Linux Manuals session 3

QuantLib::GaussKronrodNonAdaptive – Integral of a 1-dimensional function using the Gauss-Kronrod methods. Synopsis#include <ql/math/integrals/kronrodintegral.hpp> Inherits QuantLib::Integrator. Public Member FunctionsGaussKronrodNonAdaptive (Real absoluteAccuracy, Size maxEvaluations, Real relativeAccuracy) void setRelativeAccuracy (Real) Real relativeAccuracy () const Protected Member FunctionsReal integrate (const boost::function< Real(Real)> &f, Real a, Real b) const Detailed DescriptionIntegral of a 1-dimensional function using the Gauss-Kronrod methods. This…

QuantLib::GaussKronrodAdaptive – Integral of a 1-dimensional function using the Gauss-Kronrod methods. Synopsis#include <ql/math/integrals/kronrodintegral.hpp> Inherits QuantLib::Integrator. Public Member FunctionsGaussKronrodAdaptive (Real tolerance, Size maxFunctionEvaluations=Null< Size >()) Protected Member FunctionsReal integrate (const boost::function< Real(Real)> &f, Real a, Real b) const Detailed DescriptionIntegral of a 1-dimensional function using the Gauss-Kronrod methods. This class provide an adaptive integration procedure using…

QuantLib::GaussJacobiPolynomial – Gauss-Jacobi polynomial. Synopsis#include <ql/math/integrals/gaussianorthogonalpolynomial.hpp> Inherits QuantLib::GaussianOrthogonalPolynomial. Inherited by GaussChebyshev2thPolynomial, GaussChebyshevPolynomial, GaussGegenbauerPolynomial, and GaussLegendrePolynomial. Public Member FunctionsGaussJacobiPolynomial (Real alpha, Real beta) Real mu_0 () const Real alpha (Size i) const Real beta (Size i) const Real w (Real x) const Detailed DescriptionGauss-Jacobi polynomial. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::GaussHyperbolicIntegration – Gauss-Hyperbolic integration. Synopsis#include <ql/math/integrals/gaussianquadratures.hpp> Inherits QuantLib::GaussianQuadrature. Public Member FunctionsGaussHyperbolicIntegration (Size n) Detailed DescriptionGauss-Hyperbolic integration. This class performs a 1-dimensional Gauss-Hyperbolic integration. [ int_{-inf}^{inf} f(x) mathrm{d}x ] The weighting function is [ w(x)=1/cosh(x) ] AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::GaussHermitePolynomial – Gauss-Hermite polynomial. Synopsis#include <ql/math/integrals/gaussianorthogonalpolynomial.hpp> Inherits QuantLib::GaussianOrthogonalPolynomial. Public Member FunctionsGaussHermitePolynomial (Real mu=0.0) Real mu_0 () const Real alpha (Size i) const Real beta (Size i) const Real w (Real x) const Detailed DescriptionGauss-Hermite polynomial. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::GaussHermiteIntegration – generalized Gauss-Hermite integration Synopsis#include <ql/math/integrals/gaussianquadratures.hpp> Inherits QuantLib::GaussianQuadrature. Public Member FunctionsGaussHermiteIntegration (Size n, Real mu=0.0) Detailed Descriptiongeneralized Gauss-Hermite integration This class performs a 1-dimensional Gauss-Hermite integration. [ int_{-inf}^{inf} f(x) mathrm{d}x ] The weighting function is [ w(x;mu)=|x|^{2mu} \xp{-x*x} ] and [ mu > -0.5 ] AuthorGenerated automatically by Doxygen for QuantLib from the source…

