Author: Linux Manual

QuantLib::FDVanillaEngine – Finite-differences pricing engine for BSM one asset options. Synopsis#include <ql/pricingengines/vanilla/fdvanillaengine.hpp> Inherited by FDEuropeanEngine, FDMultiPeriodEngine, and FDStepConditionEngine. Public Member FunctionsFDVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) const Array & grid () const Protected Typestypedef BoundaryCondition< TridiagonalOperator > bc_type Protected Member Functionsvirtual void setupArguments (const PricingEngine::arguments *) const virtual void…

QuantLib::HaganPricer – CMS-coupon pricer. Synopsis#include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::CmsCouponPricer. Inherited by AnalyticHaganPricer, and NumericHaganPricer. Public Member Functionsvirtual Real swapletPrice () const =0 virtual Rate swapletRate () const virtual Real capletPrice (Rate effectiveCap) const virtual Rate capletRate (Rate effectiveCap) const virtual Real floorletPrice (Rate effectiveFloor) const virtual Rate floorletRate (Rate effectiveFloor) const Real meanReversion () const void…

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::GeometricBrownianMotionProcess – Geometric brownian-motion process. Synopsis#include <ql/processes/geometricbrownianprocess.hpp> Inherits QuantLib::StochasticProcess1D. Public Member FunctionsGeometricBrownianMotionProcess (double initialValue, double mue, double sigma) Real x0 () const returns the initial value of the state variable Real drift (Time t, Real x) const returns the drift part of the equation, i.e. $ mu(t, x_t) $ Real diffusion (Time t, Real x)…

QuantLib::DoubleStickyRatchetPayoff – Intermediate class for single/double sticky/ratchet payoffs. Synopsis#include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::Payoff. Inherited by RatchetMaxPayoff, RatchetMinPayoff, RatchetPayoff, StickyMaxPayoff, StickyMinPayoff, and StickyPayoff. Public Member FunctionsDoubleStickyRatchetPayoff (Real type1, Real type2, Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const Real operator() (Real…

QuantLib::DoubleStickyRatchetPayoff – Intermediate class for single/double sticky/ratchet payoffs. Synopsis#include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::Payoff. Inherited by RatchetMaxPayoff, RatchetMinPayoff, RatchetPayoff, StickyMaxPayoff, StickyMinPayoff, and StickyPayoff. Public Member FunctionsDoubleStickyRatchetPayoff (Real type1, Real type2, Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const Real operator() (Real…

QuantLib::HazardRate – Hazard-rate-curve traits. Synopsis#include <ql/termstructures/credit/probabilitytraits.hpp> Public Typestypedef BootstrapHelper< DefaultProbabilityTermStructure > helper Static Public Member Functionsstatic Date initialDate (const DefaultProbabilityTermStructure *c) static Real initialValue (const DefaultProbabilityTermStructure *) static bool dummyInitialValue () static Real initialGuess () static Real guess (const DefaultProbabilityTermStructure *c, const Date &d) static Real minValueAfter (Size, const std::vector< Real > &) static Real…

QuantLib::MarketModel – base class for market models Synopsis#include <ql/models/marketmodels/marketmodel.hpp> Inherited by AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade. Public Member Functionsvirtual const std::vector< Rate > & initialRates () const =0 virtual const std::vector< Spread > & displacements () const =0 virtual const EvolutionDescription & evolution () const =0 virtual Size numberOfRates () const =0 virtual…

QuantLib::HazardRate – Hazard-rate-curve traits. Synopsis#include <ql/termstructures/credit/probabilitytraits.hpp> Public Typestypedef BootstrapHelper< DefaultProbabilityTermStructure > helper Static Public Member Functionsstatic Date initialDate (const DefaultProbabilityTermStructure *c) static Real initialValue (const DefaultProbabilityTermStructure *) static bool dummyInitialValue () static Real initialGuess () static Real guess (const DefaultProbabilityTermStructure *c, const Date &d) static Real minValueAfter (Size, const std::vector< Real > &) static Real…

QuantLib::HazardRate – Hazard-rate-curve traits. Synopsis#include <ql/termstructures/credit/probabilitytraits.hpp> Public Typestypedef BootstrapHelper< DefaultProbabilityTermStructure > helper Static Public Member Functionsstatic Date initialDate (const DefaultProbabilityTermStructure *c) static Real initialValue (const DefaultProbabilityTermStructure *) static bool dummyInitialValue () static Real initialGuess () static Real guess (const DefaultProbabilityTermStructure *c, const Date &d) static Real minValueAfter (Size, const std::vector< Real > &) static Real…

initgroups – initialize the supplementary group access list Synopsis#include <sys/types.h> #include <grp.h> int initgroups(const char *user, gid_t group);Feature Test Macro Requirements for glibc (see feature_test_macros(7)): initgroups():     Since glibc 2.19:         _DEFAULT_SOURCE     Glibc 2.19 and earlier:         _BSD_SOURCE DescriptionThe initgroups() function initializes the group access list by reading the group database /etc/group and using all groups of which…

