Linux Manuals session 3

QuantLib::OneFactorStudentCopula – One-factor Double Student t-Copula. Synopsis#include <ql/experimental/credit/onefactorstudentcopula.hpp> Inherits QuantLib::OneFactorCopula. Public Member FunctionsOneFactorStudentCopula (const Handle< Quote > &correlation, int nz, int nm, Real maximum=10, Size integrationSteps=200) Real density (Real m) const Density function of M. Real cumulativeZ (Real z) const Cumulative distribution of Z. Detailed DescriptionOne-factor Double Student t-Copula. The copula model [ Y_i =…

Finite-differences framework – Classesclass BoundaryCondition< Operator > Abstract boundary condition class for finite difference problems. class NeumannBC Neumann boundary condition (i.e., constant derivative). class DirichletBC Neumann boundary condition (i.e., constant value). class BSMOperator Black-Scholes-Merton differential operator. class CrankNicolson< Operator > Crank-Nicolson scheme for finite difference methods. class DMinus $ D_{-} $ matricial representation class DPlus…

QuantLib::OneFactorModel – Single-factor short-rate model abstract class. Synopsis#include <ql/models/shortrate/onefactormodel.hpp> Inherits QuantLib::ShortRateModel. Inherited by BlackKarasinski, and OneFactorAffineModel. Classesclass ShortRateDynamics Base class describing the short-rate dynamics. class ShortRateTree Recombining trinomial tree discretizing the state variable. Public Member FunctionsOneFactorModel (Size nArguments) virtual boost::shared_ptr< ShortRateDynamics > dynamics () const =0 returns the short-rate dynamics boost::shared_ptr< Lattice > tree (const…

QuantLib::OneFactorGaussianStudentCopula – One-factor Gaussian-Student t-Copula. Synopsis#include <ql/experimental/credit/onefactorstudentcopula.hpp> Inherits QuantLib::OneFactorCopula. Public Member FunctionsOneFactorGaussianStudentCopula (const Handle< Quote > &correlation, int nz, Real maximum=10, Size integrationSteps=200) Real density (Real m) const Density function of M. Real cumulativeZ (Real z) const Cumulative distribution of Z. Detailed DescriptionOne-factor Gaussian-Student t-Copula. The copula model [ Y_i = a_i,M+qrt{1-a_i^2}:Z_i ] is specified…

QuantLib::OneFactorGaussianCopula – One-factor Gaussian Copula. Synopsis#include <ql/experimental/credit/onefactorgaussiancopula.hpp> Inherits QuantLib::OneFactorCopula. Public Member FunctionsOneFactorGaussianCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) Real density (Real m) const Density function of M. Real cumulativeZ (Real z) const Cumulative distribution of Z. Real cumulativeY (Real y) const Real testCumulativeY (Real y) const Real inverseCumulativeY (Real p) const Detailed…

QuantLib::OneFactorCopula – Abstract base class for one-factor copula models. Synopsis#include <ql/experimental/credit/onefactorcopula.hpp> Inherits QuantLib::LazyObject. Inherited by OneFactorGaussianCopula, OneFactorGaussianStudentCopula, OneFactorStudentCopula, and OneFactorStudentGaussianCopula. Public Member FunctionsOneFactorCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) virtual Real density (Real m) const =0 Density function of M. virtual Real cumulativeZ (Real z) const =0 Cumulative distribution of Z. virtual…

QuantLib::OneFactorAffineModel – Single-factor affine base class. Synopsis#include <ql/models/shortrate/onefactormodel.hpp> Inherits QuantLib::OneFactorModel, and QuantLib::AffineModel. Inherited by CoxIngersollRoss, and Vasicek. Public Member FunctionsOneFactorAffineModel (Size nArguments) virtual Real discountBond (Time now, Time maturity, Array factors) const Real discountBond (Time now, Time maturity, Rate rate) const DiscountFactor discount (Time t) const Implied discount curve. Protected Member Functionsvirtual Real A (Time…

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…

Date and time calculations – Classesclass DateInterval Date interval described by a number of a given time unit. class PricingPeriod Time pricingperiod described by a number of a given time unit. class Calendar calendar class class Date Concrete date class. struct DateGeneration Date-generation rule. class DayCounter day counter class class Period ModulesCalendars Day counters Typedefstypedef…

QuantLib::Observable – Object that notifies its changes to a set of observables. Synopsis#include <ql/patterns/observable.hpp> Inherited by BootstrapHelper< DefaultProbabilityTermStructure >, BootstrapHelper< YieldTermStructure >, BootstrapHelper< YoYInflationTermStructure >, BootstrapHelper< ZeroInflationTermStructure >, AffineModel [virtual], BootstrapHelper< TS >, CalibratedModel [virtual], CalibrationHelper, Claim, CommodityIndex, Event, FloatingRateCouponPricer [virtual], Link, Index, LazyObject [virtual], MarketModelFactory, PricingEngine, Quote [virtual], SmileSection [virtual], StochasticProcess, TermStructure [virtual], and…