QuantLib::GaussGegenbauerIntegration – Gauss-Gegenbauer integration. Synopsis#include <ql/math/integrals/gaussianquadratures.hpp> Inherits QuantLib::GaussianQuadrature. Public Member FunctionsGaussGegenbauerIntegration (Size n, Real lambda) Detailed DescriptionGauss-Gegenbauer integration. This class performs a 1-dimensional Gauss-Gegenbauer integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [ w(x)=(1-x^2)^{-1/2} ] AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::GaussChebyshevIntegration – Gauss-Chebyshev integration. Synopsis#include <ql/math/integrals/gaussianquadratures.hpp> Inherits QuantLib::GaussianQuadrature. Public Member FunctionsGaussChebyshevIntegration (Size n) Detailed DescriptionGauss-Chebyshev integration. This class performs a 1-dimensional Gauss-Chebyshev integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [ w(x)=(1-x^2)^{-1/2} ] AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::GaussChebyshev2thIntegration – Gauss-Chebyshev integration (second kind). Synopsis#include <ql/math/integrals/gaussianquadratures.hpp> Inherits QuantLib::GaussianQuadrature. Public Member FunctionsGaussChebyshev2thIntegration (Size n) Detailed DescriptionGauss-Chebyshev integration (second kind). This class performs a 1-dimensional Gauss-Chebyshev integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [ w(x)=(1-x^2)^{1/2} ] AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::GarmanKohlagenProcess – Garman-Kohlhagen (1983) stochastic process. Synopsis#include <ql/processes/blackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Member FunctionsGarmanKohlagenProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &foreignRiskFreeTS, const Handle< YieldTermStructure > &domesticRiskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) Detailed DescriptionGarman-Kohlhagen (1983) stochastic process. This class describes the stochastic process for an exchange…

QuantLib::GarmanKlassAbstract – Garman-Klass volatility model. Synopsis#include <ql/models/volatility/garmanklass.hpp> Inherits QuantLib::LocalVolatilityEstimator<IntervalPrice>. Inherited by GarmanKlassSigma4, GarmanKlassSigma5, GarmanKlassSimpleSigma, and ParkinsonSigma. Public Member FunctionsGarmanKlassAbstract (Real y) TimeSeries< Volatility > calculate (const TimeSeries< IntervalPrice > &quoteSeries) Protected Member Functionsvirtual Real calculatePoint (const IntervalPrice &p)=0 Protected AttributesReal yearFraction_ Detailed DescriptionGarman-Klass volatility model. This class implements a concrete volatility model based on high…

QuantLib::Garch11 – GARCH volatility model. Synopsis#include <ql/models/volatility/garch.hpp> Inherits QuantLib::VolatilityCompositor. Public Member FunctionsGarch11 (Real a, Real b, Real vl) Garch11 (const TimeSeries< Volatility > &qs) TimeSeries< Volatility > calculate (const TimeSeries< Volatility > &quoteSeries) TimeSeries< Volatility > calculate (const TimeSeries< Volatility > &quoteSeries, Real, Real, Real) void calibrate (const TimeSeries< Volatility > &quoteSeries) Detailed DescriptionGARCH volatility…

QuantLib::GapPayoff – Binary gap payoff. Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member FunctionsGapPayoff (Option::Type type, Real strike, Real secondStrike) Real secondStrike () const Payoff interface std::string name () const std::string description () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Protected AttributesReal secondStrike_ Detailed DescriptionBinary gap payoff. This payoff is equivalent to being…

Attributes and Cntls – Enumerationsenum globus_xio_udp_cmd_t { GLOBUS_XIO_UDP_SET_HANDLE, GLOBUS_XIO_UDP_SET_SERVICE, GLOBUS_XIO_UDP_GET_SERVICE, GLOBUS_XIO_UDP_SET_PORT, GLOBUS_XIO_UDP_GET_PORT, GLOBUS_XIO_UDP_SET_LISTEN_RANGE, GLOBUS_XIO_UDP_GET_LISTEN_RANGE, GLOBUS_XIO_UDP_SET_INTERFACE, GLOBUS_XIO_UDP_GET_INTERFACE, GLOBUS_XIO_UDP_SET_RESTRICT_PORT, GLOBUS_XIO_UDP_GET_RESTRICT_PORT, GLOBUS_XIO_UDP_SET_REUSEADDR, GLOBUS_XIO_UDP_GET_REUSEADDR, GLOBUS_XIO_UDP_SET_NO_IPV6, GLOBUS_XIO_UDP_GET_NO_IPV6, GLOBUS_XIO_UDP_GET_HANDLE, GLOBUS_XIO_UDP_SET_SNDBUF, GLOBUS_XIO_UDP_GET_SNDBUF, GLOBUS_XIO_UDP_SET_RCVBUF, GLOBUS_XIO_UDP_GET_RCVBUF, GLOBUS_XIO_UDP_GET_CONTACT, GLOBUS_XIO_UDP_GET_NUMERIC_CONTACT, GLOBUS_XIO_UDP_SET_CONTACT, GLOBUS_XIO_UDP_CONNECT, GLOBUS_XIO_UDP_SET_MULTICAST } Functionsglobus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_SET_HANDLE, globus_xio_system_socket_t handle) globus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_SET_SERVICE, const char *service_name) globus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_GET_SERVICE, char **service_name_out)…

