Section 3: library functions
closelog, openlog, syslog, vsyslog – send messages to the system logger Synopsis #include <syslog.h> void openlog(const char *ident, int option, int facility); void syslog(int priority, const char *format, …); void closelog(void); void vsyslog(int priority, const char *format, va_list ap); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): vsyslog(): Since glibc 2.19: _DEFAULT_SOURCE Glibc 2.19 and…
sysconf – get configuration information at run time Synopsis #include <unistd.h> long sysconf(int name); Description POSIX allows an application to test at compile or run time whether certain options are supported, or what the value is of certain configurable constants or limits. At compile time this is done by including <unistd.h> and/or <limits.h> and testing…
strsignal, sigdescr_np, sigdescr_np, sys_siglist – return string describing signal Synopsis #include <string.h> char *strsignal(int sig); char *sigdescr_np(int sig); char *sigabbrev_np(int sig); extern const char *const sys_siglist[]; Feature Test Macro Requirements for glibc (see feature_test_macros(7)): sigabbrev_np(), sigdescr_np(): _GNU_SOURCE strsignal(): From glibc 2.10 to 2.31: _POSIX_C_SOURCE >= 200809L Before glibc 2.10: _GNU_SOURCE sys_siglist: Since glibc 2.19: _DEFAULT_SOURCE Glibc 2.19…
perror – print a system error message Synopsis #include <stdio.h> void perror(const char *s); #include <errno.h> const char * const sys_errlist[]; int sys_nerr; int errno; /* Not really declared this way; see errno(3) */ Feature Test Macro Requirements for glibc (see feature_test_macros(7)): sys_errlist, sys_nerr: From glibc 2.19 to 2.31: _DEFAULT_SOURCE Glibc 2.19 and earlier: _BSD_SOURCE…
perror – print a system error message Synopsis #include <stdio.h> void perror(const char *s); #include <errno.h> const char * const sys_errlist[]; int sys_nerr; int errno; /* Not really declared this way; see errno(3) */ Feature Test Macro Requirements for glibc (see feature_test_macros(7)): sys_errlist, sys_nerr: From glibc 2.19 to 2.31: _DEFAULT_SOURCE Glibc 2.19 and earlier: _BSD_SOURCE…
ql/experimental/credit/syntheticcdoengines.hpp – Pricing engines for the Synthetic CDO instrument. Synopsis #include <ql/experimental/credit/syntheticcdo.hpp> #include <ql/experimental/credit/randomdefaultmodel.hpp> #include <ql/math/distributions/normaldistribution.hpp> #include <ql/math/distributions/bivariatenormaldistribution.hpp> Classes class engine CDO base engine. class MidPointCDOEngine CDO base engine taking schedule steps. class IntegralCDOEngine CDO base engine taking (possibly) small time steps. class MonteCarloCDOEngine1 CDO engine, Monte Carlo for the exptected tranche loss distribution. class…
QuantLib::Currency – Currency specification Synopsis const std::string & name () const currency name, e.g, ‘U.S. Dollar’ const std::string & code () const ISO 4217 three-letter code, e.g, ‘USD’. Integer numericCode () const ISO 4217 numeric code, e.g, ‘840’. const std::string & symbol () const symbol, e.g, ‘$’ const std::string & fractionSymbol () const fraction symbol,…
wprintf, fwprintf, swprintf, vwprintf, vfwprintf, vswprintf – formatted wide-character output conversion Synopsis #include <stdio.h> #include <wchar.h> int wprintf(const wchar_t *format, …); int fwprintf(FILE *stream, const wchar_t *format, …); int swprintf(wchar_t *wcs, size_t maxlen, const wchar_t *format, …); int vwprintf(const wchar_t *format, va_list args); int vfwprintf(FILE *stream, const wchar_t *format, va_list args); int vswprintf(wchar_t *wcs, size_t…
QuantLib::OptionletStripper1 – Synopsis #include <ql/termstructures/volatility/optionlet/optionletstripper1.hpp> Inherits QuantLib::OptionletStripper. Public Member Functions OptionletStripper1 (const boost::shared_ptr< CapFloorTermVolSurface > &, const boost::shared_ptr< IborIndex > &index, Rate switchStrikes=Null< Rate >(), Real accuracy=1.0e-6, Natural maxIter=100) const Matrix & capFloorPrices () const const Matrix & capFloorVolatilities () const const Matrix & optionletPrices () const Rate switchStrike () const LazyObject interface void performCalculations…
ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp – Swaption at-the-money volatility matrix. Synopsis #include <ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp> #include <ql/math/interpolations/interpolation2d.hpp> #include <ql/math/matrix.hpp> #include <boost/noncopyable.hpp> #include <vector> Classes class SwaptionVolatilityMatrix At-the-money swaption-volatility matrix. Detailed Description Swaption at-the-money volatility matrix. Author Generated automatically by Doxygen for QuantLib from the source code.
Swaption engines – Classes class LfmSwaptionEngine Libor forward model swaption engine based on Black formula class BlackSwaptionEngine Black-formula swaption engine. class G2SwaptionEngine Swaption priced by means of the Black formula class JamshidianSwaptionEngine Jamshidian swaption engine. class TreeSwaptionEngine Numerical lattice engine for swaptions. Detailed Description Author Generated automatically by Doxygen for QuantLib from the source code.
QuantLib::CmsCouponPricer – base pricer for vanilla CMS coupons Synopsis CmsCouponPricer (const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >()) Handle< SwaptionVolatilityStructure > swaptionVolatility () const void setSwaptionVolatility (const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >()) Inherits QuantLib::FloatingRateCouponPricer. Inherited by HaganPricer. Public Member Functions CmsCouponPricer (const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >()) Handle< SwaptionVolatilityStructure > swaptionVolatility () const void…
QuantLib::LiborForwardModel – Libor forward model Synopsis #include <ql/legacy/libormarketmodels/liborforwardmodel.hpp> Inherits QuantLib::CalibratedModel, and QuantLib::AffineModel. Public Member Functions LiborForwardModel (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel) Rate S_0 (Size alpha, Size beta) const virtual boost::shared_ptr< SwaptionVolatilityMatrix > getSwaptionVolatilityMatrix () const DiscountFactor discount (Time t) const Implied discount curve. Real discountBond…
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::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…
makecontext, swapcontext – manipulate user context Synopsis #include <ucontext.h> void makecontext(ucontext_t *ucp, void (*func)(), int argc, …); int swapcontext(ucontext_t *oucp, const ucontext_t *ucp); Description In a System V-like environment, one has the type ucontext_t (defined in <ucontext.h> and described in getcontext(3)) and the four functions getcontext(3), setcontext(3), makecontext(), and swapcontext() that allow user-level context switching…
QuantLib::ForwardSwapQuote – Quote for a forward starting swap. Synopsis void update () Protected Member Functions void initializeDates () void performCalculations () const Protected Attributes Inherits QuantLib::Quote, and QuantLib::LazyObject. Public Member Functions ForwardSwapQuote (const boost::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread, const Period &fwdStart) const Date & valueDate () const const Date & startDate…
QuantLib::CmsMarket – set of CMS quotes Synopsis void update () 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…
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::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…