Author: Linux Manual

inet_aton, inet_addr, inet_network, inet_ntoa, inet_makeaddr, inet_lnaof, inet_netof – Internet address manipulation routines Synopsis#include <sys/socket.h> #include <netinet/in.h> #include <arpa/inet.h> int inet_aton(const char *cp, struct in_addr *inp); in_addr_t inet_addr(const char *cp); in_addr_t inet_network(const char *cp); char *inet_ntoa(struct in_addr in); struct in_addr inet_makeaddr(in_addr_t net, in_addr_t host); in_addr_t inet_lnaof(struct in_addr in); in_addr_t inet_netof(struct in_addr in);Feature Test Macro Requirements for…

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…

QuantLib::FuturesConvAdjustmentQuote – quote for the futures-convexity adjustment of an index Synopsis#include <ql/quotes/futuresconvadjustmentquote.hpp> Inherits QuantLib::Quote, and QuantLib::Observer. Public Member FunctionsFuturesConvAdjustmentQuote (const boost::shared_ptr< IborIndex > &index, const Date &futuresDate, const Handle< Quote > &futuresQuote, const Handle< Quote > &volatility, const Handle< Quote > &meanReversion) FuturesConvAdjustmentQuote (const boost::shared_ptr< IborIndex > &index, const std::string &immCode, const Handle< Quote >…

QuantLib::AverageBMACoupon – Average BMA coupon. Synopsis#include <ql/cashflows/averagebmacoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Public Member FunctionsAverageBMACoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const boost::shared_ptr< BMAIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter()) FloatingRateCoupon interface Date fixingDate () const not applicable here; use fixingDates() instead std::vector< Date…

QuantLib::AverageBMACoupon – Average BMA coupon. Synopsis#include <ql/cashflows/averagebmacoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Public Member FunctionsAverageBMACoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const boost::shared_ptr< BMAIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter()) FloatingRateCoupon interface Date fixingDate () const not applicable here; use fixingDates() instead std::vector< Date…

index, rindex – locate character in string Synopsis#include <strings.h> char *index(const char *s, int c); char *rindex(const char *s, int c);DescriptionThe index() function returns a pointer to the first occurrence of the character c in the string s. The rindex() function returns a pointer to the last occurrence of the character c in the string…

ql/math/incompletegamma.hpp – Incomplete Gamma function. Synopsis#include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> FunctionsReal incompleteGammaFunction (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Incomplete Gamma function. Real incompleteGammaFunctionSeriesRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Real incompleteGammaFunctionContinuedFractionRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Detailed DescriptionIncomplete Gamma function. AuthorGenerated automatically by Doxygen for QuantLib from…

ql/math/incompletegamma.hpp – Incomplete Gamma function. Synopsis#include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> FunctionsReal incompleteGammaFunction (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Incomplete Gamma function. Real incompleteGammaFunctionSeriesRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Real incompleteGammaFunctionContinuedFractionRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Detailed DescriptionIncomplete Gamma function. AuthorGenerated automatically by Doxygen for QuantLib from…

ql/math/incompletegamma.hpp – Incomplete Gamma function. Synopsis#include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> FunctionsReal incompleteGammaFunction (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Incomplete Gamma function. Real incompleteGammaFunctionSeriesRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Real incompleteGammaFunctionContinuedFractionRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Detailed DescriptionIncomplete Gamma function. AuthorGenerated automatically by Doxygen for QuantLib from…

QuantLib::Forward – Abstract base forward class. Synopsis#include <ql/instruments/forward.hpp> Inherits QuantLib::Instrument. Inherited by FixedRateBondForward, and ForwardRateAgreement. Public Member Functionsvirtual Real spotValue () const =0 returns spot value/price of an underlying financial instrument virtual Real spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const =0 NPV of income/dividends/storage-costs etc. of underlying instrument. Inspectors virtual Date settlementDate () const const…

