Linux Manuals session 3

NAME QuantLib::HaganPricer – CMS-coupon pricer. SYNOPSIS #include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::CmsCouponPricer. Inherited by AnalyticHaganPricer, and NumericHaganPricer. Public Member Functions virtual Real swapletPrice () const =0 virtual Rate swapletRate () const virtual Real capletPrice (Rate effectiveCap) const virtual Rate capletRate (Rate effectiveCap) const virtual Real floorletPrice (Rate effectiveFloor) const virtual Rate floorletRate (Rate effectiveFloor) const Real meanReversion…

NAME ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp – Analytic engine for continuous floating-strike lookback. SYNOPSIS #include <ql/instruments/lookbackoption.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/math/distributions/normaldistribution.hpp> Classes class AnalyticContinuousFloatingLookbackEngine Pricing engine for European continuous floating-strike lookback. Detailed Description Analytic engine for continuous floating-strike lookback. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp – Analytic engine for continuous fixed-strike lookback. SYNOPSIS #include <ql/instruments/lookbackoption.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/math/distributions/normaldistribution.hpp> Classes class AnalyticContinuousFixedLookbackEngine Pricing engine for European continuous fixed-strike lookback. Detailed Description Analytic engine for continuous fixed-strike lookback. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/pricingengines/asian/analytic_discr_geom_av_price.hpp – Analytic engine for discrete geometric average price Asian. SYNOPSIS #include <ql/instruments/asianoption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classes class AnalyticDiscreteGeometricAveragePriceAsianEngine Pricing engine for European discrete geometric average price Asian. Detailed Description Analytic engine for discrete geometric average price Asian. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/pricingengines/asian/analytic_cont_geom_av_price.hpp – Analytic engine for continuous geometric average price Asian. SYNOPSIS #include <ql/instruments/asianoption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classes class AnalyticContinuousGeometricAveragePriceAsianEngine Pricing engine for European continuous geometric average price Asian. Detailed Description Analytic engine for continuous geometric average price Asian. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME QuantLib::FixedDividend – Predetermined cash flow. SYNOPSIS #include <ql/cashflows/dividend.hpp> Inherits QuantLib::Dividend. Public Member Functions FixedDividend (Real amount, const Date &date) Dividend interface virtual Real amount () const returns the amount of the cash flow virtual Real amount (Real) const Protected Attributes Real amount_ Detailed Description Predetermined cash flow. This cash flow pays a predetermined amount…

NAME QuantLib::CashFlow – Base class for cash flows. SYNOPSIS #include <ql/cashflow.hpp> Inherits QuantLib::Event. Inherited by CommodityCashFlow, Coupon, Dividend, and SimpleCashFlow. Public Member Functions Event interface virtual Date date () const =0 CashFlow interface virtual Real amount () const =0 returns the amount of the cash flow Visitability virtual void accept (AcyclicVisitor &) Detailed Description Base…

NAME ql/currencies/america.hpp – American currencies. SYNOPSIS #include <ql/currency.hpp> Classes class ARSCurrency Argentinian peso. class BRLCurrency Brazilian real. class CADCurrency Canadian dollar. class CLPCurrency Chilean peso. class COPCurrency Colombian peso. class MXNCurrency Mexican peso. class PENCurrency Peruvian nuevo sol. class PEICurrency Peruvian inti. class PEHCurrency Peruvian sol. class TTDCurrency Trinidad & Tobago dollar. class USDCurrency U.S….

QuantLib::YearOnYearInflationSwap – Year-on-year inflation-indexed swap. Synopsis #include <ql/instruments/yearonyearinflationswap.hpp> Inherits QuantLib::InflationSwap. Public Member Functions YearOnYearInflationSwap (const Date &start, const Date &maturity, const Period &lag, Rate fixedRate, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS, const Handle< YoYInflationTermStructure > &inflationTS, bool allowAmbiguousPayments=false, const Period &ambiguousPaymentPeriod=Period(1, Months)) Instrument interface bool isExpired () const…

