Linux Manuals session 3

QuantLib::Instrument – Abstract instrument class. Synopsis #include <ql/instrument.hpp> Inherits QuantLib::LazyObject. Inherited by Bond, CapFloor, CDO, CdsOption, Commodity, CompositeInstrument, CreditDefaultSwap, Forward, InflationSwap, NthToDefault, Option, PathMultiAssetOption, RiskyAssetSwap, Stock, Swap, SyntheticCDO, VarianceOption, and VarianceSwap. Public Member Functions virtual void setupArguments (PricingEngine::arguments *) const virtual void fetchResults (const PricingEngine::results *) const Inspectors Real NPV () const returns the net…

QuantLib::Instrument – Abstract instrument class. Synopsis #include <ql/instrument.hpp> Inherits QuantLib::LazyObject. Inherited by Bond, CapFloor, CDO, CdsOption, Commodity, CompositeInstrument, CreditDefaultSwap, Forward, InflationSwap, NthToDefault, Option, PathMultiAssetOption, RiskyAssetSwap, Stock, Swap, SyntheticCDO, VarianceOption, and VarianceSwap. Public Member Functions virtual void setupArguments (PricingEngine::arguments *) const virtual void fetchResults (const PricingEngine::results *) const Inspectors Real NPV () const returns the net…

QuantLib::Calendar::Impl – abstract base class for calendar implementations Synopsis #include <ql/time/calendar.hpp> Inherited by Impl, OrthodoxImpl, WesternImpl, SseImpl, Impl, Impl, Impl, TadawulImpl, SettlementImpl, TsecImpl, and Impl. Public Member Functions virtual std::string name () const =0 virtual bool isBusinessDay (const Date &) const =0 virtual bool isWeekend (Weekday) const =0 Public Attributes std::set< Date > addedHolidays std::set<…

NAME add_mibdir, netsnmp_init_mib, shutdown_mib, netsnmp_read_module, read_mib, read_all_mibs, add_module_replacement, snmp_set_mib_errors, snmp_set_mib_warnings, snmp_set_save_descriptions, read_objid, snmp_parse_oid, get_module_node, print_mib, print_objid, fprint_objid, snprint_objid, print_description, fprint_description, snprint_description – netsnmp_mib_api functions SYNOPSIS #include <net-snmp/mib_api.h> Initialisation and Shutdown int add_mibdir(const char *dirname); void netsnmp_init_mib(void); void shutdown_mib(void); Reading and Parsing MIBs struct tree *netsnmp_read_module(const char *name); struct tree *read_mib(const char *filename); struct tree *read_all_mibs(void);…

NAME add_mibdir, netsnmp_init_mib, shutdown_mib, netsnmp_read_module, read_mib, read_all_mibs, add_module_replacement, snmp_set_mib_errors, snmp_set_mib_warnings, snmp_set_save_descriptions, read_objid, snmp_parse_oid, get_module_node, print_mib, print_objid, fprint_objid, snprint_objid, print_description, fprint_description, snprint_description – netsnmp_mib_api functions SYNOPSIS #include <net-snmp/mib_api.h> Initialisation and Shutdown int add_mibdir(const char *dirname); void netsnmp_init_mib(void); void shutdown_mib(void); Reading and Parsing MIBs struct tree *netsnmp_read_module(const char *name); struct tree *read_mib(const char *filename); struct tree *read_all_mibs(void);…

NAME add_clip_rect – Intersects a bitmap’s clipping rectangle with the given area. Allegro game programming library. SYNOPSIS #include <allegro.h> void add_clip_rect(BITMAP *bitmap, int x1, int y1, int x2, int y2); DESCRIPTION Sets the clipping rectangle of the specified bitmap as the intersection of its current clipping rectangle and the rectangle described by the four coordinates….

