Section 3: library functions
sptcon.f – Synopsis Functions/Subroutines subroutine sptcon (N, D, E, ANORM, RCOND, WORK, INFO) SPTCON Function/Subroutine Documentation subroutine sptcon (integerN, real, dimension( * )D, real, dimension( * )E, realANORM, realRCOND, real, dimension( * )WORK, integerINFO) SPTCON Purpose: SPTCON computes the reciprocal of the condition number (in the 1-norm) of a real symmetric positive definite tridiagonal matrix…
spstrf.f – Synopsis Functions/Subroutines subroutine spstrf (UPLO, N, A, LDA, PIV, RANK, TOL, WORK, INFO) SPSTRF Function/Subroutine Documentation subroutine spstrf (characterUPLO, integerN, real, dimension( lda, * )A, integerLDA, integer, dimension( n )PIV, integerRANK, realTOL, real, dimension( 2*n )WORK, integerINFO) SPSTRF Purpose: SPSTRF computes the Cholesky factorization with complete pivoting of a real symmetric positive semidefinite…
spstf2.f – Synopsis Functions/Subroutines subroutine spstf2 (UPLO, N, A, LDA, PIV, RANK, TOL, WORK, INFO) SPSTF2 computes the Cholesky factorization with complete pivoting of a real symmetric or complex Hermitian positive semi-definite matrix. Function/Subroutine Documentation subroutine spstf2 (characterUPLO, integerN, real, dimension( lda, * )A, integerLDA, integer, dimension( n )PIV, integerRANK, realTOL, real, dimension( 2*n )WORK,…
printf, fprintf, dprintf, sprintf, snprintf, vprintf, vfprintf, vdprintf, vsprintf, vsnprintf – formatted output conversion Synopsis #include <stdio.h> int printf(const char *format, …); int fprintf(FILE *stream, const char *format, …); int dprintf(int fd, const char *format, …); int sprintf(char *str, const char *format, …); int snprintf(char *str, size_t size, const char *format, …); #include <stdarg.h> int…
QuantLib::OptionletStripper2 – Synopsis #include <ql/termstructures/volatility/optionlet/optionletstripper2.hpp> Inherits QuantLib::OptionletStripper. Public Member Functions OptionletStripper2 (const boost::shared_ptr< OptionletStripper1 > &optionletStripper1, const Handle< CapFloorTermVolCurve > &atmCapFloorTermVolCurve) std::vector< Rate > atmCapFloorStrikes () const std::vector< Real > atmCapFloorPrices () const std::vector< Volatility > spreadsVol () const LazyObject interface void performCalculations () const Detailed Description Helper class to extend an OptionletStripper1 object stripping…
QuantLib::CapFloor::arguments – Arguments for cap/floor calculation Synopsis #include <ql/instruments/capfloor.hpp> Inherits QuantLib::PricingEngine::arguments. Public Member Functions void validate () const Public Attributes CapFloor::Type type std::vector< Date > startDates std::vector< Date > fixingDates std::vector< Date > endDates std::vector< Time > accrualTimes std::vector< Rate > capRates std::vector< Rate > floorRates std::vector< Rate > forwards std::vector< Real > gearings std::vector<…
QuantLib::HaganPricer – CMS-coupon pricer. Synopsis #include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::CmsCouponPricer. Inherited by AnalyticHaganPricer, and NumericHaganPricer. Public Member Functions 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 ()…
QuantLib::EnergyBasisSwap – Energy basis swap. Synopsis #include <ql/experimental/commodities/energybasisswap.hpp> Inherits QuantLib::EnergySwap. Public Member Functions EnergyBasisSwap (const Calendar &calendar, const boost::shared_ptr< CommodityIndex > &spreadIndex, const boost::shared_ptr< CommodityIndex > &payIndex, const boost::shared_ptr< CommodityIndex > &receiveIndex, bool spreadToPayLeg, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityUnitCost &basis, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const…
QuantLib::HaganPricer – CMS-coupon pricer. Synopsis #include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::CmsCouponPricer. Inherited by AnalyticHaganPricer, and NumericHaganPricer. Public Member Functions 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 ()…
