Author: Linux Manual

QuantLib::OperatorFactory – Black-Scholes-Merton differential operator. Synopsis#include <ql/methods/finitedifferences/operatorfactory.hpp> Static Public Member Functionsstatic TridiagonalOperator getOperator (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const Array &grid, Time residualTime, bool timeDependent) static TridiagonalOperator getOperator (const boost::shared_ptr< OneFactorModel::ShortRateDynamics > &process, const Array &grid) Detailed DescriptionBlack-Scholes-Merton differential operator. Tests coefficients are tested against constant BSM operatorAuthorGenerated automatically by Doxygen for QuantLib from the…

QuantLib::LevenbergMarquardt – Levenberg-Marquardt optimization method. Synopsis#include <ql/math/optimization/levenbergmarquardt.hpp> Inherits QuantLib::OptimizationMethod. Public Member FunctionsLevenbergMarquardt (Real epsfcn=1.0e-8, Real xtol=1.0e-8, Real gtol=1.0e-8) virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria) minimize the optimization problem P virtual Integer getInfo () const void fcn (int m, int n, double *x, double *fvec, int *iflag) Detailed DescriptionLevenberg-Marquardt optimization method. This implementation is…

QuantLib::IndexManager – global repository for past index fixings Synopsis#include <ql/indexes/indexmanager.hpp> Inherits Singleton< IndexManager >. Public Member Functionsbool hasHistory (const std::string &name) const returns whether historical fixings were stored for the index const TimeSeries< Real > & getHistory (const std::string &name) const returns the (possibly empty) history of the index fixings void setHistory (const std::string &name,…

QuantLib::ForwardMeasureProcess – forward-measure stochastic process Synopsis#include <ql/processes/forwardmeasureprocess.hpp> Inherits QuantLib::StochasticProcess. Inherited by G2ForwardProcess. Public Member Functionsvoid setForwardMeasureTime (Time) Time getForwardMeasureTime () const Protected Member FunctionsForwardMeasureProcess (Time T) ForwardMeasureProcess (const boost::shared_ptr< discretization > &) Protected AttributesTime T_ Detailed Descriptionforward-measure stochastic process stochastic process whose dynamics are expressed in the forward measure. AuthorGenerated automatically by Doxygen for QuantLib…

QuantLib::MarketModelPathwiseDiscounter – Synopsis#include <ql/models/marketmodels/pathwisediscounter.hpp> Public Member FunctionsMarketModelPathwiseDiscounter (Time paymentTime, const std::vector< Time > &rateTimes) void getFactors (const Matrix &LIBORRates, const Matrix &Discounts, Size currentStep, std::vector< Real > &factors) const Detailed Descriptionthis class returns the number of units of the discretely compounding money market account that 1 unit of cash at the payment can buy using…

QuantLib::ConvexMonotoneInterpolation – Convex monotone yield-curve interpolation method. Synopsis#include <ql/math/interpolations/convexmonotoneinterpolation.hpp> Inherits QuantLib::Interpolation. Public Member FunctionsConvexMonotoneInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Real quadraticity, Real monotonicity, bool forcePositive, bool flatFinalPeriod=false, const helper_map &preExistingHelpers=helper_map()) ConvexMonotoneInterpolation (Interpolation &interp) std::map< Real, boost::shared_ptr< detail::SectionHelper > > getExistingHelpers () Detailed Descriptiontemplate<class I1, class I2> class QuantLib::ConvexMonotoneInterpolation< I1, I2 >Convex…

QuantLib::FDDividendEngineBase – Abstract base class for dividend engines. Synopsis#include <ql/pricingengines/vanilla/fddividendengine.hpp> Inherits QuantLib::FDMultiPeriodEngine. Inherited by FDDividendEngineMerton73, and FDDividendEngineShiftScale. Public Member FunctionsFDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Protected Member Functionsvirtual void setupArguments (const PricingEngine::arguments *) const void setGridLimits () const =0 void executeIntermediateStep (Size step) const =0 Real getDividendAmount (Size i)…

