Linux Manuals session 3

QuantLib::FixedRateBondHelper – fixed-coupon bond helper Synopsis#include <ql/termstructures/yield/bondhelpers.hpp> Inherits BootstrapHelper< YieldTermStructure >. Public Member FunctionsFixedRateBondHelper (const Handle< Quote > &cleanPrice, Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &dayCounter, BusinessDayConvention paymentConv=Following, Real redemption=100.0, const Date &issueDate=Date()) FixedRateBondHelper (const Handle< Quote > &cleanPrice, const boost::shared_ptr< FixedRateBond > &bond) BootstrapHelper interface Real…

QuantLib::FixedRateBondForward – Forward contract on a fixed-rate bond Synopsis#include <ql/instruments/fixedratebondforward.hpp> Inherits QuantLib::Forward. Public Member FunctionsConstructors FixedRateBondForward (const Date &valueDate, const Date &maturityDate, Position::Type type, Real strike, Natural settlementDays, const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, const boost::shared_ptr< FixedRateBond > &fixedCouponBond, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &incomeDiscountCurve=Handle< YieldTermStructure >())…

QuantLib::FixedRateBond – fixed-rate bond Synopsis#include <ql/instruments/bonds/fixedratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsFixedRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date()) FixedRateBond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &startDate, const Date &maturityDate, const Period &tenor, const std::vector< Rate > &coupons,…

QuantLib::FixedDividend – Predetermined cash flow. Synopsis#include <ql/cashflows/dividend.hpp> Inherits QuantLib::Dividend. Public Member FunctionsFixedDividend (Real amount, const Date &date) Dividend interface virtual Real amount () const returns the amount of the cash flow virtual Real amount (Real) const Protected AttributesReal amount_ Detailed DescriptionPredetermined cash flow. This cash flow pays a predetermined amount at a given date. Examples:…

QuantLib::ExtendedCoxIngersollRoss::FittingParameter – Analytical term-structure fitting parameter $ te/onefactormodels/extendedcoxingersollross.hpp> Inherits QuantLib::TermStructureFittingParameter. Public Member FunctionsFittingParameter (const Handle< YieldTermStructure > &termStructure, Real theta, Real k, Real sigma, Real x0) Detailed DescriptionAnalytical term-structure fitting parameter $ lytically defined by [ c{2k heta(e^{th}-1)}{2h+(k+h)(e^{th}-1)} – ac{4 x_0 h^2 e^{th}}{(2h+(k+h)(e^{th}-1))^1}, ] where $ f(t) $ is the instantaneous forward rate at $…

QuantLib::FittedBondDiscountCurve – Discount curve fitted to a set of fixed-coupon bonds. Synopsis#include <ql/termstructures/yield/fittedbonddiscountcurve.hpp> Inherits QuantLib::YieldTermStructure, and QuantLib::LazyObject. Classesclass FittingMethod Base fitting method used to construct a fitted bond discount curve. Public Member FunctionsConstructors FittedBondDiscountCurve (Natural settlementDays, const Calendar &calendar, const std::vector< boost::shared_ptr< FixedRateBondHelper > > &instruments, const DayCounter &dayCounter, const FittingMethod &fittingMethod, Real accuracy=1.0e-10, Size…

ql/termstructures/yield/fittedbonddiscountcurve.hpp – discount curve fitted to a set of fixed-coupon bonds Synopsis#include <ql/termstructures/yield/bondhelpers.hpp> #include <ql/patterns/lazyobject.hpp> #include <ql/math/array.hpp> #include <ql/utilities/clone.hpp> #include <vector> Classesclass FittedBondDiscountCurve Discount curve fitted to a set of fixed-coupon bonds. class FittingMethod Base fitting method used to construct a fitted bond discount curve. Detailed Descriptiondiscount curve fitted to a set of fixed-coupon bonds…

