Section 3: library functions
ql/math/solver1d.hpp – Abstract 1-D solver class. Synopsis #include <ql/utilities/null.hpp> #include <ql/patterns/curiouslyrecurring.hpp> #include <ql/errors.hpp> #include <iomanip> Classes class Solver1D< Impl > Base class for 1-D solvers. Defines #define MAX_FUNCTION_EVALUATIONS 100 Detailed Description Abstract 1-D solver class. Author Generated automatically by Doxygen for QuantLib from the source code.
MATRIX_f – Floating point matrix structure. Allegro game programming library. Synopsis #include <allegro.h> typedef struct MATRIX_f Description float v[3][3]; – 3×3 scaling and rotation component float t[3]; – x/y/z translation component Floating point matrix structure. Read chapter "3D math routines" for a description on how to obtain/use this structure. See Also MATRIX(3), excamera(3), exquat(3), exscn3d(3),…
QuantLib::Matrix – Matrix used in linear algebra. Synopsis #include <ql/math/matrix.hpp> Inherited by Disposable< Matrix >. Public Types typedef Real * iterator typedef const Real * const_iterator typedef boost::reverse_iterator< iterator > reverse_iterator typedef boost::reverse_iterator< const_iterator > const_reverse_iterator typedef Real * row_iterator typedef const Real * const_row_iterator typedef boost::reverse_iterator< row_iterator > reverse_row_iterator typedef boost::reverse_iterator< const_row_iterator > const_reverse_row_iterator…
MASK_COLOR_8, MASK_COLOR_15, MASK_COLOR_16, MASK_COLOR_24, MASK_COLOR_32 – Constant representing the mask value in sprites. Allegro game programming library. Synopsis #include <allegro.h> #define MASK_COLOR_8 0 #define MASK_COLOR_15 (5.5.5 pink) #define MASK_COLOR_16 (5.6.5 pink) #define MASK_COLOR_24 (8.8.8 pink) #define MASK_COLOR_32 (8.8.8 pink) Description Constants representing the colors used to mask transparent sprite pixels for each color depth. In…
MASK_COLOR_8, MASK_COLOR_15, MASK_COLOR_16, MASK_COLOR_24, MASK_COLOR_32 – Constant representing the mask value in sprites. Allegro game programming library. Synopsis #include <allegro.h> #define MASK_COLOR_8 0 #define MASK_COLOR_15 (5.5.5 pink) #define MASK_COLOR_16 (5.6.5 pink) #define MASK_COLOR_24 (8.8.8 pink) #define MASK_COLOR_32 (8.8.8 pink) Description Constants representing the colors used to mask transparent sprite pixels for each color depth. In…
MASK_COLOR_8, MASK_COLOR_15, MASK_COLOR_16, MASK_COLOR_24, MASK_COLOR_32 – Constant representing the mask value in sprites. Allegro game programming library. Synopsis #include <allegro.h> #define MASK_COLOR_8 0 #define MASK_COLOR_15 (5.5.5 pink) #define MASK_COLOR_16 (5.6.5 pink) #define MASK_COLOR_24 (8.8.8 pink) #define MASK_COLOR_32 (8.8.8 pink) Description Constants representing the colors used to mask transparent sprite pixels for each color depth. In…
MASK_COLOR_8, MASK_COLOR_15, MASK_COLOR_16, MASK_COLOR_24, MASK_COLOR_32 – Constant representing the mask value in sprites. Allegro game programming library. Synopsis #include <allegro.h> #define MASK_COLOR_8 0 #define MASK_COLOR_15 (5.5.5 pink) #define MASK_COLOR_16 (5.6.5 pink) #define MASK_COLOR_24 (8.8.8 pink) #define MASK_COLOR_32 (8.8.8 pink) Description Constants representing the colors used to mask transparent sprite pixels for each color depth. In…
MASK_COLOR_8, MASK_COLOR_15, MASK_COLOR_16, MASK_COLOR_24, MASK_COLOR_32 – Constant representing the mask value in sprites. Allegro game programming library. Synopsis #include <allegro.h> #define MASK_COLOR_8 0 #define MASK_COLOR_15 (5.5.5 pink) #define MASK_COLOR_16 (5.6.5 pink) #define MASK_COLOR_24 (8.8.8 pink) #define MASK_COLOR_32 (8.8.8 pink) Description Constants representing the colors used to mask transparent sprite pixels for each color depth. In…
MAKE_VERSION – Create a 32 bit integer from the Allegro version Synopsis #include <allegro.h> Macro MAKE_VERSION(a, b, c) Description This macro can be used to check if some Allegro version is (binary) compatible with the current version. It is safe to use > and < to check if one version is more recent than another….
