Section 3: library functions
NAME get_phys_pages, get_avphys_pages – get total and available physical page counts SYNOPSIS #include <sys/sysinfo.h> long get_phys_pages(void); long get_avphys_pages(void); DESCRIPTION The function get_phys_pages() returns the total number of physical pages of memory available on the system. The function get_avphys_pages() returns the number of currently available physical pages of memory on the system. RETURN VALUE On success,…
NAME get_auditfail_action – Get failure_action tunable value SYNOPSIS #include <libaudit.h> int get_auditfail_action (int *failmode); DESCRIPTION This function gets the failure_action tunable value stored in /etc/libaudit.conf. get_auditfail_action should be called after an audit_open call returns an error to see what action the admin prefers. The failure_action value found in /etc/libaudit.conf is copied into the failmode argument upon function…
NAME get_audio_stream_buffer – Tells you if you need to fill the audiostream or not. Allegro game programming library. SYNOPSIS #include <allegro.h> void *get_audio_stream_buffer(AUDIOSTREAM *stream); DESCRIPTION You must call this function at regular intervals while an audio stream is playing, to provide the next buffer of sample data (the smaller the stream buffer size, the more…
NAME get_align_matrix – Rotates a matrix to align it along specified coordinate vectors. Allegro game programming library. SYNOPSIS #include <allegro.h> void get_align_matrix(MATRIX *m, fixed xfront, yfront, zfront, fixed xup, fixed yup, fixed zup); DESCRIPTION Rotates a matrix so that it is aligned along the specified coordinate vectors (they need not be normalized or perpendicular, but…
QuantLib::LiborForwardModel – Libor forward model Synopsis #include <ql/legacy/libormarketmodels/liborforwardmodel.hpp> Inherits QuantLib::CalibratedModel, and QuantLib::AffineModel. Public Member Functions LiborForwardModel (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel) Rate S_0 (Size alpha, Size beta) const virtual boost::shared_ptr< SwaptionVolatilityMatrix > getSwaptionVolatilityMatrix () const DiscountFactor discount (Time t) const Implied discount curve. Real discountBond…
QuantLib::PricingEngine – interface for pricing engines Synopsis #include <ql/pricingengine.hpp> Inherits QuantLib::Observable. Inherited by GenericEngine< Arguments, Results >, GenericEngine< ArgumentsType, ResultsType >, GenericEngine< BarrierOption::arguments, BarrierOption::results >, GenericEngine< BasketOption::arguments, BasketOption::results >, GenericEngine< Bond::arguments, Bond::results >, GenericEngine< CallableBond::arguments, CallableBond::results >, GenericEngine< CapFloor::arguments, CapFloor::results >, GenericEngine< CliquetOption::arguments, CliquetOption::results >, GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results >, GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results >, GenericEngine< ContinuousFloatingLookbackOption::arguments,…
QuantLib::FDVanillaEngine – Finite-differences pricing engine for BSM one asset options. Synopsis #include <ql/pricingengines/vanilla/fdvanillaengine.hpp> Inherited by FDEuropeanEngine, FDMultiPeriodEngine, and FDStepConditionEngine. Public Member Functions FDVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) const Array & grid () const Protected Types typedef BoundaryCondition< TridiagonalOperator > bc_type Protected Member Functions virtual void setupArguments (const PricingEngine::arguments…
QuantLib::ForwardVanillaEngine – Forward engine for vanilla options Synopsis #include <ql/pricingengines/forward/forwardengine.hpp> Inherits GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results >. Public Member Functions ForwardVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Protected Member Functions void setup () const void getOriginalResults () const Protected Attributes boost::shared_ptr< GeneralizedBlackScholesProcess > process_ boost::shared_ptr< Engine > originalEngine_ VanillaOption::arguments * originalArguments_ const…
QuantLib::OperatorFactory – Black-Scholes-Merton differential operator. Synopsis #include <ql/methods/finitedifferences/operatorfactory.hpp> Static Public Member Functions static TridiagonalOperator getOperator (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const Array &grid, Time residualTime, bool timeDependent) static TridiagonalOperator getOperator (const boost::shared_ptr< OneFactorModel::ShortRateDynamics > &process, const Array &grid) Detailed Description Black-Scholes-Merton differential operator. Tests coefficients are tested against constant BSM operator Author Generated automatically by…
QuantLib::LevenbergMarquardt – Levenberg-Marquardt optimization method. Synopsis #include <ql/math/optimization/levenbergmarquardt.hpp> Inherits QuantLib::OptimizationMethod. Public Member Functions LevenbergMarquardt (Real epsfcn=1.0e-8, Real xtol=1.0e-8, Real gtol=1.0e-8) virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria) minimize the optimization problem P virtual Integer getInfo () const void fcn (int m, int n, double *x, double *fvec, int *iflag) Detailed Description Levenberg-Marquardt optimization method….
