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ql/math/interpolations/convexmonotoneinterpolation.hpp – convex monotone interpolation method Synopsis#include <ql/math/interpolation.hpp> #include <map> Classesclass ConvexMonotoneInterpolation< I1, I2 > Convex monotone yield-curve interpolation method. class ConvexMonotone Convex-monotone interpolation factory and traits. Detailed Descriptionconvex monotone interpolation method AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ConvexMonotone – Convex-monotone interpolation factory and traits. Synopsis#include <ql/math/interpolations/convexmonotoneinterpolation.hpp> Public Member FunctionsConvexMonotone (Real quadraticity=0.3, Real monotonicity=0.7, bool forcePositive=true) template<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const template<class I1 , class I2 > Interpolation localInterpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Size localisation,…

QuantLib::ConvertibleZeroCouponBond – convertible zero-coupon bond Synopsis#include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::ConvertibleBond. Public Member FunctionsConvertibleZeroCouponBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule &dividends, const CallabilitySchedule &callability, const Handle< Quote > &creditSpread, const Date &issueDate, Natural settlementDays, const DayCounter &dayCounter, const Schedule &schedule, Real redemption=100) Detailed Descriptionconvertible zero-coupon bond Warning Most methods inherited from Bond (such as…

QuantLib::ConvertibleFloatingRateBond – convertible floating-rate bond Synopsis#include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::ConvertibleBond. Public Member FunctionsConvertibleFloatingRateBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule &dividends, const CallabilitySchedule &callability, const Handle< Quote > &creditSpread, const Date &issueDate, Natural settlementDays, const boost::shared_ptr< IborIndex > &index, Natural fixingDays, const std::vector< Spread > &spreads, const DayCounter &dayCounter, const Schedule &schedule, Real redemption=100)…

QuantLib::ConvertibleFixedCouponBond – convertible fixed-coupon bond Synopsis#include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::ConvertibleBond. Public Member FunctionsConvertibleFixedCouponBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule &dividends, const CallabilitySchedule &callability, const Handle< Quote > &creditSpread, const Date &issueDate, Natural settlementDays, const std::vector< Rate > &coupons, const DayCounter &dayCounter, const Schedule &schedule, Real redemption=100) Detailed Descriptionconvertible fixed-coupon bond Warning Most methods…

ql/instruments/bonds/convertiblebond.hpp – convertible bond class Synopsis#include <ql/instruments/bond.hpp> #include <ql/instruments/oneassetoption.hpp> #include <ql/instruments/dividendschedule.hpp> #include <ql/instruments/callabilityschedule.hpp> #include <ql/time/schedule.hpp> #include <ql/quote.hpp> Classesclass SoftCallability callability leaving to the holder the possibility to convert class ConvertibleBond base class for convertible bonds class ConvertibleZeroCouponBond convertible zero-coupon bond class ConvertibleFixedCouponBond convertible fixed-coupon bond class ConvertibleFloatingRateBond convertible floating-rate bond Detailed Descriptionconvertible bond class AuthorGenerated…

QuantLib::Quantity – Amount of a commodity. Synopsis#include <ql/experimental/commodities/quantity.hpp> Public Member FunctionsConstructors Quantity () Quantity (const CommodityType &commodityType, const UnitOfMeasure &unitOfMeasure, Real amount) Inspectors const CommodityType & commodityType () const const UnitOfMeasure & unitOfMeasure () const Real amount () const Quantity rounded () const Quantity arithmetics See below for non-member functions and for settings which determine…

QuantLib::ConvergenceStatistics – statistics class with convergence table Synopsis#include <ql/math/statistics/convergencestatistics.hpp> Inherits T. Public Typestypedef T::value_type value_type typedef std::vector< std::pair< Size, value_type > > table_type Public Member FunctionsConvergenceStatistics (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) template<class DataIterator ,…

QuantLib::ContinuousFloatingLookbackOption – Continuous-floating lookback option. Synopsis#include <ql/instruments/lookbackoption.hpp> Inherits QuantLib::OneAssetOption. Classesclass arguments Arguments for continuous floating lookback option calculation class engine Continuous floating lookback engine base class Public Member FunctionsContinuousFloatingLookbackOption (Real currentMinmax, const boost::shared_ptr< TypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Protected AttributesReal minmax_ Detailed DescriptionContinuous-floating lookback option. Member Function…

