Linux Manuals session 3

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…

QuantLib::NeumannBC – Neumann boundary condition (i.e., constant derivative). Synopsis #include <ql/methods/finitedifferences/boundarycondition.hpp> Inherits BoundaryCondition< TridiagonalOperator >. Public Member Functions NeumannBC (Real value, Side side) void applyBeforeApplying (TridiagonalOperator &) const void applyAfterApplying (Array &) const void applyBeforeSolving (TridiagonalOperator &, Array &rhs) const void applyAfterSolving (Array &) const void setTime (Time) Detailed Description Neumann boundary condition (i.e., constant…

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::NZDLibor – NZD LIBOR rate Synopsis #include <ql/indexes/ibor/nzdlibor.hpp> Inherits QuantLib::Libor. Public Member Functions NZDLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description NZD LIBOR rate New Zealand Dollar LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::UnitedStates – United States calendars. Synopsis #include <ql/time/calendars/unitedstates.hpp> Inherits QuantLib::Calendar. Public Types enum Market { Settlement, NYSE, GovernmentBond, NERC } US calendars. Public Member Functions UnitedStates (Market market=Settlement) Detailed Description United States calendars. Public holidays (see: http://www.opm.gov/fedhol/): * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday if actually on Sunday,…

QuantLib::India – Indian calendars. Synopsis #include <ql/time/calendars/india.hpp> Inherits QuantLib::Calendar. Public Types enum Market { NSE } Public Member Functions India (Market m=NSE) Detailed Description Indian calendars. Holidays for the National Stock Exchange (data from <http://www.nse-india.com/>): * Saturdays * Sundays * Republic Day, January 26th * Good Friday * Ambedkar Jayanti, April 14th * Independence Day,…

QuantLib::Instrument – Abstract instrument class. Synopsis #include <ql/instrument.hpp> Inherits QuantLib::LazyObject. Inherited by Bond, CapFloor, CDO, CdsOption, Commodity, CompositeInstrument, CreditDefaultSwap, Forward, InflationSwap, NthToDefault, Option, PathMultiAssetOption, RiskyAssetSwap, Stock, Swap, SyntheticCDO, VarianceOption, and VarianceSwap. Public Member Functions virtual void setupArguments (PricingEngine::arguments *) const virtual void fetchResults (const PricingEngine::results *) const Inspectors Real NPV () const returns the net…

QuantLib::CashFlows – cashflow-analysis functions Synopsis #include <ql/cashflows/cashflows.hpp> Static Public Member Functions static Leg::const_iterator previousCashFlow (const Leg &leg, Date refDate=Date()) static Leg::const_iterator nextCashFlow (const Leg &leg, Date refDate=Date()) static Rate previousCouponRate (const Leg &leg, const Date &refDate=Date()) static Rate nextCouponRate (const Leg &leg, const Date &refDate=Date()) static Date startDate (const Leg &leg) static Date maturityDate (const…

QuantLib::UnitedStates – United States calendars. Synopsis #include <ql/time/calendars/unitedstates.hpp> Inherits QuantLib::Calendar. Public Types enum Market { Settlement, NYSE, GovernmentBond, NERC } US calendars. Public Member Functions UnitedStates (Market market=Settlement) Detailed Description United States calendars. Public holidays (see: http://www.opm.gov/fedhol/): * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday if actually on Sunday,…

NAME nan, nanf, nanl – return ‘Not a Number’ SYNOPSIS #include <math.h> double nan(const char *tagp); float nanf(const char *tagp); long double nanl(const char *tagp); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): nan(), nanf(), nanl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L DESCRIPTION These functions return a representation (determined by tagp) of a quiet NaN….

