Linux Manuals session 3

QuantLib::AmortizingFixedRateBond – amortizing fixed-rate bond Synopsis#include <ql/experimental/amortizingbonds/amortizingfixedratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsAmortizingFixedRateBond (Natural settlementDays, const std::vector< Real > &notionals, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, const std::vector< Real > &redemption=std::vector< Real >(1, 100.0), const Date &issueDate=Date()) AmortizingFixedRateBond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &startDate, const…

QuantLib::AmortizingCmsRateBond – amortizing CMS-rate bond Synopsis#include <ql/experimental/amortizingbonds/amortizingcmsratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsAmortizingCmsRateBond (Natural settlementDays, const std::vector< 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…

QuantLib::AmericanPayoffAtHit – Analytic formula for American exercise payoff at-hit options. Synopsis#include <ql/pricingengines/americanpayoffathit.hpp> Public Member FunctionsAmericanPayoffAtHit (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff) Real value () const Real delta () const Real gamma () const Real rho (Time maturity) const Detailed DescriptionAnalytic formula for American exercise payoff at-hit options. Possible…

QuantLib::AmericanPayoffAtExpiry – Analytic formula for American exercise payoff at-expiry options. Synopsis#include <ql/pricingengines/americanpayoffatexpiry.hpp> Public Member FunctionsAmericanPayoffAtExpiry (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff) Real value () const Detailed DescriptionAnalytic formula for American exercise payoff at-expiry options. Possible enhancements calculate greeksAuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::AmericanExercise – American exercise. Synopsis#include <ql/exercise.hpp> Inherits QuantLib::EarlyExercise. Public Member FunctionsAmericanExercise (const Date &earliestDate, const Date &latestDate, bool payoffAtExpiry=false) AmericanExercise (const Date &latestDate, bool payoffAtExpiry=false) Detailed DescriptionAmerican exercise. An American option can be exercised at any time between two predefined dates; the first date might be omitted, in which case the option can be exercised…

QuantLib::AmericanCondition – American exercise condition. Synopsis#include <ql/methods/finitedifferences/americancondition.hpp> Inherits CurveDependentStepCondition< Array >. Public Member FunctionsAmericanCondition (Option::Type type, Real strike) AmericanCondition (const Array &intrinsicValues) Detailed DescriptionAmerican exercise condition. Possible enhancements unify the intrinsicValues/Payoff thingAuthorGenerated automatically by Doxygen for QuantLib from the source code.

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::CubicInterpolation – Cubic interpolation between discrete points. Synopsis#include <ql/math/interpolations/cubicinterpolation.hpp> Inherits QuantLib::Interpolation. Inherited by MonotonicNaturalCubicInterpolation, and NaturalCubicInterpolation. Public Typesenum DerivativeApprox { Spline, FourthOrder, Parabolic, ModifiedParabolic, FritschButland, Akima, Kruger } enum BoundaryCondition { NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange } Public Member Functionstemplate<class I1 , class I2 > CubicInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin,…

AdmBlackBoxModuleVector – Synopsis#include <blackbox.h> Public Attributesint abi_major_ver int abi_minor_ver int(* getBox )(AdmBlackBoxMethods **mod, void **data, AdmList *box_list, AdmError **error) Member Data Documentationint AdmBlackBoxModuleVector::abi_major_verint AdmBlackBoxModuleVector::abi_minor_verint(* AdmBlackBoxModuleVector::getBox)(AdmBlackBoxMethods **mod, void **data, AdmList *box_list, AdmError **error)AuthorGenerated automatically by Doxygen for Alchemist from the source code.

AdmBlackBoxMethods – Synopsis#include <blackbox.h> Public Attributesvoid(* free )(void *data) AdmContext *(* read )(void *data, AdmError **error) unsigned int(* listSerial )(void *data, unsigned int *array, unsigned int array_len, unsigned int top_serial, AdmError **error) AdmContext *(* readSerial )(void *data, unsigned int serial, AdmError **error) int(* write )(void *data, AdmContext *context, AdmError **error) Member Data Documentationvoid(* AdmBlackBoxMethods::free)(void *data)AdmContext*(*…