QuantLib::CubicInterpolation – Cubic interpolation between discrete points. Synopsis#include <ql/math/interpolations/cubicinterpolation.hpp> Inherits QuantLib::Interpolation. Inherited by MonotonicNaturalCubicInterpolation, and NaturalCubicInterpolation. Public Typesenum DerivativeApprox { Spline, FourthOrder, Parabolic, ModifiedParabolic, FritschButland, Akima, Kruger } enum BoundaryCondition { NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange } Public Member Functionstemplate<class I1 , class I2 > CubicInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin,…

ql/methods/finitedifferences/finitedifferencemodel.hpp – generic finite difference model Synopsis#include <ql/methods/finitedifferences/stepcondition.hpp> #include <ql/methods/finitedifferences/boundarycondition.hpp> #include <ql/methods/finitedifferences/operatortraits.hpp> Classesclass FiniteDifferenceModel< Evolver > Generic finite difference model. Detailed Descriptiongeneric finite difference model AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::FdHestonVanillaEngine – Finite-Differences Heston Vanilla Option engine. Synopsis#include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp> Inherits GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results >. Public Member FunctionsFdHestonVanillaEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=20) void calculate () const Detailed DescriptionFinite-Differences Heston Vanilla Option engine. Tests the correctness of the returned value is tested by reproducing results available in web/literature and…

ql/experimental/finitedifferences/fdhestonrebateengine.hpp – Finite-Differences Heston barrier option rebate helper engine. Synopsis#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp> #include <ql/models/equity/hestonmodel.hpp> #include <ql/pricingengines/genericmodelengine.hpp> Classesclass FdHestonRebateEngine Finite-Differences Heston Barrier Option rebate helper engine. Detailed DescriptionFinite-Differences Heston barrier option rebate helper engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/experimental/finitedifferences/fdhestonbarrierengine.hpp – Finite-Differences Heston barrier option engine. Synopsis#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp> #include <ql/models/equity/hestonmodel.hpp> #include <ql/pricingengines/genericmodelengine.hpp> Classesclass FdHestonBarrierEngine Finite-Differences Heston Barrier Option engine. Detailed DescriptionFinite-Differences Heston barrier option engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp – Finite-Differences Black Scholes vanilla option engine. Synopsis#include <ql/pricingengine.hpp> #include <ql/instruments/dividendvanillaoption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classesclass FdBlackScholesVanillaEngine Finite-Differences Black Scholes vanilla option engine. Detailed DescriptionFinite-Differences Black Scholes vanilla option engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp – Finite-Differences Black Scholes barrier option rebate helper engine. Synopsis#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classesclass FdBlackScholesRebateEngine Finite-Differences Black Scholes barrier option rebate helper engine. Detailed DescriptionFinite-Differences Black Scholes barrier option rebate helper engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp – Finite-Differences Black Scholes barrier option engine. Synopsis#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classesclass FdBlackScholesBarrierEngine Finite-Differences Black Scholes barrier option engine. Detailed DescriptionFinite-Differences Black Scholes barrier option engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

FcWeightToOpenTypeDouble – Convert from fontconfig weight values to OpenType ones Synopsis#include <fontconfig/fontconfig.h> double FcWeightToOpenTypeDouble (doubleot_weight); DescriptionFcWeightToOpenTypeDouble is the inverse of FcWeightFromOpenType. If the input is less than FC_WEIGHT_THIN or greater than FC_WEIGHT_EXTRABLACK, returns -1. Otherwise returns a number in the range 1 to 1000. Sinceversion 2.12.92

FcWeightToOpenType – Convert from fontconfig weight values to OpenType ones Synopsis#include <fontconfig/fontconfig.h> int FcWeightToOpenType (intot_weight); DescriptionFcWeightToOpenType is like FcWeightToOpenTypeDouble but with integer arguments. Use the other function instead. Sinceversion 2.11.91

FcWeightFromOpenTypeDouble – Convert from OpenType weight values to fontconfig ones Synopsis#include <fontconfig/fontconfig.h> double FcWeightFromOpenTypeDouble (doubleot_weight); DescriptionFcWeightFromOpenTypeDouble returns an double value to use with FC_WEIGHT, from an double in the 1..1000 range, resembling the numbers from OpenType specification’s OS/2 usWeight numbers, which are also similar to CSS font-weight numbers. If input is negative, zero, or greater…

FcWeightFromOpenType – Convert from OpenType weight values to fontconfig ones Synopsis#include <fontconfig/fontconfig.h> int FcWeightFromOpenType (intot_weight); DescriptionFcWeightFromOpenType is like FcWeightFromOpenTypeDouble but with integer arguments. Use the other function instead. Sinceversion 2.11.91

FcValueSave – Copy a value Synopsis#include <fontconfig/fontconfig.h> FcValue FcValueSave (FcValue v); DescriptionReturns a copy of v duplicating any object referenced by it so that v may be safely destroyed without harming the new value.