Section 3: library functions
Atlas::Formatter – Atlas stream formatter. Synopsis #include <Formatter.h> Inherits Atlas::Bridge. Public Member Functions Formatter (std::iostream &s, Atlas::Bridge &b) virtual void streamBegin () Begin an Atlas stream. virtual void streamMessage () Start a message in an Atlas stream. virtual void streamEnd () Ends the Atlas stream. virtual void mapMapItem (const std::string &name) Starts a map object…
Atlas::Filter – Atlas stream filter. Synopsis #include <Filter.h> Inherited by Atlas::Filters::Bzip2, and Atlas::Filters::Gzip. Public Types enum Type { CHECKSUM, COMPRESSION, ENCRYPTION } Public Member Functions Filter (Filter *=0) virtual void begin ()=0 virtual void end ()=0 virtual std::string encode (const std::string &)=0 virtual std::string decode (const std::string &)=0 Protected Attributes Filter * m_next Detailed Description…
Atlas::Exception – Base class for all exceptions thrown by Atlas-C++. Synopsis #include <Exception.h> Inherited by Atlas::Message::WrongTypeException, Atlas::Objects::DefaultLoadingException, Atlas::Objects::NoSuchAttrException, Atlas::Objects::NoSuchFactoryException, and Atlas::Objects::NullSmartPtrDereference. Public Member Functions Exception (const std::string &d=’UNKNOWN ERROR’) const std::string & getDescription () const virtual const char * what () const throw () Protected Attributes std::string m_description Detailed Description Base class for all exceptions…
Atlas::EncoderBase – Base class forwarding to Atlas::Bridge as skeleton for other encoders. Synopsis #include <EncoderBase.h> Inherited by Atlas::Message::Encoder, and Atlas::Objects::ObjectsEncoder. Public Member Functions EncoderBase (Atlas::Bridge &b) You will need to implement this in subclasses. void streamBegin () void streamMessage () void streamEnd () void mapMapItem (const std::string &name) void mapListItem (const std::string &name) void mapIntItem…
Atlas::Codec – Atlas stream codec. Synopsis #include <Codec.h> Inherits Atlas::Bridge. Inherited by Atlas::Codecs::Bach, Atlas::Codecs::Packed, and Atlas::Codecs::XML. Public Member Functions virtual void poll (bool can_get=true)=0 Detailed Description Atlas stream codec. This class presents an interface for sending and receiving Atlas messages. Each outgoing message is converted to a byte stream and piped through an optional chain…
Atlas::Bridge – Atlas stream bridge. Synopsis #include <Bridge.h> Inherited by Atlas::Codec, Atlas::Formatter, Atlas::Message::DecoderBase, DebugBridge, and DebugBridge. Public Member Functions virtual void streamBegin ()=0 Begin an Atlas stream. virtual void streamMessage ()=0 Start a message in an Atlas stream. virtual void streamEnd ()=0 Ends the Atlas stream. virtual void mapMapItem (const std::string &name)=0 Starts a map…
Atlas – The Atlas namespace. Synopsis Namespaces namespace Net The Atlas network communication namespace. namespace Objects The Atlas high level Objects namespace. Classes class Bridge Atlas stream bridge. class Codec Atlas stream codec. class EncoderBase Base class forwarding to Atlas::Bridge as skeleton for other encoders. class Exception Base class for all exceptions thrown by Atlas-C++….
NAME ql/instruments/assetswap.hpp – Bullet bond vs Libor swap. SYNOPSIS #include <ql/instruments/swap.hpp> #include <ql/instruments/bond.hpp> #include <ql/time/schedule.hpp> Classes class AssetSwap Bullet bond vs Libor swap. class arguments Arguments for asset swap calculation class results Results from simple swap calculation Detailed Description Bullet bond vs Libor swap. Author Generated automatically by Doxygen for QuantLib from the source code….
