Section 3: library functions
NAME dbdsdc.f – SYNOPSIS Functions/Subroutines subroutine dbdsdc (UPLO, COMPQ, N, D, E, U, LDU, VT, LDVT, Q, IQ, WORK, IWORK, INFO) DBDSDC Function/Subroutine Documentation subroutine dbdsdc (characterUPLO, characterCOMPQ, integerN, double precision, dimension( * )D, double precision, dimension( * )E, double precision, dimension( ldu, * )U, integerLDU, double precision, dimension( ldvt, * )VT, integerLDVT, double precision,…
NAME dbbcsd.f – SYNOPSIS Functions/Subroutines subroutine dbbcsd (JOBU1, JOBU2, JOBV1T, JOBV2T, TRANS, M, P, Q, THETA, PHI, U1, LDU1, U2, LDU2, V1T, LDV1T, V2T, LDV2T, B11D, B11E, B12D, B12E, B21D, B21E, B22D, B22E, WORK, LWORK, INFO) DBBCSD Function/Subroutine Documentation subroutine dbbcsd (characterJOBU1, characterJOBU2, characterJOBV1T, characterJOBV2T, characterTRANS, integerM, integerP, integerQ, double precision, dimension( * )THETA, double…
NAME daxpy.f – SYNOPSIS Functions/Subroutines subroutine daxpy (N, DA, DX, INCX, DY, INCY) DAXPY Function/Subroutine Documentation subroutine daxpy (integerN, double precisionDA, double precision, dimension(*)DX, integerINCX, double precision, dimension(*)DY, integerINCY) DAXPY Purpose: DAXPY constant times a vector plus a vector. uses unrolled loops for increments equal to one. Author: Univ. of Tennessee Univ. of California…
DAT_ID – Makes an ID value from four letters. Allegro game programming library. Synopsis #include <allegro.h> Macro DAT_ID(a, b, c, d); Description Every object or property in a datafile is identified by a 4 letter ID, which can be created with this macro. For example, to access the NAME property of a datafile object, you…
DATAFILE – Stores an Allegro datafile in memory. Synopsis #include <allegro.h> typedef struct DATAFILE Description void *dat; – pointer to the actual data int type; – type of the data long size; – size of the data in bytes void *prop; – list of object properties Read chapter "Datafile routines", section "Using datafiles" for a…
NAME dasum.f – SYNOPSIS Functions/Subroutines DOUBLE PRECISION function dasum (N, DX, INCX) DASUM Function/Subroutine Documentation DOUBLE PRECISION function dasum (integerN, double precision, dimension(*)DX, integerINCX) DASUM Purpose: DASUM 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…
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…
QuantLib::CzechRepublic – Czech calendars. Synopsis #include <ql/time/calendars/czechrepublic.hpp> Inherits QuantLib::Calendar. Public Types enum Market { PSE } Public Member Functions CzechRepublic (Market m=PSE) Detailed Description Czech calendars. Holidays for the Prague stock exchange (see http://www.pse.cz/): * Saturdays * Sundays * New Year’s Day, January 1st * Easter Monday * Labour Day, May 1st * Liberation Day,…
QuantLib::CurveState – Curve state for market-model simulations Synopsis #include <ql/models/marketmodels/curvestate.hpp> Inherited by CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState. Public Member Functions CurveState (const std::vector< Time > &rateTimes) Inspectors Size numberOfRates () const const std::vector< Time > & rateTimes () const const std::vector< Time > & rateTaus () const virtual Real discountRatio (Size i, Size j) const =0…
QuantLib::Currency – Currency specification Synopsis #include <ql/currency.hpp> Inherited by ARSCurrency, ATSCurrency, AUDCurrency, BDTCurrency, BEFCurrency, BGLCurrency, BRLCurrency, BYRCurrency, CADCurrency, CHFCurrency, CLPCurrency, CNYCurrency, COPCurrency, CYPCurrency, CZKCurrency, DEMCurrency, DKKCurrency, EEKCurrency, ESPCurrency, EURCurrency, FIMCurrency, FRFCurrency, GBPCurrency, GRDCurrency, HKDCurrency, HUFCurrency, IEPCurrency, ILSCurrency, INRCurrency, IQDCurrency, IRRCurrency, ISKCurrency, ITLCurrency, JPYCurrency, KRWCurrency, KWDCurrency, LTLCurrency, LUFCurrency, LVLCurrency, MTLCurrency, MXNCurrency, NLGCurrency, NOKCurrency, NPRCurrency, NZDCurrency, PEHCurrency,…
QuantLib::CumulativeStudentDistribution – Cumulative Student t-distribution. Synopsis #include <ql/math/distributions/studenttdistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member Functions CumulativeStudentDistribution (Integer n) Real operator() (Real x) const Detailed Description Cumulative Student t-distribution. Cumulative distribution function for $ n $ degrees of freedom (see mathworld.wolfram.com): [ F(x) = int_{-infty}^x,f(y),dy = ac{1}{2}, +,ac{1}{2},sgn(x), regularized incomplete beta function. Author Generated automatically by Doxygen for…