QuantLib::MarketModelPathwiseMultiProduct – market-model pathwise product Synopsis #include <ql/models/marketmodels/pathwisemultiproduct.hpp> Inherited by MarketModelPathwiseCoterminalSwaptionsDeflated, MarketModelPathwiseCoterminalSwaptionsNumericalDeflated, MarketModelPathwiseMultiCaplet, MarketModelPathwiseMultiDeflatedCap, and MarketModelPathwiseMultiDeflatedCaplet. Public Member Functions virtual std::vector< Size > suggestedNumeraires () const =0 virtual const EvolutionDescription & evolution () const =0 virtual std::vector< Time > possibleCashFlowTimes () const =0 virtual Size numberOfProducts () const =0 virtual Size maxNumberOfCashFlowsPerProductPerStep () const =0…

NAME scandir, scandirat, alphasort, versionsort – scan a directory for matching entries SYNOPSIS #include <dirent.h> int scandir(const char *dirp, struct dirent ***namelist, int (*filter)(const struct dirent *), int (*compar)(const struct dirent **, const struct dirent **)); int alphasort(const struct dirent **a, const struct dirent **b); int versionsort(const struct dirent **a, const struct dirent **b); #include…

NAME 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,…

NAME QuantLib::GaussianOrthogonalPolynomial – orthogonal polynomial for Gaussian quadratures SYNOPSIS #include <ql/math/integrals/gaussianorthogonalpolynomial.hpp> Inherited by GaussHermitePolynomial, GaussHyperbolicPolynomial, GaussJacobiPolynomial, and GaussLaguerrePolynomial. Public Member Functions virtual Real mu_0 () const =0 virtual Real alpha (Size i) const =0 virtual Real beta (Size i) const =0 virtual Real w (Real x) const =0 Real value (Size i, Real x) const…

QuantLib::Extrapolator – base class for classes possibly allowing extrapolation Synopsis #include <ql/math/interpolations/extrapolation.hpp> Inherited by Interpolation, Interpolation2D, and TermStructure. Public Member Functions modifiers void enableExtrapolation (bool b=true) enable extrapolation in subsequent calls void disableExtrapolation (bool b=true) disable extrapolation in subsequent calls inspectors bool allowsExtrapolation () const tells whether extrapolation is enabled Detailed Description base class for…

QuantLib::YearOnYearInflationSwap – Year-on-year inflation-indexed swap. Synopsis #include <ql/instruments/yearonyearinflationswap.hpp> Inherits QuantLib::InflationSwap. Public Member Functions YearOnYearInflationSwap (const Date &start, const Date &maturity, const Period &lag, Rate fixedRate, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS, const Handle< YoYInflationTermStructure > &inflationTS, bool allowAmbiguousPayments=false, const Period &ambiguousPaymentPeriod=Period(1, Months)) Instrument interface bool isExpired () const…

NAME allocate_voice – Allocates a sound card voice for a sample. Allegro game programming library. SYNOPSIS #include <allegro.h> int allocate_voice(const SAMPLE *spl); DESCRIPTION Allocates a sound card voice and prepares it for playing the specified sample, setting up sensible default parameters (maximum volume, centre pan, no change of pitch, no looping). When you are finished…

NAME alloca – allocate memory that is automatically freed SYNOPSIS #include <alloca.h> void *alloca(size_t size); DESCRIPTION The alloca() function allocates size bytes of space in the stack frame of the caller. This temporary space is automatically freed when the function that called alloca() returns to its caller. RETURN VALUE The alloca() function returns a pointer…

NAME allegro_message – Used mainly to show error messages to users. Allegro game programming library. SYNOPSIS #include <allegro.h> void allegro_message(const char *text_format, …); DESCRIPTION Outputs a message, using a printf() format string. Usually you want to use this to report messages to the user in an OS independent way when some Allegro subsystem cannot be…

NAME allegro_exit – Closes down the Allegro system. SYNOPSIS #include <allegro.h> void allegro_exit(); DESCRIPTION Closes down the Allegro system. This includes returning the system to text mode and removing whatever mouse, keyboard, and timer routines have been installed. You don’t normally need to bother making an explicit call to this function, because allegro_init() installs it…

NAME allegro_error – Stores the last Allegro error message. SYNOPSIS #include <allegro.h> extern char allegro_error[ALLEGRO_ERROR_SIZE]; DESCRIPTION Text string used by set_gfx_mode(), install_sound() and other functions to report error messages. If they fail and you want to tell the user why, this is the place to look for a description of the problem. Example: void abort_on_error(const…