Linux Manuals session 3

security_class_to_string, security_av_perm_to_string, string_to_security_class, string_to_av_perm, security_av_string, mode_to_security_class – convert between SELinux class and permission values and string names. print_access_vector – display an access vector in human-readable form. Synopsis #include <selinux/selinux.h> const char *security_class_to_string(security_class_t tclass); const char *security_av_perm_to_string(security_class_t tclass, access_vector_t av); int security_av_string(security_class_t tclass, access_vector_t av, char **result); security_class_t string_to_security_class(const char *name); security_class_t mode_to_security_class(mode_t mode); access_vector_t string_to_av_perm(security_class_t…

QuantLib::CubicInterpolation – Cubic interpolation between discrete points. Synopsis #include <ql/math/interpolations/cubicinterpolation.hpp> Inherits QuantLib::Interpolation. Inherited by MonotonicNaturalCubicInterpolation, and NaturalCubicInterpolation. Public Types enum DerivativeApprox { Spline, FourthOrder, Parabolic, ModifiedParabolic, FritschButland, Akima, Kruger } enum BoundaryCondition { NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange } Public Member Functions template<class I1 , class I2 > CubicInterpolation (const I1 &xBegin, const I1 &xEnd,…

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::Commodity – Commodity base class. Synopsis Commodity (const boost::shared_ptr< SecondaryCosts > &secondaryCosts) const boost::shared_ptr< SecondaryCosts > & secondaryCosts () const const SecondaryCostAmounts & secondaryCostAmounts () const const PricingErrors & pricingErrors () const void addPricingError (PricingError::Level errorLevel, const std::string &error, const std::string &detail=”) const Protected Attributes Inherits QuantLib::Instrument. Inherited by EnergyCommodity. Public Member Functions Commodity (const…

QuantLib::FDStepConditionEngine – Finite-differences pricing engine for American-style vanilla options. Synopsis FDStepConditionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) Protected Member Functions virtual void initializeStepCondition () const =0 virtual void calculate (PricingEngine::results *) const Protected Attributes Inherits QuantLib::FDVanillaEngine. Public Member Functions FDStepConditionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool…

ql/prices.hpp – price classes Synopsis #include <ql/timeseries.hpp> Classes class IntervalPrice interval price Enumerations enum PriceType { Bid, Ask, Last, Close, Mid, MidEquivalent, MidSafe } Price types. Functions Real midEquivalent (const Real bid, const Real ask, const Real last, const Real close) Real midSafe (const Real bid, const Real ask) Detailed Description price classes Author Generated…

QuantLib::FloatingRateCoupon – base floating-rate coupon class Synopsis void update () Inherits QuantLib::Coupon, and QuantLib::Observer. Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon. Public Member Functions void update () CashFlow interface Real amount () const returns the amount of the cash flow Coupon interface Rate rate () const accrued rate Real price (const Handle<…

QuantLib::FloatingRateCoupon – base floating-rate coupon class Synopsis void update () Inherits QuantLib::Coupon, and QuantLib::Observer. Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon. Public Member Functions void update () CashFlow interface Real amount () const returns the amount of the cash flow Coupon interface Rate rate () const accrued rate Real price (const Handle<…

QuantLib::ImpliedStdDevQuote – quote for the implied standard deviation of an underlying Synopsis void performCalculations () const Protected Attributes Inherits QuantLib::Quote, and QuantLib::LazyObject. Public Member Functions void performCalculations () const Protected Attributes Quote interface Real value () const returns the current value bool isValid () const returns true if the Quote holds a valid value Protected…

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::CapPseudoDerivative – Synopsis #include <ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.hpp> Public Member Functions CapPseudoDerivative (boost::shared_ptr< MarketModel > inputModel, Real strike, Size startIndex, Size endIndex, Real firstDF) const Matrix & volatilityDerivative (Size i) const const Matrix & priceDerivative (Size i) const Real impliedVolatility () const Detailed Description In order to compute market vegas, we need a class that gives the derivative…

QuantLib::Schedule – Payment schedule. Synopsis typedef std::vector< Date >::const_iterator const_iterator const_iterator begin () const const_iterator end () const const_iterator lower_bound (const Date &d=Date()) const Public Member Functions typedef std::vector< Date >::const_iterator const_iterator const_iterator begin () const const_iterator end () const const_iterator lower_bound (const Date &d=Date()) const Date access Size size () const const Date &…

QuantLib::CashFlows – cashflow-analysis functions Synopsis #include <ql/cashflows/cashflows.hpp> Static Public Member Functions static Leg::const_iterator previousCashFlow (const Leg &leg, Date refDate=Date()) static Leg::const_iterator nextCashFlow (const Leg &leg, Date refDate=Date()) static Rate previousCouponRate (const Leg &leg, const Date &refDate=Date()) static Rate nextCouponRate (const Leg &leg, const Date &refDate=Date()) static Date startDate (const Leg &leg) static Date maturityDate (const…

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::CashFlows – cashflow-analysis functions Synopsis #include <ql/cashflows/cashflows.hpp> Static Public Member Functions static Leg::const_iterator previousCashFlow (const Leg &leg, Date refDate=Date()) static Leg::const_iterator nextCashFlow (const Leg &leg, Date refDate=Date()) static Rate previousCouponRate (const Leg &leg, const Date &refDate=Date()) static Rate nextCouponRate (const Leg &leg, const Date &refDate=Date()) static Date startDate (const Leg &leg) static Date maturityDate (const…

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 &…

QuantLib::CDO – collateralized debt obligation Synopsis CDO (Real attachment, Real detachment, const std::vector< Real > &nominals, const std::vector< Handle< DefaultProbabilityTermStructure > > &basket, const Handle< OneFactorCopula > &copula, bool protectionSeller, const Schedule &premiumSchedule, Rate premiumRate, const DayCounter &dayCounter, Rate recoveryRate, Rate upfrontPremiumRate, const Handle< YieldTermStructure > &yieldTS, Size nBuckets, const Period &integrationStep=Period(10, Years)) Real nominal…

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…

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::Rounding – basic rounding class Synopsis Rounding () default constructor Rounding (Integer precision, Type type=Closest, Integer digit=5) Decimal operator() (Decimal value) const perform rounding Inspectors Inherited by CeilingTruncation, ClosestRounding, DownRounding, FloorTruncation, and UpRounding. Public Types enum Type { None, Up, Down, Closest, Floor, Ceiling } rounding methods Public Member Functions Rounding () default constructor Rounding…