Linux Manuals session 3

fpathconf, pathconf – get configuration values for files Synopsis#include <unistd.h> long fpathconf(int fd, int name); long pathconf(const char *path, int name);Descriptionfpathconf() gets a value for the configuration option name for the open file descriptor fd. pathconf() gets a value for configuration option name for the filename path. The corresponding macros defined in <unistd.h> are minimum…

fparseln – return the next logical line from a stream LibraryLb libbsd SynopsisIn bsd/stdio.h Ft char * Fo fparseln Fa FILE *stream size_t *len size_t *lineno Fa const char delim[3] int flags Fc DescriptionThe Fn fparseln function returns a pointer to the next logical line from the stream referenced by Fa stream . This string…

QuantLib::IncrementalStatistics – Statistics tool based on incremental accumulation. Synopsis#include <ql/math/statistics/incrementalstatistics.hpp> Public Typestypedef Real value_type Public Member FunctionsInspectors Size samples () const number of samples collected Real weightSum () const sum of data weights Real mean () const Real variance () const Real standardDeviation () const Real errorEstimate () const Real skewness () const Real kurtosis…

QuantLib::CapFloor::arguments – Arguments for cap/floor calculation Synopsis#include <ql/instruments/capfloor.hpp> Inherits QuantLib::PricingEngine::arguments. Public Member Functionsvoid validate () const Public AttributesCapFloor::Type type std::vector< Date > startDates std::vector< Date > fixingDates std::vector< Date > endDates std::vector< Time > accrualTimes std::vector< Rate > capRates std::vector< Rate > floorRates std::vector< Rate > forwards std::vector< Real > gearings std::vector< Real > spreads…

ql/models/marketmodels/forwardforwardmappings.hpp – Utility functions for mapping between forward rates of varying tenor. Synopsis#include <ql/math/matrix.hpp> FunctionsDisposable< Matrix > ForwardForwardJacobian (const CurveState &cs, Size multiplier, Size offset) Disposable< Matrix > YMatrix (const CurveState &cs, const std::vector< Spread > &shortDisplacements, const std::vector< Spread > &longDisplacements, Size Multiplier, Size offset) LMMCurveState RestrictCurveState (const CurveState &cs, Size multiplier, Size offSet)…

Forward option engines – Classesclass IntegralHestonVarianceOptionEngine integral Heston-model variance-option engine class ForwardVanillaEngine< Engine > Forward engine for vanilla options class ForwardPerformanceVanillaEngine< Engine > Forward performance engine for vanilla options class MCVarianceSwapEngine< RNG, S > Variance-swap pricing engine using Monte Carlo simulation,. class ReplicatingVarianceSwapEngine Variance-swap pricing engine using replicating cost,. Detailed DescriptionAuthorGenerated automatically by Doxygen for…

ql/pricingengines/forward/forwardengine.hpp – Forward (strike-resetting) vanilla-option engine. Synopsis#include <ql/instruments/forwardvanillaoption.hpp> #include <ql/instruments/vanillaoption.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/termstructures/volatility/equityfx/impliedvoltermstructure.hpp> #include <ql/termstructures/yield/impliedtermstructure.hpp> #include <ql/instruments/payoffs.hpp> #include <ql/exercise.hpp> Classesclass ForwardVanillaEngine< Engine > Forward engine for vanilla options Detailed DescriptionForward (strike-resetting) vanilla-option engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

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::Forward – Abstract base forward class. Synopsis#include <ql/instruments/forward.hpp> Inherits QuantLib::Instrument. Inherited by FixedRateBondForward, and ForwardRateAgreement. Public Member Functionsvirtual Real spotValue () const =0 returns spot value/price of an underlying financial instrument virtual Real spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const =0 NPV of income/dividends/storage-costs etc. of underlying instrument. Inspectors virtual Date settlementDate () const const…

QuantLib::ForwardTypePayoff – Class for forward type payoffs. Synopsis#include <ql/instruments/forward.hpp> Inherits QuantLib::Payoff. Public Member FunctionsForwardTypePayoff (Position::Type type, Real strike) Position::Type forwardType () const Real strike () const Payoff interface std::string name () const std::string description () const Real operator() (Real price) const Protected AttributesPosition::Type type_ Real strike_ Detailed DescriptionClass for forward type payoffs. Member Function Documentationstd::string…

