Linux Manuals session 3

QuantLib::OneFactorGaussianCopula – One-factor Gaussian Copula. Synopsis #include <ql/experimental/credit/onefactorgaussiancopula.hpp> Inherits QuantLib::OneFactorCopula. Public Member Functions OneFactorGaussianCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) Real density (Real m) const Density function of M. Real cumulativeZ (Real z) const Cumulative distribution of Z. Real cumulativeY (Real y) const Real testCumulativeY (Real y) const Real inverseCumulativeY (Real p)…

QuantLib::OneFactorCopula – Abstract base class for one-factor copula models. Synopsis #include <ql/experimental/credit/onefactorcopula.hpp> Inherits QuantLib::LazyObject. Inherited by OneFactorGaussianCopula, OneFactorGaussianStudentCopula, OneFactorStudentCopula, and OneFactorStudentGaussianCopula. Public Member Functions OneFactorCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) virtual Real density (Real m) const =0 Density function of M. virtual Real cumulativeZ (Real z) const =0 Cumulative distribution of…

QuantLib::OneFactorAffineModel – Single-factor affine base class. Synopsis #include <ql/models/shortrate/onefactormodel.hpp> Inherits QuantLib::OneFactorModel, and QuantLib::AffineModel. Inherited by CoxIngersollRoss, and Vasicek. Public Member Functions OneFactorAffineModel (Size nArguments) virtual Real discountBond (Time now, Time maturity, Array factors) const Real discountBond (Time now, Time maturity, Rate rate) const DiscountFactor discount (Time t) const Implied discount curve. Protected Member Functions virtual…

QuantLib::OneAssetOption – Base class for options on a single asset. Synopsis #include <ql/instruments/oneassetoption.hpp> Inherits QuantLib::Option. Inherited by BarrierOption, CliquetOption, ContinuousAveragingAsianOption, ContinuousFixedLookbackOption, ContinuousFloatingLookbackOption, option, DiscreteAveragingAsianOption, DividendVanillaOption, ForwardVanillaOption, QuantoVanillaOption, and VanillaOption. Classes class results Results from single-asset option calculation Public Member Functions OneAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &) void fetchResults (const PricingEngine::results…

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::Observable – Object that notifies its changes to a set of observables. Synopsis #include <ql/patterns/observable.hpp> Inherited by BootstrapHelper< DefaultProbabilityTermStructure >, BootstrapHelper< YieldTermStructure >, BootstrapHelper< YoYInflationTermStructure >, BootstrapHelper< ZeroInflationTermStructure >, AffineModel [virtual], BootstrapHelper< TS >, CalibratedModel [virtual], CalibrationHelper, Claim, CommodityIndex, Event, FloatingRateCouponPricer [virtual], Link, Index, LazyObject [virtual], MarketModelFactory, PricingEngine, Quote [virtual], SmileSection [virtual], StochasticProcess, TermStructure [virtual],…

QuantLib::ObservableValue – observable and assignable proxy to concrete value Synopsis #include <ql/utilities/observablevalue.hpp> Public Member Functions ObservableValue (const T &) ObservableValue (const ObservableValue< T > &) operator T () const implicit conversion operator boost::shared_ptr< Observable > () const const T & value () const explicit inspector controlled assignment ObservableValue< T > & operator= (const T &)…

NAME ql/patterns/observable.hpp – observer/observable pattern SYNOPSIS #include <ql/errors.hpp> #include <boost/shared_ptr.hpp> #include <list> Classes class Observable Object that notifies its changes to a set of observables. class Observer Object that gets notified when a given observable changes. Detailed Description observer/observable pattern Author Generated automatically by Doxygen for QuantLib from the source code. Index

Object — The Object widget class Synopsis #include <Xm/Xm.h> Description Object is never instantiated. Its sole purpose is as a supporting superclass for other widget classes. Classes The class pointer is objectClass. The class name is Object. New Resources The following table defines a set of widget resources used by the programmer to specify data….

