Section 3: library functions
NAME idamax.f – SYNOPSIS Functions/Subroutines INTEGER function idamax (N, DX, INCX) IDAMAX Function/Subroutine Documentation INTEGER function idamax (integerN, double precision, dimension(*)DX, integerINCX) IDAMAX Purpose: IDAMAX finds the index of element having max. absolute value. Author: Univ. of Tennessee Univ. of California Berkeley Univ. of Colorado Denver NAG Ltd. Date: November 2011 Further Details: jack…
NAME icmax1.f – SYNOPSIS Functions/Subroutines INTEGER function icmax1 (N, CX, INCX) ICMAX1 finds the index of the vector element whose real part has maximum absolute value. Function/Subroutine Documentation INTEGER function icmax1 (integerN, complex, dimension( * )CX, integerINCX) ICMAX1 finds the index of the vector element whose real part has maximum absolute value. Purpose: ICMAX1 finds…
QuantLib::Iceland – Icelandic calendars. Synopsis #include <ql/time/calendars/iceland.hpp> Inherits QuantLib::Calendar. Public Types enum Market { ICEX } Public Member Functions Iceland (Market m=ICEX) Detailed Description Icelandic calendars. Holidays for the Iceland stock exchange (data from <http://www.icex.is/is/calendar?languageID=1>): * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday) * Holy Thursday * Good Friday…
NAME icamax.f – SYNOPSIS Functions/Subroutines INTEGER function icamax (N, CX, INCX) ICAMAX Function/Subroutine Documentation INTEGER function icamax (integerN, complex, dimension(*)CX, integerINCX) ICAMAX Purpose: ICAMAX finds the index of element having max. absolute value. Author: Univ. of Tennessee Univ. of California Berkeley Univ. of Colorado Denver NAG Ltd. Date: November 2011 Further Details: jack dongarra,…
NAME ql/processes/hybridhestonhullwhiteprocess.hpp – hybrid equity (heston model) with stochastic interest rates (hull white model) SYNOPSIS #include <ql/processes/hestonprocess.hpp> #include <ql/processes/hullwhiteprocess.hpp> #include <ql/processes/jointstochasticprocess.hpp> #include <ql/models/shortrate/onefactormodels/hullwhite.hpp> Classes class HybridHestonHullWhiteProcess Hybrid Heston Hull-White stochastic process. Detailed Description hybrid equity (heston model) with stochastic interest rates (hull white model) Author Generated automatically by Doxygen for QuantLib from the source code….
NAME ql/processes/hullwhiteprocess.hpp – Hull-White stochastic processes. SYNOPSIS #include <ql/processes/forwardmeasureprocess.hpp> #include <ql/processes/ornsteinuhlenbeckprocess.hpp> #include <ql/termstructures/yieldtermstructure.hpp> Classes class HullWhiteProcess Hull-White stochastic process. class HullWhiteForwardProcess Forward Hull-White stochastic process Detailed Description Hull-White stochastic processes. Author Generated automatically by Doxygen for QuantLib from the source code. Index
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 ql/models/shortrate/onefactormodels/hullwhite.hpp – Hull & White (HW) model. SYNOPSIS #include <ql/models/shortrate/onefactormodels/vasicek.hpp> Classes class HullWhite Single-factor Hull-White (extended Vasicek) model class. class Dynamics Short-rate dynamics in the Hull-White model. class FittingParameter Analytical term-structure fitting parameter $ iled Description" Detailed Description Hull & White (HW) model. Author Generated automatically by Doxygen for QuantLib from the source code….
