Section 3: library functions
ql/math/sampledcurve.hpp – a class that contains a sampled curve Synopsis void swap (SampledCurve &, SampledCurve &) std::ostream & operator<< (std::ostream &out, const SampledCurve &a) Classes class SampledCurve This class contains a sampled curve. Typedefs typedef SampledCurve SampledCurveSet Functions void swap (SampledCurve &, SampledCurve &) std::ostream & operator<< (std::ostream &out, const SampledCurve &a) Detailed Description a…
ql/experimental/volatility/sabrvolsurface.hpp – SABR volatility (smile) surface. Synopsis #include <ql/experimental/volatility/interestratevolsurface.hpp> #include <ql/experimental/volatility/blackatmvolcurve.hpp> #include <ql/quote.hpp> #include <ql/termstructures/volatility/sabrinterpolatedsmilesection.hpp> #include <boost/array.hpp> Classes class SabrVolSurface SABR volatility (smile) surface. Detailed Description SABR volatility (smile) surface. Author Generated automatically by Doxygen for QuantLib from the source code.
QuantLib::LiborForwardModel – Libor forward model Synopsis#include <ql/legacy/libormarketmodels/liborforwardmodel.hpp> Inherits QuantLib::CalibratedModel, and QuantLib::AffineModel. Public Member FunctionsLiborForwardModel (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel) Rate S_0 (Size alpha, Size beta) const virtual boost::shared_ptr< SwaptionVolatilityMatrix > getSwaptionVolatilityMatrix () const DiscountFactor discount (Time t) const Implied discount curve. Real discountBond (Time now,…
QuantLib::SVDDFwdRatePc – Synopsis#include <ql/models/marketmodels/evolvers/svddfwdratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member FunctionsSVDDFwdRatePc (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const boost::shared_ptr< MarketModelVolProcess > &volProcess, Size firstVolatilityFactor, Size volatilityFactorStep, const std::vector< Size > &numeraires, Size initialStep=0) MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath () Real advanceStep () Size currentStep () const const CurveState…
QuantLib::SVD – Singular value decomposition. Synopsis#include <ql/math/matrixutilities/svd.hpp> Public Member FunctionsSVD (const Matrix &) const Matrix & U () const const Matrix & V () const const Array & singularValues () const Disposable< Matrix > S () const Real norm2 () Real cond () Integer rank () Disposable< Array > solveFor (const Array &) const Detailed…
stzrzf.f – SynopsisFunctions/Subroutinessubroutine stzrzf (M, N, A, LDA, TAU, WORK, LWORK, INFO) STZRZF Function/Subroutine Documentationsubroutine stzrzf (integerM, integerN, real, dimension( lda, * )A, integerLDA, real, dimension( * )TAU, real, dimension( * )WORK, integerLWORK, integerINFO)STZRZF Purpose: STZRZF reduces the M-by-N ( M<=N ) real upper trapezoidal matrix A to upper triangular form by means of orthogonal…
stzrqf.f – SynopsisFunctions/Subroutinessubroutine stzrqf (M, N, A, LDA, TAU, INFO) STZRQF Function/Subroutine Documentationsubroutine stzrqf (integerM, integerN, real, dimension( lda, * )A, integerLDA, real, dimension( * )TAU, integerINFO)STZRQF Purpose: This routine is deprecated and has been replaced by routine STZRZF. STZRQF reduces the M-by-N ( M<=N ) real upper trapezoidal matrix A to upper triangular form…
strttp.f – SynopsisFunctions/Subroutinessubroutine strttp (UPLO, N, A, LDA, AP, INFO) STRTTP copies a triangular matrix from the standard full format (TR) to the standard packed format (TP). Function/Subroutine Documentationsubroutine strttp (characterUPLO, integerN, real, dimension( lda, * )A, integerLDA, real, dimension( * )AP, integerINFO)STRTTP copies a triangular matrix from the standard full format (TR) to the…
strttf.f – SynopsisFunctions/Subroutinessubroutine strttf (TRANSR, UPLO, N, A, LDA, ARF, INFO) STRTTF copies a triangular matrix from the standard full format (TR) to the rectangular full packed format (TF). Function/Subroutine Documentationsubroutine strttf (characterTRANSR, characterUPLO, integerN, real, dimension( 0: lda-1, 0: * )A, integerLDA, real, dimension( 0: * )ARF, integerINFO)STRTTF copies a triangular matrix from the…
strtrs.f – SynopsisFunctions/Subroutinessubroutine strtrs (UPLO, TRANS, DIAG, N, NRHS, A, LDA, B, LDB, INFO) STRTRS Function/Subroutine Documentationsubroutine strtrs (characterUPLO, characterTRANS, characterDIAG, integerN, integerNRHS, real, dimension( lda, * )A, integerLDA, real, dimension( ldb, * )B, integerLDB, integerINFO)STRTRS Purpose: STRTRS solves a triangular system of the form A * X = B or A**T * X =…
strtri.f – SynopsisFunctions/Subroutinessubroutine strtri (UPLO, DIAG, N, A, LDA, INFO) STRTRI Function/Subroutine Documentationsubroutine strtri (characterUPLO, characterDIAG, integerN, real, dimension( lda, * )A, integerLDA, integerINFO)STRTRI Purpose: STRTRI computes the inverse of a real upper or lower triangular matrix A. This is the Level 3 BLAS version of the algorithm. Parameters: UPLO UPLO is CHARACTER*1 = ‘U’:…
strti2.f – SynopsisFunctions/Subroutinessubroutine strti2 (UPLO, DIAG, N, A, LDA, INFO) STRTI2 computes the inverse of a triangular matrix (unblocked algorithm). Function/Subroutine Documentationsubroutine strti2 (characterUPLO, characterDIAG, integerN, real, dimension( lda, * )A, integerLDA, integerINFO)STRTI2 computes the inverse of a triangular matrix (unblocked algorithm). Purpose: STRTI2 computes the inverse of a real upper or lower triangular matrix….