QuantLib::SwapRateHelper – Rate helper for bootstrapping over swap rates. Synopsis#include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member FunctionsSwapRateHelper (const Handle< Quote > &rate, const boost::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days) SwapRateHelper (const Handle< Quote > &rate, const Period &tenor, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter…

QuantLib::CurveState – Curve state for market-model simulations Synopsis#include <ql/models/marketmodels/curvestate.hpp> Inherited by CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState. Public Member FunctionsCurveState (const std::vector< Time > &rateTimes) Inspectors Size numberOfRates () const const std::vector< Time > & rateTimes () const const std::vector< Time > & rateTaus () const virtual Real discountRatio (Size i, Size j) const =0 virtual Rate…

QuantLib::CurveState – Curve state for market-model simulations Synopsis#include <ql/models/marketmodels/curvestate.hpp> Inherited by CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState. Public Member FunctionsCurveState (const std::vector< Time > &rateTimes) Inspectors Size numberOfRates () const const std::vector< Time > & rateTimes () const const std::vector< Time > & rateTaus () const virtual Real discountRatio (Size i, Size j) const =0 virtual Rate…

QuantLib::CommodityIndex – base class for commodity indexes Synopsis#include <ql/experimental/commodities/commodityindex.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Public Member FunctionsCommodityIndex (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, Real lotQuantity, const boost::shared_ptr< CommodityCurve > &forwardCurve, const boost::shared_ptr< ExchangeContracts > &exchangeContracts, int nearbyOffset) void addQuote (const Date &quoteDate, Real quote) void addQuotes (const…

QuantLib::CompoundForward – compound-forward structure Synopsis#include <ql/legacy/termstructures/compoundforward.hpp> Inherits QuantLib::ForwardRateStructure. Public Member FunctionsCompoundForward (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Rate > &forwards, const Calendar &calendar, const BusinessDayConvention conv, const Integer compounding, const DayCounter &dayCounter) BusinessDayConvention businessDayConvention () const Integer compounding () const Date maxDate () const the latest date for which the curve…

QuantLib::CommodityIndex – base class for commodity indexes Synopsis#include <ql/experimental/commodities/commodityindex.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Public Member FunctionsCommodityIndex (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, Real lotQuantity, const boost::shared_ptr< CommodityCurve > &forwardCurve, const boost::shared_ptr< ExchangeContracts > &exchangeContracts, int nearbyOffset) void addQuote (const Date &quoteDate, Real quote) void addQuotes (const…

QuantLib::CommodityIndex – base class for commodity indexes Synopsis#include <ql/experimental/commodities/commodityindex.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Public Member FunctionsCommodityIndex (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, Real lotQuantity, const boost::shared_ptr< CommodityCurve > &forwardCurve, const boost::shared_ptr< ExchangeContracts > &exchangeContracts, int nearbyOffset) void addQuote (const Date &quoteDate, Real quote) void addQuotes (const…

QuantLib::CommodityIndex – base class for commodity indexes Synopsis#include <ql/experimental/commodities/commodityindex.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Public Member FunctionsCommodityIndex (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, Real lotQuantity, const boost::shared_ptr< CommodityCurve > &forwardCurve, const boost::shared_ptr< ExchangeContracts > &exchangeContracts, int nearbyOffset) void addQuote (const Date &quoteDate, Real quote) void addQuotes (const…

formatstr – String Formatter object DescriptionObject used to format base objects into strings. It extends the functionality of the string Formatter object to include new modifiers for different objects. Some of these new modifiers include conversion of strings into a sequence of hex characters, conversion of strings to their corresponding CRC32 or CRC16 representation. Classesclass…

openpty, login_tty, forkpty – terminal utility functions Synopsis#include <pty.h> int openpty(int *amaster, int *aslave, char *name, const struct termios *termp, const struct winsize *winp); pid_t forkpty(int *amaster, char *name, const struct termios *termp, const struct winsize *winp); #include <utmp.h> int login_tty(int fd); Link with -lutil.DescriptionThe openpty() function finds an available pseudoterminal and returns file descriptors…