Section 3: library functions
quat_interpolate – Constructs a quaternion representing a rotation between from and to. Allegro game programming library. Synopsis #include <allegro.h> void quat_interpolate(const QUAT *from, const QUAT *to, float t, QUAT *out); Description Constructs a quaternion that represents a rotation between from and to. The argument t can be anything between 0 and 1 and represents where…
QuantLib::EnergyFuture – Energy future. Synopsis void performCalculations () const Protected Attributes Inherits QuantLib::EnergyCommodity. Public Member Functions EnergyFuture (Integer buySell, const Quantity &quantity, const CommodityUnitCost &tradePrice, const boost::shared_ptr< CommodityIndex > &index, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts) bool isExpired () const returns whether the instrument is still tradable. Quantity quantity () const const CommodityUnitCost…
QuantLib::IncrementalStatistics – Statistics tool based on incremental accumulation. Synopsis void add (Real value, Real weight=1.0) adds a datum to the set, possibly with a weight template<class DataIterator > void addSequence (DataIterator begin, DataIterator end) adds a sequence of data to the set, with default weight template<class DataIterator , class WeightIterator > void addSequence (DataIterator begin,…
quad3d, quad3d_f – Draws a 3d quad onto the specified bitmap. Allegro game programming library. Synopsis #include <allegro.h> void quad3d(BITMAP *bmp, int type, BITMAP *tex, V3D *v1, *v2, *v3, *v4); void quad3d_f(BITMAP *bmp, int type, BITMAP *tex, V3D_f *v1, *v2, *v3, *v4); Description Draw 3d quads, using either fixed or floating point vertex structures. These…
quad3d, quad3d_f – Draws a 3d quad onto the specified bitmap. Allegro game programming library. Synopsis #include <allegro.h> void quad3d(BITMAP *bmp, int type, BITMAP *tex, V3D *v1, *v2, *v3, *v4); void quad3d_f(BITMAP *bmp, int type, BITMAP *tex, V3D_f *v1, *v2, *v3, *v4); Description Draw 3d quads, using either fixed or floating point vertex structures. These…
qtranslate_matrix, qtranslate_matrix_f – Optimised routine for translating an already generated matrix. Allegro game programming library. Synopsis #include <allegro.h> void qtranslate_matrix(MATRIX *m, fixed x, fixed y, fixed z); void qtranslate_matrix_f(MATRIX_f *m, float x, float y, float z); Description Optimised routine for translating an already generated matrix: this simply adds in the translation offset, so there is…
qtranslate_matrix, qtranslate_matrix_f – Optimised routine for translating an already generated matrix. Allegro game programming library. Synopsis #include <allegro.h> void qtranslate_matrix(MATRIX *m, fixed x, fixed y, fixed z); void qtranslate_matrix_f(MATRIX_f *m, float x, float y, float z); Description Optimised routine for translating an already generated matrix: this simply adds in the translation offset, so there is…
QuantLib::LineSearch – Base class for line search. Synopsis LineSearch (Real=0.0) Default constructor. virtual ~LineSearch () Destructor. const Array & lastX () return last x value Real lastFunctionValue () return last cost function value const Array & lastGradient () return last gradient Real lastGradientNorm2 () return square norm of last gradient bool succeed () virtual Real…
qsort, qsort_r – sort an array Synopsis #include <stdlib.h> void qsort(void *base, size_t nmemb, size_t size, int (*compar)(const void *, const void *)); void qsort_r(void *base, size_t nmemb, size_t size, int (*compar)(const void *, const void *, void *), void *arg); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): qsort_r(): _GNU_SOURCE Description The qsort() function…
qsort, qsort_r – sort an array Synopsis #include <stdlib.h> void qsort(void *base, size_t nmemb, size_t size, int (*compar)(const void *, const void *)); void qsort_r(void *base, size_t nmemb, size_t size, int (*compar)(const void *, const void *, void *), void *arg); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): qsort_r(): _GNU_SOURCE Description The qsort() function…
ql/math/optimization/lmdif.hpp – wrapper for MINPACK minimization routine Synopsis void lmdif (int m, int n, double *x, double *fvec, double ftol, double xtol, double gtol, int maxfev, double epsfcn, double *diag, int mode, double factor, int nprint, int *info, int *nfev, double *fjac, int ldfjac, int *ipvt, double *qtf, double *wa1, double *wa2, double *wa3, double…
