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QuantLib::MarketModelPathwiseCoterminalSwaptionsNumericalDeflated – Synopsis #include <ql/models/marketmodels/products/pathwise/pathwiseproductswaption.hpp> Inherits QuantLib::MarketModelPathwiseMultiProduct. Public Member Functions MarketModelPathwiseCoterminalSwaptionsNumericalDeflated (const std::vector< Time > &rateTimes, const std::vector< Rate > &strikes, Real bumpSize_) virtual std::vector< Size > suggestedNumeraires () const virtual const EvolutionDescription & evolution () const virtual std::vector< Time > possibleCashFlowTimes () const virtual Size numberOfProducts () const virtual Size maxNumberOfCashFlowsPerProductPerStep () const virtual…

QuantLib::MarketModelPathwiseCoterminalSwaptionsDeflated – Synopsis #include <ql/models/marketmodels/products/pathwise/pathwiseproductswaption.hpp> Inherits QuantLib::MarketModelPathwiseMultiProduct. Public Member Functions MarketModelPathwiseCoterminalSwaptionsDeflated (const std::vector< Time > &rateTimes, const std::vector< Rate > &strikes) virtual std::vector< Size > suggestedNumeraires () const virtual const EvolutionDescription & evolution () const virtual std::vector< Time > possibleCashFlowTimes () const virtual Size numberOfProducts () const virtual Size maxNumberOfCashFlowsPerProductPerStep () const virtual bool alreadyDeflated…

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::MakeVanillaSwap – helper class Synopsis #include <ql/instruments/makevanillaswap.hpp> Public Member Functions MakeVanillaSwap (const Period &swapTenor, const boost::shared_ptr< IborIndex > &iborIndex, Rate fixedRate=Null< Rate >(), const Period &forwardStart=0 *Days) operator VanillaSwap () const operator boost::shared_ptr< VanillaSwap > () const MakeVanillaSwap & receiveFixed (bool flag=true) MakeVanillaSwap & withType (VanillaSwap::Type type) MakeVanillaSwap & withNominal (Real n) MakeVanillaSwap & withEffectiveDate…

QuantLib::MakeSwaption – helper class Synopsis #include <ql/instruments/makeswaption.hpp> Public Member Functions MakeSwaption (const boost::shared_ptr< SwapIndex > &swapIndex, const Period &optionTenor, Rate strike=Null< Rate >()) operator Swaption () const operator boost::shared_ptr< Swaption > () const MakeSwaption & withSettlementType (Settlement::Type delivery) MakeSwaption & withOptionConvention (BusinessDayConvention bdc) MakeSwaption & withExerciseDate (const Date &) MakeSwaption & withPricingEngine (const boost::shared_ptr< PricingEngine…

QuantLib::MakeSchedule – helper class Synopsis #include <ql/time/schedule.hpp> Public Member Functions MakeSchedule (const Date &effectiveDate, const Date &terminationDate, const Period &tenor, const Calendar &calendar, BusinessDayConvention convention) MakeSchedule & withTerminationDateConvention (BusinessDayConvention) MakeSchedule & withRule (DateGeneration::Rule) MakeSchedule & forwards () MakeSchedule & backwards () MakeSchedule & endOfMonth (bool flag=true) MakeSchedule & withFirstDate (const Date &d) MakeSchedule & withNextToLastDate…

QuantLib::MakeMCVarianceSwapEngine – Monte Carlo variance-swap engine factory. Synopsis #include <ql/pricingengines/forward/mcvarianceswapengine.hpp> Public Member Functions MakeMCVarianceSwapEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) MakeMCVarianceSwapEngine & withSteps (Size steps) MakeMCVarianceSwapEngine & withStepsPerYear (Size steps) MakeMCVarianceSwapEngine & withBrownianBridge (bool b=true) MakeMCVarianceSwapEngine & withSamples (Size samples) MakeMCVarianceSwapEngine & withTolerance (Real tolerance) MakeMCVarianceSwapEngine & withMaxSamples (Size samples) MakeMCVarianceSwapEngine & withSeed (BigNatural seed) MakeMCVarianceSwapEngine…

