Author: Linux Manual

QuantLib::UnitedStates – United States calendars. Synopsis#include <ql/time/calendars/unitedstates.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { Settlement, NYSE, GovernmentBond, NERC } US calendars. Public Member FunctionsUnitedStates (Market market=Settlement) Detailed DescriptionUnited States calendars. Public holidays (see: http://www.opm.gov/fedhol/): * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday if actually on Sunday, or to Friday if…

QuantLib::India – Indian calendars. Synopsis#include <ql/time/calendars/india.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { NSE } Public Member FunctionsIndia (Market m=NSE) Detailed DescriptionIndian calendars. Holidays for the National Stock Exchange (data from <http://www.nse-india.com/>): * Saturdays * Sundays * Republic Day, January 26th * Good Friday * Ambedkar Jayanti, April 14th * Independence Day, August 15th * Gandhi…

QuantLib::Instrument – Abstract instrument class. Synopsis#include <ql/instrument.hpp> Inherits QuantLib::LazyObject. Inherited by Bond, CapFloor, CDO, CdsOption, Commodity, CompositeInstrument, CreditDefaultSwap, Forward, InflationSwap, NthToDefault, Option, PathMultiAssetOption, RiskyAssetSwap, Stock, Swap, SyntheticCDO, VarianceOption, and VarianceSwap. Public Member Functionsvirtual void setupArguments (PricingEngine::arguments *) const virtual void fetchResults (const PricingEngine::results *) const Inspectors Real NPV () const returns the net present value…

QuantLib::CashFlows – cashflow-analysis functions Synopsis #include <ql/cashflows/cashflows.hpp> Static Public Member Functions static Leg::const_iterator previousCashFlow (const Leg &leg, Date refDate=Date()) static Leg::const_iterator nextCashFlow (const Leg &leg, Date refDate=Date()) static Rate previousCouponRate (const Leg &leg, const Date &refDate=Date()) static Rate nextCouponRate (const Leg &leg, const Date &refDate=Date()) static Date startDate (const Leg &leg) static Date maturityDate (const…

QuantLib::UnitedStates – United States calendars. Synopsis#include <ql/time/calendars/unitedstates.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { Settlement, NYSE, GovernmentBond, NERC } US calendars. Public Member FunctionsUnitedStates (Market market=Settlement) Detailed DescriptionUnited States calendars. Public holidays (see: http://www.opm.gov/fedhol/): * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday if actually on Sunday, or to Friday if…

nan, nanf, nanl – return ‘Not a Number’ Synopsis#include <math.h> double nan(const char *tagp); float nanf(const char *tagp); long double nanl(const char *tagp); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): nan(), nanf(), nanl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112LDescriptionThese functions return a representation (determined by tagp) of a quiet NaN. If the implementation does…

QuantLib::G2ForwardProcess – Forward G2 stochastic process Synopsis#include <ql/processes/g2process.hpp> Inherits QuantLib::ForwardMeasureProcess. Public Member FunctionsG2ForwardProcess (Real a, Real sigma, Real b, Real eta, Real rho) StochasticProcess interface Size size () const returns the number of dimensions of the stochastic process Disposable< Array > initialValues () const returns the initial values of the state variables Disposable< Array >…

QuantLib::G2ForwardProcess – Forward G2 stochastic process Synopsis#include <ql/processes/g2process.hpp> Inherits QuantLib::ForwardMeasureProcess. Public Member FunctionsG2ForwardProcess (Real a, Real sigma, Real b, Real eta, Real rho) StochasticProcess interface Size size () const returns the number of dimensions of the stochastic process Disposable< Array > initialValues () const returns the initial values of the state variables Disposable< Array >…

QuantLib::MultiStepSwaption – Synopsis#include <ql/models/marketmodels/products/multistep/multistepswaption.hpp> Inherits QuantLib::MultiProductMultiStep. Public Member FunctionsMultiStepSwaption (const std::vector< Time > &rateTimes, Size startIndex, Size endIndex, boost::shared_ptr< StrikedTypePayoff > &) MarketModelMultiProduct interface std::vector< Time > possibleCashFlowTimes () const Size numberOfProducts () const Size maxNumberOfCashFlowsPerProductPerStep () const void reset () during simulation put product at start of path bool nextTimeStep (const CurveState &currentState, std::vector<…

QuantLib::MultiProductOneStep – Single-step market-model product. Synopsis#include <ql/models/marketmodels/products/multiproductonestep.hpp> Inherits QuantLib::MarketModelMultiProduct. Inherited by OneStepCoinitialSwaps, OneStepCoterminalSwaps, OneStepForwards, and OneStepOptionlets. Public Member FunctionsMultiProductOneStep (const std::vector< Time > &rateTimes) MarketModelMultiProduct interface const EvolutionDescription & evolution () const std::vector< Size > suggestedNumeraires () const Protected Attributesstd::vector< Time > rateTimes_ EvolutionDescription evolution_ Detailed DescriptionSingle-step market-model product. This is the abstract base class…

