Author: Linux Manual

QuantLib::MarketModelComposite – Composition of two or more market-model products. Synopsis #include <ql/models/marketmodels/products/compositeproduct.hpp> Inherits QuantLib::MarketModelMultiProduct. Inherited by MultiProductComposite, and SingleProductComposite. Public Member Functions MarketModelMultiProduct interface const EvolutionDescription & evolution () const std::vector< Size > suggestedNumeraires () const std::vector< Time > possibleCashFlowTimes () const void reset () during simulation put product at start of path Composite facilities…

QuantLib::Interpolation – base class for 1-D interpolations. Synopsis #include <ql/math/interpolation.hpp> Inherits QuantLib::Extrapolator. Inherited by BackwardFlatInterpolation, ConvexMonotoneInterpolation< I1, I2 >, CubicInterpolation, ForwardFlatInterpolation, LinearInterpolation, LogCubicInterpolation, LogLinearInterpolation, and SABRInterpolation. Classes class Impl abstract base class for interpolation implementations class templateImpl basic template implementation Public Types typedef Real argument_type typedef Real result_type Public Member Functions bool empty () const…

QuantLib::FloatingRateCoupon – base floating-rate coupon class Synopsis #include <ql/cashflows/floatingratecoupon.hpp> Inherits QuantLib::Coupon, and QuantLib::Observer. Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon. Public Member Functions FloatingRateCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< InterestRateIndex > &index, const Real gearing=1.0, const Spread spread=0.0, const Date…

QuantLib::FloatingRateCoupon – base floating-rate coupon class Synopsis #include <ql/cashflows/floatingratecoupon.hpp> Inherits QuantLib::Coupon, and QuantLib::Observer. Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon. Public Member Functions FloatingRateCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< InterestRateIndex > &index, const Real gearing=1.0, const Spread spread=0.0, const Date…

QuantLib::IMM – Main cycle of the International Money Market (a.k.a. IMM) months. Synopsis #include <ql/time/imm.hpp> Public Types enum Month { F = 1, G = 2, H = 3, J = 4, K = 5, M = 6, N = 7, Q = 8, U = 9, V = 10, X = 11, Z =…

QuantLib::IMM – Main cycle of the International Money Market (a.k.a. IMM) months. Synopsis #include <ql/time/imm.hpp> Public Types enum Month { F = 1, G = 2, H = 3, J = 4, K = 5, M = 6, N = 7, Q = 8, U = 9, V = 10, X = 11, Z =…

QuantLib::Calendar – calendar class Synopsis #include <ql/time/calendar.hpp> Inherited by Argentina, Australia, BespokeCalendar, Brazil, Canada, China, CzechRepublic, Denmark, Finland, Germany, HongKong, Hungary, Iceland, India, Indonesia, Italy, Japan, JointCalendar, Mexico, NewZealand, Norway, NullCalendar, Poland, SaudiArabia, Singapore, Slovakia, SouthAfrica, SouthKorea, Sweden, Switzerland, Taiwan, TARGET, Turkey, Ukraine, UnitedKingdom, and UnitedStates. Classes class Impl abstract base class for calendar implementations…

QuantLib::VegaBumpCollection – Synopsis #include <ql/models/marketmodels/pathwisegreeks/vegabumpcluster.hpp> Public Member Functions VegaBumpCollection (const boost::shared_ptr< MarketModel > &volStructure, bool allowFactorwiseBumping=true) VegaBumpCollection (const std::vector< VegaBumpCluster > &allBumps, const boost::shared_ptr< MarketModel > &volStructure) Size numberBumps () const const boost::shared_ptr< MarketModel > & associatedModel () const const std::vector< VegaBumpCluster > & allBumps () const bool isFull () const bool isNonOverlapping () const…

QuantLib::CappedFlooredCoupon – Capped and/or floored floating-rate coupon. Synopsis #include <ql/cashflows/capflooredcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by CappedFlooredCmsCoupon, and CappedFlooredIborCoupon. Public Member Functions CappedFlooredCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >()) Rate cap () const cap Rate floor () const floor Rate effectiveCap () const effective cap of fixing Rate effectiveFloor ()…