QuantLib::MakeMCHullWhiteCapFloorEngine – Monte Carlo Hull-White cap-floor engine factory. Synopsis #include <ql/pricingengines/capfloor/mchullwhiteengine.hpp> Public Member Functions MakeMCHullWhiteCapFloorEngine (const boost::shared_ptr< HullWhite > &) MakeMCHullWhiteCapFloorEngine & withBrownianBridge (bool b=true) MakeMCHullWhiteCapFloorEngine & withSamples (Size samples) MakeMCHullWhiteCapFloorEngine & withTolerance (Real tolerance) MakeMCHullWhiteCapFloorEngine & withMaxSamples (Size samples) MakeMCHullWhiteCapFloorEngine & withSeed (BigNatural seed) MakeMCHullWhiteCapFloorEngine & withAntitheticVariate (bool b=true) operator boost::shared_ptr< PricingEngine > ()…

QuantLib::MakeMCEuropeanHestonEngine – Monte Carlo Heston European engine factory. Synopsis #include <ql/pricingengines/vanilla/mceuropeanhestonengine.hpp> Public Member Functions MakeMCEuropeanHestonEngine (const boost::shared_ptr< HestonProcess > &) MakeMCEuropeanHestonEngine & withSteps (Size steps) MakeMCEuropeanHestonEngine & withStepsPerYear (Size steps) MakeMCEuropeanHestonEngine & withSamples (Size samples) MakeMCEuropeanHestonEngine & withTolerance (Real tolerance) MakeMCEuropeanHestonEngine & withMaxSamples (Size samples) MakeMCEuropeanHestonEngine & withSeed (BigNatural seed) MakeMCEuropeanHestonEngine & withAntitheticVariate (bool b=true)…

QuantLib::MakeMCEuropeanGJRGARCHEngine – Monte Carlo GJR-GARCH European engine factory. Synopsis #include <ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp> Public Member Functions MakeMCEuropeanGJRGARCHEngine (const boost::shared_ptr< GJRGARCHProcess > &) MakeMCEuropeanGJRGARCHEngine & withSteps (Size steps) MakeMCEuropeanGJRGARCHEngine & withStepsPerYear (Size steps) MakeMCEuropeanGJRGARCHEngine & withSamples (Size samples) MakeMCEuropeanGJRGARCHEngine & withTolerance (Real tolerance) MakeMCEuropeanGJRGARCHEngine & withMaxSamples (Size samples) MakeMCEuropeanGJRGARCHEngine & withSeed (BigNatural seed) MakeMCEuropeanGJRGARCHEngine & withAntitheticVariate (bool b=true)…

QuantLib::MakeMCEuropeanEngine – Monte Carlo European engine factory. Synopsis #include <ql/pricingengines/vanilla/mceuropeanengine.hpp> Public Member Functions MakeMCEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) MakeMCEuropeanEngine & withSteps (Size steps) MakeMCEuropeanEngine & withStepsPerYear (Size steps) MakeMCEuropeanEngine & withBrownianBridge (bool b=true) MakeMCEuropeanEngine & withSamples (Size samples) MakeMCEuropeanEngine & withTolerance (Real tolerance) MakeMCEuropeanEngine & withMaxSamples (Size samples) MakeMCEuropeanEngine & withSeed (BigNatural seed) MakeMCEuropeanEngine…

QuantLib::MakeMCDigitalEngine – Monte Carlo digital engine factory. Synopsis #include <ql/pricingengines/vanilla/mcdigitalengine.hpp> Public Member Functions MakeMCDigitalEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) MakeMCDigitalEngine & withSteps (Size steps) MakeMCDigitalEngine & withStepsPerYear (Size steps) MakeMCDigitalEngine & withBrownianBridge (bool b=true) MakeMCDigitalEngine & withSamples (Size samples) MakeMCDigitalEngine & withTolerance (Real tolerance) MakeMCDigitalEngine & withMaxSamples (Size samples) MakeMCDigitalEngine & withSeed (BigNatural seed) MakeMCDigitalEngine…

