Linux Manuals session 3

QuantLib::ConvergenceStatistics – statistics class with convergence table Synopsis#include <ql/math/statistics/convergencestatistics.hpp> Inherits T. Public Typestypedef T::value_type value_type typedef std::vector< std::pair< Size, value_type > > table_type Public Member FunctionsConvergenceStatistics (const T &stats, const U &rule=U()) ConvergenceStatistics (const U &rule=U()) void add (const value_type &value, Real weight=1.0) template<class DataIterator > void addSequence (DataIterator begin, DataIterator end) template<class DataIterator ,…

QuantLib::IborIndex – base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) Synopsis#include <ql/indexes/iborindex.hpp> Inherits QuantLib::InterestRateIndex. Inherited by Cdor, DailyTenorEuribor, DailyTenorEuribor365, DailyTenorEURLibor, DailyTenorLibor, Euribor, Euribor365, EURLibor, Jibar, Libor, Tibor, TRLibor, and Zibor. Public Member FunctionsIborIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, const…

ql/cashflows/conundrumpricer.hpp – CMS-coupon pricer. Synopsis#include <ql/cashflows/couponpricer.hpp> #include <ql/instruments/payoffs.hpp> Classesclass HaganPricer CMS-coupon pricer. class NumericHaganPricer CMS-coupon pricer. class AnalyticHaganPricer CMS-coupon pricer. Functionsstd::ostream & operator<< (std::ostream &out, GFunctionFactory::YieldCurveModel type) Detailed DescriptionCMS-coupon pricer. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

controlscreenshots – Dials, Compasses, Knobs, Wheels, Sliders, Thermos  

QuantLib::McSimulation – base class for Monte Carlo engines Synopsis#include <ql/pricingengines/mcsimulation.hpp> Public Typestypedef MonteCarloModel< MC, RNG, S >::path_generator_type path_generator_type typedef MonteCarloModel< MC, RNG, S >::path_pricer_type path_pricer_type typedef MonteCarloModel< MC, RNG, S >::stats_type stats_type typedef MonteCarloModel< MC, RNG, S >::result_type result_type Public Member Functionsresult_type value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const add samples until the required…

QuantLib::MCDiscreteAveragingAsianEngine – Pricing engine for discrete average Asians using Monte Carlo simulation. Synopsis#include <ql/pricingengines/asian/mcdiscreteasianengine.hpp> Inherits QuantLib::DiscreteAveragingAsianOption::engine, and McSimulation< SingleVariate, RNG, S >. Public Typestypedef McSimulation< SingleVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< SingleVariate, RNG, S >::stats_type stats_type Public Member FunctionsMCDiscreteAveragingAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepsPerYear, bool…

QuantLib::MCDiscreteArithmeticAPEngine – Monte Carlo pricing engine for discrete arithmetic average price Asian. Synopsis#include <ql/pricingengines/asian/mc_discr_arith_av_price.hpp> Inherits MCDiscreteAveragingAsianEngine< RNG, S >. Public Typestypedef MCDiscreteAveragingAsianEngine< RNG, S >::path_generator_type path_generator_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_pricer_type path_pricer_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::stats_type stats_type Public Member FunctionsMCDiscreteArithmeticAPEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size…

QuantLib::FDStepConditionEngine – Finite-differences pricing engine for American-style vanilla options. Synopsis #include <ql/pricingengines/vanilla/fdstepconditionengine.hpp> Inherits QuantLib::FDVanillaEngine. Public Member Functions FDStepConditionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) Protected Member Functions virtual void initializeStepCondition () const =0 virtual void calculate (PricingEngine::results *) const Protected Attributes boost::shared_ptr< StandardStepCondition > stepCondition_ SampledCurve prices_ TridiagonalOperator controlOperator_ std::vector<…

QuantLib::MCDiscreteArithmeticAPEngine – Monte Carlo pricing engine for discrete arithmetic average price Asian. Synopsis #include <ql/pricingengines/asian/mc_discr_arith_av_price.hpp> Inherits MCDiscreteAveragingAsianEngine< RNG, S >. Public Types typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_generator_type path_generator_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_pricer_type path_pricer_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::stats_type stats_type Public Member Functions MCDiscreteArithmeticAPEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepPerYear, bool brownianBridge, bool antitheticVariate,…

QuantLib::McSimulation – base class for Monte Carlo engines Synopsis #include <ql/pricingengines/mcsimulation.hpp> Public Types typedef MonteCarloModel< MC, RNG, S >::path_generator_type path_generator_type typedef MonteCarloModel< MC, RNG, S >::path_pricer_type path_pricer_type typedef MonteCarloModel< MC, RNG, S >::stats_type stats_type typedef MonteCarloModel< MC, RNG, S >::result_type result_type Public Member Functions result_type value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const add samples…

