Section 3: library functions
QuantLib::Interpolation – base class for 1-D interpolations. Synopsis bool empty () const Real operator() (Real x, bool allowExtrapolation=false) const Real primitive (Real x, bool allowExtrapolation=false) const Real derivative (Real x, bool allowExtrapolation=false) const Real secondDerivative (Real x, bool allowExtrapolation=false) const Real xMin () const Real xMax () const bool isInRange (Real x) const void update…
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::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::DefaultEvent – Credit-default event. Synopsis DefaultEvent (const Date &date, Real recoveryRate, Seniority seniority=AnySeniority, Restructuring restructuring=AnyRestructuring) Date date () const returns the date at which the event occurs Real recoveryRate () const Seniority seniority () const Restructuring restructuring () const Inherits QuantLib::Event. Public Member Functions DefaultEvent (const Date &date, Real recoveryRate, Seniority seniority=AnySeniority, Restructuring restructuring=AnyRestructuring) Date…
rest_callback – Like rest(), but calls the callback during the wait. Allegro game programming library. Synopsis #include <allegro.h> void rest_callback(long time, void (*callback)()) Description Like rest(), but for non-zero values continually calls the specified function while it is waiting for the required time to elapse. If the provided `callback’ parameter is NULL, this function does…
rest – Waits a specified number of milliseconds or yields CPU. Allegro game programming library. Synopsis #include <allegro.h> void rest(unsigned int time); Description This function waits for the specified number of milliseconds. Passing 0 as parameter will not wait, but just yield. This can be useful in order to "play nice" with other processes. Other…
resources – Additional resources The main QuantLib resource is the QuantLib web site ( http://quantlib.org). Additional resources available from the above site include: * current news (http://sourceforge.net/news/?group_id=12740); * the QuantLib mailing lists and forums (http://quantlib.org/mailinglists.shtml); * the QuantLib programming style guidelines (http://quantlib.org/style.shtml); * a link to the QuantLib project page on SourceForge.net (http://sourceforge.net/projects/quantlib); * links…
res_ninit, res_nclose, res_nquery, res_nsearch, res_nquerydomain, res_nmkquery, res_nsend, res_init, res_query, res_search, res_querydomain, res_mkquery, res_send, dn_comp, dn_expand – resolver routines Synopsis #include <arpa/nameser.h> #include <netinet/in.h> #include <resolv.h> struct __res_state; typedef struct __res_state *res_state; int res_ninit(res_state statep); void res_nclose(res_state statep); int res_nquery(res_state statep, const char *dname, int class, int type, unsigned char *answer, int anslen); int res_nsearch(res_state statep,…
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::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…
QuantLib::NonLinearLeastSquare – Non-linear least-square method. Synopsis NonLinearLeastSquare (Constraint &c, Real accuracy=1e-4, Size maxiter=100) Default constructor. NonLinearLeastSquare (Constraint &c, Real accuracy, Size maxiter, boost::shared_ptr< OptimizationMethod > om) Default constructor. ~NonLinearLeastSquare () Destructor. Array & perform (LeastSquareProblem &lsProblem) Solve least square problem using numerix solver. void setInitialValue (const Array &initialValue) Array & results () return the results…
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::CliquetOption::arguments – Arguments for cliquet option calculation Synopsis void validate () const Public Attributes Inherits QuantLib::Option::arguments. Public Member Functions void validate () const Public Attributes Real accruedCoupon Real lastFixing Real localCap Real localFloor Real globalCap Real globalFloor std::vector< Date > resetDates Detailed Description Arguments for cliquet option calculation Author Generated automatically by Doxygen for QuantLib…
QuantLib::ForwardOptionArguments – Arguments for forward (strike-resetting) option calculation Synopsis void validate () const Public Attributes Inherits QuantLib::ArgumentsType. Public Member Functions void validate () const Public Attributes Real moneyness Date resetDate Detailed Description template<class ArgumentsType> class QuantLib::ForwardOptionArguments< ArgumentsType > Arguments for forward (strike-resetting) option calculation Author Generated automatically by Doxygen for QuantLib from the source code.
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 &…
reserve_voices – Reserve a number of voices for the digital and MIDI drivers. Allegro game programming library. Synopsis #include <allegro.h> void reserve_voices(int digi_voices, int midi_voices); Description Call this function to specify the number of voices that are to be used by the digital and MIDI sound drivers respectively. This must be done _before_ calling install_sound()….
res_ninit, res_nclose, res_nquery, res_nsearch, res_nquerydomain, res_nmkquery, res_nsend, res_init, res_query, res_search, res_querydomain, res_mkquery, res_send, dn_comp, dn_expand – resolver routines Synopsis #include <arpa/nameser.h> #include <netinet/in.h> #include <resolv.h> struct __res_state; typedef struct __res_state *res_state; int res_ninit(res_state statep); void res_nclose(res_state statep); int res_nquery(res_state statep, const char *dname, int class, int type, unsigned char *answer, int anslen); int res_nsearch(res_state statep,…
res_ninit, res_nclose, res_nquery, res_nsearch, res_nquerydomain, res_nmkquery, res_nsend, res_init, res_query, res_search, res_querydomain, res_mkquery, res_send, dn_comp, dn_expand – resolver routines Synopsis #include <arpa/nameser.h> #include <netinet/in.h> #include <resolv.h> struct __res_state; typedef struct __res_state *res_state; int res_ninit(res_state statep); void res_nclose(res_state statep); int res_nquery(res_state statep, const char *dname, int class, int type, unsigned char *answer, int anslen); int res_nsearch(res_state statep,…
res_ninit, res_nclose, res_nquery, res_nsearch, res_nquerydomain, res_nmkquery, res_nsend, res_init, res_query, res_search, res_querydomain, res_mkquery, res_send, dn_comp, dn_expand – resolver routines Synopsis #include <arpa/nameser.h> #include <netinet/in.h> #include <resolv.h> struct __res_state; typedef struct __res_state *res_state; int res_ninit(res_state statep); void res_nclose(res_state statep); int res_nquery(res_state statep, const char *dname, int class, int type, unsigned char *answer, int anslen); int res_nsearch(res_state statep,…
res_ninit, res_nclose, res_nquery, res_nsearch, res_nquerydomain, res_nmkquery, res_nsend, res_init, res_query, res_search, res_querydomain, res_mkquery, res_send, dn_comp, dn_expand – resolver routines Synopsis #include <arpa/nameser.h> #include <netinet/in.h> #include <resolv.h> struct __res_state; typedef struct __res_state *res_state; int res_ninit(res_state statep); void res_nclose(res_state statep); int res_nquery(res_state statep, const char *dname, int class, int type, unsigned char *answer, int anslen); int res_nsearch(res_state statep,…