QuantLib::AdditiveEQPBinomialTree – Additive equal probabilities binomial tree. Synopsis#include <ql/methods/lattices/binomialtree.hpp> Inherits EqualProbabilitiesBinomialTree< AdditiveEQPBinomialTree >. Public Member FunctionsAdditiveEQPBinomialTree (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Detailed DescriptionAdditive equal probabilities binomial tree. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ActualActual – Actual/Actual day count. Synopsis#include <ql/time/daycounters/actualactual.hpp> Inherits QuantLib::DayCounter. Public Typesenum Convention { ISMA, Bond, ISDA, Historical, Actual365, AFB, Euro } Public Member FunctionsActualActual (Convention c=ActualActual::ISDA) Detailed DescriptionActual/Actual day count. The day count can be calculated according to: * the ISDA convention, also known as ‘Actual/Actual (Historical)’, ‘Actual/Actual’, ‘Act/Act’, and according to ISDA also ‘Actual/365’,…

QuantLib::AccountingEngine – Engine collecting cash flows along a market-model simulation. Synopsis#include <ql/models/marketmodels/accountingengine.hpp> Public Member FunctionsAccountingEngine (const boost::shared_ptr< MarketModelEvolver > &evolver, const Clone< MarketModelMultiProduct > &product, Real initialNumeraireValue) void multiplePathValues (SequenceStatisticsInc &stats, Size numberOfPaths) Detailed DescriptionEngine collecting cash flows along a market-model simulation. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

abs, labs, llabs, imaxabs – compute the absolute value of an integer Synopsis#include <stdlib.h> int abs(int j); long labs(long j); long long llabs(long long j); #include <inttypes.h> intmax_t imaxabs(intmax_t j);Feature Test Macro Requirements for glibc (see feature_test_macros(7)): llabs(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112LDescriptionThe abs() function computes the absolute value of the integer argument j. The labs(), llabs(),…

QuantLib::AbcdVol – Abcd-interpolated volatility structure Synopsis#include <ql/models/marketmodels/models/abcdvol.hpp> Inherits QuantLib::MarketModel. Public Member FunctionsAbcdVol (Real a, Real b, Real c, Real d, const std::vector< Real > &ks, const boost::shared_ptr< PiecewiseConstantCorrelation > &corr, const EvolutionDescription &evolution, const Size numberOfFactors, const std::vector< Rate > &initialRates, const std::vector< Spread > &displacements) MarketModel interface const std::vector< Rate > & initialRates ()…

QuantLib::AbcdFunction – Abcd functional form for instantaneous volatility Synopsis#include <ql/termstructures/volatility/abcd.hpp> Inherits std::unary_function<Real, Real>. Public Member FunctionsAbcdFunction (Real a=-0.06, Real b=0.17, Real c=0.54, Real d=0.17) Real operator() (Time u) const volatility function value at time u: [ f(u) ] Real maximumLocation () const time at which the volatility function reaches maximum (if any) Real maximumVolatility ()…

ql/experimental/volatility/abcdatmvolcurve.hpp – Abcd-interpolated at-the-money (no-smile) interest rate vol curve. Synopsis#include <ql/experimental/volatility/blackatmvolcurve.hpp> #include <ql/patterns/lazyobject.hpp> #include <ql/math/interpolations/abcdinterpolation.hpp> Classesclass AbcdAtmVolCurve Abcd-interpolated at-the-money (no-smile) volatility curve. Detailed DescriptionAbcd-interpolated at-the-money (no-smile) interest rate vol curve. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::AUDLibor – AUD LIBOR rate Synopsis#include <ql/indexes/ibor/audlibor.hpp> Inherits QuantLib::Libor. Public Member FunctionsAUDLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionAUD LIBOR rate Australian Dollar LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

AUDIOSTREAM – Stores an audiostream. Allegro game programming library. Synopsis#include <allegro.h> typedef struct AUDIOSTREAM Description int voice; – the hardware voice used for the sampleA structure holding an audiostream, which is a convenience wrapper around a SAMPLE structure to double buffer sounds too big to fit into memory, or do clever things like generating the…

assert – abort the program if assertion is false Synopsis#include <assert.h> void assert(scalar expression);DescriptionThis macro can help programmers find bugs in their programs, or handle exceptional cases via a crash that will produce limited debugging output. If expression is false (i.e., compares equal to zero), assert() prints an error message to standard error and terminates…