FittedBondCurve – Example of using QuantLib to fit discount curves Synopsis FittedBondCurve Description FittedBondCurve is an example of using QuantLib. For a given set of coupons and terms to maturity, it computes the value of a bond by fitting the yields to a curve using different methods. The fitting methods are exponential splines, simple polynomials,…
FileCheck – Flexible pattern matching file verifier Synopsis FileCheck match-filename [–check-prefix=XXX] [–strict-whitespace] Description FileCheck reads two files (one from standard input, and one specified on the command line) and uses one to verify the other. This behavior is particularly useful for the testsuite, which wants to verify that the output of some tool (e.g. llc)…
FRA – Example of using QuantLib Synopsis FRA Description FRA is an example of using the QuantLib interest-rate model framework. FRA values a forward-rate agreement (FRA) at different forward dates under two yield curve assumptions. It thereby illustrates how set up a term structure, and to use it to price a simple forward-rate agreement. See…
FBReader – e-book reader Synopsis FBReader [-zlui ui-type] [ui-specific options] [-lang language] [e-book] Description FBReader is an e-book reader. It supports most open e-book formats, and can read compressed e-book archives. For more information on using the program, see the "About FBReader" button on its toolbar. Options -zlui ui-type Try to start FBReader with the…
Eterm – the Enlightened terminal emulator for the X Window System Synopsis Eterm [options] Description Eterm — version 0.9.5 — is a color vt102 terminal emulator intended as an xterm(1) replacement. It is designed with a Freedom of Choice philosophy, leaving as much power, flexibility, and freedom as possible in the hands of the user….
EquityOption – Example of using QuantLib to value equity options Synopsis EquityOption Description EquityOption is an example of using QuantLib. For a given set of option parameters, it computes the value of three different equity options types (with european, bermudan and american exercise features) using different valuation algorithms. The calculation methods are Black-Scholes (for european…
DiscreteHedging – Example of using QuantLib Synopsis DiscreteHedging Description DiscreteHedging is an example of using the QuantLib Monte Carlo simulation framework. By simulation, DiscreteHedging computes profit and loss of a discrete interval hedging strategy and compares with the outcome with the results of Derman and Kamal’s Goldman Sachs Equity Derivatives Research Note "When You Cannot…
DRAWEXE – OpenCASCADE test harness Synopsis DRAWEXE Description This program provides a kind of scripting interface to the OpenCASCADE libraries. You can perform a simple test by starting it and entering at the command line: "pload ALL" then "source /usr/share/opencascade/6.5.0/src/DrawResources/VisualizationDemo.tcl". Author Adam Powell <hazelsct [at] debian.org>
ConvertibleBonds – Example of using QuantLib to value convertible bonds Synopsis ConvertibleBonds Description ConvertibleBonds is an example of using QuantLib. For a given set of option parameters, it computes the value of a convertible bond with an embedded put option for two different equity options types (with european and american exercise features) using the Tsiveriotis-Fernandes…
ConicProj — perform conic projections Synopsis ConicProj ( -c | -a ) lat1 lat2 [ -l lon0 ] [ -k k1 ] [ -r ] [ -e a f ] [ -p prec ] [ –comment-delimiter commentdelim ] [ –version | -h | –help ] [ –input-file infile | –input-string instring ] [ –line-separator linesep…
CartConvert — convert geodetic coordinates to geocentric or local cartesian Synopsis CartConvert [ -r ] [ -l lat0 lon0 h0 ] [ -e a f ] [ –comment-delimiter commentdelim ] [ –version | -h | –help ] [ –input-file infile | –input-string instring ] [ –line-separator linesep ] [ –output-file outfile ] Description Convert geodetic…
CallableBonds – Example of callable-bond pricing Synopsis CallableBonds Description CallableBonds is an example of using QuantLib. It prices a number of callable bonds and compares the results to known good data. See Also The source code CallableBonds.cpp, BermudanSwaption(1), EquityOption(1), DiscreteHedging(1), SwapValuation(1), the QuantLib documentation and website at http://quantlib.org. Authors The QuantLib Group (see Authors.txt). This…
CMCEnroll – Used to sign a certificate request with an agent’s certificate. Synopsis CMCEnroll -d <directory_of_NSS_security_database_containing_agent_cert> -n <certificate_nickname> -r <certificate_request_file> -p <certificate_DB_passwd> Description The Certificate Management over Cryptographic Message Syntax (CMC) Enrollment utility, CMCEnroll, provides a command-line utility used to sign a certificate request with an agent’s certificate. This can be used in conjunction with…
CDS – Example of Credit-Default Swap pricing Synopsis CDS Description CDS is an example of using QuantLib. It bootstraps a default-probability curve over a number of CDS and reprices them. See Also The source code CDS.cpp, BermudanSwaption(1), EquityOption(1), DiscreteHedging(1), SwapValuation(1), the QuantLib documentation and website at http://quantlib.org. Authors The QuantLib Group (see Authors.txt). This manual…
BtoA – Convert binary base-64 encoded data to ASCII base-64 encoded data. Synopsis BtoA <input_file> <output_file> Description The BtoA command provides a command-line utility used to convert binary base-64 encoded data to ASCII base-64 encoded data. Options The following parameters are mandatory: <input_file> Specifies the path to the file which contains the base-64 encoded binary…
BermudanSwaption – Example of using QuantLib Synopsis BermudanSwaption Description BermudanSwaption is an example of using the QuantLib interest-rate model framework. BermudanSwaption prices a bermudan swaption using different models calibrated to market swaptions. The calibration examples include Hull and White’s using both an analytic formula as well as numerically, and Black and Karasinski’s model. Using these…
AuditVerify – Command-Line utility for verifying Certificate System signed audit logs. Synopsis AuditVerify -d <dbdir> -n <signing_certificate_nickname> -a <logListFile> [-P cert/key_db_prefix] [-v] Description The AuditVerify command provides command-line utility to verify that signed audit logs were signed with the appropriate CS audit private signing key and that the audit logs have not been compromised. Auditors…
AtoB – Convert ASCII base-64 encoded data to binary base-64 encoded data. Synopsis AtoB <input_file> <output_file> Description The AtoB command provides a command-line utility used to convert ASCII base-64 encoded data to binary base-64 encoded data. Options The following parameters are mandatory: <input_file> Specifies the path to the file containing the base-64 encoded ASCII data….
NAME 7zr – A file archiver with high compression ratio format SYNOPSIS 7zr <command> [<switches>… ] <archive_name> [<file_names>… ] [<@listfiles>… ] DESCRIPTION 7-Zip is a file archiver supporting 7z (that implements LZMA compression algorithm featuring very high compression ratio), LZMA2, XZ, ZIP, Zip64, CAB, RAR (if the non-free p7zip-rar package is installed), ARJ, GZIP, BZIP2,…
NAME 7za – A file archiver with high compression ratio format SYNOPSIS 7za <command> [<switches>… ] <archive_name> [<file_names>… ] [<@listfiles>… ] DESCRIPTION 7-Zip is a file archiver supporting 7z (that implements LZMA compression algorithm featuring very high compression ratio), LZMA2, XZ, ZIP, Zip64, CAB, RAR (if the non-free p7zip-rar package is installed), ARJ, GZIP, BZIP2,…