Section 3: library functions
QuantLib::OneFactorCopula – Abstract base class for one-factor copula models. Synopsis OneFactorCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) virtual Real density (Real m) const =0 Density function of M. virtual Real cumulativeZ (Real z) const =0 Cumulative distribution of Z. virtual Real cumulativeY (Real y) const Cumulative distribution of Y. virtual Real inverseCumulativeY…
ql/methods/finitedifferences/stepcondition.hpp – conditions to be applied at every time step Synopsis #include <ql/math/array.hpp> #include <ql/instruments/payoffs.hpp> Classes class StepCondition< array_type > condition to be applied at every time step class NullCondition< array_type > null step condition Detailed Description conditions to be applied at every time step Author Generated automatically by Doxygen for QuantLib from the source…
QuantLib::BlackScholesLattice – Simple binomial lattice approximating the Black-Scholes model. Synopsis #include <ql/methods/lattices/bsmlattice.hpp> Inherits TreeLattice1D< BlackScholesLattice< T > >. Public Member Functions BlackScholesLattice (const boost::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps) Size size (Size i) const DiscountFactor discount (Size, Size) const void stepback (Size i, const Array &values, Array &newValues) const Real underlying…
QuantLib::step_iterator – Iterator advancing in constant steps. Synopsis step_iterator (const Iterator &base, Size step) template<class OtherIterator > step_iterator (const step_iterator< OtherIterator > &i, typename boost::enable_if_convertible< OtherIterator, Iterator >::type *=0) Size step () const void increment () void decrement () void advance (typename super_t::difference_type n) super_t::difference_type distance_to (const step_iterator &i) const Related Functions (Note that these…
QuantLib::IntegralCDOEngine – CDO base engine taking (possibly) small time steps. Synopsis void calculate () const IntegralCDOEngine (Period stepSize=3 *Months) Protected Attributes Inherits QuantLib::SyntheticCDO::engine. Public Member Functions void calculate () const IntegralCDOEngine (Period stepSize=3 *Months) Protected Attributes Period stepSize_ Detailed Description CDO base engine taking (possibly) small time steps. Author Generated automatically by Doxygen for QuantLib…
QuantLib::MarketModelVolProcess – Synopsis #include <ql/models/marketmodels/evolvers/marketmodelvolprocess.hpp> Inherited by SquareRootAndersen. Public Member Functions virtual Size variatesPerStep ()=0 virtual Size numberSteps ()=0 virtual void nextPath ()=0 virtual Real nextstep (const std::vector< Real > &variates)=0 virtual Real stepSd () const =0 virtual std::vector< Real > & stateVariables () const =0 virtual Size numberStateVariables () const =0 Detailed Description Displaced…
QuantLib::FDStepConditionEngine – Finite-differences pricing engine for American-style vanilla options. Synopsis FDStepConditionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) Protected Member Functions virtual void initializeStepCondition () const =0 virtual void calculate (PricingEngine::results *) const Protected Attributes Inherits QuantLib::FDVanillaEngine. Public Member Functions FDStepConditionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool…
QuantLib::MixedScheme – Mixed (explicit/implicit) scheme for finite difference methods. Synopsis #include <ql/methods/finitedifferences/mixedscheme.hpp> Public Types typedef OperatorTraits< Operator > traits typedef traits::operator_type operator_type typedef traits::array_type array_type typedef traits::bc_set bc_set typedef traits::condition_type condition_type Public Member Functions MixedScheme (const operator_type &L, Real theta, const bc_set &bcs) void step (array_type &a, Time t) void setStep (Time dt) Protected Attributes…
stdin, stdout, stderr – standard I/O streams Synopsis #include <stdio.h> extern FILE *stdin; extern FILE *stdout; extern FILE *stderr; Description Under normal circumstances every UNIX program has three streams opened for it when it starts up, one for input, one for output, and one for printing diagnostic or error messages. These are typically attached to…
