Section 3: library functions
rotate_scaled_sprite – Rotates and stretches a sprite. Allegro game programming library. Synopsis #include <allegro.h> void rotate_scaled_sprite(BITMAP *bmp, BITMAP *sprite, int x, int y, fixed angle, fixed scale); Description Like rotate_sprite(), but stretches or shrinks the image at the same time as rotating it. See Also rotate_sprite(3), rotate_scaled_sprite_v_flip(3), pivot_scaled_sprite(3), pivot_scaled_sprite_v_flip(3)
rose_aton, rose_ntoa, rose_cmp – ROSE Address manipulation routines Synopsis #include <netrose/rose.h> int rose_aton(const char *cp, char *inp); char *rose_ntoa(rose_address *cp); int rose_cmp(rose_address *a1, rose_address *a2); Description rose_aton() converts the ROSE address cp from an ASCII representation into network format. rose_ntoa() converts the ROSE address cp that is network format to a string that is the…
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::EndCriteria – Criteria to end optimization process:. Synopsis #include <ql/math/optimization/endcriteria.hpp> Public Types enum Type { None, MaxIterations, StationaryPoint, StationaryFunctionValue, StationaryFunctionAccuracy, ZeroGradientNorm, Unknown } Public Member Functions EndCriteria (Size maxIterations, Size maxStationaryStateIterations, Real rootEpsilon, Real functionEpsilon, Real gradientNormEpsilon) Initialization constructor. Size maxIterations () const Size maxStationaryStateIterations () const Real rootEpsilon () const Real functionEpsilon () const…
QuantLib::EndCriteria – Criteria to end optimization process:. Synopsis #include <ql/math/optimization/endcriteria.hpp> Public Types enum Type { None, MaxIterations, StationaryPoint, StationaryFunctionValue, StationaryFunctionAccuracy, ZeroGradientNorm, Unknown } Public Member Functions EndCriteria (Size maxIterations, Size maxStationaryStateIterations, Real rootEpsilon, Real functionEpsilon, Real gradientNormEpsilon) Initialization constructor. Size maxIterations () const Size maxStationaryStateIterations () const Real rootEpsilon () const Real functionEpsilon () const…
QuantLib::PagodaOption – Roofed Asian option on a number of assets. Synopsis #include <ql/instruments/pagodaoption.hpp> Inherits QuantLib::MultiAssetOption. Classes class engine Pagoda-option engine base class Public Member Functions PagodaOption (const std::vector< Date > &fixingDates, Real roof, Real fraction) void setupArguments (PricingEngine::arguments *) const Protected Attributes std::vector< Date > fixingDates_ Real roof_ Real fraction_ Detailed Description Roofed Asian option…
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 &…
ql/math/randomnumbers/rngtraits.hpp – random-number generation policies Synopsis #include <ql/methods/montecarlo/pathgenerator.hpp> #include <ql/math/randomnumbers/mt19937uniformrng.hpp> #include <ql/math/randomnumbers/inversecumulativerng.hpp> #include <ql/math/randomnumbers/randomsequencegenerator.hpp> #include <ql/math/randomnumbers/sobolrsg.hpp> #include <ql/math/randomnumbers/inversecumulativersg.hpp> #include <ql/math/distributions/normaldistribution.hpp> #include <ql/math/distributions/poissondistribution.hpp> Typedefs typedef GenericPseudoRandom< MersenneTwisterUniformRng, InverseCumulativeNormal > PseudoRandom default traits for pseudo-random number generation typedef GenericPseudoRandom< MersenneTwisterUniformRng, InverseCumulativePoisson > PoissonPseudoRandom traits for Poisson-distributed pseudo-random number generation typedef GenericLowDiscrepancy< SobolRsg, InverseCumulativeNormal > LowDiscrepancy default traits…
QuantLib::SingleVariate – default Monte Carlo traits for single-variate models Synopsis enum { allowsErrorEstimate = RNG::allowsErrorEstimate } typedef RNG rng_traits typedef Path path_type typedef PathPricer< path_type > path_pricer_type typedef RNG::rsg_type rsg_type typedef PathGenerator< rsg_type > path_generator_type Public Types enum { allowsErrorEstimate = RNG::allowsErrorEstimate } typedef RNG rng_traits typedef Path path_type typedef PathPricer< path_type > path_pricer_type typedef…
QuantLib::AbcdAtmVolCurve – Abcd-interpolated at-the-money (no-smile) volatility curve. Synopsis const std::vector< Period > & optionTenors () const const std::vector< Period > & optionTenorsInInterpolation () const const std::vector< Date > & optionDates () const const std::vector< Time > & optionTimes () const Inherits QuantLib::BlackAtmVolCurve, and QuantLib::LazyObject. Public Member Functions const std::vector< Period > & optionTenors () const…
