Section 3: library functions
QuantLib::Sample – weighted sample Synopsis #include <ql/methods/montecarlo/sample.hpp> Public Types typedef T value_type Public Member Functions Sample (const T &value, Real weight) Public Attributes T value Real weight Detailed Description template<class T> struct QuantLib::Sample< T > weighted sample Author Generated automatically by Doxygen for QuantLib from the source code.
ql/math/interpolations/sabrinterpolation.hpp – SABR interpolation interpolation between discrete points. Synopsis #include <ql/math/interpolation.hpp> #include <ql/math/optimization/method.hpp> #include <ql/math/optimization/simplex.hpp> #include <ql/math/optimization/levenbergmarquardt.hpp> #include <ql/pricingengines/blackformula.hpp> #include <ql/utilities/null.hpp> #include <ql/utilities/dataformatters.hpp> #include <ql/termstructures/volatility/sabr.hpp> #include <ql/math/optimization/projectedcostfunction.hpp> #include <ql/math/optimization/constraint.hpp> Classes class SABRInterpolation SABR smile interpolation between discrete volatility points. class SABR SABR interpolation factory and traits Detailed Description SABR interpolation interpolation between discrete points. Author…
ql/termstructures/volatility/sabr.hpp – SABR functions. Synopsis #include <ql/types.hpp> Functions Real unsafeSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho) Real sabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho) void validateSabrParameters (Real alpha, Real beta, Real nu, Real rho) Detailed Description SABR functions. Author…
QuantLib::SVD – Singular value decomposition. Synopsis #include <ql/math/matrixutilities/svd.hpp> Public Member Functions SVD (const Matrix &) const Matrix & U () const const Matrix & V () const const Array & singularValues () const Disposable< Matrix > S () const Real norm2 () Real cond () Integer rank () Disposable< Array > solveFor (const Array &)…
QuantLib::Schedule – Payment schedule. Synopsis typedef std::vector< Date >::const_iterator const_iterator const_iterator begin () const const_iterator end () const const_iterator lower_bound (const Date &d=Date()) const Public Member Functions typedef std::vector< Date >::const_iterator const_iterator const_iterator begin () const const_iterator end () const const_iterator lower_bound (const Date &d=Date()) const Date access Size size () const const Date &…
ql/math/rounding.hpp – Rounding implementation. Synopsis #include <ql/types.hpp> Classes class Rounding basic rounding class class UpRounding Up-rounding. class DownRounding Down-rounding. class ClosestRounding Closest rounding. class CeilingTruncation Ceiling truncation. class FloorTruncation Floor truncation. Detailed Description Rounding implementation. Author Generated 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 Syntax unsigned 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…
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 Syntax unsigned 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…
ql/experimental/credit/riskyassetswap.hpp – Risky asset-swap instrument. Synopsis #include <ql/instrument.hpp> #include <ql/termstructures/defaulttermstructure.hpp> #include <ql/termstructures/yieldtermstructure.hpp> #include <ql/time/schedule.hpp> Classes class RiskyAssetSwap Risky asset-swap instrument. Detailed Description Risky asset-swap instrument. Author Generated automatically by Doxygen for QuantLib from the source code.
ql/pricingengines/forward/replicatingvarianceswapengine.hpp – Replicating engine for variance swaps. Synopsis #include <ql/instruments/varianceswap.hpp> #include <ql/instruments/europeanoption.hpp> #include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp> #include <ql/exercise.hpp> Classes class ReplicatingVarianceSwapEngine Variance-swap pricing engine using replicating cost,. Detailed Description Replicating engine for variance swaps. Author Generated automatically by Doxygen for QuantLib from the source code.
