Author: Linux Manual

QuantLib::DiscretizedOption – Discretized option on a given asset. Synopsis#include <ql/discretizedasset.hpp> Inherits QuantLib::DiscretizedAsset. Inherited by DiscretizedSwaption. Public Member FunctionsDiscretizedOption (const boost::shared_ptr< DiscretizedAsset > &underlying, Exercise::Type exerciseType, const std::vector< Time > &exerciseTimes) void reset (Size size) std::vector< Time > mandatoryTimes () const Protected Member Functionsvoid postAdjustValuesImpl () void applyExerciseCondition () Protected Attributesboost::shared_ptr< DiscretizedAsset > underlying_ Exercise::Type exerciseType_…

ql/legacy/pricers/discretegeometricaso.hpp – Discrete geometric average-strike Asian option. Synopsis#include <ql/legacy/pricers/singleassetoption.hpp> #include <ql/math/distributions/normaldistribution.hpp> #include <vector> Classesclass DiscreteGeometricASO Discrete geometric average-strike Asian option (European style). Detailed DescriptionDiscrete geometric average-strike Asian option. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::DiscreteAveragingAsianOption – Discrete-averaging Asian option. Synopsis#include <ql/instruments/asianoption.hpp> Inherits QuantLib::OneAssetOption. Classesclass arguments Extra arguments for single-asset discrete-average Asian option. class engine Discrete-averaging Asian engine base class. Public Member FunctionsDiscreteAveragingAsianOption (Average::Type averageType, Real runningAccumulator, Size pastFixings, const std::vector< Date > &fixingDates, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Protected…

QuantLib::DiscrepancyStatistics – Statistic tool for sequences with discrepancy calculation. Synopsis#include <ql/math/statistics/discrepancystatistics.hpp> Inherits GenericSequenceStatistics< Statistics >. Public Typestypedef SequenceStatistics::value_type value_type Public Member FunctionsDiscrepancyStatistics (Size dimension) template<class Sequence > void add (const Sequence &sample, Real weight=1.0) template<class Iterator > void add (Iterator begin, Iterator end, Real weight=1.0) void reset (Size dimension=0) 1-dimensional inspectors Real discrepancy () const…

QuantLib::InterestRate – Concrete interest rate class. Synopsis#include <ql/interestrate.hpp> Public Member Functionsconstructors InterestRate () Default constructor returning a null interest rate. InterestRate (Rate r, const DayCounter &dc=Actual365Fixed(), Compounding comp=Continuous, Frequency freq=Annual) Standard constructor. conversions operator Rate () const inspectors Rate rate () const const DayCounter & dayCounter () const Compounding compounding () const Frequency frequency ()…

ql/termstructures/yield/discountcurve.hpp – interpolated discount factor structure Synopsis#include <ql/termstructures/yieldtermstructure.hpp> #include <ql/math/interpolations/loginterpolation.hpp> #include <ql/math/comparison.hpp> #include <boost/noncopyable.hpp> #include <vector> #include <utility> Classesclass InterpolatedDiscountCurve< Interpolator > Term structure based on interpolation of discount factors. Typedefstypedef InterpolatedDiscountCurve< LogLinear > DiscountCurve Term structure based on log-linear interpolation of discount factors. Detailed Descriptioninterpolated discount factor structure AuthorGenerated automatically by Doxygen for QuantLib…

QuantLib::DirichletBC – Neumann boundary condition (i.e., constant value). Synopsis#include <ql/methods/finitedifferences/boundarycondition.hpp> Inherits BoundaryCondition< TridiagonalOperator >. Public Member FunctionsDirichletBC (Real value, Side side) void applyBeforeApplying (TridiagonalOperator &) const void applyAfterApplying (Array &) const void applyBeforeSolving (TridiagonalOperator &, Array &rhs) const void applyAfterSolving (Array &) const void setTime (Time) Detailed DescriptionNeumann boundary condition (i.e., constant value). Possible enhancements…

QuantLib::ExchangeRate – exchange rate between two currencies Synopsis#include <ql/exchangerate.hpp> Public Typesenum Type { Direct, Derived } Public Member FunctionsConstructors ExchangeRate () ExchangeRate (const Currency &source, const Currency &target, Decimal rate) Inspectors const Currency & source () const the source currency. const Currency & target () const the target currency. Type type () const the type…

QuantLib::DigitalIborLeg – helper class building a sequence of digital ibor-rate coupons Synopsis#include <ql/cashflows/digitaliborcoupon.hpp> Public Member FunctionsDigitalIborLeg (const Schedule &schedule, const boost::shared_ptr< IborIndex > &index) DigitalIborLeg & withNotionals (Real notional) DigitalIborLeg & withNotionals (const std::vector< Real > &notionals) DigitalIborLeg & withPaymentDayCounter (const DayCounter &) DigitalIborLeg & withPaymentAdjustment (BusinessDayConvention) DigitalIborLeg & withFixingDays (Natural fixingDays) DigitalIborLeg & withFixingDays…

