Linux Manuals session 3

NAME fpclassify, isfinite, isnormal, isnan, isinf – floating-point classification macros SYNOPSIS #include <math.h> int fpclassify(x); int isfinite(x); int isnormal(x); int isnan(x); int isinf(x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): fpclassify(), isfinite(), isnormal(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L isnan(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || _XOPEN_SOURCE     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE isinf(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L…

NAME fpathconf, pathconf – get configuration values for files SYNOPSIS #include <unistd.h> long fpathconf(int fd, int name); long pathconf(const char *path, int name); DESCRIPTION fpathconf() 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…

NAME fparseln – return the next logical line from a stream LIBRARY Lb libbsd SYNOPSIS In bsd/stdio.h Ft char * Fo fparseln Fa FILE *stream size_t *len size_t *lineno Fa const char delim[3] int flags Fc DESCRIPTION The Fn fparseln function returns a pointer to the next logical line from the stream referenced by Fa…

QuantLib::IncrementalStatistics – Statistics tool based on incremental accumulation. Synopsis #include <ql/math/statistics/incrementalstatistics.hpp> Public Types typedef Real value_type Public Member Functions Inspectors 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 ()…

NAME QuantLib::CapFloor::arguments – Arguments for cap/floor calculation SYNOPSIS #include <ql/instruments/capfloor.hpp> Inherits QuantLib::PricingEngine::arguments. Public Member Functions void validate () const Public Attributes CapFloor::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…

NAME ql/models/marketmodels/forwardforwardmappings.hpp – Utility functions for mapping between forward rates of varying tenor. SYNOPSIS #include <ql/math/matrix.hpp> Functions Disposable< 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…

NAME Forward option engines – Classes class 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 Description Author Generated…

NAME 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> Classes class ForwardVanillaEngine< Engine > Forward engine for vanilla options Detailed Description Forward (strike-resetting) vanilla-option engine. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME QuantLib::BlackCalculator – Black 1976 calculator class. SYNOPSIS #include <ql/pricingengines/blackcalculator.hpp> Inherited by BlackScholesCalculator. Public Member Functions BlackCalculator (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 ()…

QuantLib::Forward – Abstract base forward class. Synopsis #include <ql/instruments/forward.hpp> Inherits QuantLib::Instrument. Inherited by FixedRateBondForward, and ForwardRateAgreement. Public Member Functions virtual 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 ()…

QuantLib::ForwardTypePayoff – Class for forward type payoffs. Synopsis #include <ql/instruments/forward.hpp> Inherits QuantLib::Payoff. Public Member Functions ForwardTypePayoff (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 Attributes Position::Type type_ Real strike_ Detailed Description Class for forward type…

QuantLib::SwapRateHelper – Rate helper for bootstrapping over swap rates. Synopsis #include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member Functions SwapRateHelper (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,…

QuantLib::CurveState – Curve state for market-model simulations Synopsis #include <ql/models/marketmodels/curvestate.hpp> Inherited by CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState. Public Member Functions CurveState (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…

QuantLib::CurveState – Curve state for market-model simulations Synopsis #include <ql/models/marketmodels/curvestate.hpp> Inherited by CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState. Public Member Functions CurveState (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…

QuantLib::CommodityIndex – base class for commodity indexes Synopsis #include <ql/experimental/commodities/commodityindex.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Public Member Functions CommodityIndex (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…

QuantLib::CompoundForward – compound-forward structure Synopsis #include <ql/legacy/termstructures/compoundforward.hpp> Inherits QuantLib::ForwardRateStructure. Public Member Functions CompoundForward (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…

QuantLib::CommodityIndex – base class for commodity indexes Synopsis #include <ql/experimental/commodities/commodityindex.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Public Member Functions CommodityIndex (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…

QuantLib::CommodityIndex – base class for commodity indexes Synopsis #include <ql/experimental/commodities/commodityindex.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Public Member Functions CommodityIndex (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…

QuantLib::CommodityIndex – base class for commodity indexes Synopsis #include <ql/experimental/commodities/commodityindex.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Public Member Functions CommodityIndex (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…

NAME formatstr – String Formatter object DESCRIPTION Object 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…