rmol-library – C++ Revenue Management Optimisation Library Synopsis #include <rmol/…> Description The Revenue Management Optimisation Library (RMOL) is a collection of routines for revenue management calculations. The routines are written from scratch by the RMOL team in C++, and present a modern Applications Programming Interface (API) for C/C++ programmers, allowing wrappers to be written for…
QuantLib::CdsOption – CDS option. Synopsis #include <ql/experimental/credit/cdsoption.hpp> Inherits QuantLib::Instrument. Public Member Functions CdsOption (const Date &expiry, Rate strike, const Handle< Quote > &volatility, const Issuer &issuer, Protection::Side side, Real nominal, const Schedule &premiumSchedule, const DayCounter &dayCounter, bool settlePremiumAccrual, const Handle< YieldTermStructure > &yieldTS) Real forward () const Real riskyAnnuity () const bool isExpired () const…
ql/math/statistics/riskstatistics.hpp – empirical-distribution risk measures Synopsis #include <ql/math/functional.hpp> #include <ql/math/statistics/gaussianstatistics.hpp> Classes class GenericRiskStatistics< S > empirical-distribution risk measures Typedefs typedef GenericRiskStatistics< GaussianStatistics > RiskStatistics default risk measures tool Detailed Description empirical-distribution risk measures Author Generated automatically by Doxygen for QuantLib from the source code.
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::TsiveriotisFernandesLattice – Binomial lattice approximating the Tsiveriotis-Fernandes model. Synopsis void stepback (Size i, const Array &values, const Array &conversionProbability, const Array &spreadAdjustedRate, Array &newValues, Array &newConversionProbability, Array &newSpreadAdjustedRate) const void rollback (DiscretizedAsset &, Time to) const void partialRollback (DiscretizedAsset &, Time to) const Inherits BlackScholesLattice< T >. Public Member Functions TsiveriotisFernandesLattice (const boost::shared_ptr< T >…
QuantLib::ReplicatingVarianceSwapEngine – Variance-swap pricing engine using replicating cost,. Synopsis ReplicatingVarianceSwapEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real dk=5.0, const std::vector< Real > &callStrikes=std::vector< Real >(), const std::vector< Real > &putStrikes=std::vector< Real >()) void calculate () const Protected Member Functions void computeOptionWeights (const std::vector< Real > &, const Option::Type, weights_type &optionWeights) const Real computeLogPayoff (const Real, const…
nearbyint, nearbyintf, nearbyintl, rint, rintf, rintl – round to nearest integer Synopsis #include <math.h> double nearbyint(double x); float nearbyintf(float x); long double nearbyintl(long double x); double rint(double x); float rintf(float x); long double rintl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): nearbyint(), nearbyintf(), nearbyintl(): _POSIX_C_SOURCE >= 200112L || _ISOC99_SOURCE rint(): _ISOC99_SOURCE…
nearbyint, nearbyintf, nearbyintl, rint, rintf, rintl – round to nearest integer Synopsis #include <math.h> double nearbyint(double x); float nearbyintf(float x); long double nearbyintl(long double x); double rint(double x); float rintf(float x); long double rintl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): nearbyint(), nearbyintf(), nearbyintl(): _POSIX_C_SOURCE >= 200112L || _ISOC99_SOURCE rint(): _ISOC99_SOURCE…
nearbyint, nearbyintf, nearbyintl, rint, rintf, rintl – round to nearest integer Synopsis #include <math.h> double nearbyint(double x); float nearbyintf(float x); long double nearbyintl(long double x); double rint(double x); float rintf(float x); long double rintl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): nearbyint(), nearbyintf(), nearbyintl(): _POSIX_C_SOURCE >= 200112L || _ISOC99_SOURCE rint(): _ISOC99_SOURCE…
index, rindex – locate character in string Synopsis #include <strings.h> char *index(const char *s, int c); char *rindex(const char *s, int c); Description The index() function returns a pointer to the first occurrence of the character c in the string s. The rindex() function returns a pointer to the last occurrence of the character c…