Section 3: library functions
PACKFILE – Packfile structure, similar to the libc FILE structure. Allegro game programming library. Synopsis #include <allegro.h> typedef struct PACKFILE Description A packfile structure, similar to the libc FILE structure. Read chapter "File and compression routines" for a description on how to obtain/use this structure. Note that prior to version 4.1.18, some internal fields were…
OverrideShell — The OverrideShell widget class Synopsis #include <Xm/Xm.h> #include <X11/Shell.h> Description OverrideShell is used for shell windows that completely bypass the window manager, for example, PopupMenu shells. Classes OverrideShell inherits behavior and resources from Core, Composite, and Shell. The class pointer is overrideShellWidgetClass. The class name is OverrideShell. New Resources OverrideShell defines no new…
Date and time calculations – Classes class 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 Modules Calendars Day…
QuantLib::OrthogonalizedBumpFinder – Synopsis #include <ql/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.hpp> Public Member Functions OrthogonalizedBumpFinder (const VegaBumpCollection &bumps, const std::vector< VolatilityBumpInstrumentJacobian::Swaption > &swaptions, const std::vector< VolatilityBumpInstrumentJacobian::Cap > &caps, Real multiplierCutOff, Real tolerance) void GetVegaBumps (std::vector< std::vector< Matrix > > &theBumps) const Detailed Description Pass in a market model, a list of instruments, and possible bumps. Get out pseudo-root bumps that shift…
QuantLib::OrthogonalProjections – Synopsis #include <ql/math/matrixutilities/basisincompleteordered.hpp> Public Member Functions OrthogonalProjections (const Matrix &originalVectors, Real multiplierCutOff, Real tolerance) const std::vector< bool > & validVectors () const const std::vector< Real > & GetVector (Size index) const Size numberValidVectors () const Detailed Description Given a collection of vectors, w_i, find a collection of vectors x_i such that x_i is…
QuantLib::OrnsteinUhlenbeckProcess – Ornstein-Uhlenbeck process class. Synopsis #include <ql/processes/ornsteinuhlenbeckprocess.hpp> Inherits QuantLib::StochasticProcess1D. Public Member Functions OrnsteinUhlenbeckProcess (Real speed, Volatility vol, Real x0=0.0, Real level=0.0) StochasticProcess interface Real x0 () const returns the initial value of the state variable Real speed () const Real volatility () const Real level () const Real drift (Time t, Real x) const…
QuantLib::SobolBrownianGenerator – Sobol Brownian generator for market-model simulations. Synopsis #include <ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp> Inherits QuantLib::BrownianGenerator. Public Types enum Ordering { Factors, Steps, Diagonal } Public Member Functions SobolBrownianGenerator (Size factors, Size steps, Ordering ordering, unsigned long seed=0, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::Jaeckel) Real nextPath () Real nextStep (std::vector< Real > &) Size numberOfFactors () const Size numberOfSteps () const Detailed…
XMLTV::Options – Command-line parsing for XMLTV grabbers Description Utility library that implements command-line parsing and handles a lot of functionality that is common to all XMLTV grabbers. Exported Functions All these functions are exported on demand. Usage ParseOptions ParseOptions shall be called by a grabber to parse the command-line options supplied by the user. It…
QuantLib::OptionletVolatilityStructure – Optionlet (caplet/floorlet) volatility structure. Synopsis #include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by CapletVarianceCurve, ConstantOptionletVolatility, SpreadedOptionletVolatility, and StrippedOptionletAdapter. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. OptionletVolatilityStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) default constructor OptionletVolatilityStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) initialize with…
QuantLib::OptionletStripper2 – Synopsis #include <ql/termstructures/volatility/optionlet/optionletstripper2.hpp> Inherits QuantLib::OptionletStripper. Public Member Functions OptionletStripper2 (const boost::shared_ptr< OptionletStripper1 > &optionletStripper1, const Handle< CapFloorTermVolCurve > &atmCapFloorTermVolCurve) std::vector< Rate > atmCapFloorStrikes () const std::vector< Real > atmCapFloorPrices () const std::vector< Volatility > spreadsVol () const LazyObject interface void performCalculations () const Detailed Description Helper class to extend an OptionletStripper1 object stripping…
ql/termstructures/volatility/optionlet/optionletstripper1.hpp – optionlet (caplet/floorlet) volatility stripper Synopsis #include <ql/termstructures/volatility/optionlet/optionletstripper.hpp> Classes class OptionletStripper1 Typedefs typedef std::vector< std::vector< boost::shared_ptr< CapFloor > > > CapFloorMatrix Detailed Description optionlet (caplet/floorlet) volatility stripper Author Generated automatically by Doxygen for QuantLib from the source code.