init_selinuxmnt – initialize the global variable selinux_mnt Synopsisstatic void init_selinuxmnt(void); static void fini_selinuxmnt(void); void set_selinuxmnt(char *mnt); Descriptioninit_selinuxmnt() initializes the global variable selinux_mnt to the selinuxfs mountpoint. fini_selinuxmnt() deinitializes the global variable selinux_mnt that stores the selinuxfs mountpoint. set_selinuxmnt() changes the selinuxfs mountpoint to mnt. AuthorThis manual page has been written by Guido Trentalancia <guido [at]…

init_mib, add_mibdir, init_mib_internals, add_module_replacement, read_module, read_mib, read_all_mibs, read_objid, read_module_node, get_module_node, snmp_set_mib_warnings, snmp_set_save_descriptions, shutdown_mib, print_mib, print_variable, fprint_variable, snprint_variable, sprint_realloc_variable, print_value, fprint_value, snprint_value, sprint_realloc_value, print_objid, fprint_objid, snprint_objid, sprint_realloc_objid, print_description, fprint_description – mib_api functions Synopsis#include <net-snmp/mib_api.h> void init_mib(void); int add_mibdir(const char *dirname); int add_module_replacement(const char *old_module, const char *new_module, const char *tag, int len); void init_mib_internals(void); struct tree…

init_mib, add_mibdir, init_mib_internals, add_module_replacement, read_module, read_mib, read_all_mibs, read_objid, read_module_node, get_module_node, snmp_set_mib_warnings, snmp_set_save_descriptions, shutdown_mib, print_mib, print_variable, fprint_variable, snprint_variable, sprint_realloc_variable, print_value, fprint_value, snprint_value, sprint_realloc_value, print_objid, fprint_objid, snprint_objid, sprint_realloc_objid, print_description, fprint_description – mib_api functions Synopsis#include <net-snmp/mib_api.h> void init_mib(void); int add_mibdir(const char *dirname); int add_module_replacement(const char *old_module, const char *new_module, const char *tag, int len); void init_mib_internals(void); struct tree…

init_menu – Low level initialisation of a menu. Allegro game programming library. Synopsis#include <allegro.h> MENU_PLAYER *init_menu(MENU *menu, int x, int y); DescriptionThis function provides lower level access to the same functionality as do_menu(), but allows you to combine a popup menu with your own program control structures. It initialises a menu, returning a pointer to…

init_dialog – Low level initialisation of a dialog. Allegro game programming library. Synopsis#include <allegro.h> DIALOG_PLAYER *init_dialog(DIALOG *dialog, int focus_obj); DescriptionThis function provides lower level access to the same functionality as do_dialog(), but allows you to combine a dialog box with your own program control structures. It initialises a dialog, returning a pointer to a player…

QuantLib::FittedBondDiscountCurve::FittingMethod – Base fitting method used to construct a fitted bond discount curve. Synopsis#include <ql/termstructures/yield/fittedbonddiscountcurve.hpp> Inherited by CubicBSplinesFitting, ExponentialSplinesFitting, NelsonSiegelFitting, and SimplePolynomialFitting. Public Member Functionsvirtual Size size () const =0 total number of coefficients to fit/solve for Array solution () const output array of results of optimization problem Integer numberOfIterations () const final number of…

infnan – deal with infinite or not-a-number (NaN) result Synopsis#include <math.h> double infnan(int error);Link with -lm. DescriptionThe infnan() function returns a suitable value for infinity and "not-a-number" (NaN) results. The value of error can be ERANGE to represent infinity or anything else to represent NaN. errno is also set. Return ValueIf error is ERANGE (Infinity),…

ql/termstructures/inflation/inflationhelpers.hpp – Bootstrap helpers for inflation term structures. Synopsis#include <ql/termstructures/bootstraphelper.hpp> #include <ql/instruments/zerocouponinflationswap.hpp> #include <ql/instruments/yearonyearinflationswap.hpp> Classesclass ZciisInflationHelper Zero-coupon inflation-swap bootstrap helper. class YyiisInflationHelper Year-on-year inflation-swap bootstrap helper. Detailed DescriptionBootstrap helpers for inflation term structures. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::YearOnYearInflationSwap – Year-on-year inflation-indexed swap. Synopsis#include <ql/instruments/yearonyearinflationswap.hpp> Inherits QuantLib::InflationSwap. Public Member FunctionsYearOnYearInflationSwap (const Date &start, const Date &maturity, const Period &lag, Rate fixedRate, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS, const Handle< YoYInflationTermStructure > &inflationTS, bool allowAmbiguousPayments=false, const Period &ambiguousPaymentPeriod=Period(1, Months)) Instrument interface bool isExpired () const returns whether…