Section 3: library functions
DATAFILE – Stores an Allegro datafile in memory. Synopsis#include <allegro.h> typedef struct DATAFILE Description void *dat; – pointer to the actual data int type; – type of the data long size; – size of the data in bytes void *prop; – list of object propertiesRead chapter "Datafile routines", section "Using datafiles" for a description on…
dasum.f – SynopsisFunctions/SubroutinesDOUBLE PRECISION function dasum (N, DX, INCX) DASUM Function/Subroutine DocumentationDOUBLE PRECISION function dasum (integerN, double precision, dimension(*)DX, integerINCX)DASUM Purpose: DASUM takes the sum of the absolute values. Author: Univ. of Tennessee Univ. of California Berkeley Univ. of Colorado Denver NAG Ltd. Date: November 2011 Further Details: jack dongarra, linpack, 3/11/78. modified 3/93 to…
QuantLib::BlackCalculator – Black 1976 calculator class. Synopsis#include <ql/pricingengines/blackcalculator.hpp> Inherited by BlackScholesCalculator. Public Member FunctionsBlackCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) Real value () const Real deltaForward () const virtual Real delta (Real spot) const Real elasticityForward () const virtual Real elasticity (Real spot) const Real gammaForward () const virtual Real…
QuantLib::BlackCalculator – Black 1976 calculator class. Synopsis#include <ql/pricingengines/blackcalculator.hpp> Inherited by BlackScholesCalculator. Public Member FunctionsBlackCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) Real value () const Real deltaForward () const virtual Real delta (Real spot) const Real elasticityForward () const virtual Real elasticity (Real spot) const Real gammaForward () const virtual Real…
QuantLib::CzechRepublic – Czech calendars. Synopsis#include <ql/time/calendars/czechrepublic.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { PSE } Public Member FunctionsCzechRepublic (Market m=PSE) Detailed DescriptionCzech calendars. Holidays for the Prague stock exchange (see http://www.pse.cz/): * Saturdays * Sundays * New Year’s Day, January 1st * Easter Monday * Labour Day, May 1st * Liberation Day, May 8th * SS….
QuantLib::CurveState – Curve state for market-model simulations Synopsis#include <ql/models/marketmodels/curvestate.hpp> Inherited by CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState. Public Member FunctionsCurveState (const std::vector< Time > &rateTimes) Inspectors Size numberOfRates () const const std::vector< Time > & rateTimes () const const std::vector< Time > & rateTaus () const virtual Real discountRatio (Size i, Size j) const =0 virtual Rate…
QuantLib::Currency – Currency specification Synopsis#include <ql/currency.hpp> Inherited by ARSCurrency, ATSCurrency, AUDCurrency, BDTCurrency, BEFCurrency, BGLCurrency, BRLCurrency, BYRCurrency, CADCurrency, CHFCurrency, CLPCurrency, CNYCurrency, COPCurrency, CYPCurrency, CZKCurrency, DEMCurrency, DKKCurrency, EEKCurrency, ESPCurrency, EURCurrency, FIMCurrency, FRFCurrency, GBPCurrency, GRDCurrency, HKDCurrency, HUFCurrency, IEPCurrency, ILSCurrency, INRCurrency, IQDCurrency, IRRCurrency, ISKCurrency, ITLCurrency, JPYCurrency, KRWCurrency, KWDCurrency, LTLCurrency, LUFCurrency, LVLCurrency, MTLCurrency, MXNCurrency, NLGCurrency, NOKCurrency, NPRCurrency, NZDCurrency, PEHCurrency, PEICurrency,…
QuantLib::CumulativeStudentDistribution – Cumulative Student t-distribution. Synopsis#include <ql/math/distributions/studenttdistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsCumulativeStudentDistribution (Integer n) Real operator() (Real x) const Detailed DescriptionCumulative Student t-distribution. Cumulative distribution function for $ n $ degrees of freedom (see mathworld.wolfram.com): [ F(x) = int_{-infty}^x,f(y),dy = ac{1}{2}, +,ac{1}{2},sgn(x), regularized incomplete beta function. AuthorGenerated automatically by Doxygen for QuantLib from the source…
QuantLib::CumulativePoissonDistribution – Cumulative Poisson distribution function. Synopsis#include <ql/math/distributions/poissondistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsCumulativePoissonDistribution (Real mu) Real operator() (BigNatural k) const Detailed DescriptionCumulative Poisson distribution function. This function provides an approximation of the integral of the Poisson distribution. For this implementation see ‘Numerical Recipes in C’, 2nd edition, Press, Teukolsky, Vetterling, Flannery, chapter 6 Tests the…
QuantLib::CumulativeNormalDistribution – Cumulative normal distribution function. Synopsis#include <ql/math/distributions/normaldistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsCumulativeNormalDistribution (Real average=0.0, Real sigma=1.0) Real operator() (Real x) const Real derivative (Real x) const Detailed DescriptionCumulative normal distribution function. Given x it provides an approximation to the integral of the gaussian normal distribution: formula here … For this implementation see M. Abramowitz…
QuantLib::CumulativeBinomialDistribution – Cumulative binomial distribution function. Synopsis#include <ql/math/distributions/binomialdistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsCumulativeBinomialDistribution (Real p, BigNatural n) Real operator() (BigNatural k) const Detailed DescriptionCumulative binomial distribution function. Given an integer k it provides the cumulative probability of observing kk<=k: formula here … AuthorGenerated automatically by Doxygen for QuantLib from the source code.
