Section 3: library functions
QuantLib::FractionalDividend – Predetermined cash flow. Synopsis #include <ql/cashflows/dividend.hpp> Inherits QuantLib::Dividend. Public Member Functions FractionalDividend (Real rate, const Date &date) FractionalDividend (Real rate, Real nominal, const Date &date) Dividend interface virtual Real amount () const returns the amount of the cash flow virtual Real amount (Real underlying) const Inspectors Real rate () const Real nominal ()…
QuantLib::CurveState – Curve state for market-model simulations Synopsis Size numberOfRates () const const std::vector< Time > & rateTimes () const const std::vector< Time > & rateTaus () const virtual Real discountRatio (Size i, Size j) const =0 virtual Rate forwardRate (Size i) const =0 virtual Rate coterminalSwapAnnuity (Size numeraire, Size i) const =0 virtual Rate…
QuantLib::CurveState – Curve state for market-model simulations Synopsis Size numberOfRates () const const std::vector< Time > & rateTimes () const const std::vector< Time > & rateTaus () const virtual Real discountRatio (Size i, Size j) const =0 virtual Rate forwardRate (Size i) const =0 virtual Rate coterminalSwapAnnuity (Size numeraire, Size i) const =0 virtual Rate…
QuantLib::CurveState – Curve state for market-model simulations Synopsis Size numberOfRates () const const std::vector< Time > & rateTimes () const const std::vector< Time > & rateTaus () const virtual Real discountRatio (Size i, Size j) const =0 virtual Rate forwardRate (Size i) const =0 virtual Rate coterminalSwapAnnuity (Size numeraire, Size i) const =0 virtual Rate…
QuantLib::CurveState – Curve state for market-model simulations Synopsis Size numberOfRates () const const std::vector< Time > & rateTimes () const const std::vector< Time > & rateTaus () const virtual Real discountRatio (Size i, Size j) const =0 virtual Rate forwardRate (Size i) const =0 virtual Rate coterminalSwapAnnuity (Size numeraire, Size i) const =0 virtual Rate…
QuantLib::HaganPricer – CMS-coupon pricer. Synopsis 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 () const void setMeanReversion (const Handle< Quote > &meanReversion) Protected Member Functions HaganPricer…
QuantLib::Matrix – Matrix used in linear algebra. Synopsis const Matrix & operator+= (const Matrix &) const Matrix & operator-= (const Matrix &) const Matrix & operator*= (Real) const Matrix & operator/= (Real) Inherited by Disposable< Matrix >. Public Types typedef Real * iterator typedef const Real * const_iterator typedef boost::reverse_iterator< iterator > reverse_iterator typedef boost::reverse_iterator<…
QuantLib::NthToDefault – N-th to default swap. Synopsis NthToDefault (Size n, const std::vector< Issuer > &basket, const Handle< OneFactorCopula > &copula, Protection::Side side, Real nominal, const Schedule &premiumSchedule, Rate premiumRate, const DayCounter &dayCounter, bool settlePremiumAccrual, const Handle< YieldTermStructure > &yieldTS, const Period &integrationStepSize, boost::shared_ptr< Claim > claim=boost::shared_ptr< Claim >()) bool isExpired () const returns whether the…
ql/cashflows/rangeaccrual.hpp – range-accrual coupon Synopsis #include <ql/termstructures/volatility/smilesection.hpp> #include <ql/cashflows/couponpricer.hpp> #include <ql/cashflows/floatingratecoupon.hpp> #include <ql/time/schedule.hpp> #include <vector> Classes class RangeAccrualLeg helper class building a sequence of range-accrual floating-rate coupons Detailed Description range-accrual coupon Author Generated automatically by Doxygen for QuantLib from the source code.
