Linux Manuals session 3

QuantLib::UsdLiborSwapIsdaFixPm – UsdLiborSwapIsdaFixPm index base class Synopsis#include <ql/indexes/swap/usdliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsUsdLiborSwapIsdaFixPm (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionUsdLiborSwapIsdaFixPm index base class USD Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 3pm New York. Semiannual 30/360 vs 3M Libor. Reuters page ISDAFIX1 or…

QuantLib::UsdLiborSwapIsdaFixAm – UsdLiborSwapIsdaFixAm index base class Synopsis#include <ql/indexes/swap/usdliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsUsdLiborSwapIsdaFixAm (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionUsdLiborSwapIsdaFixAm index base class USD Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am New York. Semiannual 30/360 vs 3M Libor. Reuters page ISDAFIX1 or…

QuantLib::UpperBoundEngine – Market-model engine for upper-bound estimation. Synopsis#include <ql/models/marketmodels/callability/upperboundengine.hpp> Public Member FunctionsUpperBoundEngine (const boost::shared_ptr< MarketModelEvolver > &evolver, const std::vector< boost::shared_ptr< MarketModelEvolver > > &innerEvolvers, const MarketModelMultiProduct &underlying, const MarketModelExerciseValue &rebate, const MarketModelMultiProduct &hedge, const MarketModelExerciseValue &hedgeRebate, const ExerciseStrategy< CurveState > &hedgeStrategy, Real initialNumeraireValue) void multiplePathValues (Statistics &stats, Size outerPaths, Size innerPaths) std::pair< Real, Real >…

QuantLib::Rounding – basic rounding class Synopsis#include <ql/math/rounding.hpp> Inherited by CeilingTruncation, ClosestRounding, DownRounding, FloorTruncation, and UpRounding. Public Typesenum Type { None, Up, Down, Closest, Floor, Ceiling } rounding methods Public Member FunctionsRounding () default constructor Rounding (Integer precision, Type type=Closest, Integer digit=5) Decimal operator() (Decimal value) const perform rounding InspectorsInteger precision () const Type type ()…

QuantLib::UnitedStates – United States calendars. Synopsis#include <ql/time/calendars/unitedstates.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { Settlement, NYSE, GovernmentBond, NERC } US calendars. Public Member FunctionsUnitedStates (Market market=Settlement) Detailed DescriptionUnited States calendars. Public holidays (see: http://www.opm.gov/fedhol/): * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday if actually on Sunday, or to Friday if…

QuantLib::UnitedKingdom – United Kingdom calendars. Synopsis#include <ql/time/calendars/unitedkingdom.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { Settlement, Exchange, Metals } UK calendars. Public Member FunctionsUnitedKingdom (Market market=Settlement) Detailed DescriptionUnited Kingdom calendars. Public holidays (data from http://www.dti.gov.uk/er/bankhol.htm): * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday) * Good Friday * Easter Monday * Early…

QuantLib::UnitOfMeasure – Unit of measure specification Synopsis#include <ql/experimental/commodities/unitofmeasure.hpp> Inherited by BarrelUnitOfMeasure, GallonUnitOfMeasure, KilolitreUnitOfMeasure, LitreUnitOfMeasure, LotUnitOfMeasure, MBUnitOfMeasure, MTUnitOfMeasure, and TokyoKilolitreUnitOfMeasure. Public Typesenum Type { Mass, Volume, Energy, Quantity } Public Member FunctionsUnitOfMeasure () default constructor UnitOfMeasure (const std::string &name, const std::string &code, Type unitType) Inspectors const std::string & name () const name, e.g, ‘Barrels’ const std::string…

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…

UnNamedObj – widget from X tookit Synopsis#include <X11/Intrinsic.h> DescriptionUnNamedObj is a widget which is defined in the X Toolkit. We document its existence here for completeness. Please refer to the X Window System documentation for the real information regarding this widget. Class HierarchyObject(3) Rect(3) UnNamedObj(3) See AlsoObject(3) Rect(3) UnNamedObj(3) Core(3)

QuantLib::Ukraine – Ukrainian calendars. Synopsis#include <ql/time/calendars/ukraine.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { USE } Public Member FunctionsUkraine (Market m=USE) Detailed DescriptionUkrainian calendars. Holidays for the Ukrainian stock exchange (data from <http://www.ukrse.kiev.ua/eng/>): * Saturdays * Sundays * New Year’s Day, January 1st * Orthodox Christmas, January 7th * International Women’s Day, March 8th * Easter Monday…