Attributes and Cntls – Enumerationsenum globus_xio_udp_cmd_t { GLOBUS_XIO_UDP_SET_HANDLE, GLOBUS_XIO_UDP_SET_SERVICE, GLOBUS_XIO_UDP_GET_SERVICE, GLOBUS_XIO_UDP_SET_PORT, GLOBUS_XIO_UDP_GET_PORT, GLOBUS_XIO_UDP_SET_LISTEN_RANGE, GLOBUS_XIO_UDP_GET_LISTEN_RANGE, GLOBUS_XIO_UDP_SET_INTERFACE, GLOBUS_XIO_UDP_GET_INTERFACE, GLOBUS_XIO_UDP_SET_RESTRICT_PORT, GLOBUS_XIO_UDP_GET_RESTRICT_PORT, GLOBUS_XIO_UDP_SET_REUSEADDR, GLOBUS_XIO_UDP_GET_REUSEADDR, GLOBUS_XIO_UDP_SET_NO_IPV6, GLOBUS_XIO_UDP_GET_NO_IPV6, GLOBUS_XIO_UDP_GET_HANDLE, GLOBUS_XIO_UDP_SET_SNDBUF, GLOBUS_XIO_UDP_GET_SNDBUF, GLOBUS_XIO_UDP_SET_RCVBUF, GLOBUS_XIO_UDP_GET_RCVBUF, GLOBUS_XIO_UDP_GET_CONTACT, GLOBUS_XIO_UDP_GET_NUMERIC_CONTACT, GLOBUS_XIO_UDP_SET_CONTACT, GLOBUS_XIO_UDP_CONNECT, GLOBUS_XIO_UDP_SET_MULTICAST } Functionsglobus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_SET_HANDLE, globus_xio_system_socket_t handle) globus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_SET_SERVICE, const char *service_name) globus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_GET_SERVICE, char **service_name_out)…

Attributes and Cntls – Enumerationsenum globus_xio_udp_cmd_t { GLOBUS_XIO_UDP_SET_HANDLE, GLOBUS_XIO_UDP_SET_SERVICE, GLOBUS_XIO_UDP_GET_SERVICE, GLOBUS_XIO_UDP_SET_PORT, GLOBUS_XIO_UDP_GET_PORT, GLOBUS_XIO_UDP_SET_LISTEN_RANGE, GLOBUS_XIO_UDP_GET_LISTEN_RANGE, GLOBUS_XIO_UDP_SET_INTERFACE, GLOBUS_XIO_UDP_GET_INTERFACE, GLOBUS_XIO_UDP_SET_RESTRICT_PORT, GLOBUS_XIO_UDP_GET_RESTRICT_PORT, GLOBUS_XIO_UDP_SET_REUSEADDR, GLOBUS_XIO_UDP_GET_REUSEADDR, GLOBUS_XIO_UDP_SET_NO_IPV6, GLOBUS_XIO_UDP_GET_NO_IPV6, GLOBUS_XIO_UDP_GET_HANDLE, GLOBUS_XIO_UDP_SET_SNDBUF, GLOBUS_XIO_UDP_GET_SNDBUF, GLOBUS_XIO_UDP_SET_RCVBUF, GLOBUS_XIO_UDP_GET_RCVBUF, GLOBUS_XIO_UDP_GET_CONTACT, GLOBUS_XIO_UDP_GET_NUMERIC_CONTACT, GLOBUS_XIO_UDP_SET_CONTACT, GLOBUS_XIO_UDP_CONNECT, GLOBUS_XIO_UDP_SET_MULTICAST } Functionsglobus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_SET_HANDLE, globus_xio_system_socket_t handle) globus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_SET_SERVICE, const char *service_name) globus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_GET_SERVICE, char **service_name_out)…

