Linux Manuals session 3

dla_gbrpvgrw.f – Synopsis Functions/Subroutines DOUBLE PRECISION function dla_gbrpvgrw (N, KL, KU, NCOLS, AB, LDAB, AFB, LDAFB) DLA_GBRPVGRW computes the reciprocal pivot growth factor norm(A)/norm(U) for a general banded matrix. Function/Subroutine Documentation DOUBLE PRECISION function dla_gbrpvgrw (integerN, integerKL, integerKU, integerNCOLS, double precision, dimension( ldab, * )AB, integerLDAB, double precision, dimension( ldafb, * )AFB, integerLDAFB) DLA_GBRPVGRW computes…

dla_gbrfsx_extended.f – Synopsis Functions/Subroutines subroutine dla_gbrfsx_extended (PREC_TYPE, TRANS_TYPE, N, KL, KU, NRHS, AB, LDAB, AFB, LDAFB, IPIV, COLEQU, C, B, LDB, Y, LDY, BERR_OUT, N_NORMS, ERR_BNDS_NORM, ERR_BNDS_COMP, RES, AYB, DY, Y_TAIL, RCOND, ITHRESH, RTHRESH, DZ_UB, IGNORE_CWISE, INFO) DLA_GBRFSX_EXTENDED improves the computed solution to a system of linear equations for general banded matrices by performing extra-precise…

dla_gbrcond.f – Synopsis Functions/Subroutines DOUBLE PRECISION function dla_gbrcond (TRANS, N, KL, KU, AB, LDAB, AFB, LDAFB, IPIV, CMODE, C, INFO, WORK, IWORK) DLA_GBRCOND estimates the Skeel condition number for a general banded matrix. Function/Subroutine Documentation DOUBLE PRECISION function dla_gbrcond (characterTRANS, integerN, integerKL, integerKU, double precision, dimension( ldab, * )AB, integerLDAB, double precision, dimension( ldafb, *…

dla_gbamv.f – Synopsis Functions/Subroutines subroutine dla_gbamv (TRANS, M, N, KL, KU, ALPHA, AB, LDAB, X, INCX, BETA, Y, INCY) DLA_GBAMV performs a matrix-vector operation to calculate error bounds. Function/Subroutine Documentation subroutine dla_gbamv (integerTRANS, integerM, integerN, integerKL, integerKU, double precisionALPHA, double precision, dimension( ldab, * )AB, integerLDAB, double precision, dimension( * )X, integerINCX, double precisionBETA, double…

NAME dl_iterate_phdr – walk through list of shared objects SYNOPSIS #define _GNU_SOURCE /* See feature_test_macros(7) */ #include <link.h> int dl_iterate_phdr( int (*callback)(struct dl_phdr_info *info, size_t size, void *data), void *data); DESCRIPTION The dl_iterate_phdr() function allows an application to inquire at run time to find out which shared objects it has loaded, and the order in…

NAME QuantLib::ConvertibleBond – base class for convertible bonds SYNOPSIS #include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::Bond. Inherited by ConvertibleFixedCouponBond, ConvertibleFloatingRateBond, and ConvertibleZeroCouponBond. Public Member Functions Real conversionRatio () const const DividendSchedule & dividends () const const CallabilitySchedule & callability () const const Handle< Quote > & creditSpread () const Protected Member Functions ConvertibleBond (const boost::shared_ptr< Exercise > &exercise,…

NAME QuantLib::ConvertibleBond – base class for convertible bonds SYNOPSIS #include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::Bond. Inherited by ConvertibleFixedCouponBond, ConvertibleFloatingRateBond, and ConvertibleZeroCouponBond. Public Member Functions Real conversionRatio () const const DividendSchedule & dividends () const const CallabilitySchedule & callability () const const Handle< Quote > & creditSpread () const Protected Member Functions ConvertibleBond (const boost::shared_ptr< Exercise > &exercise,…

QuantLib::SingleAssetOption – Black-Scholes-Merton option. Synopsis #include <ql/legacy/pricers/singleassetoption.hpp> Inherited by DiscreteGeometricASO. Public Member Functions SingleAssetOption (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…

QuantLib::GeneralizedBlackScholesProcess – Generalized Black-Scholes stochastic process. Synopsis #include <ql/processes/blackscholesprocess.hpp> Inherits QuantLib::StochasticProcess1D. Inherited by BlackProcess, BlackScholesMertonProcess, BlackScholesProcess, ExtendedBlackScholesMertonProcess, and GarmanKohlagenProcess. Public Member Functions GeneralizedBlackScholesProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) Time time (const Date…