UilDumpSymbolTable — Dumps the contents of a named UIL symbol table to standard output Synopsis#include <uil/UilDef.h> void UilDumpSymbolTable( sym_entry_type *root_ptr);DescriptionThe UilDumpSymbolTable function dumps the contents of a UIL symbol table pointer to standard output. root_ptr Specifies a pointer to the the symbol table root entry. This value can be taken from the parse_tree_root part of…

Uil — Invokes the UIL compiler from within an application Synopsis#include <uil/UilDef.h> Uil_status_type Uil( Uil_command_type *command_desc, Uil_compile_desc_type **compile_desc, Uil_continue_type (*message_cb) (), char *message_data, Uil_continue_type (*status_cb) (), char *status_data);DescriptionThe Uil function provides a callable entry point for the UIL compiler. The Uil callable interface can be used to process a UIL source file and to generate…

QuantLib::Ukraine – Ukrainian calendars. Synopsis#include <ql/time/calendars/ukraine.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { USE } Public Member FunctionsUkraine (Market m=USE) Detailed DescriptionUkrainian calendars. Holidays for the Ukrainian stock exchange (data from <http://www.ukrse.kiev.ua/eng/>): * Saturdays * Sundays * New Year’s Day, January 1st * Orthodox Christmas, January 7th * International Women’s Day, March 8th * Easter Monday…

QuantLib::USDLibor – USD LIBOR rate Synopsis#include <ql/indexes/ibor/usdlibor.hpp> Inherits QuantLib::Libor. Public Member FunctionsUSDLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionUSD LIBOR rate US Dollar LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. Examples: Bonds.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::UKRPI – UK Retail Price Inflation Index. Synopsis#include <ql/indexes/inflation/ukrpi.hpp> Inherits QuantLib::ZeroInflationIndex. Public Member FunctionsUKRPI (Frequency frequency, bool revised, bool interpolated, const Handle< ZeroInflationTermStructure > &ts=Handle< ZeroInflationTermStructure >()) Detailed DescriptionUK Retail Price Inflation Index. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::SVD – Singular value decomposition. Synopsis#include <ql/math/matrixutilities/svd.hpp> Public Member FunctionsSVD (const Matrix &) const Matrix & U () const const Matrix & V () const const Array & singularValues () const Disposable< Matrix > S () const Real norm2 () Real cond () Integer rank () Disposable< Array > solveFor (const Array &) const Detailed…

QuantLib::TypePayoff – Intermediate class for put/call payoffs. Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::Payoff. Inherited by FloatingTypePayoff, and StrikedTypePayoff. Public Member FunctionsTypePayoff (Option::Type type) Option::Type optionType () const Payoff interface std::string description () const Protected AttributesOption::Type type_ Detailed DescriptionIntermediate class for put/call payoffs. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ExchangeRate – exchange rate between two currencies Synopsis#include <ql/exchangerate.hpp> Public Typesenum Type { Direct, Derived } Public Member FunctionsConstructors ExchangeRate () ExchangeRate (const Currency &source, const Currency &target, Decimal rate) Inspectors const Currency & source () const the source currency. const Currency & target () const the target currency. Type type () const the type…

QuantLib::TwoFactorModel – Abstract base-class for two-factor models. Synopsis#include <ql/models/shortrate/twofactormodel.hpp> Inherits QuantLib::ShortRateModel. Inherited by G2. Classesclass ShortRateDynamics Class describing the dynamics of the two state variables. class ShortRateTree Recombining two-dimensional tree discretizing the state variable. Public Member FunctionsTwoFactorModel (Size nParams) virtual boost::shared_ptr< ShortRateDynamics > dynamics () const =0 Returns the short-rate dynamics. boost::shared_ptr< Lattice > tree…

QuantLib::DateGeneration – Date-generation rule. Synopsis#include <ql/time/dategenerationrule.hpp> Public Typesenum Rule { Backward, Forward, Zero, ThirdWednesday, Twentieth, TwentiethIMM } Related Functions(Note that these are not member functions.) std::ostream & operator<< (std::ostream &, DateGeneration::Rule) Detailed DescriptionDate-generation rule. These conventions specify the rule used to generate dates in a Schedule. Member Enumeration Documentationenum RuleEnumerator: Backward Backward from termination date…