Section 3: library functions
ql/time/date.hpp – date- and time-related classes, typedefs and enumerations Synopsis#include <ql/time/period.hpp> #include <ql/time/weekday.hpp> #include <ql/types.hpp> #include <utility> #include <functional> Classesclass Date Concrete date class. Typedefstypedef Integer Day Day number. typedef Integer Year Year number. Enumerationsenum Month { January = 1, February = 2, March = 3, April = 4, May = 5, June = 6,…
Data::UUID – OSSP uuid Backward Compatibility Perl Binding DescriptionData::UUID is the OSSP uuid backward compatibility Perl binding to the API of the original Data::UUID module. It allows other Data::UUID based Perl modules to run with OSSP::uuid without changes. See AlsoOSSP::uuid. HistoryThe backward compatibility Perl binding Data::UUID for OSSP uuid was originally implemented in 2004 by…
Data::Recursive::Encode – Encode/Decode Values In A Structure Synopsis use Data::Recursive::Encode; Data::Recursive::Encode->decode(‘euc-jp’, $data); Data::Recursive::Encode->encode(‘euc-jp’, $data); Data::Recursive::Encode->decode_utf8($data); Data::Recursive::Encode->encode_utf8($data); Data::Recursive::Encode->from_to($data, $from_enc, $to_enc[, $check]);DescriptionData::Recursive::Encode visits each node of a structure, and returns a new structure with each node’s encoding (or similar action). If you ever wished to do a bulk encode/decode of the contents of a structure, then this…
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::DailyTenorUSDLibor – base class for the one day deposit BBA USD LIBOR indexes Synopsis#include <ql/indexes/ibor/usdlibor.hpp> Inherits QuantLib::DailyTenorLibor. Inherited by USDLiborON. Public Member FunctionsDailyTenorUSDLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Descriptionbase class for the one day deposit BBA USD LIBOR indexes AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::DailyTenorLibor – base class for all O/N-S/N BBA LIBOR indexes but the EUR ones Synopsis#include <ql/indexes/ibor/libor.hpp> Inherits QuantLib::IborIndex. Inherited by CADLiborON, DailyTenorCHFLibor, DailyTenorGBPLibor, DailyTenorJPYLibor, and DailyTenorUSDLibor. Public Member FunctionsDailyTenorLibor (const std::string &familyName, Natural settlementDays, const Currency ¤cy, const Calendar &financialCenterCalendar, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Descriptionbase class for all…
QuantLib::DailyTenorJPYLibor – base class for the one day deposit BBA JPY LIBOR indexes Synopsis#include <ql/indexes/ibor/jpylibor.hpp> Inherits QuantLib::DailyTenorLibor. Public Member FunctionsDailyTenorJPYLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Descriptionbase class for the one day deposit BBA JPY LIBOR indexes AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::DailyTenorGBPLibor – base class for the one day deposit BBA GBP LIBOR indexes Synopsis#include <ql/indexes/ibor/gbplibor.hpp> Inherits QuantLib::DailyTenorLibor. Inherited by GBPLiborON. Public Member FunctionsDailyTenorGBPLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Descriptionbase class for the one day deposit BBA GBP LIBOR indexes AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::DailyTenorEuribor365 – Daily tenor Actual/365 Euribor index. Synopsis#include <ql/indexes/ibor/euribor.hpp> Inherits QuantLib::IborIndex. Public Member FunctionsDailyTenorEuribor365 (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionDaily tenor Actual/365 Euribor index. Euribor rate adjusted for the mismatch between the actual/360 convention used for Euribor and the actual/365 convention previously used by a few pre-EUR currencies. AuthorGenerated automatically…
QuantLib::DailyTenorEuribor – Daily tenor Euribor index. Synopsis#include <ql/indexes/ibor/euribor.hpp> Inherits QuantLib::IborIndex. Public Member FunctionsDailyTenorEuribor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionDaily tenor Euribor index. Euribor rate fixed by the ECB. Warning This is the rate fixed by the ECB. Use EurLibor if you’re interested in the London fixing by BBA.AuthorGenerated automatically by…
QuantLib::DailyTenorEURLibor – base class for the one day deposit BBA EUR LIBOR indexes Synopsis#include <ql/indexes/ibor/eurlibor.hpp> Inherits QuantLib::IborIndex. Inherited by EURLiborON. Public Member FunctionsDailyTenorEURLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Descriptionbase class for the one day deposit BBA EUR LIBOR indexes Euro O/N LIBOR fixed by BBA. It can be also used…
QuantLib::DailyTenorCHFLibor – base class for the one day deposit BBA CHF LIBOR indexes Synopsis#include <ql/indexes/ibor/chflibor.hpp> Inherits QuantLib::DailyTenorLibor. Public Member FunctionsDailyTenorCHFLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Descriptionbase class for the one day deposit BBA CHF LIBOR indexes AuthorGenerated automatically by Doxygen for QuantLib from the source code.