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. Classes class results Results from multi-asset option calculation Public Member Functions MultiAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &) void setupArguments (PricingEngine::arguments *) const void fetchResults (const PricingEngine::results *) const Instrument…

QuantLib::SingleAssetOption – Black-Scholes-Merton option. Synopsis #include <ql/legacy/pricers/singleassetoption.hpp> Inherited by DiscreteGeometricASO. Public Member Functions SingleAssetOption (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…

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. Classes class results Results from multi-asset option calculation Public Member Functions MultiAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &) void setupArguments (PricingEngine::arguments *) const void fetchResults (const PricingEngine::results *) const Instrument…

NAME system_data_types – overview of system data types DESCRIPTION aiocb Include: <aio.h>. struct aiocb {     int             aio_fildes;    /* File descriptor */     off_t           aio_offset;    /* File offset */     volatile void  *aio_buf;       /* Location of buffer */     size_t          aio_nbytes;    /* Length of transfer */     int             aio_reqprio;   /* Request priority offset */     struct sigevent aio_sigevent;  /* Signal number and value */     int             aio_lio_opcode;/* Operation to be performed */ }; For further information about this structure, see aio(7). Conforming to: POSIX.1-2001 and later. See also:…

NAME div, ldiv, lldiv, imaxdiv – compute quotient and remainder of an integer division SYNOPSIS #include <stdlib.h> div_t div(int numerator, int denominator); ldiv_t ldiv(long numerator, long denominator); lldiv_t lldiv(long long numerator, long long denominator); #include <inttypes.h> imaxdiv_t imaxdiv(intmax_t numerator, intmax_t denominator); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): lldiv(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L DESCRIPTION The…

NAME QuantLib::step_iterator – Iterator advancing in constant steps. SYNOPSIS #include <ql/utilities/steppingiterator.hpp> Inherits boost::iterator_adaptor<step_iterator<Iterator>, Iterator>. Public Member Functions step_iterator (const Iterator &base, Size step) template<class OtherIterator > step_iterator (const step_iterator< OtherIterator > &i, typename boost::enable_if_convertible< OtherIterator, Iterator >::type *=0) Size step () const void increment () void decrement () void advance (typename super_t::difference_type n) super_t::difference_type distance_to…

NAME 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 Functions virtual const std::vector< Rate > & initialRates () const =0 virtual const std::vector< Spread > & displacements () const =0 virtual const EvolutionDescription & evolution () const =0 virtual Size numberOfRates ()…

disnan.f – Synopsis Functions/Subroutines LOGICAL function disnan (DIN) DISNAN tests input for NaN. Function/Subroutine Documentation LOGICAL function disnan (double precisionDIN) DISNAN tests input for NaN. Purpose: DISNAN returns .TRUE. if its argument is NaN, and .FALSE. otherwise. To be replaced by the Fortran 2003 intrinsic in the future.   Parameters: DIN DIN is DOUBLE PRECISION…

NAME ql/discretizedasset.hpp – Discretized asset classes. SYNOPSIS #include <ql/numericalmethod.hpp> #include <ql/math/comparison.hpp> #include <ql/exercise.hpp> Classes class DiscretizedAsset Discretized asset class used by numerical methods. class DiscretizedDiscountBond Useful discretized discount bond asset. class DiscretizedOption Discretized option on a given asset. Detailed Description Discretized asset classes. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME QuantLib::StochasticProcess – multi-dimensional stochastic process class. SYNOPSIS #include <ql/stochasticprocess.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by ForwardMeasureProcess, G2Process, GJRGARCHProcess, HestonProcess, JointStochasticProcess, LiborForwardModelProcess, StochasticProcess1D, and StochasticProcessArray. Classes class discretization discretization of a stochastic process over a given time interval Public Member Functions Stochastic process interface virtual Size size () const =0 returns the number of dimensions…

NAME QuantLib::DiscrepancyStatistics – Statistic tool for sequences with discrepancy calculation. SYNOPSIS #include <ql/math/statistics/discrepancystatistics.hpp> Inherits GenericSequenceStatistics< Statistics >. Public Types typedef SequenceStatistics::value_type value_type Public Member Functions DiscrepancyStatistics (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…