Section 3: library functions
iv_fatal, iv_set_fatal_msg_handler – ivykis fatal error condition handling Synopsis#include <iv.h> void iv_fatal(const char *fmt, …); void iv_set_fatal_msg_handler(void (*handler)(const char *msg)); Descriptioniv_fatal aborts the running program, after possibly emitting an error message. The fmt parameter is a printf(3)-style format string, the message to be logged. If no handler is set (the default), the formatted message will…
iv_examples – ivykis examples Exampleivykis is initialised by calling iv_init(3). This function is the first function to call when dealing with ivykis — it has to be called before registering file descriptors or timers. The ivykis main event loop is started by calling iv_main(3). This function generally does not return, except when iv_quit(3) is called…
IV_EVENT_INIT, iv_event_register, iv_event_unregister, iv_event_post – manage ivykis objects for event notification Synopsis#include <iv_event.h> struct iv_event { void *cookie; void (*handler)(void *); };int IV_EVENT_INIT(struct iv_event *this); int iv_event_register(struct iv_event *this); void iv_event_unregister(struct iv_event *this); void iv_event_post(struct iv_event *this); Descriptioniv_event provides a way for delivering events to ivykis(3) recipients across thread boundaries. The intended event recipient calls…
IV_EVENT_INIT, iv_event_register, iv_event_unregister, iv_event_post – manage ivykis objects for event notification Synopsis#include <iv_event.h> struct iv_event { void *cookie; void (*handler)(void *); };int IV_EVENT_INIT(struct iv_event *this); int iv_event_register(struct iv_event *this); void iv_event_unregister(struct iv_event *this); void iv_event_post(struct iv_event *this); Descriptioniv_event provides a way for delivering events to ivykis(3) recipients across thread boundaries. The intended event recipient calls…
IV_EVENT_RAW_INIT, iv_event_raw_register, iv_event_raw_unregister, iv_event_raw_post – manage ivykis objects for event notification Synopsis#include <iv_event_raw.h> struct iv_event_raw { void *cookie; void (*handler)(void *); };void IV_EVENT_RAW_INIT(struct iv_event_raw *this); int iv_event_raw_register(struct iv_event_raw *this); void iv_event_raw_unregister(struct iv_event_raw *this); void iv_event_raw_post(struct iv_event_raw *this); Descriptioniv_event_raw provides a way for delivering events to ivykis(3) recipients across thread and process boundaries. The intended event…
IV_EVENT_RAW_INIT, iv_event_raw_register, iv_event_raw_unregister, iv_event_raw_post – manage ivykis objects for event notification Synopsis#include <iv_event_raw.h> struct iv_event_raw { void *cookie; void (*handler)(void *); };void IV_EVENT_RAW_INIT(struct iv_event_raw *this); int iv_event_raw_register(struct iv_event_raw *this); void iv_event_raw_unregister(struct iv_event_raw *this); void iv_event_raw_post(struct iv_event_raw *this); Descriptioniv_event_raw provides a way for delivering events to ivykis(3) recipients across thread and process boundaries. The intended event…
IV_EVENT_RAW_INIT, iv_event_raw_register, iv_event_raw_unregister, iv_event_raw_post – manage ivykis objects for event notification Synopsis#include <iv_event_raw.h> struct iv_event_raw { void *cookie; void (*handler)(void *); };void IV_EVENT_RAW_INIT(struct iv_event_raw *this); int iv_event_raw_register(struct iv_event_raw *this); void iv_event_raw_unregister(struct iv_event_raw *this); void iv_event_raw_post(struct iv_event_raw *this); Descriptioniv_event_raw provides a way for delivering events to ivykis(3) recipients across thread and process boundaries. The intended event…
IV_EVENT_RAW_INIT, iv_event_raw_register, iv_event_raw_unregister, iv_event_raw_post – manage ivykis objects for event notification Synopsis#include <iv_event_raw.h> struct iv_event_raw { void *cookie; void (*handler)(void *); };void IV_EVENT_RAW_INIT(struct iv_event_raw *this); int iv_event_raw_register(struct iv_event_raw *this); void iv_event_raw_unregister(struct iv_event_raw *this); void iv_event_raw_post(struct iv_event_raw *this); Descriptioniv_event_raw provides a way for delivering events to ivykis(3) recipients across thread and process boundaries. The intended event…
IV_EVENT_INIT, iv_event_register, iv_event_unregister, iv_event_post – manage ivykis objects for event notification Synopsis#include <iv_event.h> struct iv_event { void *cookie; void (*handler)(void *); };int IV_EVENT_INIT(struct iv_event *this); int iv_event_register(struct iv_event *this); void iv_event_unregister(struct iv_event *this); void iv_event_post(struct iv_event *this); Descriptioniv_event provides a way for delivering events to ivykis(3) recipients across thread boundaries. The intended event recipient calls…
IV_EVENT_INIT, iv_event_register, iv_event_unregister, iv_event_post – manage ivykis objects for event notification Synopsis#include <iv_event.h> struct iv_event { void *cookie; void (*handler)(void *); };int IV_EVENT_INIT(struct iv_event *this); int iv_event_register(struct iv_event *this); void iv_event_unregister(struct iv_event *this); void iv_event_post(struct iv_event *this); Descriptioniv_event provides a way for delivering events to ivykis(3) recipients across thread boundaries. The intended event recipient calls…
