Author: Linux Manual

QuantLib::FDVanillaEngine – Finite-differences pricing engine for BSM one asset options. Synopsis #include <ql/pricingengines/vanilla/fdvanillaengine.hpp> Inherited by FDEuropeanEngine, FDMultiPeriodEngine, and FDStepConditionEngine. Public Member Functions FDVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) const Array & grid () const Protected Types typedef BoundaryCondition< TridiagonalOperator > bc_type Protected Member Functions virtual void setupArguments (const PricingEngine::arguments…

QuantLib::SmileSection – interest rate volatility smile section Synopsis #include <ql/termstructures/volatility/smilesection.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Inherited by FlatSmileSection, InterpolatedSmileSection< Interpolator >, SabrInterpolatedSmileSection, SabrSmileSection, and SpreadedSmileSection. Public Member Functions SmileSection (const Date &d, const DayCounter &dc=DayCounter(), const Date &referenceDate=Date()) SmileSection (Time exerciseTime, const DayCounter &dc=DayCounter()) virtual void update () virtual Real minStrike () const =0 virtual Real…

QuantLib::ForwardSwapQuote – Quote for a forward starting swap. Synopsis #include <ql/quotes/forwardswapquote.hpp> Inherits QuantLib::Quote, and QuantLib::LazyObject. Public Member Functions ForwardSwapQuote (const boost::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread, const Period &fwdStart) const Date & valueDate () const const Date & startDate () const const Date & fixingDate () const Quote interface Real value ()…

QuantLib::FDVanillaEngine – Finite-differences pricing engine for BSM one asset options. Synopsis #include <ql/pricingengines/vanilla/fdvanillaengine.hpp> Inherited by FDEuropeanEngine, FDMultiPeriodEngine, and FDStepConditionEngine. Public Member Functions FDVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) const Array & grid () const Protected Types typedef BoundaryCondition< TridiagonalOperator > bc_type Protected Member Functions virtual void setupArguments (const PricingEngine::arguments…

NAME QuantLib::HaganPricer – CMS-coupon pricer. SYNOPSIS #include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::CmsCouponPricer. Inherited by AnalyticHaganPricer, and NumericHaganPricer. Public Member Functions virtual Real swapletPrice () const =0 virtual Rate swapletRate () const virtual Real capletPrice (Rate effectiveCap) const virtual Rate capletRate (Rate effectiveCap) const virtual Real floorletPrice (Rate effectiveFloor) const virtual Rate floorletRate (Rate effectiveFloor) const Real meanReversion…

QuantLib::LiborForwardModelProcess – libor-forward-model process Synopsis #include <ql/legacy/libormarketmodels/lfmprocess.hpp> Inherits QuantLib::StochasticProcess. Public Member Functions LiborForwardModelProcess (Size size, const boost::shared_ptr< IborIndex > &index) Disposable< Array > initialValues () const returns the initial values of the state variables Disposable< Array > drift (Time t, const Array &x) const returns the drift part of the equation, i.e., $ mu(t, mathrm{x}_t)…

QuantLib::GeometricBrownianMotionProcess – Geometric brownian-motion process. Synopsis #include <ql/processes/geometricbrownianprocess.hpp> Inherits QuantLib::StochasticProcess1D. Public Member Functions GeometricBrownianMotionProcess (double initialValue, double mue, double sigma) Real x0 () const returns the initial value of the state variable Real drift (Time t, Real x) const returns the drift part of the equation, i.e. $ mu(t, x_t) $ Real diffusion (Time t,…

QuantLib::DoubleStickyRatchetPayoff – Intermediate class for single/double sticky/ratchet payoffs. Synopsis #include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::Payoff. Inherited by RatchetMaxPayoff, RatchetMinPayoff, RatchetPayoff, StickyMaxPayoff, StickyMinPayoff, and StickyPayoff. Public Member Functions DoubleStickyRatchetPayoff (Real type1, Real type2, Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const Real…

QuantLib::DoubleStickyRatchetPayoff – Intermediate class for single/double sticky/ratchet payoffs. Synopsis #include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::Payoff. Inherited by RatchetMaxPayoff, RatchetMinPayoff, RatchetPayoff, StickyMaxPayoff, StickyMinPayoff, and StickyPayoff. Public Member Functions DoubleStickyRatchetPayoff (Real type1, Real type2, Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const Real…

QuantLib::HazardRate – Hazard-rate-curve traits. Synopsis #include <ql/termstructures/credit/probabilitytraits.hpp> Public Types typedef BootstrapHelper< DefaultProbabilityTermStructure > helper Static Public Member Functions static Date initialDate (const DefaultProbabilityTermStructure *c) static Real initialValue (const DefaultProbabilityTermStructure *) static bool dummyInitialValue () static Real initialGuess () static Real guess (const DefaultProbabilityTermStructure *c, const Date &d) static Real minValueAfter (Size, const std::vector< Real >…

