Linux Manuals session 3

QuantLib::MarketModelVolProcess – Synopsis #include <ql/models/marketmodels/evolvers/marketmodelvolprocess.hpp> Inherited by SquareRootAndersen. Public Member Functions virtual Size variatesPerStep ()=0 virtual Size numberSteps ()=0 virtual void nextPath ()=0 virtual Real nextstep (const std::vector< Real > &variates)=0 virtual Real stepSd () const =0 virtual std::vector< Real > & stateVariables () const =0 virtual Size numberStateVariables () const =0 Detailed Description Displaced…

QuantLib::MTBrownianGenerator – Mersenne-twister Brownian generator for market-model simulations. Synopsis MTBrownianGenerator (Size factors, Size steps, unsigned long seed=0) Real nextStep (std::vector< Real > &) Real nextPath () Size numberOfFactors () const Size numberOfSteps () const Inherits QuantLib::BrownianGenerator. Public Member Functions MTBrownianGenerator (Size factors, Size steps, unsigned long seed=0) Real nextStep (std::vector< Real > &) Real nextPath…

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::MarketModelMultiProduct – market-model product Synopsis virtual std::vector< Size > suggestedNumeraires () const =0 virtual const EvolutionDescription & evolution () const =0 virtual std::vector< Time > possibleCashFlowTimes () const =0 virtual Size numberOfProducts () const =0 virtual Size maxNumberOfCashFlowsPerProductPerStep () const =0 virtual void reset ()=0 during simulation put product at start of path virtual bool…

QuantLib::FittedBondDiscountCurve::FittingMethod – Base fitting method used to construct a fitted bond discount curve. Synopsis virtual Size size () const =0 total number of coefficients to fit/solve for Array solution () const output array of results of optimization problem Integer numberOfIterations () const final number of iterations used in the optimization problem Real minimumCostValue () const…

QuantLib::MTBrownianGenerator – Mersenne-twister Brownian generator for market-model simulations. Synopsis MTBrownianGenerator (Size factors, Size steps, unsigned long seed=0) Real nextStep (std::vector< Real > &) Real nextPath () Size numberOfFactors () const Size numberOfSteps () const Inherits QuantLib::BrownianGenerator. Public Member Functions MTBrownianGenerator (Size factors, Size steps, unsigned long seed=0) Real nextStep (std::vector< Real > &) Real nextPath…

QuantLib::AnalyticHestonEngine – analytic Heston-model engine based on Fourier transform Synopsis AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, Real relTolerance, Size maxEvaluations) AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, Size integrationOrder=144) AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, ComplexLogFormula cpxLog, const Integration &itg) void calculate () const Size numberOfEvaluations () const Static Public Member Functions static void doCalculation (Real…

QuantLib::FittedBondDiscountCurve – Discount curve fitted to a set of fixed-coupon bonds. Synopsis void update () Friends Inherits QuantLib::YieldTermStructure, and QuantLib::LazyObject. Classes class FittingMethod Base fitting method used to construct a fitted bond discount curve. Public Member Functions Constructors void update () Friends Inspectors void update () Friends Observer interface void update () Friends class FittingMethod…

QuantLib::PathMultiAssetOption – Base class for path-dependent options on multiple assets. Synopsis PathMultiAssetOption (const boost::shared_ptr< StochasticProcess > &, const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >()) Instrument interface boost::shared_ptr< StochasticProcess > stochasticProcess_ bool isExpired () const returns whether the instrument is still tradable. void setupArguments (PricingEngine::arguments *) const virtual boost::shared_ptr< PathPayoff > pathPayoff () const =0 virtual…

QuantLib::VegaBumpCollection – Synopsis #include <ql/models/marketmodels/pathwisegreeks/vegabumpcluster.hpp> Public Member Functions VegaBumpCollection (const boost::shared_ptr< MarketModel > &volStructure, bool allowFactorwiseBumping=true) VegaBumpCollection (const std::vector< VegaBumpCluster > &allBumps, const boost::shared_ptr< MarketModel > &volStructure) Size numberBumps () const const boost::shared_ptr< MarketModel > & associatedModel () const const std::vector< VegaBumpCluster > & allBumps () const bool isFull () const bool isNonOverlapping () const…

numa – NUMA policy library Synopsis #include <numa.h> cc … -lnuma int numa_available(void); int numa_max_possible_node(void); int numa_num_possible_nodes(); int numa_max_node(void); int numa_num_configured_nodes(); struct bitmask *numa_get_mems_allowed(void); int numa_num_configured_cpus(void); struct bitmask *numa_all_nodes_ptr; struct bitmask *numa_no_nodes_ptr; struct bitmask *numa_all_cpus_ptr; int numa_num_task_cpus(); int numa_num_task_nodes(); int numa_parse_bitmap(char *line, struct bitmask *mask); struct bitmask *numa_parse_nodestring(const char *string); struct bitmask *numa_parse_nodestring_all(const char *string);…

numa – NUMA policy library Synopsis #include <numa.h> cc … -lnuma int numa_available(void); int numa_max_possible_node(void); int numa_num_possible_nodes(); int numa_max_node(void); int numa_num_configured_nodes(); struct bitmask *numa_get_mems_allowed(void); int numa_num_configured_cpus(void); struct bitmask *numa_all_nodes_ptr; struct bitmask *numa_no_nodes_ptr; struct bitmask *numa_all_cpus_ptr; int numa_num_task_cpus(); int numa_num_task_nodes(); int numa_parse_bitmap(char *line, struct bitmask *mask); struct bitmask *numa_parse_nodestring(const char *string); struct bitmask *numa_parse_nodestring_all(const char *string);…