QuantLib::Option – base option class Synopsis #include <ql/option.hpp> Inherits QuantLib::Instrument. Inherited by MultiAssetOption, OneAssetOption, and Swaption. Classes class arguments basic option arguments Public Types enum Type { Put = -1, Call = 1 } Public Member Functions Option (const boost::shared_ptr< Payoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const boost::shared_ptr< Payoff…
hcrypto function controlling behavior – Functions int EVP_CIPHER_CTX_rand_key (EVP_CIPHER_CTX *ctx, void *key) int EVP_CIPHER_CTX_ctrl (EVP_CIPHER_CTX *ctx, int type, int arg, void *data) void OpenSSL_add_all_algorithms (void) void OpenSSL_add_all_algorithms_conf (void) void OpenSSL_add_all_algorithms_noconf (void) Detailed Description Function Documentation int EVP_CIPHER_CTX_ctrl (EVP_CIPHER_CTX *ctx, inttype, intarg, void *data) Perform a operation on a ctx Parameters: ctx context to perform operation…
hcrypto function controlling behavior – Functions int EVP_CIPHER_CTX_rand_key (EVP_CIPHER_CTX *ctx, void *key) int EVP_CIPHER_CTX_ctrl (EVP_CIPHER_CTX *ctx, int type, int arg, void *data) void OpenSSL_add_all_algorithms (void) void OpenSSL_add_all_algorithms_conf (void) void OpenSSL_add_all_algorithms_noconf (void) Detailed Description Function Documentation int EVP_CIPHER_CTX_ctrl (EVP_CIPHER_CTX *ctx, inttype, intarg, void *data) Perform a operation on a ctx Parameters: ctx context to perform operation…
hcrypto function controlling behavior – Functions int EVP_CIPHER_CTX_rand_key (EVP_CIPHER_CTX *ctx, void *key) int EVP_CIPHER_CTX_ctrl (EVP_CIPHER_CTX *ctx, int type, int arg, void *data) void OpenSSL_add_all_algorithms (void) void OpenSSL_add_all_algorithms_conf (void) void OpenSSL_add_all_algorithms_noconf (void) Detailed Description Function Documentation int EVP_CIPHER_CTX_ctrl (EVP_CIPHER_CTX *ctx, inttype, intarg, void *data) Perform a operation on a ctx Parameters: ctx context to perform operation…
QuantLib::OneFactorStudentGaussianCopula – One-factor Student t – Gaussian Copula. Synopsis #include <ql/experimental/credit/onefactorstudentcopula.hpp> Inherits QuantLib::OneFactorCopula. Public Member Functions OneFactorStudentGaussianCopula (const Handle< Quote > &correlation, int nm, Real maximum=10, Size integrationSteps=200) Real density (Real m) const Density function of M. Real cumulativeZ (Real z) const Cumulative distribution of Z. Detailed Description One-factor Student t – Gaussian Copula. The…
NAME ql/experimental/credit/onefactorstudentcopula.hpp – One-factor Student-t copula. SYNOPSIS #include <ql/experimental/credit/onefactorcopula.hpp> #include <ql/math/distributions/studenttdistribution.hpp> #include <ql/math/distributions/normaldistribution.hpp> Classes class OneFactorStudentCopula One-factor Double Student t-Copula. class OneFactorGaussianStudentCopula One-factor Gaussian-Student t-Copula. class OneFactorStudentGaussianCopula One-factor Student t – Gaussian Copula. Detailed Description One-factor Student-t copula. Author Generated automatically by Doxygen for QuantLib from the source code. Index
NAME ql/methods/finitedifferences/onefactoroperator.hpp – general differential operator for one-factor interest rate models SYNOPSIS #include <ql/methods/finitedifferences/tridiagonaloperator.hpp> #include <ql/models/shortrate/onefactormodel.hpp> #include <ql/math/transformedgrid.hpp> #include <ql/methods/finitedifferences/pdeshortrate.hpp> Typedefs typedef PdeOperator< PdeShortRate > OneFactorOperator Interest-rate single factor model differential operator. Detailed Description general differential operator for one-factor interest rate models Author Generated automatically by Doxygen for QuantLib from the source code. Index
NAME ql/models/shortrate/onefactormodel.hpp – Abstract one-factor interest rate model class. SYNOPSIS #include <ql/models/model.hpp> #include <ql/methods/lattices/lattice1d.hpp> #include <ql/methods/lattices/trinomialtree.hpp> Classes class OneFactorModel Single-factor short-rate model abstract class. class ShortRateDynamics Base class describing the short-rate dynamics. class ShortRateTree Recombining trinomial tree discretizing the state variable. class OneFactorAffineModel Single-factor affine base class. Detailed Description Abstract one-factor interest rate model class….
QuantLib::OneFactorGaussianStudentCopula – One-factor Gaussian-Student t-Copula. Synopsis #include <ql/experimental/credit/onefactorstudentcopula.hpp> Inherits QuantLib::OneFactorCopula. Public Member Functions OneFactorGaussianStudentCopula (const Handle< Quote > &correlation, int nz, Real maximum=10, Size integrationSteps=200) Real density (Real m) const Density function of M. Real cumulativeZ (Real z) const Cumulative distribution of Z. Detailed Description One-factor Gaussian-Student t-Copula. The copula model [ Y_i = a_i,M+qrt{1-a_i^2}:Z_i…