Linux Manuals session 3

QuantLib::VarianceSwap – Variance swap. Synopsis void setupExpired () const Protected Attributes Inherits QuantLib::Instrument. Classes class arguments Arguments for forward fair-variance calculation class engine base class for variance-swap engines class results Results from variance-swap calculation Public Member Functions VarianceSwap (Position::Type position, Real strike, Real notional, const Date &startDate, const Date &maturityDate) void setupArguments (PricingEngine::arguments *args) const…

QuantLib::OneFactorModel::ShortRateDynamics – Base class describing the short-rate dynamics. Synopsis #include <ql/models/shortrate/onefactormodel.hpp> Inherited by Dynamics, Dynamics, Dynamics, and Dynamics. Public Member Functions ShortRateDynamics (const boost::shared_ptr< StochasticProcess1D > &process) virtual Real variable (Time t, Rate r) const =0 Compute state variable from short rate. virtual Rate shortRate (Time t, Real variable) const =0 Compute short rate from…

Vanilla option engines – Classes class FdBlackScholesVanillaEngine Finite-Differences Black Scholes vanilla option engine. class FdHestonVanillaEngine Finite-Differences Heston Vanilla Option engine. class AnalyticBSMHullWhiteEngine analytic european option pricer including stochastic interest rates class AnalyticDigitalAmericanEngine Analytic pricing engine for American vanilla options with digital payoff. class AnalyticDividendEuropeanEngine Analytic pricing engine for European options with discrete dividends. class AnalyticEuropeanEngine…

QuantLib::HaganPricer – CMS-coupon pricer. Synopsis virtual Real swapletPrice () const =0 virtual Rate swapletRate () const virtual Real capletPrice (Rate effectiveCap) const virtual Rate capletRate (Rate effectiveCap) const virtual Real floorletPrice (Rate effectiveFloor) const virtual Rate floorletRate (Rate effectiveFloor) const Real meanReversion () const void setMeanReversion (const Handle< Quote > &meanReversion) Protected Member Functions HaganPricer…

QuantLib::DiscretizedAsset – Discretized asset class used by numerical methods. Synopsis virtual void reset (Size size)=0 void preAdjustValues () void postAdjustValues () void adjustValues () virtual std::vector< Time > mandatoryTimes () const =0 Protected Member Functions Inherited by DiscretizedCallableFixedRateBond, DiscretizedCapFloor, DiscretizedConvertible, DiscretizedDiscountBond, DiscretizedOption, DiscretizedSwap, and DiscretizedVanillaOption. Public Member Functions inspectors Time time () const Time &…

QuantLib::DiscretizedAsset – Discretized asset class used by numerical methods. Synopsis virtual void reset (Size size)=0 void preAdjustValues () void postAdjustValues () void adjustValues () virtual std::vector< Time > mandatoryTimes () const =0 Protected Member Functions Inherited by DiscretizedCallableFixedRateBond, DiscretizedCapFloor, DiscretizedConvertible, DiscretizedDiscountBond, DiscretizedOption, DiscretizedSwap, and DiscretizedVanillaOption. Public Member Functions inspectors Time time () const Time &…

QuantLib::Array – 1-D array used in linear algebra. Synopsis void swap (Array &) Related Functions (Note that these are not member functions.) Real DotProduct (const Array &, const Array &) const Disposable< Array > operator+ (const Array &v) const Disposable< Array > operator- (const Array &v) const Disposable< Array > operator+ (const Array &, const…

QuantLib::McPricer – base class for Monte Carlo pricers Synopsis Real value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const add samples until the required tolerance is reached Real valueWithSamples (Size samples, Size minSamples=1023) const simulate a fixed number of samples Real errorEstimate () const estimated error of the samples simulated so far const S & sampleAccumulator…

QuantLib::Forward – Abstract base forward class. Synopsis Forward (const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, Natural settlementDays, const boost::shared_ptr< Payoff > &payoff, const Date &valueDate, const Date &maturityDate, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) void performCalculations () const Protected Attributes Inherits QuantLib::Instrument. Inherited by FixedRateBondForward, and ForwardRateAgreement. Public Member Functions virtual Real spotValue…

