Linux Manuals session 3

QuantLib::MonteCarloCDOEngine1 – CDO engine, Monte Carlo for the exptected tranche loss distribution. Synopsis #include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits QuantLib::MidPointCDOEngine. Public Member Functions MonteCarloCDOEngine1 (boost::shared_ptr< RandomDefaultModel > rdm, Size samples) Detailed Description CDO engine, Monte Carlo for the exptected tranche loss distribution. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::Money – amount of cash Synopsis #include <ql/money.hpp> Public Member Functions Constructors Money () Money (const Currency &currency, Decimal value) Money (Decimal value, const Currency &currency) Inspectors const Currency & currency () const Decimal value () const Money rounded () const Money arithmetics See below for non-member functions and for settings which determine the behavior…

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::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,…

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::MixedScheme – Mixed (explicit/implicit) scheme for finite difference methods. Synopsis #include <ql/methods/finitedifferences/mixedscheme.hpp> Public Types typedef OperatorTraits< Operator > traits typedef traits::operator_type operator_type typedef traits::array_type array_type typedef traits::bc_set bc_set typedef traits::condition_type condition_type Public Member Functions MixedScheme (const operator_type &L, Real theta, const bc_set &bcs) void step (array_type &a, Time t) void setStep (Time dt) Protected Attributes…

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…

QuantLib::MidPointCDOEngine – CDO base engine taking schedule steps. Synopsis #include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits QuantLib::SyntheticCDO::engine. Inherited by MonteCarloCDOEngine1. Public Member Functions MidPointCDOEngine (Period stepSize=0 *Days) void calculate () const Detailed Description CDO base engine taking schedule steps. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::Mexico – Mexican calendars Synopsis #include <ql/time/calendars/mexico.hpp> Inherits QuantLib::Calendar. Public Types enum Market { BMV } Public Member Functions Mexico (Market m=BMV) Detailed Description Mexican calendars Holidays for the Mexican stock exchange (data from <http://www.bmv.com.mx/>): * Saturdays * Sundays * New Year’s Day, January 1st * Constitution Day, February 5th * Birthday of Benito Juarez,…

QuantLib::Argentina – Argentinian calendars. Synopsis #include <ql/time/calendars/argentina.hpp> Inherits QuantLib::Calendar. Public Types enum Market { Merval } Public Member Functions Argentina (Market m=Merval) Detailed Description Argentinian calendars. Holidays for the Buenos Aires stock exchange (data from <http://www.merval.sba.com.ar/>): * Saturdays * Sundays * New Year’s Day, January 1st * Holy Thursday * Good Friday * Labour Day,…

QuantLib::Merton76Process – Merton-76 jump-diffusion process. Synopsis #include <ql/processes/merton76process.hpp> Inherits QuantLib::StochasticProcess1D. Public Member Functions Merton76Process (const Handle< Quote > &stateVariable, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const Handle< Quote > &jumpInt, const Handle< Quote > &logJMean, const Handle< Quote > &logJVol, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization…

QuantLib::MersenneTwisterUniformRng – Uniform random number generator. Synopsis #include <ql/math/randomnumbers/mt19937uniformrng.hpp> Public Types typedef Sample< Real > sample_type Public Member Functions MersenneTwisterUniformRng (unsigned long seed=0) MersenneTwisterUniformRng (const std::vector< unsigned long > &seeds) sample_type next () const unsigned long nextInt32 () const return a random number on [0,0xffffffff]-interval Detailed Description Uniform random number generator. Mersenne Twister random number…

XtPopup, XtPopupSpringLoaded, XtCallbackNone, XtCallbackNonexclusive, XtCallbackExclusive – map a pop-up Syntax #include <X11/Intrinsic.h> void XtPopup(Widget popup_shell, XtGrabKind grab_kind); void XtPopupSpringLoaded(Widget popup_shell); void XtCallbackNone(Widget w, XtPointer client_data, XtPointer call_data); void XtCallbackNonexclusive(Widget w, XtPointer client_data, XtPointer call_data); void XtCallbackExclusive(Widget w, XtPointer client_data, XtPointer call_data); Actions void XtMenuPopup(String shell_name); Arguments call_data Specifies the callback data, which is not used…

XtPopdown, XtCallbackPopdown – unmap a pop-up Syntax #include <X11/Intrinsic.h> void XtPopdown(Widget popup_shell); void XtCallbackPopdown(Widget w, XtPointer client_data, XtPointer call_data); Actions void XtMenuPopdown(String shell_name); Arguments call_data Specifies the callback data, which is not used by this procedure. client_data Specifies a pointer to the XtPopdownID structure. popup_shell Specifies the widget shell to pop down. shell_name Specifies the…

QuantLib::McSimulation – base class for Monte Carlo engines Synopsis #include <ql/pricingengines/mcsimulation.hpp> Public Types typedef MonteCarloModel< MC, RNG, S >::path_generator_type path_generator_type typedef MonteCarloModel< MC, RNG, S >::path_pricer_type path_pricer_type typedef MonteCarloModel< MC, RNG, S >::stats_type stats_type typedef MonteCarloModel< MC, RNG, S >::result_type result_type Public Member Functions result_type value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const add samples…

NAME ql/legacy/pricers/mccliquetoption.hpp – Cliquet option priced with Monte Carlo simulation. SYNOPSIS #include <ql/option.hpp> #include <ql/types.hpp> #include <ql/legacy/pricers/mcpricer.hpp> #include <ql/termstructures/yieldtermstructure.hpp> #include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> Classes class McCliquetOption simple example of Monte Carlo pricer Detailed Description Cliquet option priced with Monte Carlo simulation. Author Generated automatically by Doxygen for QuantLib from the source code. Index

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…

Mat_VarWrite – Writes a MATLAB variable to a MATLAB MAT file. Synopsis Fd #include <matio.h> Ft int Fo Mat_VarWrite Fa mat_t *mat Fa matvar_t *matvar Fa enum matio_compression compress Fc Description The Fn Mat_VarWrite function writes the MATLAB variable Fa matvar to the MAT file Fa mat which must be opened for writing. If the…

Mat_VarReadNextInfo – Reads the information for the next variable in a MATLAB MAT file. Synopsis Fd #include <matio.h> Ft matvar_t * Fo Mat_VarReadNextInfo Fa mat_t *mat Fc Description The Fn Mat_VarReadNextInfo function reads the information for the next variable stored in the open MAT file. Return Values If there is another variable in the MAT…

Mat_VarReadNext – Reads the information and data for the next variable in a MATLAB MAT file. Synopsis Fd #include <matio.h> Ft matvar_t * Fo Mat_VarReadNext Fa mat_t *mat Fc Description The Fn Mat_VarReadNext function reads the information and data for the next variable stored in the open MAT file. Return Values If there is another…