QuantLib::ObservableValue – observable and assignable proxy to concrete value Synopsis#include <ql/utilities/observablevalue.hpp> Public Member FunctionsObservableValue (const T &) ObservableValue (const ObservableValue< T > &) operator T () const implicit conversion operator boost::shared_ptr< Observable > () const const T & value () const explicit inspector controlled assignment ObservableValue< T > & operator= (const T &) ObservableValue< T…

QuantLib::Observable – Object that notifies its changes to a set of observables. Synopsis#include <ql/patterns/observable.hpp> Inherited by BootstrapHelper< DefaultProbabilityTermStructure >, BootstrapHelper< YieldTermStructure >, BootstrapHelper< YoYInflationTermStructure >, BootstrapHelper< ZeroInflationTermStructure >, AffineModel [virtual], BootstrapHelper< TS >, CalibratedModel [virtual], CalibrationHelper, Claim, CommodityIndex, Event, FloatingRateCouponPricer [virtual], Link, Index, LazyObject [virtual], MarketModelFactory, PricingEngine, Quote [virtual], SmileSection [virtual], StochasticProcess, TermStructure [virtual], and…

Object — The Object widget class Synopsis#include <Xm/Xm.h>DescriptionObject is never instantiated. Its sole purpose is as a supporting superclass for other widget classes. ClassesThe class pointer is objectClass. The class name is Object. New ResourcesThe following table defines a set of widget resources used by the programmer to specify data. The programmer can also set…

TclCommandWriting – Writing C language extensions to Tcl. OverviewThis document is intended to help the programmer who wishes to extend Tcl with C language routines. It should also be useful to someone wishing to add Tcl to an existing editor, communications program, window manager, etc. Experienced extension writers may find this manual helpful in rewriting…

OSSP::uuid – OSSP uuid Perl Binding DescriptionOSSP uuid is a ISO-C:1999 application programming interface (API) and corresponding command line interface (CLI) for the generation of DCE 1.1, ISO/IEC 11578:1996 and RFC 4122 compliant Universally Unique Identifier (UUID). It supports DCE 1.1 variant UUIDs of version 1 (time and node based), version 3 (name based, MD5),…

QuantLib::NumericHaganPricer – CMS-coupon pricer. Synopsis#include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::HaganPricer. Public Member FunctionsNumericHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion, Rate lowerLimit=0.0, Rate upperLimit=1.0, Real precision=1.0e-6) Real upperLimit () Real stdDeviations () Real integrate (Real a, Real b, const ConundrumIntegrand &Integrand) const virtual Real optionletPrice (Option::Type optionType, Rate strike) const virtual Real…

QuantLib::NthToDefault – N-th to default swap. Synopsis#include <ql/experimental/credit/nthtodefault.hpp> Inherits QuantLib::Instrument. Public Member FunctionsNthToDefault (Size n, const std::vector< Issuer > &basket, const Handle< OneFactorCopula > &copula, Protection::Side side, Real nominal, const Schedule &premiumSchedule, Rate premiumRate, const DayCounter &dayCounter, bool settlePremiumAccrual, const Handle< YieldTermStructure > &yieldTS, const Period &integrationStepSize, boost::shared_ptr< Claim > claim=boost::shared_ptr< Claim >()) bool isExpired…

QuantLib::CubicInterpolation – Cubic interpolation between discrete points. Synopsis#include <ql/math/interpolations/cubicinterpolation.hpp> Inherits QuantLib::Interpolation. Inherited by MonotonicNaturalCubicInterpolation, and NaturalCubicInterpolation. Public Typesenum DerivativeApprox { Spline, FourthOrder, Parabolic, ModifiedParabolic, FritschButland, Akima, Kruger } enum BoundaryCondition { NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange } Public Member Functionstemplate<class I1 , class I2 > CubicInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin,…

QuantLib::NormalFwdRatePc – Predictor-Corrector. Synopsis#include <ql/models/marketmodels/evolvers/normalfwdratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member FunctionsNormalFwdRatePc (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath () Real advanceStep () Size currentStep () const const CurveState & currentState () const void setInitialState (const CurveState…

QuantLib::NormalDistribution – Normal distribution function. Synopsis#include <ql/math/distributions/normaldistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsNormalDistribution (Real average=0.0, Real sigma=1.0) Real operator() (Real x) const Real derivative (Real x) const Detailed DescriptionNormal distribution function. Given x, it returns its probability in a Gaussian normal distribution. It provides the first derivative too. Tests the correctness of the returned value is…