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NAME calibrate_joystick_name – Returns the next calibration text string. Allegro game programming library. SYNOPSIS #include <allegro.h> const char *calibrate_joystick_name(int n); DESCRIPTION Pass the number of the joystick you want to calibrate as the parameter. RETURN VALUE Returns a text description for the next type of calibration that will be done on the specified joystick, or…

NAME calibrate_joystick – Calibrates the specified joystick. Allegro game programming library. SYNOPSIS #include <allegro.h> int calibrate_joystick(int n); DESCRIPTION Most joysticks need to be calibrated before they can provide full analogue input. This function performs the next operation in the calibration series for the specified stick, assuming that the joystick has been positioned in the manner…

QuantLib::CompoundForward – compound-forward structure Synopsis #include <ql/legacy/termstructures/compoundforward.hpp> Inherits QuantLib::ForwardRateStructure. Public Member Functions CompoundForward (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Rate > &forwards, const Calendar &calendar, const BusinessDayConvention conv, const Integer compounding, const DayCounter &dayCounter) BusinessDayConvention businessDayConvention () const Integer compounding () const Date maxDate () const the latest date for which…

NAME 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…

NAME Calendars – Classes class Argentina Argentinian calendars. class Australia Australian calendar. class BespokeCalendar Bespoke calendar. class Brazil Brazilian calendar. class Canada Canadian calendar. class China Chinese calendar. class CzechRepublic Czech calendars. class Denmark Danish calendar. class Finland Finnish calendar. class Germany German calendars. class HongKong Hong Kong calendars. class Hungary Hungarian calendar. class Iceland…

NAME QuantLib::CommodityIndex – base class for commodity indexes SYNOPSIS #include <ql/experimental/commodities/commodityindex.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Public Member Functions CommodityIndex (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, Real lotQuantity, const boost::shared_ptr< CommodityCurve > &forwardCurve, const boost::shared_ptr< ExchangeContracts > &exchangeContracts, int nearbyOffset) void addQuote (const Date &quoteDate, Real quote)…

NAME QuantLib::LazyObject – Framework for calculation on demand and result caching. SYNOPSIS #include <ql/patterns/lazyobject.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Inherited by AbcdAtmVolCurve, CapFloorTermVolCurve, CapFloorTermVolSurface, CmsMarket, EurodollarFuturesImpliedStdDevQuote, FdmBlackScholesSolver [private], FdmHestonSolver [private], FittedBondDiscountCurve, FlatForward, ForwardSwapQuote, ImpliedStdDevQuote, Instrument, InterpolatedSmileSection< Interpolator >, OneFactorCopula, PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >, PiecewiseYieldCurve< Traits, Interpolator, Bootstrap >, PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >, PiecewiseZeroInflationCurve< Interpolator,…

QuantLib::CommodityPricingHelper – commodity index helper Synopsis #include <ql/experimental/commodities/commoditypricinghelpers.hpp> Static Public Member Functions static Real calculateFxConversionFactor (const Currency &fromCurrency, const Currency &toCurrency, const Date &evaluationDate) static Real calculateUomConversionFactor (const CommodityType &commodityType, const UnitOfMeasure &fromUnitOfMeasure, const UnitOfMeasure &toUnitOfMeasure) static Real calculateUnitCost (const CommodityType &commodityType, const CommodityUnitCost &unitCost, const Currency &baseCurrency, const UnitOfMeasure &baseUnitOfMeasure, const Date &evaluationDate) static…

QuantLib::CommodityPricingHelper – commodity index helper Synopsis #include <ql/experimental/commodities/commoditypricinghelpers.hpp> Static Public Member Functions static Real calculateFxConversionFactor (const Currency &fromCurrency, const Currency &toCurrency, const Date &evaluationDate) static Real calculateUomConversionFactor (const CommodityType &commodityType, const UnitOfMeasure &fromUnitOfMeasure, const UnitOfMeasure &toUnitOfMeasure) static Real calculateUnitCost (const CommodityType &commodityType, const CommodityUnitCost &unitCost, const Currency &baseCurrency, const UnitOfMeasure &baseUnitOfMeasure, const Date &evaluationDate) static…

QuantLib::EnergyCommodity – Energy commodity class. Synopsis #include <ql/experimental/commodities/energycommodity.hpp> Inherits QuantLib::Commodity. Inherited by EnergyFuture, and EnergySwap. Public Types enum DeliverySchedule { Constant, Window, Hourly, Daily, Weekly, Monthly, Quarterly, Yearly } enum QuantityPeriodicity { Absolute, PerHour, PerDay, PerWeek, PerMonth, PerQuarter, PerYear } enum PaymentSchedule { WindowSettlement, MonthlySettlement, QuarterlySettlement, YearlySettlement } Public Member Functions EnergyCommodity (const CommodityType &commodityType,…

