Linux Manuals session 3

QuantLib::ConstantParameter – Standard constant parameter $ a(t) = a $. Synopsis #include <ql/models/parameter.hpp> Inherits QuantLib::Parameter. Public Member Functions ConstantParameter (const Constraint &constraint) ConstantParameter (Real value, const Constraint &constraint) Detailed Description Standard constant parameter $ a(t) = a $. Author Generated 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 Functions ConstantOptionletVolatility (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)…

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

QuantLib::ConstantCapFloorTermVolatility – Constant caplet volatility, no time-strike dependence. Synopsis #include <ql/termstructures/volatility/capfloor/constantcapfloortermvol.hpp> Inherits QuantLib::CapFloorTermVolatilityStructure. Public Member Functions ConstantCapFloorTermVolatility (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)…

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 Syntax unsigned 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…

QuantLib::ConjugateGradient – Multi-dimensional Conjugate Gradient class. Synopsis #include <ql/math/optimization/conjugategradient.hpp> Inherits QuantLib::LineSearchBasedMethod. Public Member Functions ConjugateGradient (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 Description Multi-dimensional Conjugate Gradient class. Fletcher-Reeves-Polak-Ribiere algorithm adapted from Numerical Recipes in C, 2nd edition. User has to provide…

XMLTV::Configure::Writer – Configuration file writer for XMLTV grabbers Description Utility 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’,…

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

QuantLib::CompoundForward – compound-forward structure Synopsis #include <ql/legacy/termstructures/compoundforward.hpp> Inherits QuantLib::ForwardRateStructure. Public Member Functions CompoundForward (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…

NAME 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> Classes class CompositeQuote< BinaryFunction > market element whose value depends on two other market element Detailed Description purely virtual base class for market observables Author Generated automatically by Doxygen for QuantLib from the source code. Index

Composite — The Composite widget class Synopsis #include <Xm/Xm.h> Description Composite 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…

QuantLib::CommodityCurve – Commodity term structure. Synopsis #include <ql/experimental/commodities/commoditycurve.hpp> Inherits QuantLib::TermStructure. Public Member Functions CommodityCurve (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,…

NAME ql/experimental/commodities/commodityindex.hpp – Commodity index. SYNOPSIS #include <ql/experimental/commodities/commoditycurve.hpp> #include <ql/indexes/indexmanager.hpp> Classes class CommodityIndex base class for commodity indexes Functions bool operator== (const CommodityIndex &i1, const CommodityIndex &i2) Detailed Description Commodity index. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/experimental/commodities/commoditycurve.hpp – Commodity curve. SYNOPSIS #include <ql/termstructure.hpp> #include <ql/experimental/commodities/commoditytype.hpp> #include <ql/experimental/commodities/unitofmeasure.hpp> #include <ql/experimental/commodities/exchangecontract.hpp> #include <ql/currency.hpp> #include <ql/math/interpolations/forwardflatinterpolation.hpp> Classes class CommodityCurve Commodity term structure. Functions bool operator== (const CommodityCurve &c1, const CommodityCurve &c2) Detailed Description Commodity curve. Author Generated automatically by Doxygen for QuantLib from the source code. Index

ql/experimental/commodities/commoditycashflow.hpp – Commodity cash flow. Synopsis #include <ql/cashflow.hpp> #include <ql/money.hpp> #include <map> Typedefs typedef std::map< Date, boost::shared_ptr< CommodityCashFlow > > CommodityCashFlows Functions std::ostream & operator<< (std::ostream &out, const SecondaryCostAmounts &secondaryCostAmounts) Detailed Description Commodity cash flow. Author Generated automatically by Doxygen for QuantLib from the source code.

NAME ql/experimental/commodities/commodity.hpp – Commodity base class. SYNOPSIS #include <ql/instrument.hpp> #include <ql/money.hpp> #include <vector> #include <ostream> Classes class Commodity Commodity base class. Typedefs typedef std::map< std::string, boost::any > SecondaryCosts typedef std::map< std::string, Money > SecondaryCostAmounts typedef std::vector< PricingError > PricingErrors Functions std::ostream & operator<< (std::ostream &out, const SecondaryCostAmounts &secondaryCostAmounts) std::ostream & operator<< (std::ostream &out, const PricingError…

QuantLib::CmsRateBond – CMS-rate bond. Synopsis #include <ql/instruments/bonds/cmsratebond.hpp> Inherits QuantLib::Bond. Public Member Functions CmsRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index, const DayCounter &paymentDayCounter, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1, 0.0), const std::vector< Rate > &caps=std::vector<…

QuantLib::CmsMarket – set of CMS quotes Synopsis #include <ql/termstructures/volatility/swaption/cmsmarket.hpp> Inherits QuantLib::LazyObject. Public Member Functions CmsMarket (const std::vector< Period > &swapLengths, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const boost::shared_ptr< IborIndex > &iborIndex, const std::vector< std::vector< Handle< Quote > > > &bidAskSpreads, const std::vector< boost::shared_ptr< HaganPricer > > &pricers, const Handle< YieldTermStructure > &discountingTS) void reprice…

QuantLib::CmsLeg – helper class building a sequence of capped/floored cms-rate coupons Synopsis #include <ql/cashflows/cmscoupon.hpp> Public Member Functions CmsLeg (const Schedule &schedule, const boost::shared_ptr< SwapIndex > &swapIndex) CmsLeg & withNotionals (Real notional) CmsLeg & withNotionals (const std::vector< Real > &notionals) CmsLeg & withPaymentDayCounter (const DayCounter &) CmsLeg & withPaymentAdjustment (BusinessDayConvention) CmsLeg & withFixingDays (Natural fixingDays) CmsLeg…

QuantLib::CmsCouponPricer – base pricer for vanilla CMS coupons Synopsis #include <ql/cashflows/couponpricer.hpp> Inherits QuantLib::FloatingRateCouponPricer. Inherited by HaganPricer. Public Member Functions CmsCouponPricer (const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >()) Handle< SwaptionVolatilityStructure > swaptionVolatility () const void setSwaptionVolatility (const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >()) Detailed Description base pricer for vanilla CMS coupons Author Generated automatically by Doxygen…