ql/math/randomnumbers/rngtraits.hpp – random-number generation policies Synopsis #include <ql/methods/montecarlo/pathgenerator.hpp> #include <ql/math/randomnumbers/mt19937uniformrng.hpp> #include <ql/math/randomnumbers/inversecumulativerng.hpp> #include <ql/math/randomnumbers/randomsequencegenerator.hpp> #include <ql/math/randomnumbers/sobolrsg.hpp> #include <ql/math/randomnumbers/inversecumulativersg.hpp> #include <ql/math/distributions/normaldistribution.hpp> #include <ql/math/distributions/poissondistribution.hpp> Typedefs typedef GenericPseudoRandom< MersenneTwisterUniformRng, InverseCumulativeNormal > PseudoRandom default traits for pseudo-random number generation typedef GenericPseudoRandom< MersenneTwisterUniformRng, InverseCumulativePoisson > PoissonPseudoRandom traits for Poisson-distributed pseudo-random number generation typedef GenericLowDiscrepancy< SobolRsg, InverseCumulativeNormal > LowDiscrepancy default traits…
QuantLib::LossDistMonteCarlo – Loss distribution with Monte Carlo simulation. Synopsis #include <ql/experimental/credit/lossdistribution.hpp> Inherits QuantLib::LossDist. Public Member Functions LossDistMonteCarlo (Size nBuckets, Real maximum, Size simulations, long seed=42, Real epsilon=1e-6) Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const Size buckets () const Real maximum () const Detailed Description Loss distribution with Monte Carlo…
QuantLib::LossDistHomogeneous – Loss Distribution for Homogeneous Pool. Synopsis #include <ql/experimental/credit/lossdistribution.hpp> Inherits QuantLib::LossDist. Public Member Functions LossDistHomogeneous (Size nBuckets, Real maximum, Real epsilon=1e-6) Distribution operator() (Real volume, const std::vector< Real > &probabilities) const Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const Size buckets () const Real maximum () const Size size…
QuantLib::LossDistBucketing – Loss distribution with Hull-White bucketing. Synopsis #include <ql/experimental/credit/lossdistribution.hpp> Inherits QuantLib::LossDist. Public Member Functions LossDistBucketing (Size nBuckets, Real maximum, Real epsilon=1e-6) Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const Size buckets () const Real maximum () const Detailed Description Loss distribution with Hull-White bucketing. Loss distribution with Hull-White bucketing…
QuantLib::LossDistBinomial – Binomial loss distribution. Synopsis #include <ql/experimental/credit/lossdistribution.hpp> Inherits QuantLib::LossDist. Public Member Functions LossDistBinomial (Size nBuckets, Real maximum) Distribution operator() (Size n, Real volume, Real probability) const Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const Size buckets () const Real maximum () const Real volume () const Size size ()…
NAME ql/methods/montecarlo/longstaffschwartzpathpricer.hpp – Longstaff-Schwarz path pricer for early exercise options. SYNOPSIS #include <ql/termstructures/yieldtermstructure.hpp> #include <ql/math/functional.hpp> #include <ql/math/linearleastsquaresregression.hpp> #include <ql/methods/montecarlo/pathpricer.hpp> #include <ql/methods/montecarlo/earlyexercisepathpricer.hpp> #include <boost/bind.hpp> #include <boost/function.hpp> Classes class LongstaffSchwartzPathPricer< PathType > Longstaff-Schwarz path pricer for early exercise options. Detailed Description Longstaff-Schwarz path pricer for early exercise options. Author Generated automatically by Doxygen for QuantLib from the…
QuantLib::LogNormalFwdRatePc – Predictor-Corrector. Synopsis #include <ql/models/marketmodels/evolvers/lognormalfwdratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member Functions LogNormalFwdRatePc (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…
QuantLib::LogNormalFwdRateIpc – Iterative Predictor-Corrector. Synopsis #include <ql/models/marketmodels/evolvers/lognormalfwdrateipc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member Functions LogNormalFwdRateIpc (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…
QuantLib::LogNormalFwdRateEulerConstrained – euler stepping Synopsis #include <ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.hpp> Inherits QuantLib::ConstrainedEvolver. Public Member Functions LogNormalFwdRateEulerConstrained (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) MarketModelConstrained interface virtual void setConstraintType (const std::vector< Size > &startIndexOfSwapRate, const std::vector< Size > &endIndexOfSwapRate) call once virtual void setThisConstraint (const std::vector< Rate > &rateConstraints, const std::vector<…
QuantLib::LogNormalFwdRateEuler – Euler. Synopsis #include <ql/models/marketmodels/evolvers/lognormalfwdrateeuler.hpp> Inherits QuantLib::MarketModelEvolver. Public Member Functions LogNormalFwdRateEuler (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) const std::vector< Real > & browniansThisStep () const accessor methods useful for doing pathwise vegas MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath ()…
QuantLib::LogNormalCotSwapRatePc – Predictor-Corrector. Synopsis #include <ql/models/marketmodels/evolvers/lognormalcotswapratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member Functions LogNormalCotSwapRatePc (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…