Section 3: library functions
set_message_mode – Sets the message mode Synopsis #include <libaudit.h> void set_message_mode(message_t mode); Description set_message_mode sets the location where informational messages are sent. If mode=0 (default), then informational messages are sent to stderr. If mode=1, then informational messages are sent to syslog. Example /* Sample code */ set_message_mode(MSG_SYSLOG) See Also auditd(8), audit_open(3). Author Debora Velarde.
set_alpha_blender – Enables a special alpha-channel blending mode. Allegro game programming library. Synopsis #include <allegro.h> void set_alpha_blender(); Description Enables the special alpha-channel blending mode, which is used for drawing 32-bit RGBA sprites. After calling this function, you can use draw_trans_sprite() or draw_trans_rle_sprite() to draw a 32-bit source image onto any hicolor or truecolor destination. The…
set_allegro_resource_path – Sets a specific resource search path. Allegro game programming library. Synopsis #include <allegro.h> int set_allegro_resource_path(int priority, const char *path); Description Sometimes Allegro doesn’t look in enough places to find a resource. For those special cases, you can call this function before loading your resource with additional paths to search for. You set up…
QuantLib::SingleAssetOption – Black-Scholes-Merton option. Synopsis static const Real dVolMultiplier_ static const Real dRMultiplier_ Friends Inherited by DiscreteGeometricASO. Public Member Functions static const Real dVolMultiplier_ static const Real dRMultiplier_ Friends Real underlying_ PlainVanillaPayoff payoff_ Spread dividendYield_ Rate riskFreeRate_ Time residualTime_ Volatility volatility_ bool hasBeenCalculated_ Real rho_ Real dividendRho_ Real vega_ Real theta_ bool rhoComputed_ bool dividendRhoComputed_…
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::IntervalPrice – interval price Synopsis static TimeSeries< IntervalPrice > makeSeries (const std::vector< Date > &d, const std::vector< Real > &open, const std::vector< Real > &close, const std::vector< Real > &high, const std::vector< Real > &low) static std::vector< Real > extractValues (const TimeSeries< IntervalPrice > &, IntervalPrice::Type) static TimeSeries< Real > extractComponent (const TimeSeries< IntervalPrice >…
QuantLib::Solver1D – Base class for 1-D solvers. Synopsis #include <ql/math/solver1d.hpp> Inherits CuriouslyRecurringTemplate< Impl >. Public Member Functions Modifiers template<class F > Real solve (const F &f, Real accuracy, Real guess, Real step) const template<class F > Real solve (const F &f, Real accuracy, Real guess, Real xMin, Real xMax) const void setMaxEvaluations (Size evaluations) void…
QuantLib::BoundaryCondition – Abstract boundary condition class for finite difference problems. Synopsis virtual void applyBeforeApplying (operator_type &) const =0 virtual void applyAfterApplying (array_type &) const =0 virtual void applyBeforeSolving (operator_type &, array_type &rhs) const =0 virtual void applyAfterSolving (array_type &) const =0 virtual void setTime (Time t)=0 Public Types enum Side { None, Upper, Lower }…
QuantLib::ConstrainedEvolver – Constrained market-model evolver. Synopsis virtual void setConstraintType (const std::vector< Size > &startIndexOfSwapRate, const std::vector< Size > &EndIndexOfSwapRate)=0 call once virtual void setThisConstraint (const std::vector< Rate > &rateConstraints, const std::vector< bool > &isConstraintActive)=0 call before each path Inherits QuantLib::MarketModelEvolver. Inherited by LogNormalFwdRateEulerConstrained. Public Member Functions virtual void setConstraintType (const std::vector< Size > &startIndexOfSwapRate, const…
QuantLib::BootstrapHelper – Base helper class for bootstrapping. Synopsis Real quoteError () const Real quoteValue () const bool quoteIsValid () const virtual Real impliedQuote () const =0 virtual void setTermStructure (TS *) sets the term structure to be used for pricing virtual Date earliestDate () const earliest relevant date virtual Date latestDate () const latest relevant…
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::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…
QuantLib::Bond – Base bond class. Synopsis Real cleanPrice () const theoretical clean price Real dirtyPrice () const theoretical dirty price Real settlementValue () const theoretical settlement value Rate yield (const DayCounter &dc, Compounding comp, Frequency freq, Real accuracy=1.0e-8, Size maxEvaluations=100) const theoretical bond yield Real cleanPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq,…
QuantLib::SingleAssetOption – Black-Scholes-Merton option. Synopsis static const Real dVolMultiplier_ static const Real dRMultiplier_ Friends Inherited by DiscreteGeometricASO. Public Member Functions static const Real dVolMultiplier_ static const Real dRMultiplier_ Friends Real underlying_ PlainVanillaPayoff payoff_ Spread dividendYield_ Rate riskFreeRate_ Time residualTime_ Volatility volatility_ bool hasBeenCalculated_ Real rho_ Real dividendRho_ Real vega_ Real theta_ bool rhoComputed_ bool dividendRhoComputed_…
QuantLib::GaussKronrodNonAdaptive – Integral of a 1-dimensional function using the Gauss-Kronrod methods. Synopsis #include <ql/math/integrals/kronrodintegral.hpp> Inherits QuantLib::Integrator. Public Member Functions GaussKronrodNonAdaptive (Real absoluteAccuracy, Size maxEvaluations, Real relativeAccuracy) void setRelativeAccuracy (Real) Real relativeAccuracy () const Protected Member Functions Real integrate (const boost::function< Real(Real)> &f, Real a, Real b) const Detailed Description Integral of a 1-dimensional function using…
QuantLib::Instrument – Abstract instrument class. Synopsis void calculate () const virtual void setupExpired () const virtual void performCalculations () const Protected Attributes Inherits QuantLib::LazyObject. Inherited by Bond, CapFloor, CDO, CdsOption, Commodity, CompositeInstrument, CreditDefaultSwap, Forward, InflationSwap, NthToDefault, Option, PathMultiAssetOption, RiskyAssetSwap, Stock, Swap, SyntheticCDO, VarianceOption, and VarianceSwap. Public Member Functions virtual void setupArguments (PricingEngine::arguments *) const virtual…
QuantLib::CommodityCurve – Commodity term structure. Synopsis std::ostream & operator<< (std::ostream &out, const CommodityCurve &curve) std::string name_ CommodityType commodityType_ UnitOfMeasure unitOfMeasure_ Currency currency_ std::vector< Date > dates_ std::vector< Time > times_ std::vector< Real > data_ Interpolation interpolation_ ForwardFlat interpolator_ boost::shared_ptr< CommodityCurve > basisOfCurve_ Real basisOfCurveUomConversionFactor_ const std::string & name () const const CommodityType & commodityType ()…
QuantLib::CappedFlooredCoupon – Capped and/or floored floating-rate coupon. Synopsis void update () Visitability Inherits QuantLib::FloatingRateCoupon. Inherited by CappedFlooredCmsCoupon, and CappedFlooredIborCoupon. Public Member Functions void update () Visitability Coupon interface Rate rate () const accrued rate Rate convexityAdjustment () const convexity adjustment Observer interface void update () Visitability boost::shared_ptr< FloatingRateCoupon > underlying_ bool isCapped_ bool isFloored_ Rate…
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::Parameter – Base class for model arguments. Synopsis const Array & params () const void setParam (Size i, Real x) bool testParams (const Array ¶ms) const Size size () const Real operator() (Time t) const const boost::shared_ptr< Impl > & implementation () const Protected Member Functions Inherited by ConstantParameter, NullParameter, PiecewiseConstantParameter, and TermStructureFittingParameter. Classes class…