Linux Manuals session 3

QuantLib::EuriborSwapIsdaFixA – EuriborSwapIsdaFixA index base class Synopsis#include <ql/indexes/swap/euriborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEuriborSwapIsdaFixA (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEuriborSwapIsdaFixA index base class Euribor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am Frankfurt. Annual 30/360 vs 6M Euribor, 1Y vs 3M Euribor. Reuters page…

QuantLib::EuriborSwapIfrFix – EuriborSwapIfrFix index base class Synopsis#include <ql/indexes/swap/euriborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEuriborSwapIfrFix (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEuriborSwapIfrFix index base class Euribor Swap indexes published by IFR Markets and distributed by Reuters page TGM42281 and by Telerate. Annual 30/360 vs 6M Euribor, 1Y vs 3M Euribor. For more…

QuantLib::Euribor6M – 6-months Euribor index Synopsis#include <ql/indexes/ibor/euribor.hpp> Inherits QuantLib::Euribor. Public Member FunctionsEuribor6M (const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description6-months Euribor index Examples: BermudanSwaption.cpp, Bonds.cpp, and swapvaluation.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Euribor365 – Actual/365 Euribor index. Synopsis#include <ql/indexes/ibor/euribor.hpp> Inherits QuantLib::IborIndex. Inherited by Euribor365_10M, Euribor365_11M, Euribor365_1M, Euribor365_1Y, Euribor365_2M, Euribor365_2W, Euribor365_3M, Euribor365_3W, Euribor365_4M, Euribor365_5M, Euribor365_6M, Euribor365_7M, Euribor365_8M, Euribor365_9M, and Euribor365_SW. Public Member FunctionsEuribor365 (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionActual/365 Euribor index. Euribor rate adjusted for the mismatch between the actual/360 convention used…

ql/indexes/ibor/euribor.hpp – Euribor index Synopsis#include <ql/indexes/iborindex.hpp> Classesclass Euribor Euribor index class Euribor365 Actual/365 Euribor index. class DailyTenorEuribor Daily tenor Euribor index. class DailyTenorEuribor365 Daily tenor Actual/365 Euribor index. class EuriborSW 1-week Euribor index class Euribor2W 2-weeks Euribor index class Euribor3W 3-weeks Euribor index class Euribor1M 1-month Euribor index class Euribor2M 2-months Euribor index class Euribor3M…

QuantLib::Germany – German calendars. Synopsis#include <ql/time/calendars/germany.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { Settlement, FrankfurtStockExchange, Xetra, Eurex } German calendars. Public Member FunctionsGermany (Market market=FrankfurtStockExchange) Detailed DescriptionGerman calendars. Public holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Good Friday * Easter Monday * Ascension Thursday * Whit Monday * Corpus Christi *…

QuantLib::EurLiborSwapIsdaFixB – EurLiborSwapIsdaFixB index base class Synopsis#include <ql/indexes/swap/eurliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEurLiborSwapIsdaFixB (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEurLiborSwapIsdaFixB index base class EUR Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am London. Annual 30/360 vs 6M Libor, 1Y vs 3M Libor. Reuters…

QuantLib::EurLiborSwapIsdaFixA – EurLiborSwapIsdaFixA index base class Synopsis#include <ql/indexes/swap/eurliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEurLiborSwapIsdaFixA (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEurLiborSwapIsdaFixA index base class EUR Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 10am London. Annual 30/360 vs 6M Libor, 1Y vs 3M Libor. Reuters…

QuantLib::EurLiborSwapIfrFix – EurLiborSwapIfrFix index base class Synopsis#include <ql/indexes/swap/eurliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEurLiborSwapIfrFix (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEurLiborSwapIfrFix index base class EUR Libor Swap indexes published by IFR Markets and distributed by Reuters page TGM42281 and by Telerate. Annual 30/360 vs 6M Libor, 1Y vs 3M Libor. For…

error, error_at_line, error_message_count, error_one_per_line, error_print_progname – glibc error reporting functions Synopsis#include <error.h> void error(int status, int errnum, const char *format, …); void error_at_line(int status, int errnum, const char *filename, unsigned int linenum, const char *format, …); extern unsigned int error_message_count; extern int error_one_per_line; extern void (*error_print_progname) (void);Descriptionerror() is a general error-reporting function. It flushes stdout,…

QuantLib::EquityFXVolSurface – Equity/FX volatility (smile) surface. Synopsis#include <ql/experimental/volatility/equityfxvolsurface.hpp> Inherits QuantLib::BlackVolSurface. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. EquityFXVolSurface (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor EquityFXVolSurface (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference date EquityFXVolSurface (Natural settlementDays, const Calendar…