QuantLib::EURLibor – base class for all BBA EUR LIBOR indexes but the O/N Synopsis EURLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Inherits QuantLib::IborIndex. Inherited by EURLibor10M, EURLibor11M, EURLibor1M, EURLibor1Y, EURLibor2M, EURLibor2W, EURLibor3M, EURLibor4M, EURLibor5M, EURLibor6M, EURLibor7M, EURLibor8M, EURLibor9M, and EURLiborSW. Public Member Functions EURLibor (const Period &tenor, const Handle< YieldTermStructure >…

QuantLib::GenericRiskStatistics – empirical-distribution risk measures Synopsis #include <ql/math/statistics/riskstatistics.hpp> Inherits S. Public Types typedef S::value_type value_type Public Member Functions Real semiVariance () const Real semiDeviation () const Real downsideVariance () const Real downsideDeviation () const Real regret (Real target) const Real potentialUpside (Real percentile) const potential upside (the reciprocal of VAR) at a given percentile Real…

QuantLib::SampledCurve – This class contains a sampled curve. Synopsis void swap (SampledCurve &) void setLogGrid (Real min, Real max) void regridLogGrid (Real min, Real max) void shiftGrid (Real s) void scaleGrid (Real s) void regrid (const Array &new_grid) template<class T > void regrid (const Array &new_grid, T func) template<class T > const SampledCurve & transform…

QuantLib::CostFunction – Cost function abstract class for optimization problem. Synopsis virtual Real value (const Array &x) const =0 method to overload to compute the cost function value in x virtual Disposable< Array > values (const Array &x) const =0 method to overload to compute the cost function values in x virtual void gradient (Array &grad,…

QuantLib::DiscreteGeometricASO – Discrete geometric average-strike Asian option (European style). Synopsis #include <ql/legacy/pricers/discretegeometricaso.hpp> Inherits QuantLib::SingleAssetOption. Public Member Functions DiscreteGeometricASO (Option::Type type, Real underlying, Spread dividendYield, Rate riskFreeRate, const std::vector< Time > &times, Volatility volatility) Real value () const Real delta () const Real gamma () const Real theta () const boost::shared_ptr< SingleAssetOption > clone () const…

posix_memalign, aligned_alloc, memalign, valloc, pvalloc – allocate aligned memory Synopsis #include <stdlib.h> int posix_memalign(void **memptr, size_t alignment, size_t size); void *aligned_alloc(size_t alignment, size_t size); void *valloc(size_t size); #include <malloc.h> void *memalign(size_t alignment, size_t size); void *pvalloc(size_t size); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): posix_memalign(): _POSIX_C_SOURCE >= 200112L aligned_alloc(): _ISOC11_SOURCE valloc(): Since glibc 2.12: (_XOPEN_SOURCE >= 500) &&…

ql/termstructures/volatility/sabr.hpp – SABR functions. Synopsis #include <ql/types.hpp> Functions Real unsafeSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho) Real sabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho) void validateSabrParameters (Real alpha, Real beta, Real nu, Real rho) Detailed Description SABR functions. Author…

QuantLib::DividendBarrierOption::arguments – Arguments for dividend barrier option calculation Synopsis void validate () const Public Attributes Inherits QuantLib::BarrierOption::arguments. Public Member Functions void validate () const Public Attributes DividendSchedule cashFlow Detailed Description Arguments for dividend barrier option calculation Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::OrthogonalProjections – Synopsis #include <ql/math/matrixutilities/basisincompleteordered.hpp> Public Member Functions OrthogonalProjections (const Matrix &originalVectors, Real multiplierCutOff, Real tolerance) const std::vector< bool > & validVectors () const const std::vector< Real > & GetVector (Size index) const Size numberValidVectors () const Detailed Description Given a collection of vectors, w_i, find a collection of vectors x_i such that x_i is…

vacall – C functions called with variable arguments Synopsis #include <vacall.h> extern void* vacall_function; void function(alist) va_alist alist; { va_start_type(alist[, return_type]); arg = va_arg_type(alist[, arg_type]); va_return_type(alist[[, return_type ], return_value]); } vacall_function = &function; val = ((return_type(*)())vacall)(arg1, arg2, …); Description This set of macros permit a C function function to be called with variable arguments and…

stdarg, va_start, va_arg, va_end, va_copy – variable argument lists Synopsis #include <stdarg.h> void va_start(va_list ap, last); type va_arg(va_list ap, type); void va_end(va_list ap); void va_copy(va_list dest, va_list src); Description A function may be called with a varying number of arguments of varying types. The include file <stdarg.h> declares a type va_list and defines three macros…