Attributes and Cntls – Enumerationsenum globus_xio_udp_cmd_t { GLOBUS_XIO_UDP_SET_HANDLE, GLOBUS_XIO_UDP_SET_SERVICE, GLOBUS_XIO_UDP_GET_SERVICE, GLOBUS_XIO_UDP_SET_PORT, GLOBUS_XIO_UDP_GET_PORT, GLOBUS_XIO_UDP_SET_LISTEN_RANGE, GLOBUS_XIO_UDP_GET_LISTEN_RANGE, GLOBUS_XIO_UDP_SET_INTERFACE, GLOBUS_XIO_UDP_GET_INTERFACE, GLOBUS_XIO_UDP_SET_RESTRICT_PORT, GLOBUS_XIO_UDP_GET_RESTRICT_PORT, GLOBUS_XIO_UDP_SET_REUSEADDR, GLOBUS_XIO_UDP_GET_REUSEADDR, GLOBUS_XIO_UDP_SET_NO_IPV6, GLOBUS_XIO_UDP_GET_NO_IPV6, GLOBUS_XIO_UDP_GET_HANDLE, GLOBUS_XIO_UDP_SET_SNDBUF, GLOBUS_XIO_UDP_GET_SNDBUF, GLOBUS_XIO_UDP_SET_RCVBUF, GLOBUS_XIO_UDP_GET_RCVBUF, GLOBUS_XIO_UDP_GET_CONTACT, GLOBUS_XIO_UDP_GET_NUMERIC_CONTACT, GLOBUS_XIO_UDP_SET_CONTACT, GLOBUS_XIO_UDP_CONNECT, GLOBUS_XIO_UDP_SET_MULTICAST } Functionsglobus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_SET_HANDLE, globus_xio_system_socket_t handle) globus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_SET_SERVICE, const char *service_name) globus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_GET_SERVICE, char **service_name_out)…

Attributes and Cntls – Enumerationsenum globus_xio_udp_cmd_t { GLOBUS_XIO_UDP_SET_HANDLE, GLOBUS_XIO_UDP_SET_SERVICE, GLOBUS_XIO_UDP_GET_SERVICE, GLOBUS_XIO_UDP_SET_PORT, GLOBUS_XIO_UDP_GET_PORT, GLOBUS_XIO_UDP_SET_LISTEN_RANGE, GLOBUS_XIO_UDP_GET_LISTEN_RANGE, GLOBUS_XIO_UDP_SET_INTERFACE, GLOBUS_XIO_UDP_GET_INTERFACE, GLOBUS_XIO_UDP_SET_RESTRICT_PORT, GLOBUS_XIO_UDP_GET_RESTRICT_PORT, GLOBUS_XIO_UDP_SET_REUSEADDR, GLOBUS_XIO_UDP_GET_REUSEADDR, GLOBUS_XIO_UDP_SET_NO_IPV6, GLOBUS_XIO_UDP_GET_NO_IPV6, GLOBUS_XIO_UDP_GET_HANDLE, GLOBUS_XIO_UDP_SET_SNDBUF, GLOBUS_XIO_UDP_GET_SNDBUF, GLOBUS_XIO_UDP_SET_RCVBUF, GLOBUS_XIO_UDP_GET_RCVBUF, GLOBUS_XIO_UDP_GET_CONTACT, GLOBUS_XIO_UDP_GET_NUMERIC_CONTACT, GLOBUS_XIO_UDP_SET_CONTACT, GLOBUS_XIO_UDP_CONNECT, GLOBUS_XIO_UDP_SET_MULTICAST } Functionsglobus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_SET_HANDLE, globus_xio_system_socket_t handle) globus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_SET_SERVICE, const char *service_name) globus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_GET_SERVICE, char **service_name_out)…