QuantLib::MultiProductMultiStep – Multiple-step market-model product. Synopsis#include <ql/models/marketmodels/products/multiproductmultistep.hpp> Inherits QuantLib::MarketModelMultiProduct. Inherited by ExerciseAdapter, MultiStepCoinitialSwaps, MultiStepCoterminalSwaps, MultiStepCoterminalSwaptions, MultiStepForwards, MultiStepNothing, MultiStepOptionlets, MultiStepPeriodCapletSwaptions, MultiStepRatchet, MultiStepSwap, and MultiStepSwaption. Public Member FunctionsMultiProductMultiStep (const std::vector< Time > &rateTimes) MarketModelMultiProduct interface std::vector< Size > suggestedNumeraires () const const EvolutionDescription & evolution () const Protected Attributesstd::vector< Time > rateTimes_ EvolutionDescription evolution_ Detailed DescriptionMultiple-step market-model…

ql/methods/montecarlo/multipathgenerator.hpp – Generates a multi path from a random-array generator. Synopsis#include <ql/methods/montecarlo/multipath.hpp> #include <ql/methods/montecarlo/sample.hpp> #include <ql/stochasticprocess.hpp> Classesclass MultiPathGenerator< GSG > Generates a multipath from a random number generator. Detailed DescriptionGenerates a multi path from a random-array generator. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::MultiPath – Correlated multiple asset paths. Synopsis#include <ql/methods/montecarlo/multipath.hpp> Public Member FunctionsMultiPath (Size nAsset, const TimeGrid &timeGrid) MultiPath (const std::vector< Path > &multiPath) inspectors Size assetNumber () const Size pathSize () const read/write access to components const Path & operator[] (Size j) const const Path & at (Size j) const Path & operator[] (Size j) Path…

ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. Synopsis#include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classesclass MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefstypedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real, EmptyArg > base_arg_type typedef…

QuantLib::MultiAssetOption – Base class for options on multiple assets. Synopsis#include <ql/instruments/multiassetoption.hpp> Inherits QuantLib::Option. Inherited by BasketOption, EverestOption, HimalayaOption, and PagodaOption. Classesclass results Results from multi-asset option calculation Public Member FunctionsMultiAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &) void setupArguments (PricingEngine::arguments *) const void fetchResults (const PricingEngine::results *) const Instrument interface bool isExpired…

MrmRegisterNamesInHierarchy — Registers the values associated with the names referenced in UIL within a single hierarchy (for example, UIL callback function names or UIL identifier names) Synopsis#include <Mrm/MrmPublic.h> Cardinal MrmRegisterNamesInHierarchy( MrmHierarchy hierarchy_id, MrmRegisterArglist register_list, MrmCount register_count);DescriptionThe MrmRegisterNamesInHierarchy function registers a vector of names and associated values for access in MRM. The values can be callback…

MrmRegisterNamesInHierarchy — Registers the values associated with the names referenced in UIL within a single hierarchy (for example, UIL callback function names or UIL identifier names) Synopsis#include <Mrm/MrmPublic.h> Cardinal MrmRegisterNamesInHierarchy( MrmHierarchy hierarchy_id, MrmRegisterArglist register_list, MrmCount register_count);DescriptionThe MrmRegisterNamesInHierarchy function registers a vector of names and associated values for access in MRM. The values can be callback…

MrmRegisterNames — Registers the values associated with the names referenced in UIL (for example, UIL callback function names or UIL identifier names) Synopsis#include <Mrm/MrmPublic.h> Cardinal MrmRegisterNames( MrmRegisterArglist register_list, MrmCount register_count);DescriptionThe MrmRegisterNames function registers a vector of names and associated values for access in MRM. The values can be callback functions, pointers to user-defined data, or…

MrmRegisterClass — Saves the information needed for MRM to access the widget creation function for user-defined widgets Synopsis#include <Mrm/MrmPublic.h> Cardinal MrmRegisterClass( MrmType class_code, String class_name, String create_name, Widget (*create_proc) (), WidgetClass class_record);DescriptionThe MrmRegisterClass function allows MRM to access user-defined widget classes. This function registers the necessary information for MRM to create widgets of this class….

MrmOpenHierarchyPerDisplay — Allocates a hierarchy ID and opens all the UID files in the hierarchy Synopsis#include <Mrm/MrmPublic.h> Cardinal MrmOpenHierarchyPerDisplay( Display *display, MrmCount num_files, String file_names_list[], MrmOsOpenParamPtr *ancillary_structures_list, MrmHierarchy *hierarchy_id);DescriptionMrmOpenHierarchyPerDisplay allows you to specify the list of UID files that MRM searches in subsequent fetch operations. All subsequent fetch operations return the first occurrence of the…