QuantLib::IndexManager – global repository for past index fixings Synopsis #include <ql/indexes/indexmanager.hpp> Inherits Singleton< IndexManager >. Public Member Functions bool hasHistory (const std::string &name) const returns whether historical fixings were stored for the index const TimeSeries< Real > & getHistory (const std::string &name) const returns the (possibly empty) history of the index fixings void setHistory (const…
QuantLib::ForwardMeasureProcess – forward-measure stochastic process Synopsis #include <ql/processes/forwardmeasureprocess.hpp> Inherits QuantLib::StochasticProcess. Inherited by G2ForwardProcess. Public Member Functions void setForwardMeasureTime (Time) Time getForwardMeasureTime () const Protected Member Functions ForwardMeasureProcess (Time T) ForwardMeasureProcess (const boost::shared_ptr< discretization > &) Protected Attributes Time T_ Detailed Description forward-measure stochastic process stochastic process whose dynamics are expressed in the forward measure. Author…
QuantLib::MarketModelPathwiseDiscounter – Synopsis #include <ql/models/marketmodels/pathwisediscounter.hpp> Public Member Functions MarketModelPathwiseDiscounter (Time paymentTime, const std::vector< Time > &rateTimes) void getFactors (const Matrix &LIBORRates, const Matrix &Discounts, Size currentStep, std::vector< Real > &factors) const Detailed Description this class returns the number of units of the discretely compounding money market account that 1 unit of cash at the payment…
QuantLib::ConvexMonotoneInterpolation – Convex monotone yield-curve interpolation method. Synopsis #include <ql/math/interpolations/convexmonotoneinterpolation.hpp> Inherits QuantLib::Interpolation. Public Member Functions ConvexMonotoneInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Real quadraticity, Real monotonicity, bool forcePositive, bool flatFinalPeriod=false, const helper_map &preExistingHelpers=helper_map()) ConvexMonotoneInterpolation (Interpolation &interp) std::map< Real, boost::shared_ptr< detail::SectionHelper > > getExistingHelpers () Detailed Description template<class I1, class I2> class QuantLib::ConvexMonotoneInterpolation<…
QuantLib::FDDividendEngineBase – Abstract base class for dividend engines. Synopsis #include <ql/pricingengines/vanilla/fddividendengine.hpp> Inherits QuantLib::FDMultiPeriodEngine. Inherited by FDDividendEngineMerton73, and FDDividendEngineShiftScale. Public Member Functions FDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Protected Member Functions virtual void setupArguments (const PricingEngine::arguments *) const void setGridLimits () const =0 void executeIntermediateStep (Size step) const =0 Real…
QuantLib::FDDividendEngineBase – Abstract base class for dividend engines. Synopsis #include <ql/pricingengines/vanilla/fddividendengine.hpp> Inherits QuantLib::FDMultiPeriodEngine. Inherited by FDDividendEngineMerton73, and FDDividendEngineShiftScale. Public Member Functions FDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Protected Member Functions virtual void setupArguments (const PricingEngine::arguments *) const void setGridLimits () const =0 void executeIntermediateStep (Size step) const =0 Real…
QuantLib::PricingEngine – interface for pricing engines Synopsis #include <ql/pricingengine.hpp> Inherits QuantLib::Observable. Inherited by GenericEngine< Arguments, Results >, GenericEngine< ArgumentsType, ResultsType >, GenericEngine< BarrierOption::arguments, BarrierOption::results >, GenericEngine< BasketOption::arguments, BasketOption::results >, GenericEngine< Bond::arguments, Bond::results >, GenericEngine< CallableBond::arguments, CallableBond::results >, GenericEngine< CapFloor::arguments, CapFloor::results >, GenericEngine< CliquetOption::arguments, CliquetOption::results >, GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results >, GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results >, GenericEngine< ContinuousFloatingLookbackOption::arguments,…
NAME generate_optimized_palette – Generates an optimized palette for a bitmap. Allegro game programming library. SYNOPSIS #include <allegro.h> int generate_optimized_palette(BITMAP *bmp, PALETTE pal, const char rsvd[PAL_SIZE]); DESCRIPTION Generates a 256-color palette suitable for making a reduced color version of the specified truecolor image. The rsvd parameter points to a table indicating which colors it is allowed…
NAME generate_332_palette – Constructs a fake truecolor palette. Allegro game programming library. SYNOPSIS #include <allegro.h> void generate_332_palette(PALETTE pal); DESCRIPTION Constructs a fake truecolor palette, using three bits for red and green and two for the blue. The load_bitmap() function fills the palette parameter with this if the file does not contain a palette itself (ie….
QuantLib::LmCorrelationModel – libor forward correlation model Synopsis #include <ql/legacy/libormarketmodels/lmcorrmodel.hpp> Inherited by LmConstWrapperCorrelationModel, LmExponentialCorrelationModel, and LmLinearExponentialCorrelationModel. Public Member Functions LmCorrelationModel (Size size, Size nArguments) virtual Size size () const virtual Size factors () const std::vector< Parameter > & params () void setParams (const std::vector< Parameter > &arguments) virtual Disposable< Matrix > correlation (Time t, const Array…