cpg_context_set – Sets the context variable for a CPG instance Synopsis#include <corosync/cpg.h> int cpg_context_set(cpg_handle_t handle, void *context); DescriptionThe cpg_context_set function is used to set the context variable for a cpg instance. It has no meaning inside libcpg itself and will not be touched by the library. It can be retrieved using cpg_context_get(3) Return ValueThis call…
cpg_context_get – Gets the context variable for a CPG instance Synopsis#include <corosync/cpg.h> int cpg_context_get(cpg_handle_t handle, void **context); DescriptionThe cpg_context_get function is used to retrieve the context variable previously stored using cpg_context_set(3) Return ValueThis call returns the CS_OK value if successful, otherwise an error is returned. ErrorsThe errors are undocumented. See Alsocpg_overview(8), cpg_initialize(3), cpg_finalize(3), cpg_fd_get(3), cpg_dispatch(3),…
cpftrs.f – SynopsisFunctions/Subroutinessubroutine cpftrs (TRANSR, UPLO, N, NRHS, A, B, LDB, INFO) CPFTRS Function/Subroutine Documentationsubroutine cpftrs (characterTRANSR, characterUPLO, integerN, integerNRHS, complex, dimension( 0: * )A, complex, dimension( ldb, * )B, integerLDB, integerINFO)CPFTRS Purpose: CPFTRS solves a system of linear equations A*X = B with a Hermitian positive definite matrix A using the Cholesky factorization A…
cpftri.f – SynopsisFunctions/Subroutinessubroutine cpftri (TRANSR, UPLO, N, A, INFO) CPFTRI Function/Subroutine Documentationsubroutine cpftri (characterTRANSR, characterUPLO, integerN, complex, dimension( 0: * )A, integerINFO)CPFTRI Purpose: CPFTRI computes the inverse of a complex Hermitian positive definite matrix A using the Cholesky factorization A = U**H*U or A = L*L**H computed by CPFTRF. Parameters: TRANSR TRANSR is CHARACTER*1 =…
cpftrf.f – SynopsisFunctions/Subroutinessubroutine cpftrf (TRANSR, UPLO, N, A, INFO) CPFTRF Function/Subroutine Documentationsubroutine cpftrf (characterTRANSR, characterUPLO, integerN, complex, dimension( 0: * )A, integerINFO)CPFTRF Purpose: CPFTRF computes the Cholesky factorization of a complex Hermitian positive definite matrix A. The factorization has the form A = U**H * U, if UPLO = ‘U’, or A = L *…
cpbtrs.f – SynopsisFunctions/Subroutinessubroutine cpbtrs (UPLO, N, KD, NRHS, AB, LDAB, B, LDB, INFO) CPBTRS Function/Subroutine Documentationsubroutine cpbtrs (characterUPLO, integerN, integerKD, integerNRHS, complex, dimension( ldab, * )AB, integerLDAB, complex, dimension( ldb, * )B, integerLDB, integerINFO)CPBTRS Purpose: CPBTRS solves a system of linear equations A*X = B with a Hermitian positive definite band matrix A using the…
cpbtrf.f – SynopsisFunctions/Subroutinessubroutine cpbtrf (UPLO, N, KD, AB, LDAB, INFO) CPBTRF Function/Subroutine Documentationsubroutine cpbtrf (characterUPLO, integerN, integerKD, complex, dimension( ldab, * )AB, integerLDAB, integerINFO)CPBTRF Purpose: CPBTRF computes the Cholesky factorization of a complex Hermitian positive definite band matrix A. The factorization has the form A = U**H * U, if UPLO = ‘U’, or A…
cpbtf2.f – SynopsisFunctions/Subroutinessubroutine cpbtf2 (UPLO, N, KD, AB, LDAB, INFO) CPBTF2 computes the Cholesky factorization of a symmetric/Hermitian positive definite band matrix (unblocked algorithm). Function/Subroutine Documentationsubroutine cpbtf2 (characterUPLO, integerN, integerKD, complex, dimension( ldab, * )AB, integerLDAB, integerINFO)CPBTF2 computes the Cholesky factorization of a symmetric/Hermitian positive definite band matrix (unblocked algorithm). Purpose: CPBTF2 computes the Cholesky…
cpbsvx.f – SynopsisFunctions/Subroutinessubroutine cpbsvx (FACT, UPLO, N, KD, NRHS, AB, LDAB, AFB, LDAFB, EQUED, S, B, LDB, X, LDX, RCOND, FERR, BERR, WORK, RWORK, INFO) CPBSVX computes the solution to system of linear equations A * X = B for OTHER matrices Function/Subroutine Documentationsubroutine cpbsvx (characterFACT, characterUPLO, integerN, integerKD, integerNRHS, complex, dimension( ldab, * )AB,…
cpbsv.f – SynopsisFunctions/Subroutinessubroutine cpbsv (UPLO, N, KD, NRHS, AB, LDAB, B, LDB, INFO) CPBSV computes the solution to system of linear equations A * X = B for OTHER matrices Function/Subroutine Documentationsubroutine cpbsv (characterUPLO, integerN, integerKD, integerNRHS, complex, dimension( ldab, * )AB, integerLDAB, complex, dimension( ldb, * )B, integerLDB, integerINFO) CPBSV computes the solution to…