QuantLib::ContinuousFixedLookbackOption – Continuous-fixed lookback option. Synopsis#include <ql/instruments/lookbackoption.hpp> Inherits QuantLib::OneAssetOption. Classesclass arguments Arguments for continuous fixed lookback option calculation class engine Continuous fixed lookback engine base class Public Member FunctionsContinuousFixedLookbackOption (Real currentMinmax, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Protected AttributesReal minmax_ Detailed DescriptionContinuous-fixed lookback option. Member Function…

QuantLib::ContinuousAveragingAsianOption – Continuous-averaging Asian option. Synopsis#include <ql/instruments/asianoption.hpp> Inherits QuantLib::OneAssetOption. Classesclass arguments Extra arguments for single-asset continuous-average Asian option. class engine Continuous-averaging Asian engine base class. Public Member FunctionsContinuousAveragingAsianOption (Average::Type averageType, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Protected AttributesAverage::Type averageType_ Detailed DescriptionContinuous-averaging Asian option. Possible enhancements add…

Constraint — The Constraint widget class Synopsis#include <Xm/Xm.h>DescriptionConstraint widgets maintain additional state data for each child. For example, client-defined constraints on the child’s geometry may be specified. When a constrained composite widget defines constraint resources, all of that widget’s children inherit all of those resources as their own. These constraint resources are set and read…

QuantLib::ConstantSwaptionVolatility – Constant swaption volatility, no time-strike dependence. Synopsis#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp> Inherits QuantLib::SwaptionVolatilityStructure. Public Member FunctionsConstantSwaptionVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) floating reference date, floating market data ConstantSwaptionVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) fixed reference…

QuantLib::ConstantParameter – Standard constant parameter $ a(t) = a $. Synopsis#include <ql/models/parameter.hpp> Inherits QuantLib::Parameter. Public Member FunctionsConstantParameter (const Constraint &constraint) ConstantParameter (Real value, const Constraint &constraint) Detailed DescriptionStandard constant parameter $ a(t) = a $. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ConstantOptionletVolatility – Constant caplet volatility, no time-strike dependence. Synopsis#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp> Inherits QuantLib::OptionletVolatilityStructure. Public Member FunctionsConstantOptionletVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) floating reference date, floating market data ConstantOptionletVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) fixed reference…

QuantLib::ConstantEstimator – Constant-estimator volatility model. Synopsis#include <ql/models/volatility/constantestimator.hpp> Inherits QuantLib::VolatilityCompositor. Public Member FunctionsConstantEstimator (Size size) TimeSeries< Volatility > calculate (const TimeSeries< Volatility > &) void calibrate (const TimeSeries< Volatility > &) Detailed DescriptionConstant-estimator volatility model. Volatilities are assumed to be expressed on an annual basis. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ConstantCapFloorTermVolatility – Constant caplet volatility, no time-strike dependence. Synopsis#include <ql/termstructures/volatility/capfloor/constantcapfloortermvol.hpp> Inherits QuantLib::CapFloorTermVolatilityStructure. Public Member FunctionsConstantCapFloorTermVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) floating reference date, floating market data ConstantCapFloorTermVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) fixed reference…

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::ConjugateGradient – Multi-dimensional Conjugate Gradient class. Synopsis#include <ql/math/optimization/conjugategradient.hpp> Inherits QuantLib::LineSearchBasedMethod. Public Member FunctionsConjugateGradient (const boost::shared_ptr< LineSearch > &lineSearch=boost::shared_ptr< LineSearch >()) virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria) solve the optimization problem P Detailed DescriptionMulti-dimensional Conjugate Gradient class. Fletcher-Reeves-Polak-Ribiere algorithm adapted from Numerical Recipes in C, 2nd edition. User has to provide line-search method and…

XMLTV::Configure::Writer – Configuration file writer for XMLTV grabbers DescriptionUtility class that helps grabbers write configuration descriptions. Synopsis use XMLTV::Configure::Writer; my $result; my $writer = new XMLTV::Writer::Configure( OUTPUT => \$result, encoding => ‘iso-8859-1’ ); $writer->start( { grabber => ‘tv_grab_xxx’ } ); $writer->write_string( { id => ‘username’, title => [ [ ‘Username’, ‘en’ ], [ ‘Anva.ndarnamn’, ‘sv’…