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Globus Callback – Globus Callback Function Interface. ModulesGlobus Callback API Globus Callback Spaces Globus Callback Signal Handling Macros#define GLOBUS_CALLBACK_MODULE Module descriptor. #define GLOBUS_POLL_MODULE Module descriptor. Typedefstypedef int globus_callback_handle_t Periodic callback handle. typedef int globus_callback_space_t Callback space handle. typedef struct globus_l_callback_space_attr_s * globus_callback_space_attr_t" Callback space attribute. Enumerationsenum globus_callback_error_type_t { GLOBUS_CALLBACK_ERROR_INVALID_CALLBACK_HANDLE = 1024, GLOBUS_CALLBACK_ERROR_INVALID_SPACE, GLOBUS_CALLBACK_ERROR_MEMORY_ALLOC, GLOBUS_CALLBACK_ERROR_INVALID_ARGUMENT, GLOBUS_CALLBACK_ERROR_ALREADY_CANCELED,…

Globus Callback – Globus Callback Function Interface. ModulesGlobus Callback API Globus Callback Spaces Globus Callback Signal Handling Macros#define GLOBUS_CALLBACK_MODULE Module descriptor. #define GLOBUS_POLL_MODULE Module descriptor. Typedefstypedef int globus_callback_handle_t Periodic callback handle. typedef int globus_callback_space_t Callback space handle. typedef struct globus_l_callback_space_attr_s * globus_callback_space_attr_t" Callback space attribute. Enumerationsenum globus_callback_error_type_t { GLOBUS_CALLBACK_ERROR_INVALID_CALLBACK_HANDLE = 1024, GLOBUS_CALLBACK_ERROR_INVALID_SPACE, GLOBUS_CALLBACK_ERROR_MEMORY_ALLOC, GLOBUS_CALLBACK_ERROR_INVALID_ARGUMENT, GLOBUS_CALLBACK_ERROR_ALREADY_CANCELED,…

ql/experimental/credit/syntheticcdoengines.hpp – Pricing engines for the Synthetic CDO instrument. Synopsis#include <ql/experimental/credit/syntheticcdo.hpp> #include <ql/experimental/credit/randomdefaultmodel.hpp> #include <ql/math/distributions/normaldistribution.hpp> #include <ql/math/distributions/bivariatenormaldistribution.hpp> Classesclass engine CDO base engine. class MidPointCDOEngine CDO base engine taking schedule steps. class IntegralCDOEngine CDO base engine taking (possibly) small time steps. class MonteCarloCDOEngine1 CDO engine, Monte Carlo for the exptected tranche loss distribution. class MonteCarloCDOEngine2 CDO…

ql/experimental/credit/syntheticcdoengines.hpp – Pricing engines for the Synthetic CDO instrument. Synopsis#include <ql/experimental/credit/syntheticcdo.hpp> #include <ql/experimental/credit/randomdefaultmodel.hpp> #include <ql/math/distributions/normaldistribution.hpp> #include <ql/math/distributions/bivariatenormaldistribution.hpp> Classesclass engine CDO base engine. class MidPointCDOEngine CDO base engine taking schedule steps. class IntegralCDOEngine CDO base engine taking (possibly) small time steps. class MonteCarloCDOEngine1 CDO engine, Monte Carlo for the exptected tranche loss distribution. class MonteCarloCDOEngine2 CDO…

QuantLib::GJRGARCHProcess – Stochastic-volatility GJR-GARCH(1,1) process. Synopsis#include <ql/processes/gjrgarchprocess.hpp> Inherits QuantLib::StochasticProcess. Public Typesenum Discretization { PartialTruncation, FullTruncation, Reflection } Public Member FunctionsGJRGARCHProcess (const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, const Handle< Quote > &s0, Real v0, Real omega, Real alpha, Real beta, Real gamma, Real lambda, Real daysPerYear=252.0, Discretization d=FullTruncation) Size size () const…

QuantLib::GJRGARCHModel – GJR-GARCH model for the stochastic volatility of an asset. Synopsis#include <ql/models/equity/gjrgarchmodel.hpp> Inherits QuantLib::CalibratedModel. Public Member FunctionsGJRGARCHModel (const boost::shared_ptr< GJRGARCHProcess > &process) Real omega () const Real alpha () const Real beta () const Real gamma () const Real lambda () const Real v0 () const boost::shared_ptr< GJRGARCHProcess > process () const Protected Member…

ql/indexes/ibor/gbplibor.hpp – GBP LIBOR rate Synopsis#include <ql/indexes/ibor/libor.hpp> #include <ql/time/calendars/unitedkingdom.hpp> #include <ql/time/daycounters/actual365fixed.hpp> #include <ql/currencies/europe.hpp> Classesclass GBPLibor GBP LIBOR rate class DailyTenorGBPLibor base class for the one day deposit BBA GBP LIBOR indexes class GBPLiborON Overnight GBP Libor index. Detailed DescriptionGBP LIBOR rate AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/pricingengines/swaption/g2swaptionengine.hpp – Swaption pricing engine for two-factor additive Gaussian Model G2++. Synopsis#include <ql/pricingengines/genericmodelengine.hpp> #include <ql/models/shortrate/twofactormodels/g2.hpp> #include <ql/pricingengines/swap/discountingswapengine.hpp> Classesclass G2SwaptionEngine Swaption priced by means of the Black formula Detailed DescriptionSwaption pricing engine for two-factor additive Gaussian Model G2++. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::G2Process – G2 stochastic process Synopsis#include <ql/processes/g2process.hpp> Inherits QuantLib::StochasticProcess. Public Member FunctionsG2Process (Real a, Real sigma, Real b, Real eta, Real rho) Real x0 () const Real y0 () const Real a () const Real sigma () const Real b () const Real eta () const Real rho () const StochasticProcess interface Size size ()…