QuantLib::RelinkableHandle – Relinkable handle to an observable. Synopsis #include <ql/handle.hpp> Inherits Handle< T >. Public Member Functions RelinkableHandle (const boost::shared_ptr< T > &h=boost::shared_ptr< T >(), bool registerAsObserver=true) void linkTo (const boost::shared_ptr< T > &, bool registerAsObserver=true) Detailed Description template<class T> class QuantLib::RelinkableHandle< T > Relinkable handle to an observable. An instance of this class can…
QuantLib::RelativeDateRateHelper – Rate helper with date schedule relative to the global evaluation date. Synopsis #include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::BootstrapHelper< YieldTermStructure >. Inherited by BMASwapRateHelper, DepositRateHelper, FraRateHelper, and SwapRateHelper. Public Member Functions RelativeDateRateHelper (const Handle< Quote > "e) RelativeDateRateHelper (Real quote) Observer interface void update () Protected Member Functions virtual void initializeDates ()=0 Protected Attributes Date evaluationDate_…
RectObj — The RectObj widget class Synopsis #include <Xm/Xm.h> Description RectObj is never instantiated. Its sole purpose is as a supporting superclass for other widget classes. Classes RectObj inherits behavior and a resource from Object. The class pointer is rectObjClass. The class name is RectObj. New Resources The following table defines a set of widget…
rect – Draws an outline rectangle. Allegro game programming library. Synopsis #include <allegro.h> void rect(BITMAP *bmp, int x1, int y1, int x2, int y2, int color); Description Draws an outline rectangle with the two points as its opposite corners. See Also rectfill(3), drawing_mode(3), makecol(3), ex3d(3), excamera(3)
Numeric types – Typedefs typedef Real Probability probability typedef QL_INTEGER Integer integer number typedef QL_BIG_INTEGER BigInteger large integer number typedef unsigned QL_INTEGER Natural positive integer typedef QL_REAL Real real number typedef Real Decimal decimal number typedef std::size_t Size size of a container typedef Real Time continuous quantity with 1-year units typedef Real DiscountFactor discount factor…
ql/termstructures/yield/ratehelpers.hpp – deposit, FRA, futures, and swap rate helpers Synopsis #include <ql/termstructures/bootstraphelper.hpp> #include <ql/instruments/vanillaswap.hpp> #include <ql/instruments/bmaswap.hpp> #include <ql/time/calendar.hpp> #include <ql/time/daycounter.hpp> Classes class FuturesRateHelper Rate helper for bootstrapping over IborIndex futures prices. class RelativeDateRateHelper Rate helper with date schedule relative to the global evaluation date. class DepositRateHelper Rate helper for bootstrapping over deposit rates. class FraRateHelper…
Numeric types – Typedefs typedef Real Probability probability typedef QL_INTEGER Integer integer number typedef QL_BIG_INTEGER BigInteger large integer number typedef unsigned QL_INTEGER Natural positive integer typedef QL_REAL Real real number typedef Real Decimal decimal number typedef std::size_t Size size of a container typedef Real Time continuous quantity with 1-year units typedef Real DiscountFactor discount factor…
QuantLib::RatchetPayoff – Ratchet payoff (single option). Synopsis #include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::DoubleStickyRatchetPayoff. Public Member Functions RatchetPayoff (Real gearing1, Real gearing2, Real spread1, Real spread2, Real initialValue, Real accrualFactor) Payoff interface std::string name () const Detailed Description Ratchet payoff (single option). Member Function Documentation std::string name () const [virtual] Warning This method is used for output and…
QuantLib::RatchetMinPayoff – RatchetMin payoff (double option). Synopsis #include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::DoubleStickyRatchetPayoff. Public Member Functions RatchetMinPayoff (Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const Detailed Description RatchetMin payoff (double option). Member Function Documentation std::string name () const [virtual] Warning This…
QuantLib::RatchetMaxPayoff – RatchetMax payoff (double option). Synopsis #include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::DoubleStickyRatchetPayoff. Public Member Functions RatchetMaxPayoff (Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const Detailed Description RatchetMax payoff (double option). Member Function Documentation std::string name () const [virtual] Warning This…