QuantLib::QuantoBarrierOption – Quanto version of a barrier option. Synopsis #include <ql/instruments/quantobarrieroption.hpp> Inherits QuantLib::BarrierOption. Public Types typedef BarrierOption::arguments arguments typedef QuantoOptionResults< BarrierOption::results > results Public Member Functions QuantoBarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void fetchResults (const PricingEngine::results *) const greeks Real qvega () const Real…
ql/math/optimization/lmdif.hpp – wrapper for MINPACK minimization routine Synopsis void lmdif (int m, int n, double *x, double *fvec, double ftol, double xtol, double gtol, int maxfev, double epsfcn, double *diag, int mode, double factor, int nprint, int *info, int *nfev, double *fjac, int ldfjac, int *ipvt, double *qtf, double *wa1, double *wa2, double *wa3, double…
ql/math/matrixutilities/qrdecomposition.hpp – QR decomposition. Synopsis Disposable< std::vector< Size > > qrDecomposition (const Matrix &A, Matrix &q, Matrix &r, bool pivot=true) QR decompoisition. Disposable< Array > qrSolve (const Matrix &a, const Array &b, bool pivot=true, const Array &d=Array()) QR Solve. Functions Disposable< std::vector< Size > > qrDecomposition (const Matrix &A, Matrix &q, Matrix &r, bool pivot=true)…
QuantLib::LineSearch – Base class for line search. Synopsis LineSearch (Real=0.0) Default constructor. virtual ~LineSearch () Destructor. const Array & lastX () return last x value Real lastFunctionValue () return last cost function value const Array & lastGradient () return last gradient Real lastGradientNorm2 () return square norm of last gradient bool succeed () virtual Real…
ql/qldefines.hpp – Global definitions and compiler switches. Synopsis #define BOOST_ENABLE_ASSERT_HANDLER #define QL_INTEGER int #define QL_BIG_INTEGER long #define QL_REAL double #define QL_VERSION ‘0.9.7’ version string #define QL_HEX_VERSION 0x000907f0 version hexadecimal number #define QL_LIB_VERSION ‘0_9_7’ version string for output lib name #define QL_MIN_INTEGER ((std::numeric_limits<QL_INTEGER>::min)()) #define QL_MAX_INTEGER ((std::numeric_limits<QL_INTEGER>::max)()) #define QL_MIN_REAL -((std::numeric_limits<QL_REAL>::max)()) #define QL_MAX_REAL ((std::numeric_limits<QL_REAL>::max)()) #define QL_MIN_POSITIVE_REAL ((std::numeric_limits<QL_REAL>::min)()) #define…
QuantLib::QuantoBarrierOption – Quanto version of a barrier option. Synopsis #include <ql/instruments/quantobarrieroption.hpp> Inherits QuantLib::BarrierOption. Public Types typedef BarrierOption::arguments arguments typedef QuantoOptionResults< BarrierOption::results > results Public Member Functions QuantoBarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void fetchResults (const PricingEngine::results *) const greeks Real qvega () const Real…
QuantLib::G2Process – G2 stochastic process Synopsis #include <ql/processes/g2process.hpp> Inherits QuantLib::StochasticProcess. Public Member Functions G2Process (Real a, Real sigma, Real b, Real eta, Real rho) Real x0 () const Real y0 () const Real a () const Real sigma () const Real b () const Real eta () const Real rho () const StochasticProcess interface Size…
todo – Possible Enhancements Class AmericanCondition unify the intrinsicValues/Payoff thing Class AmericanExercise check that everywhere the American condition is applied from earliestDate and not earlier Class AmericanPayoffAtExpiry calculate greeks Class AmericanPayoffAtHit calculate greeks Class AnalyticContinuousGeometricAveragePriceAsianEngine handle seasoned options Class AnalyticDigitalAmericanEngine add more greeks (as of now only delta and…
ql/utilities/dataformatters.hpp – output manipulators Synopsis #include <ql/utilities/null.hpp> #include <ostream> Functions template<typename T > std::ostream & operator<< (std::ostream &, const null_checker< T > &) std::ostream & operator<< (std::ostream &, const ordinal_holder &) template<typename T > std::ostream & operator<< (std::ostream &, const power_of_two_holder< T > &) std::ostream & operator<< (std::ostream &, const percent_holder &) template<typename T >…