__fbufsize, __flbf, __fpending, __fpurge, __freadable, __freading, __fsetlocking, __fwritable, __fwriting, _flushlbf – interfaces to stdio FILE structure Synopsis #include <stdio.h> #include <stdio_ext.h> size_t __fbufsize(FILE *stream); size_t __fpending(FILE *stream); int __flbf(FILE *stream); int __freadable(FILE *stream); int __fwritable(FILE *stream); int __freading(FILE *stream); int __fwriting(FILE *stream); int __fsetlocking(FILE *stream, int type); void _flushlbf(void); void __fpurge(FILE *stream); Description Solaris introduced…
stdio – standard input/output library functions Synopsis #include <stdio.h> FILE *stdin; FILE *stdout; FILE *stderr; Description The standard I/O library provides a simple and efficient buffered stream I/O interface. Input and output is mapped into logical data streams and the physical I/O characteristics are concealed. The functions and macros are listed below; more information is…
stdin, stdout, stderr – standard I/O streams Synopsis #include <stdio.h> extern FILE *stdin; extern FILE *stdout; extern FILE *stderr; Description Under normal circumstances every UNIX program has three streams opened for it when it starts up, one for input, one for output, and one for printing diagnostic or error messages. These are typically attached to…
stdin, stdout, stderr – standard I/O streams Synopsis #include <stdio.h> extern FILE *stdin; extern FILE *stdout; extern FILE *stderr; Description Under normal circumstances every UNIX program has three streams opened for it when it starts up, one for input, one for output, and one for printing diagnostic or error messages. These are typically attached to…
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…
stdair-library – C++ Standard Airline IT Object Library Synopsis #include <stdair/…> Description The Standard Airline IT (StdAir) library is a collection of routines for travel market simulation. The routines are written from scratch by the StdAir team in C++, and present a modern Applications Programming Interface (API) for C/C++ programmers, allowing wrappers to be written…
QuantLib::NumericHaganPricer – CMS-coupon pricer. Synopsis NumericHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion, Rate lowerLimit=0.0, Rate upperLimit=1.0, Real precision=1.0e-6) Real upperLimit () Real stdDeviations () Real integrate (Real a, Real b, const ConundrumIntegrand &Integrand) const virtual Real optionletPrice (Option::Type optionType, Rate strike) const virtual Real swapletPrice () const Real resetUpperLimit…
QuantLib::NumericHaganPricer – CMS-coupon pricer. Synopsis NumericHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion, Rate lowerLimit=0.0, Rate upperLimit=1.0, Real precision=1.0e-6) Real upperLimit () Real stdDeviations () Real integrate (Real a, Real b, const ConundrumIntegrand &Integrand) const virtual Real optionletPrice (Option::Type optionType, Rate strike) const virtual Real swapletPrice () const Real resetUpperLimit…
QuantLib::G2Process – G2 stochastic process Synopsis #include <ql/processes/g2process.hpp> Inherits QuantLib::StochasticProcess. Public Member Functions G2Process (Real a, Real sigma, Real b, Real eta, Real rho) Real x0 () const Real y0 () const Real a () const Real sigma () const Real b () const Real eta () const Real rho () const StochasticProcess interface Size…
QuantLib::BlackCalculator – Black 1976 calculator class. Synopsis BlackCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) Real value () const Real deltaForward () const virtual Real delta (Real spot) const Real elasticityForward () const virtual Real elasticity (Real spot) const Real gammaForward () const virtual Real gamma (Real spot) const virtual Real…
std::basic_stringstream::swap – std::basic_stringstream::swap Synopsis void swap(basic_stringstream &other); (since C++ 11) Exchanges the state of the stream with those of other. This is done by callingbasic_iostream<CharT, Traits>::swap(other) and rdbuf()->swap(*other.rdbuf()). Parameters other – stream to exchange the state with Return value (none) Example This section is incomplete Reason: no example See also operator= moves the string stream…