iv_init, iv_deinit, iv_inited – initialise and deinitialise ivykis Synopsis#include <iv.h> void iv_init(void); void iv_deinit(void); int iv_inited(void); Descriptioniv_init initialises the current thread’s ivykis event loop. Each thread that wants to use ivykis must call iv_init before any other ivykis functions are called. The very first call to iv_init in a process must run to completion before…
itofix – Converts an integer to fixed point. Allegro game programming library. Synopsis#include <allegro.h> fixed itofix(int x); DescriptionConverts an integer to fixed point. This is the same thing as x<<16. Remember that overflows (trying to convert an integer greater than 32767) and underflows (trying to convert an integer lesser than -32768) are not detected even…
QuantLib::OneAssetOption – Base class for options on a single asset. Synopsis#include <ql/instruments/oneassetoption.hpp> Inherits QuantLib::Option. Inherited by BarrierOption, CliquetOption, ContinuousAveragingAsianOption, ContinuousFixedLookbackOption, ContinuousFloatingLookbackOption, option, DiscreteAveragingAsianOption, DividendVanillaOption, ForwardVanillaOption, QuantoVanillaOption, and VanillaOption. Classesclass results Results from single-asset option calculation Public Member FunctionsOneAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &) void fetchResults (const PricingEngine::results *) const Instrument…
QuantLib::OneAssetOption – Base class for options on a single asset. Synopsis#include <ql/instruments/oneassetoption.hpp> Inherits QuantLib::Option. Inherited by BarrierOption, CliquetOption, ContinuousAveragingAsianOption, ContinuousFixedLookbackOption, ContinuousFloatingLookbackOption, option, DiscreteAveragingAsianOption, DividendVanillaOption, ForwardVanillaOption, QuantoVanillaOption, and VanillaOption. Classesclass results Results from single-asset option calculation Public Member FunctionsOneAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &) void fetchResults (const PricingEngine::results *) const Instrument…
QuantLib::BlackCalculator – Black 1976 calculator class. Synopsis#include <ql/pricingengines/blackcalculator.hpp> Inherited by BlackScholesCalculator. Public Member FunctionsBlackCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) Real value () const Real deltaForward () const virtual Real delta (Real spot) const Real elasticityForward () const virtual Real elasticity (Real spot) const Real gammaForward () const virtual Real…
QuantLib::TimeBasket – Distribution over a number of dates. Synopsis#include <ql/cashflows/timebasket.hpp> Inherits std::map<Date,Real>. Public Member FunctionsTimeBasket (const std::vector< Date > &dates, const std::vector< Real > &values) Algebra TimeBasket & operator+= (const TimeBasket &other) TimeBasket & operator-= (const TimeBasket &other) Other methods TimeBasket rebin (const std::vector< Date > &buckets) const redistribute the entries over the given dates…
ql/termstructures/iterativebootstrap.hpp – universal piecewise-term-structure boostrapper. Synopsis#include <ql/termstructures/bootstraphelper.hpp> #include <ql/termstructures/bootstraperror.hpp> #include <ql/math/interpolations/linearinterpolation.hpp> #include <ql/math/solvers1d/brent.hpp> #include <ql/utilities/dataformatters.hpp> Classesclass IterativeBootstrap< Curve > Universal piecewise-term-structure boostrapper. Detailed Descriptionuniversal piecewise-term-structure boostrapper. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::NonLinearLeastSquare – Non-linear least-square method. Synopsis#include <ql/math/optimization/leastsquare.hpp> Public Member FunctionsNonLinearLeastSquare (Constraint &c, Real accuracy=1e-4, Size maxiter=100) Default constructor. NonLinearLeastSquare (Constraint &c, Real accuracy, Size maxiter, boost::shared_ptr< OptimizationMethod > om) Default constructor. ~NonLinearLeastSquare () Destructor. Array & perform (LeastSquareProblem &lsProblem) Solve least square problem using numerix solver. void setInitialValue (const Array &initialValue) Array & results ()…
QuantLib::TqrEigenDecomposition – tridiag. QR eigen decomposition with explicite shift aka Wilkinson Synopsis#include <ql/math/matrixutilities/tqreigendecomposition.hpp> Public Typesenum EigenVectorCalculation { WithEigenVector, WithoutEigenVector, OnlyFirstRowEigenVector } enum ShiftStrategy { NoShift, Overrelaxation, CloseEigenValue } Public Member FunctionsTqrEigenDecomposition (const Array &diag, const Array &sub, EigenVectorCalculation calc=WithEigenVector, ShiftStrategy strategy=CloseEigenValue) const Array & eigenvalues () const const Matrix & eigenvectors () const Size iterations…
QuantLib::MarketModelComposite – Composition of two or more market-model products. Synopsis#include <ql/models/marketmodels/products/compositeproduct.hpp> Inherits QuantLib::MarketModelMultiProduct. Inherited by MultiProductComposite, and SingleProductComposite. Public Member FunctionsMarketModelMultiProduct interface const EvolutionDescription & evolution () const std::vector< Size > suggestedNumeraires () const std::vector< Time > possibleCashFlowTimes () const void reset () during simulation put product at start of path Composite facilities void add…