Section 3: library functions
QuantLib::DailyTenorEURLibor – base class for the one day deposit BBA EUR LIBOR indexes Synopsis#include <ql/indexes/ibor/eurlibor.hpp> Inherits QuantLib::IborIndex. Inherited by EURLiborON. Public Member FunctionsDailyTenorEURLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Descriptionbase class for the one day deposit BBA EUR LIBOR indexes Euro O/N LIBOR fixed by BBA. It can be also used…
QuantLib::DailyTenorCHFLibor – base class for the one day deposit BBA CHF LIBOR indexes Synopsis#include <ql/indexes/ibor/chflibor.hpp> Inherits QuantLib::DailyTenorLibor. Public Member FunctionsDailyTenorCHFLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Descriptionbase class for the one day deposit BBA CHF LIBOR indexes AuthorGenerated automatically by Doxygen for QuantLib from the source code.
Date and time calculations – Classesclass DateInterval Date interval described by a number of a given time unit. class PricingPeriod Time pricingperiod described by a number of a given time unit. class Calendar calendar class class Date Concrete date class. struct DateGeneration Date-generation rule. class DayCounter day counter class class Period ModulesCalendars Day counters Typedefstypedef…
QuantLib::DZero – $ D_{0} $ matricial representation Synopsis#include <ql/methods/finitedifferences/dzero.hpp> Inherits QuantLib::TridiagonalOperator. Public Member FunctionsDZero (Size gridPoints, Real h) Detailed Description$ D_{0} $ matricial representation The differential operator $ D_{0} $ discretizes the first derivative with the second-order formula [ ac{ artial u_{i}}{ artial x} pprox ac{u_{i+1}-u_{i-1}}{2h} = D_{0} u_{i} ] Tests the correctness of the…
dzsum1.f – SynopsisFunctions/SubroutinesDOUBLE PRECISION function dzsum1 (N, CX, INCX) DZSUM1 forms the 1-norm of the complex vector using the true absolute value. Function/Subroutine DocumentationDOUBLE PRECISION function dzsum1 (integerN, complex*16, dimension( * )CX, integerINCX)DZSUM1 forms the 1-norm of the complex vector using the true absolute value. Purpose: DZSUM1 takes the sum of the absolute values of…
dznrm2.f – SynopsisFunctions/SubroutinesDOUBLE PRECISION function dznrm2 (N, X, INCX) DZNRM2 Function/Subroutine DocumentationDOUBLE PRECISION function dznrm2 (integerN, complex*16, dimension(*)X, integerINCX)DZNRM2 Purpose: DZNRM2 returns the euclidean norm of a vector via the function name, so that DZNRM2 := sqrt( x**H*x ) Author: Univ. of Tennessee Univ. of California Berkeley Univ. of Colorado Denver NAG Ltd. Date: November…
dzasum.f – SynopsisFunctions/SubroutinesDOUBLE PRECISION function dzasum (N, ZX, INCX) DZASUM Function/Subroutine DocumentationDOUBLE PRECISION function dzasum (integerN, complex*16, dimension(*)ZX, integerINCX)DZASUM Purpose: DZASUM takes the sum of the absolute values. Author: Univ. of Tennessee Univ. of California Berkeley Univ. of Colorado Denver NAG Ltd. Date: November 2011 Further Details: jack dongarra, 3/11/78. modified 3/93 to return if…
QuantLib::BlackCalculator – Black 1976 calculator class. Synopsis#include <ql/pricingengines/blackcalculator.hpp> Inherited by BlackScholesCalculator. Public Member FunctionsBlackCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) Real value () const Real deltaForward () const virtual Real delta (Real spot) const Real elasticityForward () const virtual Real elasticity (Real spot) const Real gammaForward () const virtual Real…
QuantLib::BlackCalculator – Black 1976 calculator class. Synopsis#include <ql/pricingengines/blackcalculator.hpp> Inherited by BlackScholesCalculator. Public Member FunctionsBlackCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) Real value () const Real deltaForward () const virtual Real delta (Real spot) const Real elasticityForward () const virtual Real elasticity (Real spot) const Real gammaForward () const virtual Real…
dtzrzf.f – SynopsisFunctions/Subroutinessubroutine dtzrzf (M, N, A, LDA, TAU, WORK, LWORK, INFO) DTZRZF Function/Subroutine Documentationsubroutine dtzrzf (integerM, integerN, double precision, dimension( lda, * )A, integerLDA, double precision, dimension( * )TAU, double precision, dimension( * )WORK, integerLWORK, integerINFO)DTZRZF Purpose: DTZRZF reduces the M-by-N ( M<=N ) real upper trapezoidal matrix A to upper triangular form by…
