Linux Manuals session 3

QuantLib::OptionletStripper1 – Synopsis #include <ql/termstructures/volatility/optionlet/optionletstripper1.hpp> Inherits QuantLib::OptionletStripper. Public Member Functions OptionletStripper1 (const boost::shared_ptr< CapFloorTermVolSurface > &, const boost::shared_ptr< IborIndex > &index, Rate switchStrikes=Null< Rate >(), Real accuracy=1.0e-6, Natural maxIter=100) const Matrix & capFloorPrices () const const Matrix & capFloorVolatilities () const const Matrix & optionletPrices () const Rate switchStrike () const LazyObject interface void performCalculations…

NAME QuantLib::CappedFlooredCoupon – Capped and/or floored floating-rate coupon. SYNOPSIS #include <ql/cashflows/capflooredcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by CappedFlooredCmsCoupon, and CappedFlooredIborCoupon. Public Member Functions CappedFlooredCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >()) Rate cap () const cap Rate floor () const floor Rate effectiveCap () const effective cap of fixing Rate effectiveFloor…

NAME canonicalize_filename – Converts any filename into its canonical form. Allegro game programming library. SYNOPSIS #include <allegro.h> char *canonicalize_filename(char *dest, const char *filename, int size); DESCRIPTION Converts any filename into its canonical form, i.e. the minimal absolute filename describing the same file and fixing incorrect forward/backward slashes for the current platform, storing at most `size’…

NAME canonicalize_file_name – return the canonicalized absolute pathname SYNOPSIS #define _GNU_SOURCE /* See feature_test_macros(7) */ #include <stdlib.h> char *canonicalize_file_name(const char *path); DESCRIPTION The canonicalize_file_name() function returns a null-terminated string containing the canonicalized absolute pathname corresponding to path. In the returned string, symbolic links are resolved, as are . and .. pathname components. Consecutive slash (/)…

NAME rpc – library routines for remote procedure calls SYNOPSIS AND DESCRIPTION These routines allow C programs to make procedure calls on other machines across the network. First, the client calls a procedure to send a data packet to the server. Upon receipt of the packet, the server calls a dispatch routine to perform the…

NAME malloc, free, calloc, realloc, reallocarray – allocate and free dynamic memory SYNOPSIS #include <stdlib.h> void *malloc(size_t size); void free(void *ptr); void *calloc(size_t nmemb, size_t size); void *realloc(void *ptr, size_t size); void *reallocarray(void *ptr, size_t nmemb, size_t size); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): reallocarray():     Since glibc 2.29:         _DEFAULT_SOURCE     Glibc 2.28 and earlier:…

NAME callback – closures with variable arguments as first-class C functions SYNOPSIS #include <callback.h> void function(data, alist) void *data; va_alist alist; { va_start_type(alist[, return_type]); arg = va_arg_type(alist[, arg_type]); va_return_type(alist[[, return_type ], return_value]); } callback = alloc_callback(&function, data); free_callback(callback); is_callback(callback) callback_address(callback) callback_data(callback) DESCRIPTION These functions implement closures with variable arguments as first-class C functions. Closures as…

NAME ql/experimental/callablebonds/callablebondvolstructure.hpp – Callable-bond volatility structure. SYNOPSIS #include <ql/termstructure.hpp> #include <ql/math/interpolations/linearinterpolation.hpp> #include <ql/termstructures/volatility/smilesection.hpp> Classes class CallableBondVolatilityStructure Callable-bond volatility structure. Detailed Description Callable-bond volatility structure. Author Generated automatically by Doxygen for QuantLib from the source code. Index

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::DigitalCoupon – Digital-payoff coupon. Synopsis #include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member Functions Constructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >())…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis #include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member Functions Constructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >())…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis #include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member Functions Constructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >())…

QuantLib::EurodollarFuturesImpliedStdDevQuote – quote for the Eurodollar-future implied standard deviation Synopsis #include <ql/quotes/eurodollarfuturesquote.hpp> Inherits QuantLib::Quote, and QuantLib::LazyObject. Public Member Functions EurodollarFuturesImpliedStdDevQuote (const Handle< Quote > &forward, const Handle< Quote > &callPrice, const Handle< Quote > &putPrice, Real strike, Real guess=.15, Real accuracy=1.0e-6, Natural maxIter=100) Quote interface Real value () const returns the current value bool isValid…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis #include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member Functions Constructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >())…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis #include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member Functions Constructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >())…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis #include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member Functions Constructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >())…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis #include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member Functions Constructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >())…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis #include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member Functions Constructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >())…

QuantLib::LongstaffSchwartzPathPricer – Longstaff-Schwarz path pricer for early exercise options. Synopsis #include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp> Inherits PathPricer< PathType >. Public Types typedef EarlyExerciseTraits< PathType >::StateType StateType Public Member Functions LongstaffSchwartzPathPricer (const TimeGrid &times, const boost::shared_ptr< EarlyExercisePathPricer< PathType > > &, const boost::shared_ptr< YieldTermStructure > &termStructure) Real operator() (const PathType &path) const virtual void calibrate () Protected Attributes bool…

QuantLib::CalibrationHelper – liquid market instrument used during calibration Synopsis #include <ql/models/calibrationhelper.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by CapHelper, HestonModelHelper, and SwaptionHelper. Public Member Functions CalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) void update () Real marketValue () const returns the actual price of the instrument (from volatility) virtual Real…