Linux Manuals session 3

QuantLib::CumulativePoissonDistribution – Cumulative Poisson distribution function. Synopsis#include <ql/math/distributions/poissondistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsCumulativePoissonDistribution (Real mu) Real operator() (BigNatural k) const Detailed DescriptionCumulative 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 6 Tests the…

QuantLib::CumulativeNormalDistribution – Cumulative normal distribution function. Synopsis#include <ql/math/distributions/normaldistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsCumulativeNormalDistribution (Real average=0.0, Real sigma=1.0) Real operator() (Real x) const Real derivative (Real x) const Detailed DescriptionCumulative normal distribution function. Given x it provides an approximation to the integral of the gaussian normal distribution: formula here … For this implementation see M. Abramowitz…

QuantLib::CumulativeBinomialDistribution – Cumulative binomial distribution function. Synopsis#include <ql/math/distributions/binomialdistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsCumulativeBinomialDistribution (Real p, BigNatural n) Real operator() (BigNatural k) const Detailed DescriptionCumulative binomial distribution function. Given an integer k it provides the cumulative probability of observing kk<=k: formula here … AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/math/interpolations/cubicinterpolation.hpp – cubic interpolation between discrete points Synopsis#include <ql/math/interpolation.hpp> #include <ql/methods/finitedifferences/tridiagonaloperator.hpp> #include <vector> Classesclass CubicInterpolation Cubic interpolation between discrete points. class Cubic Cubic interpolation factory and traits Detailed Descriptioncubic interpolation between discrete points AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::CubicBSplinesFitting – CubicSpline B-splines fitting method. Synopsis#include <ql/termstructures/yield/nonlinearfittingmethods.hpp> Inherits QuantLib::FittedBondDiscountCurve::FittingMethod. Public Member FunctionsCubicBSplinesFitting (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 DescriptionCubicSpline B-splines fitting method. Fits a discount function to a set of…

QuantLib::Cubic – Cubic interpolation factory and traits Synopsis#include <ql/math/interpolations/cubicinterpolation.hpp> Public Member FunctionsCubic (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 Attributesstatic const bool global = true static const Size requiredPoints =…

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);DescriptionThis module implements the Rijndael cipher, which has just been selected as…

QuantLib::CreditDefaultSwap – Credit default swap. Synopsis#include <ql/instruments/creditdefaultswap.hpp> Inherits QuantLib::Instrument. Public Member FunctionsConstructors 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 (PricingEngine::arguments *)…

QuantLib::CrankNicolson – Crank-Nicolson scheme for finite difference methods. Synopsis#include <ql/methods/finitedifferences/cranknicolson.hpp> Inherits MixedScheme< Operator >. Public Typestypedef OperatorTraits< Operator > traits typedef traits::operator_type operator_type typedef traits::array_type array_type typedef traits::bc_set bc_set typedef traits::condition_type condition_type Public Member FunctionsCrankNicolson (const operator_type &L, const bc_set &bcs) Detailed Descriptiontemplate<class Operator> class QuantLib::CrankNicolson< Operator >Crank-Nicolson scheme for finite difference methods. In this…

QuantLib::CoxRossRubinstein – Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. Synopsis#include <ql/methods/lattices/binomialtree.hpp> Inherits EqualJumpsBinomialTree< CoxRossRubinstein >. Public Member FunctionsCoxRossRubinstein (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Detailed DescriptionCox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/models/shortrate/onefactormodels/coxingersollross.hpp – Cox-Ingersoll-Ross model. Synopsis#include <ql/models/shortrate/onefactormodel.hpp> #include <ql/stochasticprocess.hpp> Classesclass CoxIngersollRoss Cox-Ingersoll-Ross model class. class Dynamics Dynamics of the short-rate under the Cox-Ingersoll-Ross model Detailed DescriptionCox-Ingersoll-Ross model. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::CovarianceDecomposition – Covariance decomposition into correlation and variances. Synopsis#include <ql/math/matrixutilities/getcovariance.hpp> Public Member FunctionsCovarianceDecomposition (const Matrix &covarianceMatrix, Real tolerance=1.0e-12, SalvagingAlgorithm::Type sa=SalvagingAlgorithm::None) const Array & variances () const const Array & standardDeviations () const const Matrix & correlationMatrix () const Detailed DescriptionCovariance decomposition into correlation and variances. Extracts the correlation matrix and the vector of variances out…