QuantLib::EqualProbabilitiesBinomialTree – Base class for equal probabilities binomial tree. Synopsis#include <ql/methods/lattices/binomialtree.hpp> Inherits BinomialTree< T >. Public Member FunctionsEqualProbabilitiesBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) Real underlying (Size i, Size index) const Real probability (Size, Size, Size) const Protected AttributesReal up_ Detailed Descriptiontemplate<class T> class QuantLib::EqualProbabilitiesBinomialTree< T >Base class for equal probabilities binomial…

QuantLib::EqualJumpsBinomialTree – Base class for equal jumps binomial tree. Synopsis#include <ql/methods/lattices/binomialtree.hpp> Inherits BinomialTree< T >. Public Member FunctionsEqualJumpsBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) Real underlying (Size i, Size index) const Real probability (Size, Size, Size branch) const Protected AttributesReal dx_ Real pu_ Real pd_ Detailed Descriptiontemplate<class T> class QuantLib::EqualJumpsBinomialTree< T >Base…

QuantLib::EnergyVanillaSwap – Vanilla energy swap. Synopsis#include <ql/experimental/commodities/energyvanillaswap.hpp> Inherits QuantLib::EnergySwap. Public Member FunctionsEnergyVanillaSwap (bool payer, const Calendar &calendar, const Money &fixedPrice, const UnitOfMeasure &fixedPriceUnitOfMeasure, const boost::shared_ptr< CommodityIndex > &index, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure > &payLegTermStructure, const Handle< YieldTermStructure > &receiveLegTermStructure,…

QuantLib::EnergyFuture – Energy future. Synopsis#include <ql/experimental/commodities/energyfuture.hpp> Inherits QuantLib::EnergyCommodity. Public Member FunctionsEnergyFuture (Integer buySell, const Quantity &quantity, const CommodityUnitCost &tradePrice, const boost::shared_ptr< CommodityIndex > &index, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts) bool isExpired () const returns whether the instrument is still tradable. Quantity quantity () const const CommodityUnitCost & tradePrice () const const boost::shared_ptr<…

ql/experimental/commodities/energycommodity.hpp – Energy commodity. Synopsis#include <ql/experimental/commodities/commodity.hpp> #include <ql/experimental/commodities/commoditytype.hpp> #include <ql/experimental/commodities/commodityunitcost.hpp> #include <ql/experimental/commodities/unitofmeasure.hpp> #include <ql/experimental/commodities/quantity.hpp> #include <ql/time/date.hpp> #include <ql/money.hpp> Classesclass EnergyCommodity Energy commodity class. Typedefstypedef std::map< Date, EnergyDailyPosition > EnergyDailyPositions Functionsstd::ostream & operator<< (std::ostream &out, const SecondaryCostAmounts &secondaryCostAmounts) Detailed DescriptionEnergy commodity. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/experimental/commodities/energycommodity.hpp – Energy commodity. Synopsis#include <ql/experimental/commodities/commodity.hpp> #include <ql/experimental/commodities/commoditytype.hpp> #include <ql/experimental/commodities/commodityunitcost.hpp> #include <ql/experimental/commodities/unitofmeasure.hpp> #include <ql/experimental/commodities/quantity.hpp> #include <ql/time/date.hpp> #include <ql/money.hpp> Classesclass EnergyCommodity Energy commodity class. Typedefstypedef std::map< Date, EnergyDailyPosition > EnergyDailyPositions Functionsstd::ostream & operator<< (std::ostream &out, const SecondaryCostAmounts &secondaryCostAmounts) Detailed DescriptionEnergy commodity. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::EnergyBasisSwap – Energy basis swap. Synopsis#include <ql/experimental/commodities/energybasisswap.hpp> Inherits QuantLib::EnergySwap. Public Member FunctionsEnergyBasisSwap (const Calendar &calendar, const boost::shared_ptr< CommodityIndex > &spreadIndex, const boost::shared_ptr< CommodityIndex > &payIndex, const boost::shared_ptr< CommodityIndex > &receiveIndex, bool spreadToPayLeg, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityUnitCost &basis, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure…

ql/math/optimization/endcriteria.hpp – Optimization criteria class. Synopsis#include <ql/utilities/null.hpp> #include <iostream> Classesclass EndCriteria Criteria to end optimization process:. Functionsstd::ostream & operator<< (std::ostream &out, EndCriteria::Type ecType) Detailed DescriptionOptimization criteria class. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

Byte Swapping Functions – Functions that are used to ensure that integers passed to the virtual machine are in small endian format. FunctionsEAPI void embryo_swap_16 (unsigned short *v) Ensures that the given unsigned short integer is in the small endian format. EAPI void embryo_swap_32 (unsigned int *v) Ensures that the given unsigned integer is in…