ql/math/interpolations/cubicinterpolation.hpp – cubic interpolation between discrete points Synopsis#include <ql/math/interpolation.hpp> #include <ql/methods/finitedifferences/tridiagonaloperator.hpp> #include <vector> Classesclass CubicInterpolation Cubic interpolation between discrete points. class Cubic Cubic interpolation factory and traits Detailed Descriptioncubic interpolation between discrete points AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::CubicBSplinesFitting – CubicSpline B-splines fitting method. Synopsis#include <ql/termstructures/yield/nonlinearfittingmethods.hpp> Inherits QuantLib::FittedBondDiscountCurve::FittingMethod. Public Member FunctionsCubicBSplinesFitting (const std::vector< Time > &knotVector, bool constrainAtZero=true) Real basisFunction (Integer i, Time t) const cubic B-spline basis functions std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const clone of the current object Detailed DescriptionCubicSpline B-splines fitting method. Fits a discount function to a set of…
QuantLib::Cubic – Cubic interpolation factory and traits Synopsis#include <ql/math/interpolations/cubicinterpolation.hpp> Public Member FunctionsCubic (CubicInterpolation::DerivativeApprox da=CubicInterpolation::Kruger, bool monotonic=false, CubicInterpolation::BoundaryCondition leftCondition=CubicInterpolation::SecondDerivative, Real leftConditionValue=0.0, CubicInterpolation::BoundaryCondition rightCondition=CubicInterpolation::SecondDerivative, Real rightConditionValue=0.0) template<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const Static Public Attributesstatic const bool global = true static const Size requiredPoints =…
Crypt::Rijndael – Crypt::CBC compliant Rijndael encryption module Synopsis use Crypt::Rijndael; # keysize() is 32, but 24 and 16 are also possible # blocksize() is 16 $cipher = Crypt::Rijndael->new( "a" x 32, Crypt::Rijndael::MODE_CBC() ); $cipher->set_iv($iv); $crypted = $cipher->encrypt($plaintext); # – OR – $plaintext = $cipher->decrypt($crypted);DescriptionThis module implements the Rijndael cipher, which has just been selected as…
QuantLib::CreditDefaultSwap – Credit default swap. Synopsis#include <ql/instruments/creditdefaultswap.hpp> Inherits QuantLib::Instrument. Public Member FunctionsConstructors CreditDefaultSwap (Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >()) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments (PricingEngine::arguments *)…
QuantLib::CrankNicolson – Crank-Nicolson scheme for finite difference methods. Synopsis#include <ql/methods/finitedifferences/cranknicolson.hpp> Inherits MixedScheme< Operator >. Public Typestypedef OperatorTraits< Operator > traits typedef traits::operator_type operator_type typedef traits::array_type array_type typedef traits::bc_set bc_set typedef traits::condition_type condition_type Public Member FunctionsCrankNicolson (const operator_type &L, const bc_set &bcs) Detailed Descriptiontemplate<class Operator> class QuantLib::CrankNicolson< Operator >Crank-Nicolson scheme for finite difference methods. In this…
QuantLib::CoxRossRubinstein – Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. Synopsis#include <ql/methods/lattices/binomialtree.hpp> Inherits EqualJumpsBinomialTree< CoxRossRubinstein >. Public Member FunctionsCoxRossRubinstein (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Detailed DescriptionCox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
ql/models/shortrate/onefactormodels/coxingersollross.hpp – Cox-Ingersoll-Ross model. Synopsis#include <ql/models/shortrate/onefactormodel.hpp> #include <ql/stochasticprocess.hpp> Classesclass CoxIngersollRoss Cox-Ingersoll-Ross model class. class Dynamics Dynamics of the short-rate under the Cox-Ingersoll-Ross model Detailed DescriptionCox-Ingersoll-Ross model. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::CovarianceDecomposition – Covariance decomposition into correlation and variances. Synopsis#include <ql/math/matrixutilities/getcovariance.hpp> Public Member FunctionsCovarianceDecomposition (const Matrix &covarianceMatrix, Real tolerance=1.0e-12, SalvagingAlgorithm::Type sa=SalvagingAlgorithm::None) const Array & variances () const const Array & standardDeviations () const const Matrix & correlationMatrix () const Detailed DescriptionCovariance decomposition into correlation and variances. Extracts the correlation matrix and the vector of variances out…