QuantLib::Coupon – coupon accruing over a fixed period Synopsis#include <ql/cashflows/coupon.hpp> Inherits QuantLib::CashFlow. Inherited by FixedRateCoupon, and FloatingRateCoupon. Public Member FunctionsCoupon (Real nominal, const Date &paymentDate, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date()) Partial CashFlow interface Date date () const Inspectors Real nominal () const const Date & accrualStartDate () const…

QuantLib::CoterminalSwapCurveState – Curve state for coterminal-swap market models Synopsis#include <ql/models/marketmodels/curvestates/coterminalswapcurvestate.hpp> Inherits QuantLib::CurveState. Public Member FunctionsCoterminalSwapCurveState (const std::vector< Time > &rateTimes) std::auto_ptr< CurveState > clone () const Modifiers void setOnCoterminalSwapRates (const std::vector< Rate > &swapRates, Size firstValidIndex=0) Inspectors Real discountRatio (Size i, Size j) const Rate forwardRate (Size i) const Rate coterminalSwapRate (Size i) const Rate…

Core — The Core widget class Synopsis#include <Xm/Xm.h>DescriptionCore is the Xt Intrinsic base class for windowed widgets. The Object and RectObj classes provide support for windowless widgets. ClassesAll widgets are built from Core. The class pointer is widgetClass. The class name is Core. New ResourcesThe following table defines a set of widget resources used by…

ql/math/interpolations/convexmonotoneinterpolation.hpp – convex monotone interpolation method Synopsis#include <ql/math/interpolation.hpp> #include <map> Classesclass ConvexMonotoneInterpolation< I1, I2 > Convex monotone yield-curve interpolation method. class ConvexMonotone Convex-monotone interpolation factory and traits. Detailed Descriptionconvex monotone interpolation method AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ConvexMonotone – Convex-monotone interpolation factory and traits. Synopsis#include <ql/math/interpolations/convexmonotoneinterpolation.hpp> Public Member FunctionsConvexMonotone (Real quadraticity=0.3, Real monotonicity=0.7, bool forcePositive=true) template<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const template<class I1 , class I2 > Interpolation localInterpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Size localisation,…

QuantLib::ConvertibleZeroCouponBond – convertible zero-coupon bond Synopsis#include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::ConvertibleBond. Public Member FunctionsConvertibleZeroCouponBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule &dividends, const CallabilitySchedule &callability, const Handle< Quote > &creditSpread, const Date &issueDate, Natural settlementDays, const DayCounter &dayCounter, const Schedule &schedule, Real redemption=100) Detailed Descriptionconvertible zero-coupon bond Warning Most methods inherited from Bond (such as…

QuantLib::ConvertibleFloatingRateBond – convertible floating-rate bond Synopsis#include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::ConvertibleBond. Public Member FunctionsConvertibleFloatingRateBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule &dividends, const CallabilitySchedule &callability, const Handle< Quote > &creditSpread, const Date &issueDate, Natural settlementDays, const boost::shared_ptr< IborIndex > &index, Natural fixingDays, const std::vector< Spread > &spreads, const DayCounter &dayCounter, const Schedule &schedule, Real redemption=100)…

QuantLib::ConvertibleFixedCouponBond – convertible fixed-coupon bond Synopsis#include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::ConvertibleBond. Public Member FunctionsConvertibleFixedCouponBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule &dividends, const CallabilitySchedule &callability, const Handle< Quote > &creditSpread, const Date &issueDate, Natural settlementDays, const std::vector< Rate > &coupons, const DayCounter &dayCounter, const Schedule &schedule, Real redemption=100) Detailed Descriptionconvertible fixed-coupon bond Warning Most methods…