QuantLib::G2ForwardProcess – Forward G2 stochastic process Synopsis#include <ql/processes/g2process.hpp> Inherits QuantLib::ForwardMeasureProcess. Public Member FunctionsG2ForwardProcess (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< Array >…

ql/models/shortrate/twofactormodels/g2.hpp – Two-factor additive Gaussian Model G2++. Synopsis#include <ql/models/shortrate/twofactormodel.hpp> #include <ql/processes/ornsteinuhlenbeckprocess.hpp> #include <ql/instruments/swaption.hpp> Classesclass G2 Two-additive-factor gaussian model class. class FittingParameter Analytical term-structure fitting parameter $ iled Description" Detailed DescriptionTwo-factor additive Gaussian Model G2++. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::FuturesRateHelper – Rate helper for bootstrapping over IborIndex futures prices. Synopsis#include <ql/termstructures/yield/ratehelpers.hpp> Inherits BootstrapHelper< YieldTermStructure >. Public Member FunctionsFuturesRateHelper (const Handle< Quote > &price, const Date &immDate, Natural lengthInMonths, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, const Handle< Quote > &convexityAdjustment=Handle< Quote >()) FuturesRateHelper (Real price, const Date &immDate, Natural lengthInMonths, const…

ql/quotes/futuresconvadjustmentquote.hpp – quote for the futures-convexity adjustment of an index Synopsis#include <ql/quote.hpp> #include <ql/types.hpp> #include <ql/handle.hpp> #include <ql/indexes/iborindex.hpp> Classesclass FuturesConvAdjustmentQuote quote for the futures-convexity adjustment of an index Detailed Descriptionquote for the futures-convexity adjustment of an index AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::CubicInterpolation – Cubic interpolation between discrete points. Synopsis#include <ql/math/interpolations/cubicinterpolation.hpp> Inherits QuantLib::Interpolation. Inherited by MonotonicNaturalCubicInterpolation, and NaturalCubicInterpolation. Public Typesenum DerivativeApprox { Spline, FourthOrder, Parabolic, ModifiedParabolic, FritschButland, Akima, Kruger } enum BoundaryCondition { NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange } Public Member Functionstemplate<class I1 , class I2 > CubicInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin,…

ql/time/frequency.hpp – Frequency enumeration. Synopsis#include <ql/qldefines.hpp> #include <ostream> Enumerationsenum Frequency { NoFrequency = -1, Once = 0, Annual = 1, Semiannual = 2, EveryFourthMonth = 3, Quarterly = 4, Bimonthly = 6, Monthly = 12, EveryFourthWeek = 13, Biweekly = 26, Weekly = 52, Daily = 365, OtherFrequency = 999 } Frequency of events. Detailed…

QuantLib::Germany – German calendars. Synopsis#include <ql/time/calendars/germany.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { Settlement, FrankfurtStockExchange, Xetra, Eurex } German calendars. Public Member FunctionsGermany (Market market=FrankfurtStockExchange) Detailed DescriptionGerman calendars. Public holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Good Friday * Easter Monday * Ascension Thursday * Whit Monday * Corpus Christi *…

QuantLib::FractionalDividend – Predetermined cash flow. Synopsis#include <ql/cashflows/dividend.hpp> Inherits QuantLib::Dividend. Public Member FunctionsFractionalDividend (Real rate, const Date &date) FractionalDividend (Real rate, Real nominal, const Date &date) Dividend interface virtual Real amount () const returns the amount of the cash flow virtual Real amount (Real underlying) const Inspectors Real rate () const Real nominal () const Protected…

QuantLib::FraRateHelper – Rate helper for bootstrapping over FRA rates. Synopsis#include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member FunctionsFraRateHelper (const Handle< Quote > &rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter) FraRateHelper (Rate rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter…

QuantLib::CubicInterpolation – Cubic interpolation between discrete points. Synopsis#include <ql/math/interpolations/cubicinterpolation.hpp> Inherits QuantLib::Interpolation. Inherited by MonotonicNaturalCubicInterpolation, and NaturalCubicInterpolation. Public Typesenum DerivativeApprox { Spline, FourthOrder, Parabolic, ModifiedParabolic, FritschButland, Akima, Kruger } enum BoundaryCondition { NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange } Public Member Functionstemplate<class I1 , class I2 > CubicInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin,…

ql/instruments/forwardvanillaoption.hpp – Forward version of a vanilla option. Synopsis#include <ql/instruments/oneassetoption.hpp> #include <ql/instruments/payoffs.hpp> #include <ql/time/date.hpp> Classesclass ForwardOptionArguments< ArgumentsType > Arguments for forward (strike-resetting) option calculation class ForwardVanillaOption Forward version of a vanilla option Detailed DescriptionForward version of a vanilla option. AuthorGenerated automatically by Doxygen for QuantLib from the source code.