QuantLib::HongKong – Hong Kong calendars. Synopsis #include <ql/time/calendars/hongkong.hpp> Inherits QuantLib::Calendar. Public Types enum Market { HKEx } Public Member Functions HongKong (Market m=HKEx) Detailed Description Hong Kong calendars. Holidays: * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday) * Ching Ming Festival, April 5th * Good Friday * Easter Monday…
QuantLib::HomogeneousPoolCDOEngine – CDO engine, loss distribution convolution for finite homogeneous pool. Synopsis #include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits CDOEngine. Public Member Functions HomogeneousPoolCDOEngine (const Handle< OneFactorCopula > copula, Size nBuckets, Period stepSize=1 *Days) Protected Attributes const Handle< OneFactorCopula > copula_ Size nBuckets_ Detailed Description template<class CDOEngine> class QuantLib::HomogeneousPoolCDOEngine< CDOEngine > CDO engine, loss distribution convolution for finite homogeneous…
NAME ql/models/marketmodels/historicalratesanalysis.hpp – Statistical analysis of historical rates. SYNOPSIS #include <ql/math/statistics/sequencestatistics.hpp> #include <ql/time/date.hpp> Classes class HistoricalRatesAnalysis Historical rate analysis class Functions void historicalRatesAnalysis (SequenceStatistics &statistics, std::vector< Date > &skippedDates, std::vector< std::string > &skippedDatesErrorMessage, const Date &startDate, const Date &endDate, const Period &step, const std::vector< boost::shared_ptr< InterestRateIndex > > &indexes) Detailed Description Statistical analysis of historical…
QuantLib::HistoricalForwardRatesAnalysisImpl – Historical correlation class Synopsis #include <ql/models/marketmodels/historicalforwardratesanalysis.hpp> Inherits QuantLib::HistoricalForwardRatesAnalysis. Public Member Functions HistoricalForwardRatesAnalysisImpl (const boost::shared_ptr< SequenceStatistics > &stats, const Date &startDate, const Date &endDate, const Period &step, const boost::shared_ptr< InterestRateIndex > &fwdIndex, const Period &initialGap, const Period &horizon, const std::vector< boost::shared_ptr< IborIndex > > &iborIndexes, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const DayCounter…
QuantLib::Histogram – Histogram class. Synopsis #include <ql/math/statistics/histogram.hpp> Public Types enum Algorithm { None, Sturges, FD, Scott } Public Member Functions constructors Histogram () template<class T > Histogram (T data_begin, T data_end, Size breaks) template<class T > Histogram (T data_begin, T data_end, Algorithm algorithm) template<class T , class U > Histogram (T data_begin, T data_end, U…
QuantLib::HimalayaOption – Himalaya option. Synopsis #include <ql/instruments/himalayaoption.hpp> Inherits QuantLib::MultiAssetOption. Public Member Functions HimalayaOption (const std::vector< Date > &fixingDates, Real strike) void setupArguments (PricingEngine::arguments *) const Detailed Description Himalaya option. The payoff of a Himalaya option is computed in the following way: Given a basket of N assets, and N time periods, at the end of…
QuantLib::HybridHestonHullWhiteProcess – Hybrid Heston Hull-White stochastic process. Synopsis #include <ql/processes/hybridhestonhullwhiteprocess.hpp> Inherits QuantLib::JointStochasticProcess. Public Member Functions HybridHestonHullWhiteProcess (const boost::shared_ptr< HestonProcess > &hestonProcess, const boost::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Size factors) void preEvolve (Time t0, const Array &x0, Time dt, const Array &dw) const Disposable< Array > postEvolve (Time t0, const Array &x0, Time dt, const…
QuantLib::HestonModelHelper – calibration helper for Heston model Synopsis #include <ql/models/equity/hestonmodelhelper.hpp> Inherits QuantLib::CalibrationHelper. Public Member Functions HestonModelHelper (const Period &maturity, const Calendar &calendar, const Real s0, const Real strikePrice, const Handle< Quote > &volatility, const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > ÷ndYield, bool calibrateVolatility=false) void addTimesTo (std::list< Time > &) const Real modelValue ()…
QuantLib::HestonModel – Heston model for the stochastic volatility of an asset. Synopsis #include <ql/models/equity/hestonmodel.hpp> Inherits QuantLib::CalibratedModel. Inherited by BatesDoubleExpModel, and BatesModel. Public Member Functions HestonModel (const boost::shared_ptr< HestonProcess > &process) Real theta () const Real kappa () const Real sigma () const Real rho () const Real v0 () const boost::shared_ptr< HestonProcess > process ()…
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…
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::HazardRateStructure – hazard-rate adapter for default-probability term structures Synopsis #include <ql/termstructures/credit/hazardratestructure.hpp> Inherits QuantLib::DefaultProbabilityTermStructure. Inherited by FlatHazardRate, and InterpolatedHazardRateCurve< Interpolator >. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. HazardRateStructure (const DayCounter &dc=DayCounter()) default constructor HazardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter()) initialize with a fixed reference date HazardRateStructure…