QuantLib::FDStepConditionEngine – Finite-differences pricing engine for American-style vanilla options. Synopsis #include <ql/pricingengines/vanilla/fdstepconditionengine.hpp> Inherits QuantLib::FDVanillaEngine. Public Member Functions FDStepConditionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) Protected Member Functions virtual void initializeStepCondition () const =0 virtual void calculate (PricingEngine::results *) const Protected Attributes boost::shared_ptr< StandardStepCondition > stepCondition_ SampledCurve prices_ TridiagonalOperator controlOperator_ std::vector<…

QuantLib::FDStepConditionEngine – Finite-differences pricing engine for American-style vanilla options. Synopsis #include <ql/pricingengines/vanilla/fdstepconditionengine.hpp> Inherits QuantLib::FDVanillaEngine. Public Member Functions FDStepConditionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) Protected Member Functions virtual void initializeStepCondition () const =0 virtual void calculate (PricingEngine::results *) const Protected Attributes boost::shared_ptr< StandardStepCondition > stepCondition_ SampledCurve prices_ TridiagonalOperator controlOperator_ std::vector<…

context_new, context_str, context_free, context_type_get, context_type_set, context_range_get, context_range_set,context_role_get, context_role_set, context_user_get, context_user_set – Routines to manipulate SELinux security contexts Synopsis #include <selinux/context.h> context_t context_new(const char *context_str); const char * context_str(context_t con); void context_free(context_t con); const char * context_type_get(context_t con); const char * context_range_get(context_t con); const char * context_role_get(context_t con); const char * context_user_get(context_t con); int context_type_set(context_t con,…

context_new, context_str, context_free, context_type_get, context_type_set, context_range_get, context_range_set,context_role_get, context_role_set, context_user_get, context_user_set – Routines to manipulate SELinux security contexts Synopsis#include <selinux/context.h> context_t context_new(const char *context_str); const char * context_str(context_t con); void context_free(context_t con); const char * context_type_get(context_t con); const char * context_range_get(context_t con); const char * context_role_get(context_t con); const char * context_user_get(context_t con); int context_type_set(context_t con, const…

context_new, context_str, context_free, context_type_get, context_type_set, context_range_get, context_range_set,context_role_get, context_role_set, context_user_get, context_user_set – Routines to manipulate SELinux security contexts Synopsis#include <selinux/context.h> context_t context_new(const char *context_str); const char * context_str(context_t con); void context_free(context_t con); const char * context_type_get(context_t con); const char * context_range_get(context_t con); const char * context_role_get(context_t con); const char * context_user_get(context_t con); int context_type_set(context_t con, const…

context_new, context_str, context_free, context_type_get, context_type_set, context_range_get, context_range_set,context_role_get, context_role_set, context_user_get, context_user_set – Routines to manipulate SELinux security contexts Synopsis#include <selinux/context.h> context_t context_new(const char *context_str); const char * context_str(context_t con); void context_free(context_t con); const char * context_type_get(context_t con); const char * context_range_get(context_t con); const char * context_role_get(context_t con); const char * context_user_get(context_t con); int context_type_set(context_t con, const…

context_new, context_str, context_free, context_type_get, context_type_set, context_range_get, context_range_set,context_role_get, context_role_set, context_user_get, context_user_set – Routines to manipulate SELinux security contexts Synopsis#include <selinux/context.h> context_t context_new(const char *context_str); const char * context_str(context_t con); void context_free(context_t con); const char * context_type_get(context_t con); const char * context_range_get(context_t con); const char * context_role_get(context_t con); const char * context_user_get(context_t con); int context_type_set(context_t con, const…

context_new, context_str, context_free, context_type_get, context_type_set, context_range_get, context_range_set,context_role_get, context_role_set, context_user_get, context_user_set – Routines to manipulate SELinux security contexts Synopsis#include <selinux/context.h> context_t context_new(const char *context_str); const char * context_str(context_t con); void context_free(context_t con); const char * context_type_get(context_t con); const char * context_range_get(context_t con); const char * context_role_get(context_t con); const char * context_user_get(context_t con); int context_type_set(context_t con, const…

context_new, context_str, context_free, context_type_get, context_type_set, context_range_get, context_range_set,context_role_get, context_role_set, context_user_get, context_user_set – Routines to manipulate SELinux security contexts Synopsis#include <selinux/context.h> context_t context_new(const char *context_str); const char * context_str(context_t con); void context_free(context_t con); const char * context_type_get(context_t con); const char * context_range_get(context_t con); const char * context_role_get(context_t con); const char * context_user_get(context_t con); int context_type_set(context_t con, const…

context_new, context_str, context_free, context_type_get, context_type_set, context_range_get, context_range_set,context_role_get, context_role_set, context_user_get, context_user_set – Routines to manipulate SELinux security contexts Synopsis#include <selinux/context.h> context_t context_new(const char *context_str); const char * context_str(context_t con); void context_free(context_t con); const char * context_type_get(context_t con); const char * context_range_get(context_t con); const char * context_role_get(context_t con); const char * context_user_get(context_t con); int context_type_set(context_t con, const…