QuantLib::BespokeCalendar – Bespoke calendar. Synopsis #include <ql/time/calendars/bespokecalendar.hpp> Inherits QuantLib::Calendar. Public Member Functions BespokeCalendar (const std::string &name=”) void addWeekend (Weekday) marks the passed day as part of the weekend Detailed Description Bespoke calendar. This calendar has no predefined set of business days. Holidays and weekdays can be defined by means of the provided interface. Instances constructed…

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::ConvergenceStatistics – statistics class with convergence table Synopsis #include <ql/math/statistics/convergencestatistics.hpp> Inherits T. Public Types typedef T::value_type value_type typedef std::vector< std::pair< Size, value_type > > table_type Public Member Functions ConvergenceStatistics (const T &stats, const U &rule=U()) ConvergenceStatistics (const U &rule=U()) void add (const value_type &value, Real weight=1.0) template<class DataIterator > void addSequence (DataIterator begin, DataIterator end)…

QuantLib::MonteCarloModel – General-purpose Monte Carlo model for path samples. Synopsis #include <ql/methods/montecarlo/montecarlomodel.hpp> Public Types typedef MC< RNG > mc_traits typedef RNG rng_traits typedef MC< RNG >::path_generator_type path_generator_type typedef MC< RNG >::path_pricer_type path_pricer_type typedef path_generator_type::sample_type sample_type typedef path_pricer_type::result_type result_type typedef S stats_type Public Member Functions MonteCarloModel (const boost::shared_ptr< path_generator_type > &pathGenerator, const boost::shared_ptr< path_pricer_type > &pathPricer,…

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::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) void…

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) void…

QuantLib::Commodity – Commodity base class. Synopsis #include <ql/experimental/commodities/commodity.hpp> Inherits QuantLib::Instrument. Inherited by EnergyCommodity. Public Member Functions Commodity (const boost::shared_ptr< SecondaryCosts > &secondaryCosts) const boost::shared_ptr< SecondaryCosts > & secondaryCosts () const const SecondaryCostAmounts & secondaryCostAmounts () const const PricingErrors & pricingErrors () const void addPricingError (PricingError::Level errorLevel, const std::string &error, const std::string &detail=”) const Protected Attributes…

QuantLib::AnalyticHestonEngine – analytic Heston-model engine based on Fourier transform Synopsis #include <ql/pricingengines/vanilla/analytichestonengine.hpp> Inherits GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results >. Inherited by AnalyticHestonHullWhiteEngine, BatesDoubleExpEngine, and BatesEngine. Public Types enum ComplexLogFormula { Gatheral, BranchCorrection } Public Member Functions AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, Real relTolerance, Size maxEvaluations) AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, Size integrationOrder=144) AnalyticHestonEngine (const…

QuantLib::Calendar – calendar class Synopsis #include <ql/time/calendar.hpp> Inherited by Argentina, Australia, BespokeCalendar, Brazil, Canada, China, CzechRepublic, Denmark, Finland, Germany, HongKong, Hungary, Iceland, India, Indonesia, Italy, Japan, JointCalendar, Mexico, NewZealand, Norway, NullCalendar, Poland, SaudiArabia, Singapore, Slovakia, SouthAfrica, SouthKorea, Sweden, Switzerland, Taiwan, TARGET, Turkey, Ukraine, UnitedKingdom, and UnitedStates. Classes class Impl abstract base class for calendar implementations…

QuantLib::Index – purely virtual base class for indexes Synopsis #include <ql/index.hpp> Inherits QuantLib::Observable. Inherited by InflationIndex, and InterestRateIndex. Public Member Functions virtual std::string name () const =0 Returns the name of the index. virtual Calendar fixingCalendar () const =0 returns the calendar defining valid fixing dates virtual bool isValidFixingDate (const Date &fixingDate) const =0 returns…

QuantLib::Index – purely virtual base class for indexes Synopsis #include <ql/index.hpp> Inherits QuantLib::Observable. Inherited by InflationIndex, and InterestRateIndex. Public Member Functions virtual std::string name () const =0 Returns the name of the index. virtual Calendar fixingCalendar () const =0 returns the calendar defining valid fixing dates virtual bool isValidFixingDate (const Date &fixingDate) const =0 returns…

NAME QuantLib::ExchangeRateManager – exchange-rate repository SYNOPSIS #include <ql/currencies/exchangeratemanager.hpp> Inherits Singleton< ExchangeRateManager >. Public Member Functions void add (const ExchangeRate &, const Date &startDate=Date::minDate(), const Date &endDate=Date::maxDate()) Add an exchange rate. ExchangeRate lookup (const Currency &source, const Currency &target, Date date=Date(), ExchangeRate::Type type=ExchangeRate::Derived) const void clear () remove the added exchange rates Friends class Singleton< ExchangeRateManager…

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…