Linux Manuals session 3

QuantLib::DirichletBC – Neumann boundary condition (i.e., constant value). Synopsis#include <ql/methods/finitedifferences/boundarycondition.hpp> Inherits BoundaryCondition< TridiagonalOperator >. Public Member FunctionsDirichletBC (Real value, Side side) void applyBeforeApplying (TridiagonalOperator &) const void applyAfterApplying (Array &) const void applyBeforeSolving (TridiagonalOperator &, Array &rhs) const void applyAfterSolving (Array &) const void setTime (Time) Detailed DescriptionNeumann boundary condition (i.e., constant value). Possible enhancements…

QuantLib::ExchangeRate – exchange rate between two currencies Synopsis#include <ql/exchangerate.hpp> Public Typesenum Type { Direct, Derived } Public Member FunctionsConstructors ExchangeRate () ExchangeRate (const Currency &source, const Currency &target, Decimal rate) Inspectors const Currency & source () const the source currency. const Currency & target () const the target currency. Type type () const the type…

QuantLib::DigitalIborLeg – helper class building a sequence of digital ibor-rate coupons Synopsis#include <ql/cashflows/digitaliborcoupon.hpp> Public Member FunctionsDigitalIborLeg (const Schedule &schedule, const boost::shared_ptr< IborIndex > &index) DigitalIborLeg & withNotionals (Real notional) DigitalIborLeg & withNotionals (const std::vector< Real > &notionals) DigitalIborLeg & withPaymentDayCounter (const DayCounter &) DigitalIborLeg & withPaymentAdjustment (BusinessDayConvention) DigitalIborLeg & withFixingDays (Natural fixingDays) DigitalIborLeg & withFixingDays…

ql/cashflows/digitaliborcoupon.hpp – Ibor-rate coupon with digital call/put option. Synopsis#include <ql/cashflows/digitalcoupon.hpp> #include <ql/cashflows/iborcoupon.hpp> #include <ql/time/schedule.hpp> Classesclass DigitalIborCoupon Ibor rate coupon with digital digital call/put option. class DigitalIborLeg helper class building a sequence of digital ibor-rate coupons Detailed DescriptionIbor-rate coupon with digital call/put option. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/cashflows/digitalcoupon.hpp – Floating-rate coupon with digital call/put option. Synopsis#include <ql/cashflows/floatingratecoupon.hpp> #include <ql/cashflows/couponpricer.hpp> #include <ql/cashflows/replication.hpp> #include <ql/position.hpp> #include <ql/utilities/null.hpp> Classesclass DigitalCoupon Digital-payoff coupon. Detailed DescriptionFloating-rate coupon with digital call/put option. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::DigitalCmsLeg – helper class building a sequence of digital ibor-rate coupons Synopsis#include <ql/cashflows/digitalcmscoupon.hpp> Public Member FunctionsDigitalCmsLeg (const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index) DigitalCmsLeg & withNotionals (Real notional) DigitalCmsLeg & withNotionals (const std::vector< Real > &notionals) DigitalCmsLeg & withPaymentDayCounter (const DayCounter &) DigitalCmsLeg & withPaymentAdjustment (BusinessDayConvention) DigitalCmsLeg & withFixingDays (Natural fixingDays) DigitalCmsLeg & withFixingDays…

ql/cashflows/digitalcmscoupon.hpp – Cms-rate coupon with digital call/put option. Synopsis#include <ql/cashflows/digitalcoupon.hpp> #include <ql/cashflows/cmscoupon.hpp> #include <ql/time/schedule.hpp> Classesclass DigitalCmsCoupon Cms-rate coupon with digital digital call/put option. class DigitalCmsLeg helper class building a sequence of digital ibor-rate coupons Detailed DescriptionCms-rate coupon with digital call/put option. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Matrix – Matrix used in linear algebra. Synopsis #include <ql/math/matrix.hpp> Inherited by Disposable< Matrix >. Public Types typedef Real * iterator typedef const Real * const_iterator typedef boost::reverse_iterator< iterator > reverse_iterator typedef boost::reverse_iterator< const_iterator > const_reverse_iterator typedef Real * row_iterator typedef const Real * const_row_iterator typedef boost::reverse_iterator< row_iterator > reverse_row_iterator typedef boost::reverse_iterator< const_row_iterator > const_reverse_row_iterator…