Date and time calculations – Classesclass DateInterval Date interval described by a number of a given time unit. class PricingPeriod Time pricingperiod described by a number of a given time unit. class Calendar calendar class class Date Concrete date class. struct DateGeneration Date-generation rule. class DayCounter day counter class class Period ModulesCalendars Day counters Typedefstypedef…
QuantLib::DZero – $ D_{0} $ matricial representation Synopsis#include <ql/methods/finitedifferences/dzero.hpp> Inherits QuantLib::TridiagonalOperator. Public Member FunctionsDZero (Size gridPoints, Real h) Detailed Description$ D_{0} $ matricial representation The differential operator $ D_{0} $ discretizes the first derivative with the second-order formula [ ac{ artial u_{i}}{ artial x} pprox ac{u_{i+1}-u_{i-1}}{2h} = D_{0} u_{i} ] Tests the correctness of the…
dzsum1.f – SynopsisFunctions/SubroutinesDOUBLE PRECISION function dzsum1 (N, CX, INCX) DZSUM1 forms the 1-norm of the complex vector using the true absolute value. Function/Subroutine DocumentationDOUBLE PRECISION function dzsum1 (integerN, complex*16, dimension( * )CX, integerINCX)DZSUM1 forms the 1-norm of the complex vector using the true absolute value. Purpose: DZSUM1 takes the sum of the absolute values of…
dznrm2.f – SynopsisFunctions/SubroutinesDOUBLE PRECISION function dznrm2 (N, X, INCX) DZNRM2 Function/Subroutine DocumentationDOUBLE PRECISION function dznrm2 (integerN, complex*16, dimension(*)X, integerINCX)DZNRM2 Purpose: DZNRM2 returns the euclidean norm of a vector via the function name, so that DZNRM2 := sqrt( x**H*x ) Author: Univ. of Tennessee Univ. of California Berkeley Univ. of Colorado Denver NAG Ltd. Date: November…
dzasum.f – SynopsisFunctions/SubroutinesDOUBLE PRECISION function dzasum (N, ZX, INCX) DZASUM Function/Subroutine DocumentationDOUBLE PRECISION function dzasum (integerN, complex*16, dimension(*)ZX, integerINCX)DZASUM Purpose: DZASUM 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, 3/11/78. modified 3/93 to return if…
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…
dtzrzf.f – SynopsisFunctions/Subroutinessubroutine dtzrzf (M, N, A, LDA, TAU, WORK, LWORK, INFO) DTZRZF Function/Subroutine Documentationsubroutine dtzrzf (integerM, integerN, double precision, dimension( lda, * )A, integerLDA, double precision, dimension( * )TAU, double precision, dimension( * )WORK, integerLWORK, integerINFO)DTZRZF Purpose: DTZRZF reduces the M-by-N ( M<=N ) real upper trapezoidal matrix A to upper triangular form by…