QuantLib::Forward – Abstract base forward class. Synopsis#include <ql/instruments/forward.hpp> Inherits QuantLib::Instrument. Inherited by FixedRateBondForward, and ForwardRateAgreement. Public Member Functionsvirtual Real spotValue () const =0 returns spot value/price of an underlying financial instrument virtual Real spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const =0 NPV of income/dividends/storage-costs etc. of underlying instrument. Inspectors virtual Date settlementDate () const const…

QuantLib::ProjectedCostFunction – Parameterized cost function. Synopsis#include <ql/math/optimization/projectedcostfunction.hpp> Inherits QuantLib::CostFunction. Public Member FunctionsProjectedCostFunction (const CostFunction &costFunction, const Array &parametersValues, const std::vector< bool > &parametersFreedoms) virtual Disposable< Array > project (const Array &parameters) const returns the subset of free parameters corresponding virtual Disposable< Array > include (const Array &projectedParameters) const returns whole set of parameters corresponding to…

QuantLib::CmsLeg – helper class building a sequence of capped/floored cms-rate coupons Synopsis#include <ql/cashflows/cmscoupon.hpp> Public Member FunctionsCmsLeg (const Schedule &schedule, const boost::shared_ptr< SwapIndex > &swapIndex) CmsLeg & withNotionals (Real notional) CmsLeg & withNotionals (const std::vector< Real > &notionals) CmsLeg & withPaymentDayCounter (const DayCounter &) CmsLeg & withPaymentAdjustment (BusinessDayConvention) CmsLeg & withFixingDays (Natural fixingDays) CmsLeg & withFixingDays…

QuantLib::Forward – Abstract base forward class. Synopsis#include <ql/instruments/forward.hpp> Inherits QuantLib::Instrument. Inherited by FixedRateBondForward, and ForwardRateAgreement. Public Member Functionsvirtual Real spotValue () const =0 returns spot value/price of an underlying financial instrument virtual Real spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const =0 NPV of income/dividends/storage-costs etc. of underlying instrument. Inspectors virtual Date settlementDate () const const…

ql/instruments/impliedvolatility.hpp – Utilities for implied-volatility calculation. Synopsis#include <ql/instrument.hpp> #include <ql/quotes/simplequote.hpp> #include <ql/processes/blackscholesprocess.hpp> Classesclass ImpliedVolatilityHelper helper class for one-asset implied-volatility calculation Detailed DescriptionUtilities for implied-volatility calculation. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::EurodollarFuturesImpliedStdDevQuote – quote for the Eurodollar-future implied standard deviation Synopsis#include <ql/quotes/eurodollarfuturesquote.hpp> Inherits QuantLib::Quote, and QuantLib::LazyObject. Public Member FunctionsEurodollarFuturesImpliedStdDevQuote (const Handle< Quote > &forward, const Handle< Quote > &callPrice, const Handle< Quote > &putPrice, Real strike, Real guess=.15, Real accuracy=1.0e-6, Natural maxIter=100) Quote interface Real value () const returns the current value bool isValid () 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 ()…

QuantLib::BootstrapHelper – Base helper class for bootstrapping. Synopsis#include <ql/termstructures/bootstraphelper.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by RelativeDateRateHelper. Public Member FunctionsBootstrapHelper (const Handle< Quote > &quote) BootstrapHelper (Real quote) BootstrapHelper interface Real quoteError () const Real quoteValue () const bool quoteIsValid () const virtual Real impliedQuote () const =0 virtual void setTermStructure (TS *) sets the term…

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 *)…

QuantLib::SingleAssetOption – Black-Scholes-Merton option. Synopsis#include <ql/legacy/pricers/singleassetoption.hpp> Inherited by DiscreteGeometricASO. Public Member FunctionsSingleAssetOption (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility) virtual void setVolatility (Volatility newVolatility) virtual void setRiskFreeRate (Rate newRate) virtual void setDividendYield (Rate newDividendYield) virtual Real value () const =0 virtual Real delta () const =0 virtual Real…