QuantLib::DerivedQuote – market quote whose value depends on another quote Synopsis#include <ql/quotes/derivedquote.hpp> Inherits QuantLib::Quote, and QuantLib::Observer. Public Member FunctionsDerivedQuote (const Handle< Quote > &element, const UnaryFunction &f) Quote interface Real value () const returns the current value bool isValid () const returns true if the Quote holds a valid value Observer interface void update ()…

QuantLib::ExchangeRate – exchange rate between two currencies Synopsis#include <ql/exchangerate.hpp> Public Typesenum Type { Direct, Derived } Public Member FunctionsConstructors ExchangeRate () ExchangeRate (const Currency &source, const Currency &target, Decimal rate) Inspectors const Currency & source () const the source currency. const Currency & target () const the target currency. Type type () const the type…

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,…

QuantLib::DepositRateHelper – Rate helper for bootstrapping over deposit rates. Synopsis#include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member FunctionsDepositRateHelper (const Handle< Quote > &rate, const Period &tenor, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter) DepositRateHelper (Rate rate, const Period &tenor, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter) DepositRateHelper…

BlackPixelOfScreen, WhitePixelOfScreen, CellsOfScreen, DefaultColormapOfScreen, DefaultDepthOfScreen, DefaultGCOfScreen, DefaultVisualOfScreen, DoesBackingStore, DoesSaveUnders, DisplayOfScreen, XScreenNumberOfScreen, EventMaskOfScreen, HeightOfScreen, HeightMMOfScreen, MaxCmapsOfScreen, MinCmapsOfScreen, PlanesOfScreen, RootWindowOfScreen, WidthOfScreen, WidthMMOfScreen – screen information functions and macros Syntaxunsigned long BlackPixelOfScreen(Screen *screen); unsigned long WhitePixelOfScreen(Screen *screen); int CellsOfScreen(Screen *screen); Colormap DefaultColormapOfScreen(Screen *screen); int DefaultDepthOfScreen(Screen *screen); GC DefaultGCOfScreen(Screen *screen); Visual *DefaultVisualOfScreen(Screen *screen); int DoesBackingStore(Screen *screen); Bool DoesSaveUnders(Screen *screen);…

AllPlanes, BlackPixel, WhitePixel, ConnectionNumber, DefaultColormap, DefaultDepth, XListDepths, DefaultGC, DefaultRootWindow, DefaultScreenOfDisplay, DefaultScreen, DefaultVisual, DisplayCells, DisplayPlanes, DisplayString, XMaxRequestSize, XExtendedMaxRequestSize, LastKnownRequestProcessed, NextRequest, ProtocolVersion, ProtocolRevision, QLength, RootWindow, ScreenCount, ScreenOfDisplay, ServerVendor, VendorRelease – Display macros and functions Syntaxunsigned long AllPlanes; unsigned long BlackPixel(Display *display, int screen_number); unsigned long WhitePixel(Display *display, int screen_number); int ConnectionNumber(Display *display); Colormap DefaultColormap(Display *display, int screen_number);…

AllPlanes, BlackPixel, WhitePixel, ConnectionNumber, DefaultColormap, DefaultDepth, XListDepths, DefaultGC, DefaultRootWindow, DefaultScreenOfDisplay, DefaultScreen, DefaultVisual, DisplayCells, DisplayPlanes, DisplayString, XMaxRequestSize, XExtendedMaxRequestSize, LastKnownRequestProcessed, NextRequest, ProtocolVersion, ProtocolRevision, QLength, RootWindow, ScreenCount, ScreenOfDisplay, ServerVendor, VendorRelease – Display macros and functions Syntaxunsigned long AllPlanes; unsigned long BlackPixel(Display *display, int screen_number); unsigned long WhitePixel(Display *display, int screen_number); int ConnectionNumber(Display *display); Colormap DefaultColormap(Display *display, int screen_number);…