ql/cashflows/digitaliborcoupon.hpp – Ibor-rate coupon with digital call/put option. Synopsis#include <ql/cashflows/digitalcoupon.hpp> #include <ql/cashflows/iborcoupon.hpp> #include <ql/time/schedule.hpp> Classesclass DigitalIborCoupon Ibor rate coupon with digital digital call/put option. class DigitalIborLeg helper class building a sequence of digital ibor-rate coupons Detailed DescriptionIbor-rate coupon with digital call/put option. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/cashflows/digitalcoupon.hpp – Floating-rate coupon with digital call/put option. Synopsis#include <ql/cashflows/floatingratecoupon.hpp> #include <ql/cashflows/couponpricer.hpp> #include <ql/cashflows/replication.hpp> #include <ql/position.hpp> #include <ql/utilities/null.hpp> Classesclass DigitalCoupon Digital-payoff coupon. Detailed DescriptionFloating-rate coupon with digital call/put option. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::DigitalCmsLeg – helper class building a sequence of digital ibor-rate coupons Synopsis#include <ql/cashflows/digitalcmscoupon.hpp> Public Member FunctionsDigitalCmsLeg (const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index) DigitalCmsLeg & withNotionals (Real notional) DigitalCmsLeg & withNotionals (const std::vector< Real > &notionals) DigitalCmsLeg & withPaymentDayCounter (const DayCounter &) DigitalCmsLeg & withPaymentAdjustment (BusinessDayConvention) DigitalCmsLeg & withFixingDays (Natural fixingDays) DigitalCmsLeg & withFixingDays…

ql/cashflows/digitalcmscoupon.hpp – Cms-rate coupon with digital call/put option. Synopsis#include <ql/cashflows/digitalcoupon.hpp> #include <ql/cashflows/cmscoupon.hpp> #include <ql/time/schedule.hpp> Classesclass DigitalCmsCoupon Cms-rate coupon with digital digital call/put option. class DigitalCmsLeg helper class building a sequence of digital ibor-rate coupons Detailed DescriptionCms-rate coupon with digital call/put option. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Matrix – Matrix used in linear algebra. Synopsis #include <ql/math/matrix.hpp> Inherited by Disposable< Matrix >. Public Types typedef Real * iterator typedef const Real * const_iterator typedef boost::reverse_iterator< iterator > reverse_iterator typedef boost::reverse_iterator< const_iterator > const_reverse_iterator typedef Real * row_iterator typedef const Real * const_row_iterator typedef boost::reverse_iterator< row_iterator > reverse_row_iterator typedef boost::reverse_iterator< const_row_iterator > const_reverse_row_iterator…

QuantLib::DerivedQuote – market quote whose value depends on another quote Synopsis#include <ql/quotes/derivedquote.hpp> Inherits QuantLib::Quote, and QuantLib::Observer. Public Member FunctionsDerivedQuote (const Handle< Quote > &element, const UnaryFunction &f) Quote interface Real value () const returns the current value bool isValid () const returns true if the Quote holds a valid value Observer interface void update ()…

QuantLib::ExchangeRate – exchange rate between two currencies Synopsis#include <ql/exchangerate.hpp> Public Typesenum Type { Direct, Derived } Public Member FunctionsConstructors ExchangeRate () ExchangeRate (const Currency &source, const Currency &target, Decimal rate) Inspectors const Currency & source () const the source currency. const Currency & target () const the target currency. Type type () const the type…

QuantLib::CubicInterpolation – Cubic interpolation between discrete points. Synopsis#include <ql/math/interpolations/cubicinterpolation.hpp> Inherits QuantLib::Interpolation. Inherited by MonotonicNaturalCubicInterpolation, and NaturalCubicInterpolation. Public Typesenum DerivativeApprox { Spline, FourthOrder, Parabolic, ModifiedParabolic, FritschButland, Akima, Kruger } enum BoundaryCondition { NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange } Public Member Functionstemplate<class I1 , class I2 > CubicInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin,…

QuantLib::DepositRateHelper – Rate helper for bootstrapping over deposit rates. Synopsis#include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member FunctionsDepositRateHelper (const Handle< Quote > &rate, const Period &tenor, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter) DepositRateHelper (Rate rate, const Period &tenor, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter) DepositRateHelper…

BlackPixelOfScreen, WhitePixelOfScreen, CellsOfScreen, DefaultColormapOfScreen, DefaultDepthOfScreen, DefaultGCOfScreen, DefaultVisualOfScreen, DoesBackingStore, DoesSaveUnders, DisplayOfScreen, XScreenNumberOfScreen, EventMaskOfScreen, HeightOfScreen, HeightMMOfScreen, MaxCmapsOfScreen, MinCmapsOfScreen, PlanesOfScreen, RootWindowOfScreen, WidthOfScreen, WidthMMOfScreen – screen information functions and macros Syntaxunsigned long BlackPixelOfScreen(Screen *screen); unsigned long WhitePixelOfScreen(Screen *screen); int CellsOfScreen(Screen *screen); Colormap DefaultColormapOfScreen(Screen *screen); int DefaultDepthOfScreen(Screen *screen); GC DefaultGCOfScreen(Screen *screen); Visual *DefaultVisualOfScreen(Screen *screen); int DoesBackingStore(Screen *screen); Bool DoesSaveUnders(Screen *screen);…

AllPlanes, BlackPixel, WhitePixel, ConnectionNumber, DefaultColormap, DefaultDepth, XListDepths, DefaultGC, DefaultRootWindow, DefaultScreenOfDisplay, DefaultScreen, DefaultVisual, DisplayCells, DisplayPlanes, DisplayString, XMaxRequestSize, XExtendedMaxRequestSize, LastKnownRequestProcessed, NextRequest, ProtocolVersion, ProtocolRevision, QLength, RootWindow, ScreenCount, ScreenOfDisplay, ServerVendor, VendorRelease – Display macros and functions Syntaxunsigned long AllPlanes; unsigned long BlackPixel(Display *display, int screen_number); unsigned long WhitePixel(Display *display, int screen_number); int ConnectionNumber(Display *display); Colormap DefaultColormap(Display *display, int screen_number);…