TclCommandWriting – Writing C language extensions to Tcl. Overview This document is intended to help the programmer who wishes to extend Tcl with C language routines. It should also be useful to someone wishing to add Tcl to an existing editor, communications program, window manager, etc. Experienced extension writers may find this manual helpful in…

OSSP::uuid – OSSP uuid Perl Binding Description OSSP uuid is a ISO-C:1999 application programming interface (API) and corresponding command line interface (CLI) for the generation of DCE 1.1, ISO/IEC 11578:1996 and RFC 4122 compliant Universally Unique Identifier (UUID). It supports DCE 1.1 variant UUIDs of version 1 (time and node based), version 3 (name based,…

QuantLib::NumericHaganPricer – CMS-coupon pricer. Synopsis #include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::HaganPricer. Public Member Functions NumericHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion, Rate lowerLimit=0.0, Rate upperLimit=1.0, Real precision=1.0e-6) Real upperLimit () Real stdDeviations () Real integrate (Real a, Real b, const ConundrumIntegrand &Integrand) const virtual Real optionletPrice (Option::Type optionType, Rate strike) const…

QuantLib::NthToDefault – N-th to default swap. Synopsis #include <ql/experimental/credit/nthtodefault.hpp> Inherits QuantLib::Instrument. Public Member Functions NthToDefault (Size n, const std::vector< Issuer > &basket, const Handle< OneFactorCopula > &copula, Protection::Side side, Real nominal, const Schedule &premiumSchedule, Rate premiumRate, const DayCounter &dayCounter, bool settlePremiumAccrual, const Handle< YieldTermStructure > &yieldTS, const Period &integrationStepSize, boost::shared_ptr< Claim > claim=boost::shared_ptr< Claim >())…

QuantLib::CubicInterpolation – Cubic interpolation between discrete points. Synopsis #include <ql/math/interpolations/cubicinterpolation.hpp> Inherits QuantLib::Interpolation. Inherited by MonotonicNaturalCubicInterpolation, and NaturalCubicInterpolation. Public Types enum DerivativeApprox { Spline, FourthOrder, Parabolic, ModifiedParabolic, FritschButland, Akima, Kruger } enum BoundaryCondition { NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange } Public Member Functions template<class I1 , class I2 > CubicInterpolation (const I1 &xBegin, const I1 &xEnd,…

QuantLib::NormalFwdRatePc – Predictor-Corrector. Synopsis #include <ql/models/marketmodels/evolvers/normalfwdratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member Functions NormalFwdRatePc (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath () Real advanceStep () Size currentStep () const const CurveState & currentState () const void setInitialState…

ql/math/distributions/normaldistribution.hpp – normal, cumulative and inverse cumulative distributions Synopsis #include <ql/math/errorfunction.hpp> #include <ql/errors.hpp> Classes class NormalDistribution Normal distribution function. class CumulativeNormalDistribution Cumulative normal distribution function. class InverseCumulativeNormal Inverse cumulative normal distribution function. class MoroInverseCumulativeNormal Moro Inverse cumulative normal distribution class. Typedefs typedef NormalDistribution GaussianDistribution typedef InverseCumulativeNormal InvCumulativeNormalDistribution Detailed Description normal, cumulative and inverse cumulative distributions…

QuantLib::Rounding – basic rounding class Synopsis #include <ql/math/rounding.hpp> Inherited by CeilingTruncation, ClosestRounding, DownRounding, FloorTruncation, and UpRounding. Public Types enum Type { None, Up, Down, Closest, Floor, Ceiling } rounding methods Public Member Functions Rounding () default constructor Rounding (Integer precision, Type type=Closest, Integer digit=5) Decimal operator() (Decimal value) const perform rounding Inspectors Integer precision ()…

QuantLib::NonLinearLeastSquare – Non-linear least-square method. Synopsis #include <ql/math/optimization/leastsquare.hpp> Public Member Functions NonLinearLeastSquare (Constraint &c, Real accuracy=1e-4, Size maxiter=100) Default constructor. NonLinearLeastSquare (Constraint &c, Real accuracy, Size maxiter, boost::shared_ptr< OptimizationMethod > om) Default constructor. ~NonLinearLeastSquare () Destructor. Array & perform (LeastSquareProblem &lsProblem) Solve least square problem using numerix solver. void setInitialValue (const Array &initialValue) Array &…

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::Quantity – Amount of a commodity. Synopsis #include <ql/experimental/commodities/quantity.hpp> Public Member Functions Constructors 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…