QuantLib::AssetOrNothingPayoff – Binary asset-or-nothing payoff. Synopsis #include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member Functions AssetOrNothingPayoff (Option::Type type, Real strike) Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed Description Binary asset-or-nothing payoff. Definitions of Binary path-independent payoffs used below, can be found in M. Rubinstein, E. Reiner:’Unscrambling The…
NAME ql/math/array.hpp – 1-D array used in linear algebra. SYNOPSIS #include <ql/types.hpp> #include <ql/errors.hpp> #include <ql/utilities/disposable.hpp> #include <boost/iterator/reverse_iterator.hpp> #include <boost/scoped_array.hpp> #include <functional> #include <numeric> #include <vector> #include <iomanip> Classes class Array 1-D array used in linear algebra. Detailed Description 1-D array used in linear algebra. Author Generated automatically by Doxygen for QuantLib from the source…
QuantLib::ArmijoLineSearch – Armijo line search. Synopsis #include <ql/math/optimization/armijo.hpp> Inherits QuantLib::LineSearch. Public Member Functions ArmijoLineSearch (Real eps=1e-8, Real alpha=0.05, Real beta=0.65) Default constructor. Real operator() (Problem &P, EndCriteria::Type &ecType, const EndCriteria &, const Real t_ini) Perform line search. Detailed Description Armijo line search. Let $ lpha $ and $ 2 scalars in $ [0,1] $. Let…
QuantLib::Argentina – Argentinian calendars. Synopsis #include <ql/time/calendars/argentina.hpp> Inherits QuantLib::Calendar. Public Types enum Market { Merval } Public Member Functions Argentina (Market m=Merval) Detailed Description Argentinian calendars. Holidays for the Buenos Aires stock exchange (data from <http://www.merval.sba.com.ar/>): * Saturdays * Sundays * New Year’s Day, January 1st * Holy Thursday * Good Friday * Labour Day,…
ApplicationShell — The ApplicationShell widget class Synopsis #include <Xm/Xm.h> #include <X11/Shell.h> Description ApplicationShell is used as the main top-level window for an application. An application should have more than one ApplicationShell only if it implements multiple logical applications. Classes ApplicationShell inherits behavior and resources from Core, Composite, Shell, WMShell, VendorShell, and TopLevelShell. The class pointer…
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::AnalyticPerformanceEngine – Pricing engine for performance options using analytical formulae. Synopsis #include <ql/pricingengines/cliquet/analyticperformanceengine.hpp> Inherits QuantLib::CliquetOption::engine. Public Member Functions AnalyticPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) void calculate () const Detailed Description Pricing engine for performance options using analytical formulae. Tests the correctness of the returned greeks is tested by reproducing numerical derivatives. Author Generated automatically by…
NAME ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp – analytic heston engine incl. stochastic interest rates SYNOPSIS #include <ql/models/equity/hestonmodel.hpp> #include <ql/models/shortrate/onefactormodels/hullwhite.hpp> #include <ql/pricingengines/vanilla/analytichestonengine.hpp> Classes class AnalyticHestonHullWhiteEngine Analytic Heston engine incl. stochastic interest rates. Detailed Description analytic heston engine incl. stochastic interest rates Author Generated automatically by Doxygen for QuantLib from the source code. Index
NAME ql/pricingengines/vanilla/analytichestonengine.hpp – analytic Heston-model engine SYNOPSIS #include <ql/math/integrals/integral.hpp> #include <ql/math/integrals/gaussianquadratures.hpp> #include <ql/pricingengines/genericmodelengine.hpp> #include <ql/models/equity/hestonmodel.hpp> #include <ql/instruments/vanillaoption.hpp> #include <boost/function.hpp> #include <complex> Classes class AnalyticHestonEngine analytic Heston-model engine based on Fourier transform Detailed Description analytic Heston-model engine Author Generated automatically by Doxygen for QuantLib from the source code. Index
QuantLib::AnalyticHaganPricer – CMS-coupon pricer. Synopsis #include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::HaganPricer. Public Member Functions AnalyticHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion) Protected Member Functions Real optionletPrice (Option::Type optionType, Real strike) const Real swapletPrice () const Detailed Description CMS-coupon pricer. Author Generated automatically by Doxygen for QuantLib from the source code.
NAME ql/pricingengines/vanilla/analyticgjrgarchengine.hpp – analytic GJR-GARCH-model engine SYNOPSIS #include <ql/pricingengines/genericmodelengine.hpp> #include <ql/models/equity/gjrgarchmodel.hpp> #include <ql/instruments/vanillaoption.hpp> #include <ql/math/integrals/gaussianquadratures.hpp> #include <complex> Classes class AnalyticGJRGARCHEngine GJR-GARCH(1,1) engine. Detailed Description analytic GJR-GARCH-model engine Author Generated automatically by Doxygen for QuantLib from the source code. Index
QuantLib::AnalyticEuropeanEngine – Pricing engine for European vanilla options using analytical formulae. Synopsis #include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp> Inherits VanillaOption::engine. Public Member Functions AnalyticEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Detailed Description Pricing engine for European vanilla options using analytical formulae. Tests * the correctness of the returned value is tested by reproducing results available in…