AllPlanes, BlackPixel, WhitePixel, ConnectionNumber, DefaultColormap, DefaultDepth, XListDepths, DefaultGC, DefaultRootWindow, DefaultScreenOfDisplay, DefaultScreen, DefaultVisual, DisplayCells, DisplayPlanes, DisplayString, XMaxRequestSize, XExtendedMaxRequestSize, LastKnownRequestProcessed, NextRequest, ProtocolVersion, ProtocolRevision, QLength, RootWindow, ScreenCount, ScreenOfDisplay, ServerVendor, VendorRelease – Display macros and functions Syntaxunsigned long AllPlanes; unsigned long BlackPixel(Display *display, int screen_number); unsigned long WhitePixel(Display *display, int screen_number); int ConnectionNumber(Display *display); Colormap DefaultColormap(Display *display, int screen_number);…

AllPlanes, BlackPixel, WhitePixel, ConnectionNumber, DefaultColormap, DefaultDepth, XListDepths, DefaultGC, DefaultRootWindow, DefaultScreenOfDisplay, DefaultScreen, DefaultVisual, DisplayCells, DisplayPlanes, DisplayString, XMaxRequestSize, XExtendedMaxRequestSize, LastKnownRequestProcessed, NextRequest, ProtocolVersion, ProtocolRevision, QLength, RootWindow, ScreenCount, ScreenOfDisplay, ServerVendor, VendorRelease – Display macros and functions Syntaxunsigned long AllPlanes; unsigned long BlackPixel(Display *display, int screen_number); unsigned long WhitePixel(Display *display, int screen_number); int ConnectionNumber(Display *display); Colormap DefaultColormap(Display *display, int screen_number);…

QuantLib::DefaultProbabilityTermStructure – default probability term structure Synopsis#include <ql/termstructures/defaulttermstructure.hpp> Inherits QuantLib::TermStructure. Inherited by DefaultDensityStructure, and HazardRateStructure. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. DefaultProbabilityTermStructure (const DayCounter &dc=DayCounter()) default constructor DefaultProbabilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter()) initialize with a fixed reference date DefaultProbabilityTermStructure (Natural settlementDays, const Calendar &cal, const…

ql/termstructures/credit/defaultprobabilityhelpers.hpp – bootstrap helpers for default-probability term structures Synopsis#include <ql/termstructures/defaulttermstructure.hpp> #include <ql/termstructures/bootstraphelper.hpp> #include <ql/time/dategenerationrule.hpp> Classesclass CdsHelper Default-probability bootstrap helper based on quoted CDS spreads. Typedefstypedef BootstrapHelper< DefaultProbabilityTermStructure > DefaultProbabilityHelper alias for default-probability bootstrap helpers Detailed Descriptionbootstrap helpers for default-probability term structures AuthorGenerated automatically by Doxygen for QuantLib from the source code.

BlackPixelOfScreen, WhitePixelOfScreen, CellsOfScreen, DefaultColormapOfScreen, DefaultDepthOfScreen, DefaultGCOfScreen, DefaultVisualOfScreen, DoesBackingStore, DoesSaveUnders, DisplayOfScreen, XScreenNumberOfScreen, EventMaskOfScreen, HeightOfScreen, HeightMMOfScreen, MaxCmapsOfScreen, MinCmapsOfScreen, PlanesOfScreen, RootWindowOfScreen, WidthOfScreen, WidthMMOfScreen – screen information functions and macros Syntaxunsigned long BlackPixelOfScreen(Screen *screen); unsigned long WhitePixelOfScreen(Screen *screen); int CellsOfScreen(Screen *screen); Colormap DefaultColormapOfScreen(Screen *screen); int DefaultDepthOfScreen(Screen *screen); GC DefaultGCOfScreen(Screen *screen); Visual *DefaultVisualOfScreen(Screen *screen); int DoesBackingStore(Screen *screen); Bool DoesSaveUnders(Screen *screen);…