QuantLib::CumulativePoissonDistribution – Cumulative Poisson distribution function. Synopsis #include <ql/math/distributions/poissondistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member Functions CumulativePoissonDistribution (Real mu) Real operator() (BigNatural k) const Detailed Description Cumulative Poisson distribution function. This function provides an approximation of the integral of the Poisson distribution. For this implementation see ‘Numerical Recipes in C’, 2nd edition, Press, Teukolsky, Vetterling, Flannery, chapter…
QuantLib::CumulativeNormalDistribution – Cumulative normal distribution function. Synopsis #include <ql/math/distributions/normaldistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member Functions CumulativeNormalDistribution (Real average=0.0, Real sigma=1.0) Real operator() (Real x) const Real derivative (Real x) const Detailed Description Cumulative normal distribution function. Given x it provides an approximation to the integral of the gaussian normal distribution: formula here … For this implementation…
QuantLib::CumulativeBinomialDistribution – Cumulative binomial distribution function. Synopsis #include <ql/math/distributions/binomialdistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member Functions CumulativeBinomialDistribution (Real p, BigNatural n) Real operator() (BigNatural k) const Detailed Description Cumulative binomial distribution function. Given an integer k it provides the cumulative probability of observing kk<=k: formula here … Author Generated automatically by Doxygen for QuantLib from the source…
NAME ql/math/interpolations/cubicinterpolation.hpp – cubic interpolation between discrete points SYNOPSIS #include <ql/math/interpolation.hpp> #include <ql/methods/finitedifferences/tridiagonaloperator.hpp> #include <vector> Classes class CubicInterpolation Cubic interpolation between discrete points. class Cubic Cubic interpolation factory and traits Detailed Description cubic interpolation between discrete points Author Generated automatically by Doxygen for QuantLib from the source code. Index
QuantLib::CubicBSplinesFitting – CubicSpline B-splines fitting method. Synopsis #include <ql/termstructures/yield/nonlinearfittingmethods.hpp> Inherits QuantLib::FittedBondDiscountCurve::FittingMethod. Public Member Functions CubicBSplinesFitting (const std::vector< Time > &knotVector, bool constrainAtZero=true) Real basisFunction (Integer i, Time t) const cubic B-spline basis functions std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const clone of the current object Detailed Description CubicSpline B-splines fitting method. Fits a discount function to…
QuantLib::Cubic – Cubic interpolation factory and traits Synopsis #include <ql/math/interpolations/cubicinterpolation.hpp> Public Member Functions Cubic (CubicInterpolation::DerivativeApprox da=CubicInterpolation::Kruger, bool monotonic=false, CubicInterpolation::BoundaryCondition leftCondition=CubicInterpolation::SecondDerivative, Real leftConditionValue=0.0, CubicInterpolation::BoundaryCondition rightCondition=CubicInterpolation::SecondDerivative, Real rightConditionValue=0.0) template<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const Static Public Attributes static const bool global = true static const…
Crypt::Rijndael – Crypt::CBC compliant Rijndael encryption module Synopsis use Crypt::Rijndael; # keysize() is 32, but 24 and 16 are also possible # blocksize() is 16 $cipher = Crypt::Rijndael->new( "a" x 32, Crypt::Rijndael::MODE_CBC() ); $cipher->set_iv($iv); $crypted = $cipher->encrypt($plaintext); # – OR – $plaintext = $cipher->decrypt($crypted); Description This module implements the Rijndael cipher, which has just been…
QuantLib::CreditDefaultSwap – Credit default swap. Synopsis #include <ql/instruments/creditdefaultswap.hpp> Inherits QuantLib::Instrument. Public Member Functions Constructors CreditDefaultSwap (Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >()) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments…