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ql/instruments/bonds/convertiblebond.hpp – convertible bond class Synopsis#include <ql/instruments/bond.hpp> #include <ql/instruments/oneassetoption.hpp> #include <ql/instruments/dividendschedule.hpp> #include <ql/instruments/callabilityschedule.hpp> #include <ql/time/schedule.hpp> #include <ql/quote.hpp> Classesclass SoftCallability callability leaving to the holder the possibility to convert class ConvertibleBond base class for convertible bonds class ConvertibleZeroCouponBond convertible zero-coupon bond class ConvertibleFixedCouponBond convertible fixed-coupon bond class ConvertibleFloatingRateBond convertible floating-rate bond Detailed Descriptionconvertible bond class AuthorGenerated…

QuantLib::Quantity – Amount of a commodity. Synopsis#include <ql/experimental/commodities/quantity.hpp> Public Member FunctionsConstructors Quantity () Quantity (const CommodityType &commodityType, const UnitOfMeasure &unitOfMeasure, Real amount) Inspectors const CommodityType & commodityType () const const UnitOfMeasure & unitOfMeasure () const Real amount () const Quantity rounded () const Quantity arithmetics See below for non-member functions and for settings which determine…

QuantLib::ConvergenceStatistics – statistics class with convergence table Synopsis#include <ql/math/statistics/convergencestatistics.hpp> Inherits T. Public Typestypedef T::value_type value_type typedef std::vector< std::pair< Size, value_type > > table_type Public Member FunctionsConvergenceStatistics (const T &stats, const U &rule=U()) ConvergenceStatistics (const U &rule=U()) void add (const value_type &value, Real weight=1.0) template<class DataIterator > void addSequence (DataIterator begin, DataIterator end) template<class DataIterator ,…

QuantLib::ContinuousFloatingLookbackOption – Continuous-floating lookback option. Synopsis#include <ql/instruments/lookbackoption.hpp> Inherits QuantLib::OneAssetOption. Classesclass arguments Arguments for continuous floating lookback option calculation class engine Continuous floating lookback engine base class Public Member FunctionsContinuousFloatingLookbackOption (Real currentMinmax, const boost::shared_ptr< TypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Protected AttributesReal minmax_ Detailed DescriptionContinuous-floating lookback option. Member Function…

QuantLib::ContinuousFixedLookbackOption – Continuous-fixed lookback option. Synopsis#include <ql/instruments/lookbackoption.hpp> Inherits QuantLib::OneAssetOption. Classesclass arguments Arguments for continuous fixed lookback option calculation class engine Continuous fixed lookback engine base class Public Member FunctionsContinuousFixedLookbackOption (Real currentMinmax, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Protected AttributesReal minmax_ Detailed DescriptionContinuous-fixed lookback option. Member Function…

QuantLib::ContinuousAveragingAsianOption – Continuous-averaging Asian option. Synopsis#include <ql/instruments/asianoption.hpp> Inherits QuantLib::OneAssetOption. Classesclass arguments Extra arguments for single-asset continuous-average Asian option. class engine Continuous-averaging Asian engine base class. Public Member FunctionsContinuousAveragingAsianOption (Average::Type averageType, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Protected AttributesAverage::Type averageType_ Detailed DescriptionContinuous-averaging Asian option. Possible enhancements add…

Constraint — The Constraint widget class Synopsis#include <Xm/Xm.h>DescriptionConstraint widgets maintain additional state data for each child. For example, client-defined constraints on the child’s geometry may be specified. When a constrained composite widget defines constraint resources, all of that widget’s children inherit all of those resources as their own. These constraint resources are set and read…

QuantLib::ConstantSwaptionVolatility – Constant swaption volatility, no time-strike dependence. Synopsis#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp> Inherits QuantLib::SwaptionVolatilityStructure. Public Member FunctionsConstantSwaptionVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) floating reference date, floating market data ConstantSwaptionVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) fixed reference…

QuantLib::ConstantParameter – Standard constant parameter $ a(t) = a $. Synopsis#include <ql/models/parameter.hpp> Inherits QuantLib::Parameter. Public Member FunctionsConstantParameter (const Constraint &constraint) ConstantParameter (Real value, const Constraint &constraint) Detailed DescriptionStandard constant parameter $ a(t) = a $. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ConstantOptionletVolatility – Constant caplet volatility, no time-strike dependence. Synopsis#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp> Inherits QuantLib::OptionletVolatilityStructure. Public Member FunctionsConstantOptionletVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) floating reference date, floating market data ConstantOptionletVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) fixed reference…

QuantLib::ConstantEstimator – Constant-estimator volatility model. Synopsis#include <ql/models/volatility/constantestimator.hpp> Inherits QuantLib::VolatilityCompositor. Public Member FunctionsConstantEstimator (Size size) TimeSeries< Volatility > calculate (const TimeSeries< Volatility > &) void calibrate (const TimeSeries< Volatility > &) Detailed DescriptionConstant-estimator volatility model. Volatilities are assumed to be expressed on an annual basis. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ConstantCapFloorTermVolatility – Constant caplet volatility, no time-strike dependence. Synopsis#include <ql/termstructures/volatility/capfloor/constantcapfloortermvol.hpp> Inherits QuantLib::CapFloorTermVolatilityStructure. Public Member FunctionsConstantCapFloorTermVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) floating reference date, floating market data ConstantCapFloorTermVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) fixed reference…

AllPlanes, BlackPixel, WhitePixel, ConnectionNumber, DefaultColormap, DefaultDepth, XListDepths, DefaultGC, DefaultRootWindow, DefaultScreenOfDisplay, DefaultScreen, DefaultVisual, DisplayCells, DisplayPlanes, DisplayString, XMaxRequestSize, XExtendedMaxRequestSize, LastKnownRequestProcessed, NextRequest, ProtocolVersion, ProtocolRevision, QLength, RootWindow, ScreenCount, ScreenOfDisplay, ServerVendor, VendorRelease – Display macros and functions Syntaxunsigned long AllPlanes; unsigned long BlackPixel(Display *display, int screen_number); unsigned long WhitePixel(Display *display, int screen_number); int ConnectionNumber(Display *display); Colormap DefaultColormap(Display *display, int screen_number);…

QuantLib::ConjugateGradient – Multi-dimensional Conjugate Gradient class. Synopsis#include <ql/math/optimization/conjugategradient.hpp> Inherits QuantLib::LineSearchBasedMethod. Public Member FunctionsConjugateGradient (const boost::shared_ptr< LineSearch > &lineSearch=boost::shared_ptr< LineSearch >()) virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria) solve the optimization problem P Detailed DescriptionMulti-dimensional Conjugate Gradient class. Fletcher-Reeves-Polak-Ribiere algorithm adapted from Numerical Recipes in C, 2nd edition. User has to provide line-search method and…

XMLTV::Configure::Writer – Configuration file writer for XMLTV grabbers DescriptionUtility class that helps grabbers write configuration descriptions. Synopsis use XMLTV::Configure::Writer; my $result; my $writer = new XMLTV::Writer::Configure( OUTPUT => \$result, encoding => ‘iso-8859-1’ ); $writer->start( { grabber => ‘tv_grab_xxx’ } ); $writer->write_string( { id => ‘username’, title => [ [ ‘Username’, ‘en’ ], [ ‘Anva.ndarnamn’, ‘sv’…

XMLTV::Configure – Configuration file handling for XMLTV grabbers DescriptionUtility library that helps grabbers read from configuration files and implement a configuration method that can be run from the command-line. Exported FunctionsAll these functions are exported on demand. LoadConfig Takes the name of the configuration file to load as a parameter. Returns a hashref with configuration…

QuantLib::CompoundForward – compound-forward structure Synopsis#include <ql/legacy/termstructures/compoundforward.hpp> Inherits QuantLib::ForwardRateStructure. Public Member FunctionsCompoundForward (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Rate > &forwards, const Calendar &calendar, const BusinessDayConvention conv, const Integer compounding, const DayCounter &dayCounter) BusinessDayConvention businessDayConvention () const Integer compounding () const Date maxDate () const the latest date for which the curve…

ql/quotes/compositequote.hpp – purely virtual base class for market observables Synopsis#include <ql/quote.hpp> #include <ql/types.hpp> #include <ql/handle.hpp> #include <ql/errors.hpp> Classesclass CompositeQuote< BinaryFunction > market element whose value depends on two other market element Detailed Descriptionpurely virtual base class for market observables AuthorGenerated automatically by Doxygen for QuantLib from the source code.

Composite — The Composite widget class Synopsis#include <Xm/Xm.h>DescriptionComposite widgets are intended to be containers for other widgets and can have an arbitrary number of children. Their responsibilities (implemented either directly by the widget class or indirectly by Intrinsics functions) include: • Overall management of children from creation to destruction. • Destruction of descendants when the…

QuantLib::CommodityCurve – Commodity term structure. Synopsis#include <ql/experimental/commodities/commoditycurve.hpp> Inherits QuantLib::TermStructure. Public Member FunctionsCommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, const std::vector< Date > &dates, const std::vector< Real > &prices, const DayCounter &dayCounter=Actual365Fixed()) CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure, const Calendar…