strsyl.f – SynopsisFunctions/Subroutinessubroutine strsyl (TRANA, TRANB, ISGN, M, N, A, LDA, B, LDB, C, LDC, SCALE, INFO) STRSYL Function/Subroutine Documentationsubroutine strsyl (characterTRANA, characterTRANB, integerISGN, integerM, integerN, real, dimension( lda, * )A, integerLDA, real, dimension( ldb, * )B, integerLDB, real, dimension( ldc, * )C, integerLDC, realSCALE, integerINFO)STRSYL Purpose: STRSYL solves the real Sylvester matrix equation: op(A)*X…
strsv.f – SynopsisFunctions/Subroutinessubroutine strsv (UPLO, TRANS, DIAG, N, A, LDA, X, INCX) STRSV Function/Subroutine Documentationsubroutine strsv (characterUPLO, characterTRANS, characterDIAG, integerN, real, dimension(lda,*)A, integerLDA, real, dimension(*)X, integerINCX)STRSV Purpose: STRSV solves one of the systems of equations A*x = b, or A**T*x = b, where b and x are n element vectors and A is an n…
strsna.f – SynopsisFunctions/Subroutinessubroutine strsna (JOB, HOWMNY, SELECT, N, T, LDT, VL, LDVL, VR, LDVR, S, SEP, MM, M, WORK, LDWORK, IWORK, INFO) STRSNA Function/Subroutine Documentationsubroutine strsna (characterJOB, characterHOWMNY, logical, dimension( * )SELECT, integerN, real, dimension( ldt, * )T, integerLDT, real, dimension( ldvl, * )VL, integerLDVL, real, dimension( ldvr, * )VR, integerLDVR, real, dimension( * )S,…
strsm.f – SynopsisFunctions/Subroutinessubroutine strsm (SIDE, UPLO, TRANSA, DIAG, M, N, ALPHA, A, LDA, B, LDB) STRSM Function/Subroutine Documentationsubroutine strsm (characterSIDE, characterUPLO, characterTRANSA, characterDIAG, integerM, integerN, realALPHA, real, dimension(lda,*)A, integerLDA, real, dimension(ldb,*)B, integerLDB)STRSM Purpose: STRSM solves one of the matrix equations op( A )*X = alpha*B, or X*op( A ) = alpha*B, where alpha is a…
strsen.f – SynopsisFunctions/Subroutinessubroutine strsen (JOB, COMPQ, SELECT, N, T, LDT, Q, LDQ, WR, WI, M, S, SEP, WORK, LWORK, IWORK, LIWORK, INFO) STRSEN Function/Subroutine Documentationsubroutine strsen (characterJOB, characterCOMPQ, logical, dimension( * )SELECT, integerN, real, dimension( ldt, * )T, integerLDT, real, dimension( ldq, * )Q, integerLDQ, real, dimension( * )WR, real, dimension( * )WI, integerM, realS,…
strrfs.f – SynopsisFunctions/Subroutinessubroutine strrfs (UPLO, TRANS, DIAG, N, NRHS, A, LDA, B, LDB, X, LDX, FERR, BERR, WORK, IWORK, INFO) STRRFS Function/Subroutine Documentationsubroutine strrfs (characterUPLO, characterTRANS, characterDIAG, integerN, integerNRHS, real, dimension( lda, * )A, integerLDA, real, dimension( ldb, * )B, integerLDB, real, dimension( ldx, * )X, integerLDX, real, dimension( * )FERR, real, dimension( * )BERR,…
stptri.f – SynopsisFunctions/Subroutinessubroutine stptri (UPLO, DIAG, N, AP, INFO) STPTRI Function/Subroutine Documentationsubroutine stptri (characterUPLO, characterDIAG, integerN, real, dimension( * )AP, integerINFO)STPTRI Purpose: STPTRI computes the inverse of a real upper or lower triangular matrix A stored in packed format. Parameters: UPLO UPLO is CHARACTER*1 = ‘U’: A is upper triangular; = ‘L’: A is lower…
stpsv.f – SynopsisFunctions/Subroutinessubroutine stpsv (UPLO, TRANS, DIAG, N, AP, X, INCX) STPSV Function/Subroutine Documentationsubroutine stpsv (characterUPLO, characterTRANS, characterDIAG, integerN, real, dimension(*)AP, real, dimension(*)X, integerINCX)STPSV Purpose: STPSV solves one of the systems of equations A*x = b, or A**T*x = b, where b and x are n element vectors and A is an n by n…