Linux Manuals session 3

QuantLib::DailyTenorCHFLibor – base class for the one day deposit BBA CHF LIBOR indexes Synopsis #include <ql/indexes/ibor/chflibor.hpp> Inherits QuantLib::DailyTenorLibor. Public Member Functions DailyTenorCHFLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description base class for the one day deposit BBA CHF LIBOR indexes Author Generated automatically by Doxygen for QuantLib from the source code.

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::DZero – $ D_{0} $ matricial representation Synopsis #include <ql/methods/finitedifferences/dzero.hpp> Inherits QuantLib::TridiagonalOperator. Public Member Functions DZero (Size gridPoints, Real h) Detailed Description $ D_{0} $ matricial representation The differential operator $ D_{0} $ discretizes the first derivative with the second-order formula [ ac{ artial u_{i}}{ artial x} pprox ac{u_{i+1}-u_{i-1}}{2h} = D_{0} u_{i} ] Tests the…

NAME dzsum1.f – SYNOPSIS Functions/Subroutines DOUBLE PRECISION function dzsum1 (N, CX, INCX) DZSUM1 forms the 1-norm of the complex vector using the true absolute value. Function/Subroutine Documentation DOUBLE PRECISION function dzsum1 (integerN, complex*16, dimension( * )CX, integerINCX) DZSUM1 forms the 1-norm of the complex vector using the true absolute value. Purpose: DZSUM1 takes the sum…

NAME dznrm2.f – SYNOPSIS Functions/Subroutines DOUBLE PRECISION function dznrm2 (N, X, INCX) DZNRM2 Function/Subroutine Documentation DOUBLE PRECISION function dznrm2 (integerN, complex*16, dimension(*)X, integerINCX) DZNRM2 Purpose: DZNRM2 returns the euclidean norm of a vector via the function name, so that DZNRM2 := sqrt( x**H*x )   Author: Univ. of Tennessee Univ. of California Berkeley Univ. of…

NAME dzasum.f – SYNOPSIS Functions/Subroutines DOUBLE PRECISION function dzasum (N, ZX, INCX) DZASUM Function/Subroutine Documentation DOUBLE PRECISION function dzasum (integerN, complex*16, dimension(*)ZX, integerINCX) DZASUM Purpose: DZASUM takes the sum of the absolute values.   Author: Univ. of Tennessee Univ. of California Berkeley Univ. of Colorado Denver NAG Ltd. Date: November 2011 Further Details: jack dongarra,…

QuantLib::BlackCalculator – Black 1976 calculator class. Synopsis #include <ql/pricingengines/blackcalculator.hpp> Inherited by BlackScholesCalculator. Public Member Functions BlackCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) Real value () const Real deltaForward () const virtual Real delta (Real spot) const Real elasticityForward () const virtual Real elasticity (Real spot) const Real gammaForward () const…

QuantLib::BlackCalculator – Black 1976 calculator class. Synopsis #include <ql/pricingengines/blackcalculator.hpp> Inherited by BlackScholesCalculator. Public Member Functions BlackCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) Real value () const Real deltaForward () const virtual Real delta (Real spot) const Real elasticityForward () const virtual Real elasticity (Real spot) const Real gammaForward () const…

NAME dtzrzf.f – SYNOPSIS Functions/Subroutines subroutine dtzrzf (M, N, A, LDA, TAU, WORK, LWORK, INFO) DTZRZF Function/Subroutine Documentation subroutine dtzrzf (integerM, integerN, double precision, dimension( lda, * )A, integerLDA, double precision, dimension( * )TAU, double precision, dimension( * )WORK, integerLWORK, integerINFO) DTZRZF Purpose: DTZRZF reduces the M-by-N ( M<=N ) real upper trapezoidal matrix A…

NAME dtzrqf.f – SYNOPSIS Functions/Subroutines subroutine dtzrqf (M, N, A, LDA, TAU, INFO) DTZRQF Function/Subroutine Documentation subroutine dtzrqf (integerM, integerN, double precision, dimension( lda, * )A, integerLDA, double precision, dimension( * )TAU, integerINFO) DTZRQF Purpose: This routine is deprecated and has been replaced by routine DTZRZF. DTZRQF reduces the M-by-N ( M<=N ) real upper…

NAME dtrttp.f – SYNOPSIS Functions/Subroutines subroutine dtrttp (UPLO, N, A, LDA, AP, INFO) DTRTTP copies a triangular matrix from the standard full format (TR) to the standard packed format (TP). Function/Subroutine Documentation subroutine dtrttp (characterUPLO, integerN, double precision, dimension( lda, * )A, integerLDA, double precision, dimension( * )AP, integerINFO) DTRTTP copies a triangular matrix from…