numa – NUMA policy library Synopsis #include <numa.h> cc … -lnuma int numa_available(void); int numa_max_possible_node(void); int numa_num_possible_nodes(); int numa_max_node(void); int numa_num_configured_nodes(); struct bitmask *numa_get_mems_allowed(void); int numa_num_configured_cpus(void); struct bitmask *numa_all_nodes_ptr; struct bitmask *numa_no_nodes_ptr; struct bitmask *numa_all_cpus_ptr; int numa_num_task_cpus(); int numa_num_task_nodes(); int numa_parse_bitmap(char *line, struct bitmask *mask); struct bitmask *numa_parse_nodestring(const char *string); struct bitmask *numa_parse_nodestring_all(const char *string);…

numa – NUMA policy library Synopsis #include <numa.h> cc … -lnuma int numa_available(void); int numa_max_possible_node(void); int numa_num_possible_nodes(); int numa_max_node(void); int numa_num_configured_nodes(); struct bitmask *numa_get_mems_allowed(void); int numa_num_configured_cpus(void); struct bitmask *numa_all_nodes_ptr; struct bitmask *numa_no_nodes_ptr; struct bitmask *numa_all_cpus_ptr; int numa_num_task_cpus(); int numa_num_task_nodes(); int numa_parse_bitmap(char *line, struct bitmask *mask); struct bitmask *numa_parse_nodestring(const char *string); struct bitmask *numa_parse_nodestring_all(const char *string);…

numa – NUMA policy library Synopsis #include <numa.h> cc … -lnuma int numa_available(void); int numa_max_possible_node(void); int numa_num_possible_nodes(); int numa_max_node(void); int numa_num_configured_nodes(); struct bitmask *numa_get_mems_allowed(void); int numa_num_configured_cpus(void); struct bitmask *numa_all_nodes_ptr; struct bitmask *numa_no_nodes_ptr; struct bitmask *numa_all_cpus_ptr; int numa_num_task_cpus(); int numa_num_task_nodes(); int numa_parse_bitmap(char *line, struct bitmask *mask); struct bitmask *numa_parse_nodestring(const char *string); struct bitmask *numa_parse_nodestring_all(const char *string);…

numa – NUMA policy library Synopsis #include <numa.h> cc … -lnuma int numa_available(void); int numa_max_possible_node(void); int numa_num_possible_nodes(); int numa_max_node(void); int numa_num_configured_nodes(); struct bitmask *numa_get_mems_allowed(void); int numa_num_configured_cpus(void); struct bitmask *numa_all_nodes_ptr; struct bitmask *numa_no_nodes_ptr; struct bitmask *numa_all_cpus_ptr; int numa_num_task_cpus(); int numa_num_task_nodes(); int numa_parse_bitmap(char *line, struct bitmask *mask); struct bitmask *numa_parse_nodestring(const char *string); struct bitmask *numa_parse_nodestring_all(const char *string);…

numa – NUMA policy library Synopsis #include <numa.h> cc … -lnuma int numa_available(void); int numa_max_possible_node(void); int numa_num_possible_nodes(); int numa_max_node(void); int numa_num_configured_nodes(); struct bitmask *numa_get_mems_allowed(void); int numa_num_configured_cpus(void); struct bitmask *numa_all_nodes_ptr; struct bitmask *numa_no_nodes_ptr; struct bitmask *numa_all_cpus_ptr; int numa_num_task_cpus(); int numa_num_task_nodes(); int numa_parse_bitmap(char *line, struct bitmask *mask); struct bitmask *numa_parse_nodestring(const char *string); struct bitmask *numa_parse_nodestring_all(const char *string);…

numa – NUMA policy library Synopsis #include <numa.h> cc … -lnuma int numa_available(void); int numa_max_possible_node(void); int numa_num_possible_nodes(); int numa_max_node(void); int numa_num_configured_nodes(); struct bitmask *numa_get_mems_allowed(void); int numa_num_configured_cpus(void); struct bitmask *numa_all_nodes_ptr; struct bitmask *numa_no_nodes_ptr; struct bitmask *numa_all_cpus_ptr; int numa_num_task_cpus(); int numa_num_task_nodes(); int numa_parse_bitmap(char *line, struct bitmask *mask); struct bitmask *numa_parse_nodestring(const char *string); struct bitmask *numa_parse_nodestring_all(const char *string);…

numa – NUMA policy library Synopsis #include <numa.h> cc … -lnuma int numa_available(void); int numa_max_possible_node(void); int numa_num_possible_nodes(); int numa_max_node(void); int numa_num_configured_nodes(); struct bitmask *numa_get_mems_allowed(void); int numa_num_configured_cpus(void); struct bitmask *numa_all_nodes_ptr; struct bitmask *numa_no_nodes_ptr; struct bitmask *numa_all_cpus_ptr; int numa_num_task_cpus(); int numa_num_task_nodes(); int numa_parse_bitmap(char *line, struct bitmask *mask); struct bitmask *numa_parse_nodestring(const char *string); struct bitmask *numa_parse_nodestring_all(const char *string);…