" href="class_quant_lib_1_1_one_factor_student_gaussian_copula.html">OneFactorStudentGaussianCopula</a> </dt>
<dd>Improve performance/accuracy of the calculation of inverse cumulative Y. Tabulate and store it for selected correlations? </dd>
<dt><a class="anchor" id="_todo000035"></a>Class <a class="el" href="class_quant_lib_1_1_randomized_l_d_s.html">RandomizedLDS< LDS, PRS ></a> </dt>
<dd>implement the other randomization algorithms </dd>
<dt><a class="anchor" id="_todo000037"></a>Member <a class="el" href="class_quant_lib_1_1_sampled_curve.html#a08ebad730457427955f35413acddf0a4">SampledCurve::firstDerivativeAtCenter</a> () const </dt>
<dd>replace or complement with a more general function firstDerivativeAt(spot) </dd>
<dt><a class="anchor" id="_todo000038"></a>Member <a class="el" href="class_quant_lib_1_1_sampled_curve.html#a9a3cbb8bccf5dd436d46d5c6104ed220">SampledCurve::secondDerivativeAtCenter</a> () const </dt>
<dd>replace or complement with a more general function secondDerivativeAt(spot) </dd>
<dt><a class="anchor" id="_todo000036"></a>Member <a class="el" href="class_quant_lib_1_1_sampled_curve.html#a0896401cdaf8f83ed681dbdbfa899de5">SampledCurve::valueAtCenter</a> () const </dt>
<dd>replace or complement with a more general function valueAt(spot) </dd>
<dt><a class="anchor" id="_todo000039"></a>Class <a class="el" href="class_quant_lib_1_1_solver1_d.html">Solver1D< Impl ></a> </dt>
<dd><ul>
<li>clean up the interface so that it is clear whether the accuracy is specified for <img class="formulaInl" alt="$ x $" src="form_134.png"/> or <img class="formulaInl" alt="$ f(x) $" src="form_230.png"/>.</li>
<li>add target value (now the target value is 0.0) </li>
</ul>
</dd>
<dt><a class="anchor" id="_todo000067"></a>Class <a class="el" href="class_quant_lib_1_1_swap_rate_helper.html">SwapRateHelper</a> </dt>
<dd>use input SwapIndex to create the swap </dd>
<dt><a class="anchor" id="_todo000029"></a>Class <a class="el" href="class_quant_lib_1_1_swaption.html">Swaption</a> </dt>
<dd>add greeks and explicit exercise lag </dd>
<dt><a class="anchor" id="_todo000011"></a>Class <a class="el" href="class_quant_lib_1_1_synthetic_c_d_o.html">SyntheticCDO</a> </dt>
<dd>Investigate and fix cases <img class="formulaInl" alt="$ E_{i+1} < E_i. $" src="form_86.png"/> </dd>
<dt><a class="anchor" id="_todo000012"></a>File <a class="el" href="syntheticcdoengines_8hpp.html">syntheticcdoengines.hpp</a> </dt>
<dd>Add further engines for analytical expected tranche loss cases - large homogeneous pool with Normal Inverse Gaussian, Gamma copula </dd>
<dt><a class="anchor" id="_todo000016"></a>Class <a class="el" href="class_quant_lib_1_1_tibor.html">Tibor</a> </dt>
<dd>check settlement days and end-of-month adjustment. </dd>
<dt><a class="anchor" id="_todo000069"></a>Class <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> </dt>
<dd>what was the rationale for limiting the grid to positive times? Investigate and see whether we can use it for negative ones as well. </dd>
<dt><a class="anchor" id="_todo000017"></a>Class <a class="el" href="class_quant_lib_1_1_t_r_libor.html">TRLibor</a> </dt>
<dd>check end-of-month adjustment. </dd>
<dt><a class="anchor" id="_todo000068"></a>Class <a class="el" href="class_quant_lib_1_1_united_kingdom.html">UnitedKingdom</a> </dt>
<dd>add LIFFE </dd>
<dt><a class="anchor" id="_todo000013"></a>Class <a class="el" href="class_quant_lib_1_1_yo_y_cap_floor_term_price_surface.html">YoYCapFloorTermPriceSurface</a> </dt>
<dd>deal with index interpolation. </dd>
<dt><a class="anchor" id="_todo000018"></a>Class <a class="el" href="class_quant_lib_1_1_zibor.html">Zibor</a> </dt>
<dd>check settlement days, end-of-month adjustment, and day-count convention. </dd>
</dl>
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