QuantLib::MarketModel – base class for market models Synopsis #include <ql/models/marketmodels/marketmodel.hpp> Inherited by AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade. Public Member Functions virtual const std::vector< Rate > & initialRates () const =0 virtual const std::vector< Spread > & displacements () const =0 virtual const EvolutionDescription & evolution () const =0 virtual Size numberOfRates () const…

QuantLib::HazardRate – Hazard-rate-curve traits. Synopsis #include <ql/termstructures/credit/probabilitytraits.hpp> Public Types typedef BootstrapHelper< DefaultProbabilityTermStructure > helper Static Public Member Functions static Date initialDate (const DefaultProbabilityTermStructure *c) static Real initialValue (const DefaultProbabilityTermStructure *) static bool dummyInitialValue () static Real initialGuess () static Real guess (const DefaultProbabilityTermStructure *c, const Date &d) static Real minValueAfter (Size, const std::vector< Real >…

QuantLib::HazardRate – Hazard-rate-curve traits. Synopsis #include <ql/termstructures/credit/probabilitytraits.hpp> Public Types typedef BootstrapHelper< DefaultProbabilityTermStructure > helper Static Public Member Functions static Date initialDate (const DefaultProbabilityTermStructure *c) static Real initialValue (const DefaultProbabilityTermStructure *) static bool dummyInitialValue () static Real initialGuess () static Real guess (const DefaultProbabilityTermStructure *c, const Date &d) static Real minValueAfter (Size, const std::vector< Real >…

NAME initgroups – initialize the supplementary group access list SYNOPSIS #include <grp.h> #include <sys/types.h> int initgroups(const char *user, gid_t group); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): initgroups():     Since glibc 2.19:         _DEFAULT_SOURCE     Glibc 2.19 and earlier:         _BSD_SOURCE DESCRIPTION The initgroups() function initializes the group access list by reading the group database /etc/group and using…

NAME init_selinuxmnt – initialize the global variable selinux_mnt SYNOPSIS static void init_selinuxmnt(void); static void fini_selinuxmnt(void); void set_selinuxmnt(char *mnt); DESCRIPTION init_selinuxmnt() initializes the global variable selinux_mnt to the selinuxfs mountpoint. fini_selinuxmnt() deinitializes the global variable selinux_mnt that stores the selinuxfs mountpoint. set_selinuxmnt() changes the selinuxfs mountpoint to mnt. AUTHOR This manual page has been written by…

NAME init_mib, add_mibdir, init_mib_internals, add_module_replacement, read_module, read_mib, read_all_mibs, read_objid, read_module_node, get_module_node, snmp_set_mib_warnings, snmp_set_save_descriptions, shutdown_mib, print_mib, print_variable, fprint_variable, snprint_variable, sprint_realloc_variable, print_value, fprint_value, snprint_value, sprint_realloc_value, print_objid, fprint_objid, snprint_objid, sprint_realloc_objid, print_description, fprint_description – mib_api functions SYNOPSIS #include <net-snmp/mib_api.h> void init_mib(void); int add_mibdir(const char *dirname); int add_module_replacement(const char *old_module, const char *new_module, const char *tag, int len); void init_mib_internals(void);…

NAME init_mib, add_mibdir, init_mib_internals, add_module_replacement, read_module, read_mib, read_all_mibs, read_objid, read_module_node, get_module_node, snmp_set_mib_warnings, snmp_set_save_descriptions, shutdown_mib, print_mib, print_variable, fprint_variable, snprint_variable, sprint_realloc_variable, print_value, fprint_value, snprint_value, sprint_realloc_value, print_objid, fprint_objid, snprint_objid, sprint_realloc_objid, print_description, fprint_description – mib_api functions SYNOPSIS #include <net-snmp/mib_api.h> void init_mib(void); int add_mibdir(const char *dirname); int add_module_replacement(const char *old_module, const char *new_module, const char *tag, int len); void init_mib_internals(void);…

NAME init_menu – Low level initialisation of a menu. Allegro game programming library. SYNOPSIS #include <allegro.h> MENU_PLAYER *init_menu(MENU *menu, int x, int y); DESCRIPTION This function provides lower level access to the same functionality as do_menu(), but allows you to combine a popup menu with your own program control structures. It initialises a menu, returning…

NAME init_dialog – Low level initialisation of a dialog. Allegro game programming library. SYNOPSIS #include <allegro.h> DIALOG_PLAYER *init_dialog(DIALOG *dialog, int focus_obj); DESCRIPTION This function provides lower level access to the same functionality as do_dialog(), but allows you to combine a dialog box with your own program control structures. It initialises a dialog, returning a pointer…

NAME QuantLib::FittedBondDiscountCurve::FittingMethod – Base fitting method used to construct a fitted bond discount curve. SYNOPSIS #include <ql/termstructures/yield/fittedbonddiscountcurve.hpp> Inherited by CubicBSplinesFitting, ExponentialSplinesFitting, NelsonSiegelFitting, and SimplePolynomialFitting. Public Member Functions virtual Size size () const =0 total number of coefficients to fit/solve for Array solution () const output array of results of optimization problem Integer numberOfIterations () const…