NAME dtrttf.f – SYNOPSIS Functions/Subroutines subroutine dtrttf (TRANSR, UPLO, N, A, LDA, ARF, INFO) DTRTTF copies a triangular matrix from the standard full format (TR) to the rectangular full packed format (TF). Function/Subroutine Documentation subroutine dtrttf (characterTRANSR, characterUPLO, integerN, double precision, dimension( 0: lda-1, 0: * )A, integerLDA, double precision, dimension( 0: * )ARF, integerINFO)…

NAME dtrtrs.f – SYNOPSIS Functions/Subroutines subroutine dtrtrs (UPLO, TRANS, DIAG, N, NRHS, A, LDA, B, LDB, INFO) DTRTRS Function/Subroutine Documentation subroutine dtrtrs (characterUPLO, characterTRANS, characterDIAG, integerN, integerNRHS, double precision, dimension( lda, * )A, integerLDA, double precision, dimension( ldb, * )B, integerLDB, integerINFO) DTRTRS Purpose: DTRTRS solves a triangular system of the form A * X…

NAME dtrtri.f – SYNOPSIS Functions/Subroutines subroutine dtrtri (UPLO, DIAG, N, A, LDA, INFO) DTRTRI Function/Subroutine Documentation subroutine dtrtri (characterUPLO, characterDIAG, integerN, double precision, dimension( lda, * )A, integerLDA, integerINFO) DTRTRI Purpose: DTRTRI computes the inverse of a real upper or lower triangular matrix A. This is the Level 3 BLAS version of the algorithm.  …

NAME dtrti2.f – SYNOPSIS Functions/Subroutines subroutine dtrti2 (UPLO, DIAG, N, A, LDA, INFO) DTRTI2 computes the inverse of a triangular matrix (unblocked algorithm). Function/Subroutine Documentation subroutine dtrti2 (characterUPLO, characterDIAG, integerN, double precision, dimension( lda, * )A, integerLDA, integerINFO) DTRTI2 computes the inverse of a triangular matrix (unblocked algorithm). Purpose: DTRTI2 computes the inverse of a…

NAME dtrsyl.f – SYNOPSIS Functions/Subroutines subroutine dtrsyl (TRANA, TRANB, ISGN, M, N, A, LDA, B, LDB, C, LDC, SCALE, INFO) DTRSYL Function/Subroutine Documentation subroutine dtrsyl (characterTRANA, characterTRANB, integerISGN, integerM, integerN, double precision, dimension( lda, * )A, integerLDA, double precision, dimension( ldb, * )B, integerLDB, double precision, dimension( ldc, * )C, integerLDC, double precisionSCALE, integerINFO) DTRSYL…

NAME dtrsv.f – SYNOPSIS Functions/Subroutines subroutine dtrsv (UPLO, TRANS, DIAG, N, A, LDA, X, INCX) DTRSV Function/Subroutine Documentation subroutine dtrsv (characterUPLO, characterTRANS, characterDIAG, integerN, double precision, dimension(lda,*)A, integerLDA, double precision, dimension(*)X, integerINCX) DTRSV Purpose: DTRSV solves one of the systems of equations A*x = b, or A**T*x = b, where b and x are n…

NAME dtrsna.f – SYNOPSIS Functions/Subroutines subroutine dtrsna (JOB, HOWMNY, SELECT, N, T, LDT, VL, LDVL, VR, LDVR, S, SEP, MM, M, WORK, LDWORK, IWORK, INFO) DTRSNA Function/Subroutine Documentation subroutine dtrsna (characterJOB, characterHOWMNY, logical, dimension( * )SELECT, integerN, double precision, dimension( ldt, * )T, integerLDT, double precision, dimension( ldvl, * )VL, integerLDVL, double precision, dimension( ldvr,…

NAME dtrsm.f – SYNOPSIS Functions/Subroutines subroutine dtrsm (SIDE, UPLO, TRANSA, DIAG, M, N, ALPHA, A, LDA, B, LDB) DTRSM Function/Subroutine Documentation subroutine dtrsm (characterSIDE, characterUPLO, characterTRANSA, characterDIAG, integerM, integerN, double precisionALPHA, double precision, dimension(lda,*)A, integerLDA, double precision, dimension(ldb,*)B, integerLDB) DTRSM Purpose: DTRSM solves one of the matrix equations op( A )*X = alpha*B, or X*op(…

NAME dtrsen.f – SYNOPSIS Functions/Subroutines subroutine dtrsen (JOB, COMPQ, SELECT, N, T, LDT, Q, LDQ, WR, WI, M, S, SEP, WORK, LWORK, IWORK, LIWORK, INFO) DTRSEN Function/Subroutine Documentation subroutine dtrsen (characterJOB, characterCOMPQ, logical, dimension( * )SELECT, integerN, double precision, dimension( ldt, * )T, integerLDT, double precision, dimension( ldq, * )Q, integerLDQ, double precision, dimension( *…