QuantLib::MakeMCAmericanEngine – Monte Carlo American engine factory. Synopsis #include <ql/pricingengines/vanilla/mcamericanengine.hpp> Public Member Functions MakeMCAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) MakeMCAmericanEngine & withSteps (Size steps) MakeMCAmericanEngine & withStepsPerYear (Size steps) MakeMCAmericanEngine & withSamples (Size samples) MakeMCAmericanEngine & withTolerance (Real tolerance) MakeMCAmericanEngine & withMaxSamples (Size samples) MakeMCAmericanEngine & withSeed (BigNatural seed) MakeMCAmericanEngine & withAntitheticVariate (bool b=true) MakeMCAmericanEngine…

QuantLib::MakeCms – helper class for instantiating CMS Synopsis #include <ql/instruments/makecms.hpp> Public Member Functions MakeCms (const Period &swapTenor, const boost::shared_ptr< SwapIndex > &swapIndex, const boost::shared_ptr< IborIndex > &iborIndex, Spread iborSpread=0.0, const Period &forwardStart=0 *Days) MakeCms (const Period &swapTenor, const boost::shared_ptr< SwapIndex > &swapIndex, Spread iborSpread=0.0, const Period &forwardStart=0 *Days) operator Swap () const operator boost::shared_ptr< Swap…

QuantLib::MakeCapFloor – helper class Synopsis #include <ql/instruments/makecapfloor.hpp> Public Member Functions MakeCapFloor (CapFloor::Type capFloorType, const Period &capFloorTenor, const boost::shared_ptr< IborIndex > &iborIndex, Rate strike=Null< Rate >(), const Period &forwardStart=0 *Days) operator CapFloor () const operator boost::shared_ptr< CapFloor > () const MakeCapFloor & withNominal (Real n) MakeCapFloor & withEffectiveDate (const Date &effectiveDate, bool firstCapletExcluded) MakeCapFloor & withTenor…

QuantLib::HullWhiteForwardProcess – Forward Hull-White stochastic process Synopsis #include <ql/processes/hullwhiteprocess.hpp> Inherits QuantLib::ForwardMeasureProcess1D. Public Member Functions HullWhiteForwardProcess (const Handle< YieldTermStructure > &h, Real a, Real sigma) Real a () const Real sigma () const Real alpha (Time t) const Real M_T (Real s, Real t, Real T) const Real B (Time t, Time T) const StochasticProcess1D interface…

NAME dsecndtst.f – SYNOPSIS Functions/Subroutines program __dsecndtst.f__ DSECNDTST subroutine mysub (N, X, Y) Function/Subroutine Documentation program __dsecndtst.f__ () DSECNDTST Author: Univ. of Tennessee Univ. of California Berkeley Univ. of Colorado Denver NAG Ltd. Date: November 2011 Definition at line 37 of file dsecndtst.f. subroutine mysub (integerN, double precision, dimension(n)X, double precision, dimension(n)Y) Definition at line…

QuantLib::MTBrownianGenerator – Mersenne-twister Brownian generator for market-model simulations. Synopsis #include <ql/models/marketmodels/browniangenerators/mtbrowniangenerator.hpp> Inherits QuantLib::BrownianGenerator. Public Member Functions MTBrownianGenerator (Size factors, Size steps, unsigned long seed=0) Real nextStep (std::vector< Real > &) Real nextPath () Size numberOfFactors () const Size numberOfSteps () const Detailed Description Mersenne-twister Brownian generator for market-model simulations. Incremental Brownian generator using a Mersenne-twister…

MENU – Stores the entries of a menu. Allegro game programming library. Synopsis #include <allegro.h> typedef struct MENU Description char *text; – the text to display for the menu item int (*proc)(void); – called when the menu item is clicked struct MENU *child; – nested child menu int flags; – disabled or checked state void…

NAME ql/pricingengines/forward/mcvarianceswapengine.hpp – Monte Carlo variance-swap engine. SYNOPSIS #include <ql/pricingengines/mcsimulation.hpp> #include <ql/math/integrals/segmentintegral.hpp> #include <ql/instruments/varianceswap.hpp> #include <ql/processes/blackscholesprocess.hpp> Classes class MCVarianceSwapEngine< RNG, S > Variance-swap pricing engine using Monte Carlo simulation,. class MakeMCVarianceSwapEngine< RNG, S > Monte Carlo variance-swap engine factory. Detailed Description Monte Carlo variance-swap engine. Author Generated automatically by Doxygen for QuantLib from the source…