QuantLib::GarmanKlassAbstract – Garman-Klass volatility model. Synopsis #include <ql/models/volatility/garmanklass.hpp> Inherits QuantLib::LocalVolatilityEstimator<IntervalPrice>. Inherited by GarmanKlassSigma4, GarmanKlassSigma5, GarmanKlassSimpleSigma, and ParkinsonSigma. Public Member Functions GarmanKlassAbstract (Real y) TimeSeries< Volatility > calculate (const TimeSeries< IntervalPrice > &quoteSeries) Protected Member Functions virtual Real calculatePoint (const IntervalPrice &p)=0 Protected Attributes Real yearFraction_ Detailed Description Garman-Klass volatility model. This class implements a concrete…

QuantLib::Bond – Base bond class. Synopsis #include <ql/instruments/bond.hpp> Inherits QuantLib::Instrument. Inherited by AmortizingCmsRateBond, AmortizingFixedRateBond, AmortizingFloatingRateBond, CallableBond, CmsRateBond, ConvertibleBond, FixedRateBond, FloatingRateBond, and ZeroCouponBond. Public Member Functions Bond (Natural settlementDays, const Calendar &calendar, const Date &issueDate=Date(), const Leg &coupons=Leg()) constructor for amortizing or non-amortizing bonds. Bond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &maturityDate, const…

QuantLib::CommodityPricingHelper – commodity index helper Synopsis #include <ql/experimental/commodities/commoditypricinghelpers.hpp> Static Public Member Functions static Real calculateFxConversionFactor (const Currency &fromCurrency, const Currency &toCurrency, const Date &evaluationDate) static Real calculateUomConversionFactor (const CommodityType &commodityType, const UnitOfMeasure &fromUnitOfMeasure, const UnitOfMeasure &toUnitOfMeasure) static Real calculateUnitCost (const CommodityType &commodityType, const CommodityUnitCost &unitCost, const Currency &baseCurrency, const UnitOfMeasure &baseUnitOfMeasure, const Date &evaluationDate) static…

QuantLib::GaussLobattoIntegral – Integral of a one-dimensional function. Synopsis #include <ql/math/integrals/gausslobattointegral.hpp> Inherits QuantLib::Integrator. Public Member Functions GaussLobattoIntegral (Size maxIterations, Real absAccuracy, Real relAccuracy=Null< Real >(), bool useConvergenceEstimate=true) Protected Member Functions Real integrate (const boost::function< Real(Real)> &f, Real a, Real b) const Real adaptivGaussLobattoStep (const boost::function< Real(Real)> &f, Real a, Real b, Real fa, Real fb, Real…

NAME QuantLib::PerturbativeBarrierOptionEngine – perturbative barrier-option engine SYNOPSIS #include <ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp> Inherits QuantLib::BarrierOption::engine. Public Member Functions PerturbativeBarrierOptionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Natural order=1, bool zeroGamma=false) void calculate () const Detailed Description perturbative barrier-option engine This engine implements the approach described in <http://www.econ.univpm.it/recchioni/finance/w3/>. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME calc_spline – Calculates a series of values along a Bezier spline. Allegro game programming library. SYNOPSIS #include <allegro.h> void calc_spline(const int points[8], int npts, int *x, int *y); DESCRIPTION Calculates a series of npts values along a Bezier spline, storing them in the output x and y arrays. The Bezier curve is specified by…

NAME cacos, cacosf, cacosl – complex arc cosine SYNOPSIS #include <complex.h> double complex cacos(double complex z); float complex cacosf(float complex z); long double complex cacosl(long double complex z); Link with -lm. DESCRIPTION These functions calculate the complex arc cosine of z. If y = cacos(z), then z = ccos(y). The real part of y is chosen in the interval…

NAME cacosh, cacoshf, cacoshl – complex arc hyperbolic cosine SYNOPSIS #include <complex.h> double complex cacosh(double complex z); float complex cacoshf(float complex z); long double complex cacoshl(long double complex z); Link with -lm. DESCRIPTION These functions calculate the complex arc hyperbolic cosine of z. If y = cacosh(z), then z = ccosh(y). The imaginary part of y is chosen in…

NAME cacosh, cacoshf, cacoshl – complex arc hyperbolic cosine SYNOPSIS #include <complex.h> double complex cacosh(double complex z); float complex cacoshf(float complex z); long double complex cacoshl(long double complex z); Link with -lm. DESCRIPTION These functions calculate the complex arc hyperbolic cosine of z. If y = cacosh(z), then z = ccosh(y). The imaginary part of y is chosen in…

NAME cacosh, cacoshf, cacoshl – complex arc hyperbolic cosine SYNOPSIS #include <complex.h> double complex cacosh(double complex z); float complex cacoshf(float complex z); long double complex cacoshl(long double complex z); Link with -lm. DESCRIPTION These functions calculate the complex arc hyperbolic cosine of z. If y = cacosh(z), then z = ccosh(y). The imaginary part of y is chosen in…