dtzrqf.f – SynopsisFunctions/Subroutinessubroutine dtzrqf (M, N, A, LDA, TAU, INFO) DTZRQF Function/Subroutine Documentationsubroutine dtzrqf (integerM, integerN, double precision, dimension( lda, * )A, integerLDA, double precision, dimension( * )TAU, integerINFO)DTZRQF Purpose: This routine is deprecated and has been replaced by routine DTZRZF. DTZRQF reduces the M-by-N ( M<=N ) real upper trapezoidal matrix A to upper…
dtrttp.f – SynopsisFunctions/Subroutinessubroutine dtrttp (UPLO, N, A, LDA, AP, INFO) DTRTTP copies a triangular matrix from the standard full format (TR) to the standard packed format (TP). Function/Subroutine Documentationsubroutine dtrttp (characterUPLO, integerN, double precision, dimension( lda, * )A, integerLDA, double precision, dimension( * )AP, integerINFO)DTRTTP copies a triangular matrix from the standard full format (TR)…
dtrttf.f – SynopsisFunctions/Subroutinessubroutine dtrttf (TRANSR, UPLO, N, A, LDA, ARF, INFO) DTRTTF copies a triangular matrix from the standard full format (TR) to the rectangular full packed format (TF). Function/Subroutine Documentationsubroutine dtrttf (characterTRANSR, characterUPLO, integerN, double precision, dimension( 0: lda-1, 0: * )A, integerLDA, double precision, dimension( 0: * )ARF, integerINFO)DTRTTF copies a triangular matrix…
dtrtrs.f – SynopsisFunctions/Subroutinessubroutine dtrtrs (UPLO, TRANS, DIAG, N, NRHS, A, LDA, B, LDB, INFO) DTRTRS Function/Subroutine Documentationsubroutine dtrtrs (characterUPLO, characterTRANS, characterDIAG, integerN, integerNRHS, double precision, dimension( lda, * )A, integerLDA, double precision, dimension( ldb, * )B, integerLDB, integerINFO)DTRTRS Purpose: DTRTRS solves a triangular system of the form A * X = B or A**T *…
dtrtri.f – SynopsisFunctions/Subroutinessubroutine dtrtri (UPLO, DIAG, N, A, LDA, INFO) DTRTRI Function/Subroutine Documentationsubroutine dtrtri (characterUPLO, characterDIAG, integerN, double precision, dimension( lda, * )A, integerLDA, integerINFO)DTRTRI Purpose: DTRTRI 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 =…
dtrti2.f – SynopsisFunctions/Subroutinessubroutine dtrti2 (UPLO, DIAG, N, A, LDA, INFO) DTRTI2 computes the inverse of a triangular matrix (unblocked algorithm). Function/Subroutine Documentationsubroutine dtrti2 (characterUPLO, characterDIAG, integerN, double precision, dimension( lda, * )A, integerLDA, integerINFO)DTRTI2 computes the inverse of a triangular matrix (unblocked algorithm). Purpose: DTRTI2 computes the inverse of a real upper or lower triangular…
dtrsyl.f – SynopsisFunctions/Subroutinessubroutine dtrsyl (TRANA, TRANB, ISGN, M, N, A, LDA, B, LDB, C, LDC, SCALE, INFO) DTRSYL Function/Subroutine Documentationsubroutine dtrsyl (characterTRANA, characterTRANB, integerISGN, integerM, integerN, double precision, dimension( lda, * )A, integerLDA, double precision, dimension( ldb, * )B, integerLDB, double precision, dimension( ldc, * )C, integerLDC, double precisionSCALE, integerINFO)DTRSYL Purpose: DTRSYL solves the real…
dtrsv.f – SynopsisFunctions/Subroutinessubroutine dtrsv (UPLO, TRANS, DIAG, N, A, LDA, X, INCX) DTRSV Function/Subroutine Documentationsubroutine dtrsv (characterUPLO, characterTRANS, characterDIAG, integerN, double precision, dimension(lda,*)A, integerLDA, double precision, dimension(*)X, integerINCX)DTRSV Purpose: DTRSV 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…
dtrsna.f – SynopsisFunctions/Subroutinessubroutine dtrsna (JOB, HOWMNY, SELECT, N, T, LDT, VL, LDVL, VR, LDVR, S, SEP, MM, M, WORK, LDWORK, IWORK, INFO) DTRSNA Function/Subroutine Documentationsubroutine dtrsna (characterJOB, characterHOWMNY, logical, dimension( * )SELECT, integerN, double precision, dimension( ldt, * )T, integerLDT, double precision, dimension( ldvl, * )VL, integerLDVL, double precision, dimension( ldvr, * )VR, integerLDVR, double…
dtrsm.f – SynopsisFunctions/Subroutinessubroutine dtrsm (SIDE, UPLO, TRANSA, DIAG, M, N, ALPHA, A, LDA, B, LDB) DTRSM Function/Subroutine Documentationsubroutine dtrsm (characterSIDE, characterUPLO, characterTRANSA, characterDIAG, integerM, integerN, double precisionALPHA, double precision, dimension(lda,*)A, integerLDA, double precision, dimension(ldb,*)B, integerLDB)DTRSM Purpose: DTRSM solves one of the matrix equations op( A )*X = alpha*B, or X*op( A ) = alpha*B, where…