Linux Manuals session 3

NAME cosh, coshf, coshl – hyperbolic cosine function SYNOPSIS #include <math.h> double cosh(double x); float coshf(float x); long double coshl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): coshf(), coshl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION These functions return the hyperbolic cosine of x, which is…

NAME cosh, coshf, coshl – hyperbolic cosine function SYNOPSIS #include <math.h> double cosh(double x); float coshf(float x); long double coshl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): coshf(), coshl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION These functions return the hyperbolic cosine of x, which is…

NAME cosh, coshf, coshl – hyperbolic cosine function SYNOPSIS #include <math.h> double cosh(double x); float coshf(float x); long double coshl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): coshf(), coshl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION These functions return the hyperbolic cosine of x, which is…

NAME cos, cosf, cosl – cosine function SYNOPSIS #include <math.h> double cos(double x); float cosf(float x); long double cosl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): cosf(), cosl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION These functions return the cosine of x, where x is given…

NAME cos, cosf, cosl – cosine function SYNOPSIS #include <math.h> double cos(double x); float cosf(float x); long double cosl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): cosf(), cosl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION These functions return the cosine of x, where x is given…

NAME QuantLib::OneFactorCopula – Abstract base class for one-factor copula models. SYNOPSIS #include <ql/experimental/credit/onefactorcopula.hpp> Inherits QuantLib::LazyObject. Inherited by OneFactorGaussianCopula, OneFactorGaussianStudentCopula, OneFactorStudentCopula, and OneFactorStudentGaussianCopula. Public Member Functions OneFactorCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) virtual Real density (Real m) const =0 Density function of M. virtual Real cumulativeZ (Real z) const =0 Cumulative distribution…

QuantLib::LfmCovarianceProxy – proxy for a libor forward model covariance parameterization Synopsis #include <ql/legacy/libormarketmodels/lfmcovarproxy.hpp> Inherits QuantLib::LfmCovarianceParameterization. Public Member Functions LfmCovarianceProxy (const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel) boost::shared_ptr< LmVolatilityModel > volatilityModel () const boost::shared_ptr< LmCorrelationModel > correlationModel () const Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const Disposable< Matrix…

QuantLib::CovarianceDecomposition – Covariance decomposition into correlation and variances. Synopsis #include <ql/math/matrixutilities/getcovariance.hpp> Public Member Functions CovarianceDecomposition (const Matrix &covarianceMatrix, Real tolerance=1.0e-12, SalvagingAlgorithm::Type sa=SalvagingAlgorithm::None) const Array & variances () const const Array & standardDeviations () const const Matrix & correlationMatrix () const Detailed Description Covariance decomposition into correlation and variances. Extracts the correlation matrix and the vector…

QuantLib::HybridHestonHullWhiteProcess – Hybrid Heston Hull-White stochastic process. Synopsis #include <ql/processes/hybridhestonhullwhiteprocess.hpp> Inherits QuantLib::JointStochasticProcess. Public Member Functions HybridHestonHullWhiteProcess (const boost::shared_ptr< HestonProcess > &hestonProcess, const boost::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Size factors) void preEvolve (Time t0, const Array &x0, Time dt, const Array &dw) const Disposable< Array > postEvolve (Time t0, const Array &x0, Time dt, const…

NAME QuantLib::OneFactorCopula – Abstract base class for one-factor copula models. SYNOPSIS #include <ql/experimental/credit/onefactorcopula.hpp> Inherits QuantLib::LazyObject. Inherited by OneFactorGaussianCopula, OneFactorGaussianStudentCopula, OneFactorStudentCopula, and OneFactorStudentGaussianCopula. Public Member Functions OneFactorCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) virtual Real density (Real m) const =0 Density function of M. virtual Real cumulativeZ (Real z) const =0 Cumulative distribution…

QuantLib::LfmCovarianceProxy – proxy for a libor forward model covariance parameterization Synopsis #include <ql/legacy/libormarketmodels/lfmcovarproxy.hpp> Inherits QuantLib::LfmCovarianceParameterization. Public Member Functions LfmCovarianceProxy (const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel) boost::shared_ptr< LmVolatilityModel > volatilityModel () const boost::shared_ptr< LmCorrelationModel > correlationModel () const Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const Disposable< Matrix…

QuantLib::HybridHestonHullWhiteProcess – Hybrid Heston Hull-White stochastic process. Synopsis #include <ql/processes/hybridhestonhullwhiteprocess.hpp> Inherits QuantLib::JointStochasticProcess. Public Member Functions HybridHestonHullWhiteProcess (const boost::shared_ptr< HestonProcess > &hestonProcess, const boost::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Size factors) void preEvolve (Time t0, const Array &x0, Time dt, const Array &dw) const Disposable< Array > postEvolve (Time t0, const Array &x0, Time dt, const…

NAME copysign, copysignf, copysignl – copy sign of a number SYNOPSIS #include <math.h> double copysign(double x, double y); float copysignf(float x, float y); long double copysignl(long double x, long double y); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): copysign(), copysignf(), copysignl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION…

NAME copysign, copysignf, copysignl – copy sign of a number SYNOPSIS #include <math.h> double copysign(double x, double y); float copysignf(float x, float y); long double copysignl(long double x, long double y); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): copysign(), copysignf(), copysignl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION…

NAME copysign, copysignf, copysignl – copy sign of a number SYNOPSIS #include <math.h> double copysign(double x, double y); float copysignf(float x, float y); long double copysignl(long double x, long double y); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): copysign(), copysignf(), copysignl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION…

NAME QuantLib::HomogeneousPoolCDOEngine – CDO engine, loss distribution convolution for finite homogeneous pool. SYNOPSIS #include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits CDOEngine. Public Member Functions HomogeneousPoolCDOEngine (const Handle< OneFactorCopula > copula, Size nBuckets, Period stepSize=1 *Days) Protected Attributes const Handle< OneFactorCopula > copula_ Size nBuckets_ Detailed Description template<class CDOEngine> class QuantLib::HomogeneousPoolCDOEngine< CDOEngine > CDO engine, loss distribution convolution for finite…

QuantLib::HullWhite – Single-factor Hull-White (extended Vasicek) model class. Synopsis #include <ql/models/shortrate/onefactormodels/hullwhite.hpp> Inherits QuantLib::Vasicek, and QuantLib::TermStructureConsistentModel. Classes class Dynamics Short-rate dynamics in the Hull-White model. class FittingParameter Analytical term-structure fitting parameter $ ndle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01)" Public Member Functions HullWhite (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01) boost::shared_ptr< Lattice >…

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 Functions FloatingRateCoupon (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…

QuantLib::AverageBMACoupon – Average BMA coupon. Synopsis #include <ql/cashflows/averagebmacoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Public Member Functions AverageBMACoupon (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…

NAME QuantLib::CashFlows – cashflow-analysis functions SYNOPSIS #include <ql/cashflows/cashflows.hpp> Static Public Member Functions static Leg::const_iterator previousCashFlow (const Leg &leg, Date refDate=Date()) static Leg::const_iterator nextCashFlow (const Leg &leg, Date refDate=Date()) static Rate previousCouponRate (const Leg &leg, const Date &refDate=Date()) static Rate nextCouponRate (const Leg &leg, const Date &refDate=Date()) static Date startDate (const Leg &leg) static Date maturityDate…