Linux Manuals session 3

QuantLib::VarianceOption – Variance option. Synopsis #include <ql/experimental/varianceoption/varianceoption.hpp> Inherits QuantLib::Instrument. Classes class arguments Arguments for forward fair-variance calculation class engine base class for variance-option engines class results Results from variance-option calculation Public Member Functions VarianceOption (const boost::shared_ptr< Payoff > &payoff, Real notional, const Date &startDate, const Date &maturityDate) void setupArguments (PricingEngine::arguments *args) const Instrument interface bool…

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::Basket – Synopsis #include <ql/experimental/credit/basket.hpp> Public Member Functions Basket (const std::vector< std::string > &names, const std::vector< Real > &notionals, const boost::shared_ptr< Pool > pool, Real attachmentRatio=0.0, Real detachmentRatio=1.0) Size size () const const std::vector< std::string > & names () const const std::vector< Real > & notionals () const Real notional () boost::shared_ptr< Pool > pool…

QuantLib::Observable – Object that notifies its changes to a set of observables. Synopsis Observable (const Observable &) Observable & operator= (const Observable &) void notifyObservers () Friends Inherited by BootstrapHelper< DefaultProbabilityTermStructure >, BootstrapHelper< YieldTermStructure >, BootstrapHelper< YoYInflationTermStructure >, BootstrapHelper< ZeroInflationTermStructure >, AffineModel [virtual], BootstrapHelper< TS >, CalibratedModel [virtual], CalibrationHelper, Claim, CommodityIndex, Event, FloatingRateCouponPricer [virtual], Link,…

QuantLib::IndexManager – global repository for past index fixings Synopsis #include <ql/indexes/indexmanager.hpp> Inherits Singleton< IndexManager >. Public Member Functions bool hasHistory (const std::string &name) const returns whether historical fixings were stored for the index const TimeSeries< Real > & getHistory (const std::string &name) const returns the (possibly empty) history of the index fixings void setHistory (const…

normalize_vector, normalize_vector_f – Converts the vector to a unit vector. Allegro game programming library. Synopsis #include <allegro.h> void normalize_vector(fixed *x, fixed *y, fixed *z); void normalize_vector_f(float *x, float *y, float *z); Description Converts the vector (*x, *y, *z) to a unit vector. This points in the same direction as the original vector, but has a…

normalize_vector, normalize_vector_f – Converts the vector to a unit vector. Allegro game programming library. Synopsis #include <allegro.h> void normalize_vector(fixed *x, fixed *y, fixed *z); void normalize_vector_f(float *x, float *y, float *z); Description Converts the vector (*x, *y, *z) to a unit vector. This points in the same direction as the original vector, but has a…

QuantLib::Period – Synopsis #include <ql/time/period.hpp> Public Member Functions Period (Integer n, TimeUnit units) Period (Frequency f) Integer length () const TimeUnit units () const Frequency frequency () const Period & operator+= (const Period &) Period & operator-= (const Period &) Period & operator/= (Integer) void normalize () Related Functions (Note that these are not member…

QuantLib::SVD – Singular value decomposition. Synopsis #include <ql/math/matrixutilities/svd.hpp> Public Member Functions SVD (const Matrix &) const Matrix & U () const const Matrix & V () const const Array & singularValues () const Disposable< Matrix > S () const Real norm2 () Real cond () Integer rank () Disposable< Array > solveFor (const Array &)…

ql/termstructures/yield/nonlinearfittingmethods.hpp – nonlinear methods to fit a bond discount function Synopsis #include <ql/termstructures/yield/fittedbonddiscountcurve.hpp> #include <ql/math/bspline.hpp> Classes class ExponentialSplinesFitting Exponential-splines fitting method. class NelsonSiegelFitting Nelson-Siegel fitting method. class CubicBSplinesFitting CubicSpline B-splines fitting method. class SimplePolynomialFitting Simple polynomial fitting method. Detailed Description nonlinear methods to fit a bond discount function Author Generated automatically by Doxygen for QuantLib…

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::Coupon – coupon accruing over a fixed period Synopsis Real nominal () const const Date & accrualStartDate () const start of the accrual period const Date & accrualEndDate () const end of the accrual period const Date & referencePeriodStart () const start date of the reference period const Date & referencePeriodEnd () const end date…

QuantLib::InflationTermStructure – Interface for inflation term structures. Synopsis virtual Period lag () const virtual Frequency frequency () const virtual Rate baseRate () const virtual Handle< YieldTermStructure > nominalTermStructure () const virtual Date baseDate () const =0 minimum (base) date Protected Member Functions Inherits QuantLib::TermStructure. Inherited by YoYInflationTermStructure, and ZeroInflationTermStructure. Public Member Functions Constructors virtual Period…

QuantLib::InflationTermStructure – Interface for inflation term structures. Synopsis virtual Period lag () const virtual Frequency frequency () const virtual Rate baseRate () const virtual Handle< YieldTermStructure > nominalTermStructure () const virtual Date baseDate () const =0 minimum (base) date Protected Member Functions Inherits QuantLib::TermStructure. Inherited by YoYInflationTermStructure, and ZeroInflationTermStructure. Public Member Functions Constructors virtual Period…

QuantLib::Coupon – coupon accruing over a fixed period Synopsis Real nominal () const const Date & accrualStartDate () const start of the accrual period const Date & accrualEndDate () const end of the accrual period const Date & referencePeriodStart () const start date of the reference period const Date & referencePeriodEnd () const end date…

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 ()…

ql/cashflows/cashflowvectors.hpp – Cash flow vector builders. Synopsis #include <ql/cashflows/fixedratecoupon.hpp> #include <ql/cashflows/replication.hpp> #include <ql/time/schedule.hpp> #include <ql/utilities/null.hpp> #include <ql/utilities/vectors.hpp> #include <ql/position.hpp> #include <ql/indexes/swapindex.hpp> Functions Rate effectiveFixedRate (const std::vector< Spread > &spreads, const std::vector< Rate > &caps, const std::vector< Rate > &floors, Size i) bool noOption (const std::vector< Rate > &caps, const std::vector< Rate > &floors, Size i)…

nlopt – Nonlinear optimization library Synopsis #include <nlopt.h> nlopt_opt opt = nlopt_create(algorithm, n); nlopt_set_min_objective(opt, f, f_data); nlopt_set_ftol_rel(opt, tol); … nlopt_optimize(opt, x , &opt_f); nlopt_destroy(opt); The "…" indicates any number of calls to NLopt functions, below, to set parameters of the optimization, constraints, and stopping criteria. Here, nlopt_set_ftol_rel is merely an example of a possible stopping…

nlist – retrieve symbol table name list from an executable file Library Lb libbsd Synopsis In bsd/nlist.h Ft int Fn nlist const char *filename struct nlist *nl Description The Fn nlist function retrieves name list entries from the symbol table of an executable file (see a.out5). The argument Fa nl is set to reference the…

nl_langinfo, nl_langinfo_l – query language and locale information Synopsis #include <langinfo.h> char *nl_langinfo(nl_item item); char *nl_langinfo_l(nl_item item, locale_t locale); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): nl_langinfo_l(): Since glibc 2.24:     _POSIX_C_SOURCE >= 200809L Glibc 2.23 and earlier:     _POSIX_C_SOURCE >= 200112L Description The nl_langinfo() and nl_langinfo_l() functions provide access to locale information in a more flexible way than localeconv(3)….