random_r, srandom_r, initstate_r, setstate_r – reentrant random number generator Synopsis #include <stdlib.h> int random_r(struct random_data *buf, int32_t *result); int srandom_r(unsigned int seed, struct random_data *buf); int initstate_r(unsigned int seed, char *statebuf, size_t statelen, struct random_data *buf); int setstate_r(char *statebuf, struct random_data *buf); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): random_r(), srandom_r(), initstate_r(), setstate_r(): /*…
random, srandom, initstate, setstate – random number generator Synopsis #include <stdlib.h> long random(void); void srandom(unsigned seed); char *initstate(unsigned seed, char *state, size_t n); char *setstate(char *state); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): random(), srandom(), initstate(), setstate(): _XOPEN_SOURCE >= 500 || /* Glibc since 2.19: */ _DEFAULT_SOURCE || /* Glibc versions <= 2.19: */ _SVID_SOURCE || _BSD_SOURCE Description The random() function uses a nonlinear additive feedback random…
rand, rand_r, srand – pseudo-random number generator Synopsis #include <stdlib.h> int rand(void); int rand_r(unsigned int *seedp); void srand(unsigned int seed); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): rand_r(): Since glibc 2.24: _POSIX_C_SOURCE >= 199506L Glibc 2.23 and earlier _POSIX_C_SOURCE Description The rand() function returns a pseudo-random integer in the range 0 to RAND_MAX inclusive (i.e., the…
rand, rand_r, srand – pseudo-random number generator Synopsis #include <stdlib.h> int rand(void); int rand_r(unsigned int *seedp); void srand(unsigned int seed); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): rand_r(): Since glibc 2.24: _POSIX_C_SOURCE >= 199506L Glibc 2.23 and earlier _POSIX_C_SOURCE Description The rand() function returns a pseudo-random integer in the range 0 to RAND_MAX inclusive (i.e., the…
rancid – rancid perl module Introduction The rancid library provides functions for handling rancid.types configuration files, loading modules, and the basic global variables, variables from parsing rancid.types files, and output handling functions that are common to all rancid device modules, all of which are "exported" (in perl terms) for use by those that import the…
raise – send a signal to the caller Synopsis #include <signal.h> int raise(int sig); Description The raise() function sends a signal to the calling process or thread. In a single-threaded program it is equivalent to kill(getpid(), sig); In a multithreaded program it is equivalent to pthread_kill(pthread_self(), sig); If the signal causes a handler to be…
radixsort sradixsort – radix sort Library Lb libbsd Synopsis In limits.h In bsd/stdlib.h Ft int Fn radixsort const unsigned char **base int nmemb const unsigned char *table unsigned endbyte Ft int Fn sradixsort const unsigned char **base int nmemb const unsigned char *table unsigned endbyte Description The Fn radixsort and Fn sradixsort functions are implementations…
QuantLib::JamshidianSwaptionEngine – Jamshidian swaption engine. Synopsis JamshidianSwaptionEngine (const boost::shared_ptr< OneFactorAffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) void calculate () const Friends Inherits GenericModelEngine< OneFactorAffineModel, Swaption::arguments, Swaption::results >. Public Member Functions JamshidianSwaptionEngine (const boost::shared_ptr< OneFactorAffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) void calculate () const Friends class rStarFinder Detailed Description…
QuantLib::Vasicek – Vasicek model class Synopsis Vasicek (Rate r0=0.05, Real a=0.1, Real b=0.05, Real sigma=0.01, Real lambda=0.0) virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const virtual boost::shared_ptr< ShortRateDynamics > dynamics () const returns the short-rate dynamics Protected Member Functions Inherits QuantLib::OneFactorAffineModel. Inherited by HullWhite. Classes class Dynamics Short-rate dynamics in the…
qwtlicense – Qwt License, Version 1.0 Qwt License Version 1.0, January 1, 2003 The Qwt library and included programs are provided under the terms of the GNU LESSER GENERAL PUBLIC LICENSE (LGPL) with the following exceptions: 1. Widgets that are subclassed from Qwt widgets do not constitute a derivative work. 2. Static linking of applications…
qwtinstall – Installing Qwt Download Stable Qwt releases are available from the Qwt project page. Qwt-6.1.1 consists of 4 files: • qwt-6.1.1.zip Zip file with the Qwt sources and the html documentation for Windows • qwt-6.1.1.tar.bz2 Compressed tar file with the Qwt sources and the html documentation for UNIX systems ( Linux, Mac, … ) • qwt-6.1.1.pdf Qwt…