Author: Linux Manual

NAME ber_alloc_t, ber_flush, ber_flush2, ber_printf, ber_put_int, ber_put_enum, ber_put_ostring, ber_put_string, ber_put_null, ber_put_boolean, ber_put_bitstring, ber_start_seq, ber_start_set, ber_put_seq, ber_put_set – OpenLDAP LBER simplified Basic Encoding Rules library routines for encoding LIBRARY OpenLDAP LBER (liblber, -llber) SYNOPSIS #include <lber.h> BerElement *ber_alloc_t(int options); int ber_flush(Sockbuf *sb, BerElement *ber, int freeit); int ber_flush2(Sockbuf *sb, BerElement *ber, int freeit); int ber_printf(BerElement *ber,…

NAME ber_get_next, ber_skip_tag, ber_peek_tag, ber_scanf, ber_get_int, ber_get_enum, ber_get_stringb, ber_get_stringa, ber_get_stringal, ber_get_stringbv, ber_get_null, ber_get_boolean, ber_get_bitstring, ber_first_element, ber_next_element – OpenLDAP LBER simplified Basic Encoding Rules library routines for decoding LIBRARY OpenLDAP LBER (liblber, -llber) SYNOPSIS #include <lber.h> ber_tag_t ber_get_next(Sockbuf *sb, ber_len_t *len, BerElement *ber); ber_tag_t ber_skip_tag(BerElement *ber, ber_len_t *len); ber_tag_t ber_peek_tag(BerElement *ber, ber_len_t *len); ber_tag_t ber_scanf(BerElement *ber,…

NAME Lattice methods – Classes class ExtendedBinomialTree< T > Binomial tree base class. class ExtendedEqualProbabilitiesBinomialTree< T > Base class for equal probabilities binomial tree. class ExtendedEqualJumpsBinomialTree< T > Base class for equal jumps binomial tree. class ExtendedJarrowRudd Jarrow-Rudd (multiplicative) equal probabilities binomial tree. class ExtendedCoxRossRubinstein Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. class ExtendedAdditiveEQPBinomialTree Additive equal…

NAME QuantLib::LatticeShortRateModelEngine – Engine for a short-rate model specialized on a lattice. SYNOPSIS #include <ql/pricingengines/latticeshortratemodelengine.hpp> Inherits GenericModelEngine< ShortRateModel, Arguments, Results >. Public Member Functions LatticeShortRateModelEngine (const boost::shared_ptr< ShortRateModel > &model, Size timeSteps) LatticeShortRateModelEngine (const boost::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid) void update () Protected Attributes TimeGrid timeGrid_ Size timeSteps_ boost::shared_ptr< Lattice > lattice_ Detailed…

QuantLib::DiscretizedAsset – Discretized asset class used by numerical methods. Synopsis #include <ql/discretizedasset.hpp> Inherited by DiscretizedCallableFixedRateBond, DiscretizedCapFloor, DiscretizedConvertible, DiscretizedDiscountBond, DiscretizedOption, DiscretizedSwap, and DiscretizedVanillaOption. Public Member Functions inspectors Time time () const Time & time () const Array & values () const Array & values () const boost::shared_ptr< Lattice > & method () const High-level interface Users…

QuantLib::DiscretizedAsset – Discretized asset class used by numerical methods. Synopsis #include <ql/discretizedasset.hpp> Inherited by DiscretizedCallableFixedRateBond, DiscretizedCapFloor, DiscretizedConvertible, DiscretizedDiscountBond, DiscretizedOption, DiscretizedSwap, and DiscretizedVanillaOption. Public Member Functions inspectors Time time () const Time & time () const Array & values () const Array & values () const boost::shared_ptr< Lattice > & method () const High-level interface Users…

QuantLib::BootstrapHelper – Base helper class for bootstrapping. Synopsis #include <ql/termstructures/bootstraphelper.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by RelativeDateRateHelper. Public Member Functions BootstrapHelper (const Handle< Quote > &quote) BootstrapHelper (Real quote) BootstrapHelper interface Real quoteError () const Real quoteValue () const bool quoteIsValid () const virtual Real impliedQuote () const =0 virtual void setTermStructure (TS *) sets…

QuantLib::BootstrapHelper – Base helper class for bootstrapping. Synopsis #include <ql/termstructures/bootstraphelper.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by RelativeDateRateHelper. Public Member Functions BootstrapHelper (const Handle< Quote > &quote) BootstrapHelper (Real quote) BootstrapHelper interface Real quoteError () const Real quoteValue () const bool quoteIsValid () const virtual Real impliedQuote () const =0 virtual void setTermStructure (TS *) sets…

QuantLib::LineSearch – Base class for line search. Synopsis #include <ql/math/optimization/linesearch.hpp> Inherited by ArmijoLineSearch. Public Member Functions LineSearch (Real=0.0) Default constructor. virtual ~LineSearch () Destructor. const Array & lastX () return last x value Real lastFunctionValue () return last cost function value const Array & lastGradient () return last gradient Real lastGradientNorm2 () return square norm…