QuantLib::EnergyBasisSwap – Energy basis swap. Synopsis #include <ql/experimental/commodities/energybasisswap.hpp> Inherits QuantLib::EnergySwap. Public Member Functions EnergyBasisSwap (const Calendar &calendar, const boost::shared_ptr< CommodityIndex > &spreadIndex, const boost::shared_ptr< CommodityIndex > &payIndex, const boost::shared_ptr< CommodityIndex > &receiveIndex, bool spreadToPayLeg, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityUnitCost &basis, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const…
QuantLib::CmsMarket – set of CMS quotes Synopsis #include <ql/termstructures/volatility/swaption/cmsmarket.hpp> 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 reprice…
QuantLib::DoubleStickyRatchetPayoff – Intermediate class for single/double sticky/ratchet payoffs. Synopsis #include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::Payoff. Inherited by RatchetMaxPayoff, RatchetMinPayoff, RatchetPayoff, StickyMaxPayoff, StickyMinPayoff, and StickyPayoff. Public Member Functions DoubleStickyRatchetPayoff (Real type1, Real type2, Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const Real…
QuantLib::DoubleStickyRatchetPayoff – Intermediate class for single/double sticky/ratchet payoffs. Synopsis #include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::Payoff. Inherited by RatchetMaxPayoff, RatchetMinPayoff, RatchetPayoff, StickyMaxPayoff, StickyMinPayoff, and StickyPayoff. Public Member Functions DoubleStickyRatchetPayoff (Real type1, Real type2, Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const Real…
QuantLib::DoubleStickyRatchetPayoff – Intermediate class for single/double sticky/ratchet payoffs. Synopsis #include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::Payoff. Inherited by RatchetMaxPayoff, RatchetMinPayoff, RatchetPayoff, StickyMaxPayoff, StickyMinPayoff, and StickyPayoff. Public Member Functions DoubleStickyRatchetPayoff (Real type1, Real type2, Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const Real…
spptrs.f – Synopsis Functions/Subroutines subroutine spptrs (UPLO, N, NRHS, AP, B, LDB, INFO) SPPTRS Function/Subroutine Documentation subroutine spptrs (characterUPLO, integerN, integerNRHS, real, dimension( * )AP, real, dimension( ldb, * )B, integerLDB, integerINFO) SPPTRS Purpose: SPPTRS solves a system of linear equations A*X = B with a symmetric positive definite matrix A in packed storage using…
spptri.f – Synopsis Functions/Subroutines subroutine spptri (UPLO, N, AP, INFO) SPPTRI Function/Subroutine Documentation subroutine spptri (characterUPLO, integerN, real, dimension( * )AP, integerINFO) SPPTRI Purpose: SPPTRI computes the inverse of a real symmetric positive definite matrix A using the Cholesky factorization A = U**T*U or A = L*L**T computed by SPPTRF. Parameters: UPLO UPLO is…
spptrf.f – Synopsis Functions/Subroutines subroutine spptrf (UPLO, N, AP, INFO) SPPTRF Function/Subroutine Documentation subroutine spptrf (characterUPLO, integerN, real, dimension( * )AP, integerINFO) SPPTRF Purpose: SPPTRF computes the Cholesky factorization of a real symmetric positive definite matrix A stored in packed format. The factorization has the form A = U**T * U, if UPLO = ‘U’,…
sppsvx.f – Synopsis Functions/Subroutines subroutine sppsvx (FACT, UPLO, N, NRHS, AP, AFP, EQUED, S, B, LDB, X, LDX, RCOND, FERR, BERR, WORK, IWORK, INFO) SPPSVX computes the solution to system of linear equations A * X = B for OTHER matrices Function/Subroutine Documentation subroutine sppsvx (characterFACT, characterUPLO, integerN, integerNRHS, real, dimension( * )AP, real, dimension(…
sppsv.f – Synopsis Functions/Subroutines subroutine sppsv (UPLO, N, NRHS, AP, B, LDB, INFO) SPPSV computes the solution to system of linear equations A * X = B for OTHER matrices Function/Subroutine Documentation subroutine sppsv (characterUPLO, integerN, integerNRHS, real, dimension( * )AP, real, dimension( ldb, * )B, integerLDB, integerINFO) SPPSV computes the solution to system of…
spprfs.f – Synopsis Functions/Subroutines subroutine spprfs (UPLO, N, NRHS, AP, AFP, B, LDB, X, LDX, FERR, BERR, WORK, IWORK, INFO) SPPRFS Function/Subroutine Documentation subroutine spprfs (characterUPLO, integerN, integerNRHS, real, dimension( * )AP, real, dimension( * )AFP, real, dimension( ldb, * )B, integerLDB, real, dimension( ldx, * )X, integerLDX, real, dimension( * )FERR, real, dimension( *…