QuantLib::G2ForwardProcess – Forward G2 stochastic process Synopsis #include <ql/processes/g2process.hpp> Inherits QuantLib::ForwardMeasureProcess. Public Member Functions G2ForwardProcess (Real a, Real sigma, Real b, Real eta, Real rho) StochasticProcess interface Size size () const returns the number of dimensions of the stochastic process Disposable< Array > initialValues () const returns the initial values of the state variables Disposable<…

QuantLib::G2ForwardProcess – Forward G2 stochastic process Synopsis #include <ql/processes/g2process.hpp> Inherits QuantLib::ForwardMeasureProcess. Public Member Functions G2ForwardProcess (Real a, Real sigma, Real b, Real eta, Real rho) StochasticProcess interface Size size () const returns the number of dimensions of the stochastic process Disposable< Array > initialValues () const returns the initial values of the state variables Disposable<…

QuantLib::MultiStepSwaption – Synopsis #include <ql/models/marketmodels/products/multistep/multistepswaption.hpp> Inherits QuantLib::MultiProductMultiStep. Public Member Functions MultiStepSwaption (const std::vector< Time > &rateTimes, Size startIndex, Size endIndex, boost::shared_ptr< StrikedTypePayoff > &) MarketModelMultiProduct interface std::vector< Time > possibleCashFlowTimes () const Size numberOfProducts () const Size maxNumberOfCashFlowsPerProductPerStep () const void reset () during simulation put product at start of path bool nextTimeStep (const CurveState…

QuantLib::MultiProductOneStep – Single-step market-model product. Synopsis #include <ql/models/marketmodels/products/multiproductonestep.hpp> Inherits QuantLib::MarketModelMultiProduct. Inherited by OneStepCoinitialSwaps, OneStepCoterminalSwaps, OneStepForwards, and OneStepOptionlets. Public Member Functions MultiProductOneStep (const std::vector< Time > &rateTimes) MarketModelMultiProduct interface const EvolutionDescription & evolution () const std::vector< Size > suggestedNumeraires () const Protected Attributes std::vector< Time > rateTimes_ EvolutionDescription evolution_ Detailed Description Single-step market-model product. This is…

QuantLib::MultiProductMultiStep – Multiple-step market-model product. Synopsis #include <ql/models/marketmodels/products/multiproductmultistep.hpp> Inherits QuantLib::MarketModelMultiProduct. Inherited by ExerciseAdapter, MultiStepCoinitialSwaps, MultiStepCoterminalSwaps, MultiStepCoterminalSwaptions, MultiStepForwards, MultiStepNothing, MultiStepOptionlets, MultiStepPeriodCapletSwaptions, MultiStepRatchet, MultiStepSwap, and MultiStepSwaption. Public Member Functions MultiProductMultiStep (const std::vector< Time > &rateTimes) MarketModelMultiProduct interface std::vector< Size > suggestedNumeraires () const const EvolutionDescription & evolution () const Protected Attributes std::vector< Time > rateTimes_ EvolutionDescription evolution_…

NAME ql/methods/montecarlo/multipathgenerator.hpp – Generates a multi path from a random-array generator. SYNOPSIS #include <ql/methods/montecarlo/multipath.hpp> #include <ql/methods/montecarlo/sample.hpp> #include <ql/stochasticprocess.hpp> Classes class MultiPathGenerator< GSG > Generates a multipath from a random number generator. Detailed Description Generates a multi path from a random-array generator. Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::MultiPath – Correlated multiple asset paths. Synopsis #include <ql/methods/montecarlo/multipath.hpp> Public Member Functions MultiPath (Size nAsset, const TimeGrid &timeGrid) MultiPath (const std::vector< Path > &multiPath) inspectors Size assetNumber () const Size pathSize () const read/write access to components const Path & operator[] (Size j) const const Path & at (Size j) const Path & operator[] (Size…

NAME ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classes class MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefs typedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real,…

QuantLib::MultiAssetOption – Base class for options on multiple assets. Synopsis #include <ql/instruments/multiassetoption.hpp> Inherits QuantLib::Option. Inherited by BasketOption, EverestOption, HimalayaOption, and PagodaOption. Classes class results Results from multi-asset option calculation Public Member Functions MultiAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &) void setupArguments (PricingEngine::arguments *) const void fetchResults (const PricingEngine::results *) const Instrument…

MrmRegisterNamesInHierarchy — Registers the values associated with the names referenced in UIL within a single hierarchy (for example, UIL callback function names or UIL identifier names) Synopsis #include <Mrm/MrmPublic.h> Cardinal MrmRegisterNamesInHierarchy( MrmHierarchy hierarchy_id, MrmRegisterArglist register_list, MrmCount register_count); Description The MrmRegisterNamesInHierarchy function registers a vector of names and associated values for access in MRM. The values…