QuantLib::NonLinearLeastSquare – Non-linear least-square method. Synopsis #include <ql/math/optimization/leastsquare.hpp> Public Member Functions NonLinearLeastSquare (Constraint &c, Real accuracy=1e-4, Size maxiter=100) Default constructor. NonLinearLeastSquare (Constraint &c, Real accuracy, Size maxiter, boost::shared_ptr< OptimizationMethod > om) Default constructor. ~NonLinearLeastSquare () Destructor. Array & perform (LeastSquareProblem &lsProblem) Solve least square problem using numerix solver. void setInitialValue (const Array &initialValue) Array &…

QuantLib::FaureRsg – Faure low-discrepancy sequence generator. Synopsis #include <ql/math/randomnumbers/faurersg.hpp> Public Types typedef Sample< std::vector< Real > > sample_type Public Member Functions FaureRsg (Size dimensionality) const std::vector< long int > & nextIntSequence () const const std::vector< long int > & lastIntSequence () const const sample_type & nextSequence () const const sample_type & lastSequence () const Size…

QuantLib::CommodityIndex – base class for commodity indexes Synopsis #include <ql/experimental/commodities/commodityindex.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Public Member Functions CommodityIndex (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, Real lotQuantity, const boost::shared_ptr< CommodityCurve > &forwardCurve, const boost::shared_ptr< ExchangeContracts > &exchangeContracts, int nearbyOffset) void addQuote (const Date &quoteDate, Real quote) void…

QuantLib::FaureRsg – Faure low-discrepancy sequence generator. Synopsis #include <ql/math/randomnumbers/faurersg.hpp> Public Types typedef Sample< std::vector< Real > > sample_type Public Member Functions FaureRsg (Size dimensionality) const std::vector< long int > & nextIntSequence () const const std::vector< long int > & lastIntSequence () const const sample_type & nextSequence () const const sample_type & lastSequence () const Size…

QuantLib::LineSearch – Base class for line search. Synopsis #include <ql/math/optimization/linesearch.hpp> Inherited by ArmijoLineSearch. Public Member Functions LineSearch (Real=0.0) Default constructor. virtual ~LineSearch () Destructor. const Array & lastX () return last x value Real lastFunctionValue () return last cost function value const Array & lastGradient () return last gradient Real lastGradientNorm2 () return square norm…

QuantLib::LineSearch – Base class for line search. Synopsis #include <ql/math/optimization/linesearch.hpp> Inherited by ArmijoLineSearch. Public Member Functions LineSearch (Real=0.0) Default constructor. virtual ~LineSearch () Destructor. const Array & lastX () return last x value Real lastFunctionValue () return last cost function value const Array & lastGradient () return last gradient Real lastGradientNorm2 () return square norm…

QuantLib::LineSearch – Base class for line search. Synopsis #include <ql/math/optimization/linesearch.hpp> Inherited by ArmijoLineSearch. Public Member Functions LineSearch (Real=0.0) Default constructor. virtual ~LineSearch () Destructor. const Array & lastX () return last x value Real lastFunctionValue () return last cost function value const Array & lastGradient () return last gradient Real lastGradientNorm2 () return square norm…

QuantLib::CapFloor – Base class for cap-like instruments. Synopsis #include <ql/instruments/capfloor.hpp> Inherits QuantLib::Instrument. Inherited by Cap, Collar, and Floor. Classes class arguments Arguments for cap/floor calculation class engine base class for cap/floor engines Public Types enum Type { Cap, Floor, Collar } Public Member Functions CapFloor (Type type, const Leg &floatingLeg, const std::vector< Rate > &capRates,…

QuantLib::CliquetOption::arguments – Arguments for cliquet option calculation Synopsis #include <ql/instruments/cliquetoption.hpp> Inherits QuantLib::Option::arguments. Public Member Functions void validate () const Public Attributes Real accruedCoupon Real lastFixing Real localCap Real localFloor Real globalCap Real globalFloor std::vector< Date > resetDates Detailed Description Arguments for cliquet option calculation Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::Exercise – Base exercise class. Synopsis #include <ql/exercise.hpp> Inherited by EarlyExercise, and EuropeanExercise. Public Types enum Type { American, Bermudan, European } Public Member Functions Exercise (Type type) Type type () const Date date (Size index) const const std::vector< Date > & dates () const Returns all exercise dates. Date lastDate () const Protected Attributes…

NAME QuantLib::Vasicek – Vasicek model class SYNOPSIS #include <ql/models/shortrate/onefactormodels/vasicek.hpp> Inherits QuantLib::OneFactorAffineModel. Inherited by HullWhite. Classes class Dynamics Short-rate dynamics in the Vasicek model. Public Member Functions Vasicek (Rate r0=0.05, Real a=0.1, Real b=0.05, Real sigma=0.01, Real lambda=0.0) virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const virtual boost::shared_ptr< ShortRateDynamics > dynamics ()…