Linux Manuals session 3

QuantLib::OptionletStripper1 – Synopsis #include <ql/termstructures/volatility/optionlet/optionletstripper1.hpp> Inherits QuantLib::OptionletStripper. Public Member Functions OptionletStripper1 (const boost::shared_ptr< CapFloorTermVolSurface > &, const boost::shared_ptr< IborIndex > &index, Rate switchStrikes=Null< Rate >(), Real accuracy=1.0e-6, Natural maxIter=100) const Matrix & capFloorPrices () const const Matrix & capFloorVolatilities () const const Matrix & optionletPrices () const Rate switchStrike () const LazyObject interface void performCalculations…

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::StrippedOptionlet – Synopsis #include <ql/termstructures/volatility/optionlet/strippedoptionlet.hpp> Inherits QuantLib::StrippedOptionletBase. Public Member Functions StrippedOptionlet (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const boost::shared_ptr< IborIndex > &iborIndex, const std::vector< Date > &optionletDates, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc=Actual365Fixed()) StrippedOptionletBase interface const std::vector< Rate > & optionletStrikes (Size i)…

QuantLib::StrippedOptionlet – Synopsis #include <ql/termstructures/volatility/optionlet/strippedoptionlet.hpp> Inherits QuantLib::StrippedOptionletBase. Public Member Functions StrippedOptionlet (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const boost::shared_ptr< IborIndex > &iborIndex, const std::vector< Date > &optionletDates, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc=Actual365Fixed()) StrippedOptionletBase interface const std::vector< Rate > & optionletStrikes (Size i)…

QuantLib::StrippedOptionlet – Synopsis #include <ql/termstructures/volatility/optionlet/strippedoptionlet.hpp> Inherits QuantLib::StrippedOptionletBase. Public Member Functions StrippedOptionlet (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const boost::shared_ptr< IborIndex > &iborIndex, const std::vector< Date > &optionletDates, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc=Actual365Fixed()) StrippedOptionletBase interface const std::vector< Rate > & optionletStrikes (Size i)…

QuantLib::CapFloor – Base class for cap-like instruments. Synopsis CapFloor (Type type, const Leg &floatingLeg, const std::vector< Rate > &capRates, const std::vector< Rate > &floorRates) CapFloor (Type type, const Leg &floatingLeg, const std::vector< Rate > &strikes) Rate atmRate (const YieldTermStructure &discountCurve) const Volatility impliedVolatility (Real price, const Handle< YieldTermStructure > &discountCurve, Volatility guess, Real accuracy=1.0e-4, Natural…

QuantLib::ConvertibleBond – base class for convertible bonds Synopsis #include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::Bond. Inherited by ConvertibleFixedCouponBond, ConvertibleFloatingRateBond, and ConvertibleZeroCouponBond. Public Member Functions Real conversionRatio () const const DividendSchedule & dividends () const const CallabilitySchedule & callability () const const Handle< Quote > & creditSpread () const Protected Member Functions ConvertibleBond (const boost::shared_ptr< Exercise > &exercise, Real…

optionVersion – return the compiled AutoOpts version number Synopsis #include <your-opts.h> cc[…] – o outfile infile.c – lopts[…] char const *optionVersion(void); Description Returns the full version string compiled into the library. The returned string cannot be modified. Return Value the version string in constant memory See Also The info documentation for the -lopts library. ao_string_tokenize(3),…

optionUnloadNested – Deallocate the memory for a nested value Synopsis #include <your-opts.h> cc[…] – o outfile infile.c – lopts[…] void optionUnloadNested(tOptionValue const *pOptVal); Description A nested value needs to be deallocated. The pointer passed in should have been gotten from a call to configFileLoad() (See @pxref{libopts-configFileLoad}). pOptVal the hierarchical value See Also The info documentation…

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::TypePayoff – Intermediate class for put/call payoffs. Synopsis #include <ql/instruments/payoffs.hpp> Inherits QuantLib::Payoff. Inherited by FloatingTypePayoff, and StrikedTypePayoff. Public Member Functions TypePayoff (Option::Type type) Option::Type optionType () const Payoff interface std::string description () const Protected Attributes Option::Type type_ Detailed Description Intermediate class for put/call payoffs. Author Generated automatically by Doxygen for QuantLib from the source code.

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…

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…

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…

optionSaveState – saves the option state to memory Synopsis #include <your-opts.h> cc[…] – o outfile infile.c – lopts[…] void optionSaveState(tOptions *pOpts); Description This routine will allocate enough memory to save the current option processing state. If this routine has been called before, that memory will be reused. You may only save one copy of the…

optionSaveFile – saves the option state to a file Synopsis #include <your-opts.h> cc[…] – o outfile infile.c – lopts[…] void optionSaveFile(tOptions *opts); Description This routine will save the state of option processing to a file. The name of that file can be specified with the argument to the –save-opts option, or by appending the rcfile…

optionRestore – restore option state from memory copy Synopsis #include <your-opts.h> cc[…] – o outfile infile.c – lopts[…] void optionRestore(tOptions *pOpts); Description Copy back the option state from saved memory. The allocated memory is left intact, so this routine can be called repeatedly without having to call optionSaveState again. If you are restoring a state…

optionProcess – this is the main option processing routine Synopsis #include <your-opts.h> cc[…] – o outfile infile.c – lopts[…] int optionProcess(tOptions *opts, int a_ct, char **a_v); Description This is the main entry point for processing options. It is intended that this procedure be called once at the beginning of the execution of a program. Depending…

optionOnlyUsage – Print usage text for just the options Synopsis #include <your-opts.h> cc[…] – o outfile infile.c – lopts[…] void optionOnlyUsage(tOptions *pOpts, int ex_code); Description This routine will print only the usage for each option. This function may be used when the emitted usage must incorporate information not available to AutoOpts. pOpts program options descriptor…

optionNextValue – get the next value from a hierarchical list Synopsis #include <your-opts.h> cc[…] – o outfile infile.c – lopts[…] const tOptionValue *optionNextValue(const tOptionValue *pOptValue, const tOptionValue *pOldValue); Description This routine will return the next entry after the entry passed in. At the end of the list, NULL will be returned. If the entry is…