QuantLib::FDDividendEngineBase – Abstract base class for dividend engines. Synopsis#include <ql/pricingengines/vanilla/fddividendengine.hpp> Inherits QuantLib::FDMultiPeriodEngine. Inherited by FDDividendEngineMerton73, and FDDividendEngineShiftScale. Public Member FunctionsFDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Protected Member Functionsvirtual void setupArguments (const PricingEngine::arguments *) const void setGridLimits () const =0 void executeIntermediateStep (Size step) const =0 Real getDividendAmount (Size i)…

QuantLib::PricingEngine – interface for pricing engines Synopsis#include <ql/pricingengine.hpp> Inherits QuantLib::Observable. Inherited by GenericEngine< Arguments, Results >, GenericEngine< ArgumentsType, ResultsType >, GenericEngine< BarrierOption::arguments, BarrierOption::results >, GenericEngine< BasketOption::arguments, BasketOption::results >, GenericEngine< Bond::arguments, Bond::results >, GenericEngine< CallableBond::arguments, CallableBond::results >, GenericEngine< CapFloor::arguments, CapFloor::results >, GenericEngine< CliquetOption::arguments, CliquetOption::results >, GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results >, GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results >, GenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results…

generate_optimized_palette – Generates an optimized palette for a bitmap. Allegro game programming library. Synopsis#include <allegro.h> int generate_optimized_palette(BITMAP *bmp, PALETTE pal, const char rsvd[PAL_SIZE]); DescriptionGenerates a 256-color palette suitable for making a reduced color version of the specified truecolor image. The rsvd parameter points to a table indicating which colors it is allowed to modify: zero…

generate_332_palette – Constructs a fake truecolor palette. Allegro game programming library. Synopsis#include <allegro.h> void generate_332_palette(PALETTE pal); DescriptionConstructs a fake truecolor palette, using three bits for red and green and two for the blue. The load_bitmap() function fills the palette parameter with this if the file does not contain a palette itself (ie. you are reading…

QuantLib::LmCorrelationModel – libor forward correlation model Synopsis#include <ql/legacy/libormarketmodels/lmcorrmodel.hpp> Inherited by LmConstWrapperCorrelationModel, LmExponentialCorrelationModel, and LmLinearExponentialCorrelationModel. Public Member FunctionsLmCorrelationModel (Size size, Size nArguments) virtual Size size () const virtual Size factors () const std::vector< Parameter > & params () void setParams (const std::vector< Parameter > &arguments) virtual Disposable< Matrix > correlation (Time t, const Array &x=Null< Array…

gendlib – perl library for querying genders file Synopsisrequire “/usr/lib/genders/gendlib.pl”; DescriptionThis package contains common functions for manipulating the genders file. Previously this code existed only in the nodeattr command, but applications that must repeatedly call nodeattr would spend a great deal of time reading and parsing the genders file. These functions create an in-memory cache…

QuantLib::CapFloor::arguments – Arguments for cap/floor calculation Synopsis#include <ql/instruments/capfloor.hpp> Inherits QuantLib::PricingEngine::arguments. Public Member Functionsvoid validate () const Public AttributesCapFloor::Type type std::vector< Date > startDates std::vector< Date > fixingDates std::vector< Date > endDates std::vector< Time > accrualTimes std::vector< Rate > capRates std::vector< Rate > floorRates std::vector< Rate > forwards std::vector< Real > gearings std::vector< Real > spreads…

QuantLib::HaganPricer – CMS-coupon pricer. Synopsis#include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::CmsCouponPricer. Inherited by AnalyticHaganPricer, and NumericHaganPricer. Public Member Functionsvirtual 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 () const void…

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 FunctionsDoubleStickyRatchetPayoff (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 operator() (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 FunctionsDoubleStickyRatchetPayoff (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 operator() (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 FunctionsDoubleStickyRatchetPayoff (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 operator() (Real…

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 FunctionsFloatingRateCoupon (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 &refPeriodStart=Date(), const…

GDBM – The GNU database manager. Includes dbm and ndbm compatability. (Version 1.9.) Synopsis#include <gdbm.h> extern gdbm_error gdbm_errno; extern char *gdbm_version; GDBM_FILE gdbm_open (const char *name, int block_size,                      int flags, int mode,                      void (*fatal_func)(const char *)); void gdbm_close (GDBM_FILE dbf); int gdbm_store (GDBM_FILE dbf, datum key, datum content, int flag); datum gdbm_fetch (GDBM_FILE dbf, datum…