Section 3: library functions
NAME blackbox.h – SYNOPSIS #include ‘alchemist.h’ Classes struct AdmBlackBoxMethods struct AdmBlackBoxModuleVector Defines #define ALCHEMIST_BLACKBOX_MOD_PATH ‘/usr/lib/alchemist/blackbox’ Define Documentation #define ALCHEMIST_BLACKBOX_MOD_PATH ‘/usr/lib/alchemist/blackbox’ Author Generated automatically by Doxygen for Alchemist from the source code. Index
QuantLib::GeneralizedBlackScholesProcess – Generalized Black-Scholes stochastic process. Synopsis #include <ql/processes/blackscholesprocess.hpp> Inherits QuantLib::StochasticProcess1D. Inherited by BlackProcess, BlackScholesMertonProcess, BlackScholesProcess, ExtendedBlackScholesMertonProcess, and GarmanKohlagenProcess. Public Member Functions GeneralizedBlackScholesProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > ÷ndTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) Time time (const Date…
QuantLib::CallableBond – Callable bond base class. Synopsis #include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::Bond. Inherited by CallableFixedRateBond. Classes class engine base class for callable fixed rate bond engine class results results for a callable bond calculation Public Member Functions virtual void setupArguments (PricingEngine::arguments *args) const Inspectors const CallabilitySchedule & callability () const return the bond’s put/call schedule Calculations…
QuantLib::BlackConstantVol – Constant Black volatility, no time-strike dependence. Synopsis #include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp> Inherits QuantLib::BlackVolatilityTermStructure. Public Member Functions BlackConstantVol (const Date &referenceDate, const Calendar &, Volatility volatility, const DayCounter &dayCounter) BlackConstantVol (const Date &referenceDate, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter) BlackConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) BlackConstantVol…
QuantLib::BlackVolTermStructure – Black-volatility term structure. Synopsis #include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by BlackVarianceTermStructure, and BlackVolatilityTermStructure. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. BlackVolTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference…
QuantLib::BlackVarianceCurve – Black volatility curve modelled as variance curve. Synopsis #include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp> Inherits QuantLib::BlackVarianceTermStructure. Public Member Functions BlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &blackVolCurve, const DayCounter &dayCounter, bool forceMonotoneVariance=true) TermStructure interface DayCounter dayCounter () const the day counter used for date/time conversion Date maxDate () const the latest…
QuantLib::CallableBondVolatilityStructure – Callable-bond volatility structure. Synopsis #include <ql/experimental/callablebonds/callablebondvolstructure.hpp> Inherits QuantLib::TermStructure. Inherited by CallableBondConstantVolatility. Public Member Functions virtual std::pair< Time, Time > convertDates (const Date &optionDate, const Period &bondTenor) const implements the conversion between dates and times virtual BusinessDayConvention businessDayConvention () const the business day convention used for option date calculation Date optionDateFromTenor (const Period &optionTenor)…
ql/pricingengines/greeks.hpp – default greek calculations Synopsis #include <ql/processes/blackscholesprocess.hpp> Functions Real blackScholesTheta (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Real value, Real delta, Real gamma) default theta calculation for Black-Scholes options Real defaultThetaPerDay (Real theta) default theta-per-day calculation Detailed Description default greek calculations Author Generated automatically by Doxygen for QuantLib from the source code.
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…
QuantLib::BlackVolTermStructure – Black-volatility term structure. Synopsis #include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by BlackVarianceTermStructure, and BlackVolatilityTermStructure. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. BlackVolTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference…
QuantLib::BlackVolTermStructure – Black-volatility term structure. Synopsis #include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by BlackVarianceTermStructure, and BlackVolatilityTermStructure. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. BlackVolTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference…
QuantLib::CallableBond – Callable bond base class. Synopsis #include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::Bond. Inherited by CallableFixedRateBond. Classes class engine base class for callable fixed rate bond engine class results results for a callable bond calculation Public Member Functions virtual void setupArguments (PricingEngine::arguments *args) const Inspectors const CallabilitySchedule & callability () const return the bond’s put/call schedule Calculations…
QuantLib::CallableBond – Callable bond base class. Synopsis #include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::Bond. Inherited by CallableFixedRateBond. Classes class engine base class for callable fixed rate bond engine class results results for a callable bond calculation Public Member Functions virtual void setupArguments (PricingEngine::arguments *args) const Inspectors const CallabilitySchedule & callability () const return the bond’s put/call schedule Calculations…
NAME ql/pricingengines/vanilla/bjerksundstenslandengine.hpp – Bjerksund and Stensland approximation engine. SYNOPSIS #include <ql/instruments/vanillaoption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classes class BjerksundStenslandApproximationEngine Bjerksund and Stensland pricing engine for American options (1993). Detailed Description Bjerksund and Stensland approximation engine. Author Generated automatically by Doxygen for QuantLib from the source code. Index
NAME ql/math/distributions/bivariatenormaldistribution.hpp – bivariate cumulative normal distribution SYNOPSIS #include <ql/math/distributions/normaldistribution.hpp> Classes class BivariateCumulativeNormalDistributionDr78 Cumulative bivariate normal distribution function. class BivariateCumulativeNormalDistributionWe04DP Cumulative bivariate normal distibution function (West 2004). Typedefs typedef BivariateCumulativeNormalDistributionWe04DP BivariateCumulativeNormalDistribution default bivariate implementation Detailed Description bivariate cumulative normal distribution Author Generated automatically by Doxygen for QuantLib from the source code. Index
NAME bit_alloc bit_clear bit_decl bit_ffs bit_nclear bit_nset bit_set bitstr_size bit_test – bit-string manipulation macros SYNOPSIS In bsd/bitstring.h Ft bitstr_t * Fn bit_alloc int nbits Ft void Fn bit_decl bitstr_t *name int nbits Ft void Fn bit_clear bitstr_t *name int bit Ft void Fn bit_ffc bitstr_t *name int nbits int *value Ft void Fn bit_ffs bitstr_t…
NAME bitmap_mask_color – Returns the mask color of the specified bitmap. Allegro game programming library. SYNOPSIS #include <allegro.h> int bitmap_mask_color(BITMAP *bmp); DESCRIPTION Returns the mask color for the specified bitmap (the value which is skipped when drawing sprites). For 256-color bitmaps this is zero, and for truecolor bitmaps it is bright pink (maximum red and…
NAME bitmap_color_depth – Returns the color depth of the specified bitmap. Allegro game programming library. SYNOPSIS #include <allegro.h> int bitmap_color_depth(BITMAP *bmp); DESCRIPTION Returns the color depth of the specified bitmap (8, 15, 16, 24, or 32). Example: switch (bitmap_color_depth(screen)) { case 8: /* Access screen using optimized 8-bit code. */ break; default: /* Use generic…
NAME bin_search, copyfile, replace_line, insert_line – general purpose functions for performing a binary search SYNOPSIS char *bin_search(char *key, FILE *fp); void copyfile(FILE *fromfp, FILE *tofp); char *replace_line(char *new_line, char *key, FILE *fp); char *insert_line(char *new_line, char *key, FILE *fp); DESCRIPTION The WordNet library contains several general purpose functions for performing a binary search and modifying…
NAME QuantLib::Histogram – Histogram class. SYNOPSIS #include <ql/math/statistics/histogram.hpp> Public Types enum Algorithm { None, Sturges, FD, Scott } Public Member Functions constructors Histogram () template<class T > Histogram (T data_begin, T data_end, Size breaks) template<class T > Histogram (T data_begin, T data_end, Algorithm algorithm) template<class T , class U > Histogram (T data_begin, T data_end,…