Attributes and Cntls – Enumerationsenum globus_xio_udp_cmd_t { GLOBUS_XIO_UDP_SET_HANDLE, GLOBUS_XIO_UDP_SET_SERVICE, GLOBUS_XIO_UDP_GET_SERVICE, GLOBUS_XIO_UDP_SET_PORT, GLOBUS_XIO_UDP_GET_PORT, GLOBUS_XIO_UDP_SET_LISTEN_RANGE, GLOBUS_XIO_UDP_GET_LISTEN_RANGE, GLOBUS_XIO_UDP_SET_INTERFACE, GLOBUS_XIO_UDP_GET_INTERFACE, GLOBUS_XIO_UDP_SET_RESTRICT_PORT, GLOBUS_XIO_UDP_GET_RESTRICT_PORT, GLOBUS_XIO_UDP_SET_REUSEADDR, GLOBUS_XIO_UDP_GET_REUSEADDR, GLOBUS_XIO_UDP_SET_NO_IPV6, GLOBUS_XIO_UDP_GET_NO_IPV6, GLOBUS_XIO_UDP_GET_HANDLE, GLOBUS_XIO_UDP_SET_SNDBUF, GLOBUS_XIO_UDP_GET_SNDBUF, GLOBUS_XIO_UDP_SET_RCVBUF, GLOBUS_XIO_UDP_GET_RCVBUF, GLOBUS_XIO_UDP_GET_CONTACT, GLOBUS_XIO_UDP_GET_NUMERIC_CONTACT, GLOBUS_XIO_UDP_SET_CONTACT, GLOBUS_XIO_UDP_CONNECT, GLOBUS_XIO_UDP_SET_MULTICAST } Functionsglobus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_SET_HANDLE, globus_xio_system_socket_t handle) globus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_SET_SERVICE, const char *service_name) globus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_GET_SERVICE, char **service_name_out)…

Attributes and Cntls – Enumerationsenum globus_xio_udp_cmd_t { GLOBUS_XIO_UDP_SET_HANDLE, GLOBUS_XIO_UDP_SET_SERVICE, GLOBUS_XIO_UDP_GET_SERVICE, GLOBUS_XIO_UDP_SET_PORT, GLOBUS_XIO_UDP_GET_PORT, GLOBUS_XIO_UDP_SET_LISTEN_RANGE, GLOBUS_XIO_UDP_GET_LISTEN_RANGE, GLOBUS_XIO_UDP_SET_INTERFACE, GLOBUS_XIO_UDP_GET_INTERFACE, GLOBUS_XIO_UDP_SET_RESTRICT_PORT, GLOBUS_XIO_UDP_GET_RESTRICT_PORT, GLOBUS_XIO_UDP_SET_REUSEADDR, GLOBUS_XIO_UDP_GET_REUSEADDR, GLOBUS_XIO_UDP_SET_NO_IPV6, GLOBUS_XIO_UDP_GET_NO_IPV6, GLOBUS_XIO_UDP_GET_HANDLE, GLOBUS_XIO_UDP_SET_SNDBUF, GLOBUS_XIO_UDP_GET_SNDBUF, GLOBUS_XIO_UDP_SET_RCVBUF, GLOBUS_XIO_UDP_GET_RCVBUF, GLOBUS_XIO_UDP_GET_CONTACT, GLOBUS_XIO_UDP_GET_NUMERIC_CONTACT, GLOBUS_XIO_UDP_SET_CONTACT, GLOBUS_XIO_UDP_CONNECT, GLOBUS_XIO_UDP_SET_MULTICAST } Functionsglobus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_SET_HANDLE, globus_xio_system_socket_t handle) globus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_SET_SERVICE, const char *service_name) globus_result_t globus_xio_attr_cntl (attr, driver, GLOBUS_XIO_UDP_GET_SERVICE, char **service_name_out)…