cpbstf.f – SynopsisFunctions/Subroutinessubroutine cpbstf (UPLO, N, KD, AB, LDAB, INFO) CPBSTF Function/Subroutine Documentationsubroutine cpbstf (characterUPLO, integerN, integerKD, complex, dimension( ldab, * )AB, integerLDAB, integerINFO)CPBSTF Purpose: CPBSTF computes a split Cholesky factorization of a complex Hermitian positive definite band matrix A. This routine is designed to be used in conjunction with CHBGST. The factorization has the…
cpbrfs.f – SynopsisFunctions/Subroutinessubroutine cpbrfs (UPLO, N, KD, NRHS, AB, LDAB, AFB, LDAFB, B, LDB, X, LDX, FERR, BERR, WORK, RWORK, INFO) CPBRFS Function/Subroutine Documentationsubroutine cpbrfs (characterUPLO, integerN, integerKD, integerNRHS, complex, dimension( ldab, * )AB, integerLDAB, complex, dimension( ldafb, * )AFB, integerLDAFB, complex, dimension( ldb, * )B, integerLDB, complex, dimension( ldx, * )X, integerLDX, real, dimension(…
cpbequ.f – SynopsisFunctions/Subroutinessubroutine cpbequ (UPLO, N, KD, AB, LDAB, S, SCOND, AMAX, INFO) CPBEQU Function/Subroutine Documentationsubroutine cpbequ (characterUPLO, integerN, integerKD, complex, dimension( ldab, * )AB, integerLDAB, real, dimension( * )S, realSCOND, realAMAX, integerINFO)CPBEQU Purpose: CPBEQU computes row and column scalings intended to equilibrate a Hermitian positive definite band matrix A and reduce its condition number…
cpbcon.f – SynopsisFunctions/Subroutinessubroutine cpbcon (UPLO, N, KD, AB, LDAB, ANORM, RCOND, WORK, RWORK, INFO) CPBCON Function/Subroutine Documentationsubroutine cpbcon (characterUPLO, integerN, integerKD, complex, dimension( ldab, * )AB, integerLDAB, realANORM, realRCOND, complex, dimension( * )WORK, real, dimension( * )RWORK, integerINFO)CPBCON Purpose: CPBCON estimates the reciprocal of the condition number (in the 1-norm) of a complex Hermitian positive…
QuantLib::LfmHullWhiteParameterization – Libor market model parameterization based on Hull White paper Synopsis#include <ql/legacy/libormarketmodels/lfmhullwhiteparam.hpp> Inherits QuantLib::LfmCovarianceParameterization. Public Member FunctionsLfmHullWhiteParameterization (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< OptionletVolatilityStructure > &capletVol, const Matrix &correlation=Matrix(), Size factors=1) Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const Disposable< Matrix > covariance (Time t, const Array &x=Null< Array…
QuantLib::LfmCovarianceParameterization – Libor market model parameterization Synopsis#include <ql/legacy/libormarketmodels/lfmcovarparam.hpp> Inherited by LfmCovarianceProxy, and LfmHullWhiteParameterization. Public Member FunctionsLfmCovarianceParameterization (Size size, Size factors) Size size () const Size factors () const virtual Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const =0 virtual Disposable< Matrix > covariance (Time t, const Array &x=Null< Array >()) const…
QuantLib::LiborForwardModel – Libor forward model Synopsis#include <ql/legacy/libormarketmodels/liborforwardmodel.hpp> Inherits QuantLib::CalibratedModel, and QuantLib::AffineModel. Public Member FunctionsLiborForwardModel (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel) Rate S_0 (Size alpha, Size beta) const virtual boost::shared_ptr< SwaptionVolatilityMatrix > getSwaptionVolatilityMatrix () const DiscountFactor discount (Time t) const Implied discount curve. Real discountBond (Time now,…
QuantLib::LiborForwardModelProcess – libor-forward-model process Synopsis#include <ql/legacy/libormarketmodels/lfmprocess.hpp> Inherits QuantLib::StochasticProcess. Public Member FunctionsLiborForwardModelProcess (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) $ Disposable<…
QuantLib::CreditDefaultSwap – Credit default swap. Synopsis#include <ql/instruments/creditdefaultswap.hpp> Inherits QuantLib::Instrument. Public Member FunctionsConstructors CreditDefaultSwap (Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >()) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments (PricingEngine::arguments *)…
ql/cashflows/couponpricer.hpp – Coupon pricers. Synopsis#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp> #include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp> #include <ql/cashflow.hpp> #include <ql/option.hpp> Classesclass FloatingRateCouponPricer generic pricer for floating-rate coupons class IborCouponPricer base pricer for capped/floored Ibor coupons class BlackIborCouponPricer Black-formula pricer for capped/floored Ibor coupons. class CmsCouponPricer base pricer for vanilla CMS coupons Functionsvoid setCouponPricer (const Leg &leg, const boost::shared_ptr< FloatingRateCouponPricer > &) void setCouponPricers…