QuantLib::CappedFlooredCoupon – Capped and/or floored floating-rate coupon. Synopsis #include <ql/cashflows/capflooredcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by CappedFlooredCmsCoupon, and CappedFlooredIborCoupon. Public Member Functions CappedFlooredCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >()) Rate cap () const cap Rate floor () const floor Rate effectiveCap () const effective cap of fixing Rate effectiveFloor ()…

QuantLib::EnergyFuture – Energy future. Synopsis #include <ql/experimental/commodities/energyfuture.hpp> Inherits QuantLib::EnergyCommodity. Public Member Functions EnergyFuture (Integer buySell, const Quantity &quantity, const CommodityUnitCost &tradePrice, const boost::shared_ptr< CommodityIndex > &index, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts) bool isExpired () const returns whether the instrument is still tradable. Quantity quantity () const const CommodityUnitCost & tradePrice () const…

QuantLib::Calendar – calendar class Synopsis #include <ql/time/calendar.hpp> Inherited by Argentina, Australia, BespokeCalendar, Brazil, Canada, China, CzechRepublic, Denmark, Finland, Germany, HongKong, Hungary, Iceland, India, Indonesia, Italy, Japan, JointCalendar, Mexico, NewZealand, Norway, NullCalendar, Poland, SaudiArabia, Singapore, Slovakia, SouthAfrica, SouthKorea, Sweden, Switzerland, Taiwan, TARGET, Turkey, Ukraine, UnitedKingdom, and UnitedStates. Classes class Impl abstract base class for calendar implementations…

QuantLib::DateInterval – Date interval described by a number of a given time unit. Synopsis #include <ql/experimental/commodities/dateinterval.hpp> Inherited by PricingPeriod. Public Member Functions DateInterval (const Date &startDate, const Date &endDate) const Date & startDate () const const Date & endDate () const bool isDateBetween (Date date, bool includeFirst=true, bool includeLast=true) const DateInterval intersection (const DateInterval &di)…

QuantLib::CappedFlooredCoupon – Capped and/or floored floating-rate coupon. Synopsis #include <ql/cashflows/capflooredcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by CappedFlooredCmsCoupon, and CappedFlooredIborCoupon. Public Member Functions CappedFlooredCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >()) Rate cap () const cap Rate floor () const floor Rate effectiveCap () const effective cap of fixing Rate effectiveFloor ()…

QuantLib::CappedFlooredCoupon – Capped and/or floored floating-rate coupon. Synopsis #include <ql/cashflows/capflooredcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by CappedFlooredCmsCoupon, and CappedFlooredIborCoupon. Public Member Functions CappedFlooredCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >()) Rate cap () const cap Rate floor () const floor Rate effectiveCap () const effective cap of fixing Rate effectiveFloor ()…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis #include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member Functions Constructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >())…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis #include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member Functions Constructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >())…

QuantLib::Calendar – calendar class Synopsis #include <ql/time/calendar.hpp> Inherited by Argentina, Australia, BespokeCalendar, Brazil, Canada, China, CzechRepublic, Denmark, Finland, Germany, HongKong, Hungary, Iceland, India, Indonesia, Italy, Japan, JointCalendar, Mexico, NewZealand, Norway, NullCalendar, Poland, SaudiArabia, Singapore, Slovakia, SouthAfrica, SouthKorea, Sweden, Switzerland, Taiwan, TARGET, Turkey, Ukraine, UnitedKingdom, and UnitedStates. Classes class Impl abstract base class for calendar implementations…

QuantLib::MCBarrierEngine – Pricing engine for barrier options using Monte Carlo simulation. Synopsis #include <ql/pricingengines/barrier/mcbarrierengine.hpp> Inherits QuantLib::BarrierOption::engine, and McSimulation< SingleVariate, RNG, S >. Public Types typedef McSimulation< SingleVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< SingleVariate, RNG, S >::stats_type stats_type Public Member Functions MCBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size…

NAME rcmd, rresvport, iruserok, ruserok, rcmd_af, rresvport_af, iruserok_af, ruserok_af – routines for returning a stream to a remote command SYNOPSIS #include <netdb.h> &nbsp;&nbsp;/* Or <unistd.h> on some systems */ int rcmd(char **ahost, unsigned short inport, const char *locuser, const char *remuser, const char *cmd, int *fd2p); int rresvport(int *port); int iruserok(uint32_t raddr, int superuser, const…