Linux Manuals session 3

NAME fixsin – Fixed point sine of binary angles. Allegro game programming library. SYNOPSIS #include <allegro.h> fixed fixsin(fixed x); DESCRIPTION This function finds the sine of a value using a lookup table. The input value must be a fixed point binary angle. Example: fixed angle; int result; /* Set the binary angle to 90 degrees….

NAME fixmul – Multiplies two fixed point values together. Allegro game programming library. SYNOPSIS #include <allegro.h> fixed fixmul(fixed x, fixed y); DESCRIPTION A fixed point value can be multiplied or divided by an integer with the normal `*’ and `/’ operators. To multiply two fixed point values, though, you must use this function. If an…

QuantLib::LfmHullWhiteParameterization – Libor market model parameterization based on Hull White paper Synopsis #include <ql/legacy/libormarketmodels/lfmhullwhiteparam.hpp> Inherits QuantLib::LfmCovarianceParameterization. Public Member Functions LfmHullWhiteParameterization (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< OptionletVolatilityStructure > &capletVol, const Matrix &correlation=Matrix(), Size factors=1) Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const Disposable< Matrix > covariance (Time t, const Array…

QuantLib::LiborForwardModelProcess – libor-forward-model process Synopsis #include <ql/legacy/libormarketmodels/lfmprocess.hpp> Inherits QuantLib::StochasticProcess. Public Member Functions LiborForwardModelProcess (Size size, const boost::shared_ptr< IborIndex > &index) Disposable< Array > initialValues () const returns the initial values of the state variables Disposable< Array > drift (Time t, const Array &x) const returns the drift part of the equation, i.e., $ mu(t, mathrm{x}_t)…

QuantLib::BMAIndex – Bond Market Association index. Synopsis #include <ql/indexes/bmaindex.hpp> Inherits QuantLib::InterestRateIndex. Public Member Functions BMAIndex (const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Index interface std::string name () const bool isValidFixingDate (const Date &fixingDate) const returns TRUE if the fixing date is a valid one InterestRateIndex interface Handle< YieldTermStructure > termStructure () const Date maturityDate (const…

QuantLib::HistoricalForwardRatesAnalysisImpl – Historical correlation class Synopsis #include <ql/models/marketmodels/historicalforwardratesanalysis.hpp> Inherits QuantLib::HistoricalForwardRatesAnalysis. Public Member Functions HistoricalForwardRatesAnalysisImpl (const boost::shared_ptr< SequenceStatistics > &stats, const Date &startDate, const Date &endDate, const Period &step, const boost::shared_ptr< InterestRateIndex > &fwdIndex, const Period &initialGap, const Period &horizon, const std::vector< boost::shared_ptr< IborIndex > > &iborIndexes, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const DayCounter…

QuantLib::FloatingRateCoupon – base floating-rate coupon class Synopsis #include <ql/cashflows/floatingratecoupon.hpp> Inherits QuantLib::Coupon, and QuantLib::Observer. Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon. Public Member Functions FloatingRateCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< InterestRateIndex > &index, const Real gearing=1.0, const Spread spread=0.0, const Date…

QuantLib::FloatingRateCoupon – base floating-rate coupon class Synopsis #include <ql/cashflows/floatingratecoupon.hpp> Inherits QuantLib::Coupon, and QuantLib::Observer. Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon. Public Member Functions FloatingRateCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< InterestRateIndex > &index, const Real gearing=1.0, const Spread spread=0.0, const Date…

QuantLib::DiscreteAveragingAsianOption – Discrete-averaging Asian option. Synopsis #include <ql/instruments/asianoption.hpp> Inherits QuantLib::OneAssetOption. Classes class arguments Extra arguments for single-asset discrete-average Asian option. class engine Discrete-averaging Asian engine base class. Public Member Functions DiscreteAveragingAsianOption (Average::Type averageType, Real runningAccumulator, Size pastFixings, const std::vector< Date > &fixingDates, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments…

QuantLib::AverageBMACoupon – Average BMA coupon. Synopsis #include <ql/cashflows/averagebmacoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Public Member Functions AverageBMACoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const boost::shared_ptr< BMAIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter()) FloatingRateCoupon interface Date fixingDate () const not applicable here; use fixingDates() instead…

QuantLib::HaganPricer – CMS-coupon pricer. Synopsis #include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::CmsCouponPricer. Inherited by AnalyticHaganPricer, and NumericHaganPricer. Public Member Functions virtual Real swapletPrice () const =0 virtual Rate swapletRate () const virtual Real capletPrice (Rate effectiveCap) const virtual Rate capletRate (Rate effectiveCap) const virtual Real floorletPrice (Rate effectiveFloor) const virtual Rate floorletRate (Rate effectiveFloor) const Real meanReversion ()…

QuantLib::AverageBMACoupon – Average BMA coupon. Synopsis #include <ql/cashflows/averagebmacoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Public Member Functions AverageBMACoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const boost::shared_ptr< BMAIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter()) FloatingRateCoupon interface Date fixingDate () const not applicable here; use fixingDates() instead…

QuantLib::InterestRateIndex – base class for interest rate indexes Synopsis #include <ql/indexes/interestrateindex.hpp> Inherits QuantLib::Index, and QuantLib::Observer. Inherited by BMAIndex, IborIndex, and SwapIndex. Public Member Functions InterestRateIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, const DayCounter &dayCounter) Index interface std::string name () const Returns the name of the index. Calendar…

QuantLib::Index – purely virtual base class for indexes Synopsis #include <ql/index.hpp> Inherits QuantLib::Observable. Inherited by InflationIndex, and InterestRateIndex. Public Member Functions virtual std::string name () const =0 Returns the name of the index. virtual Calendar fixingCalendar () const =0 returns the calendar defining valid fixing dates virtual bool isValidFixingDate (const Date &fixingDate) const =0 returns…

NAME QuantLib::Index – purely virtual base class for indexes SYNOPSIS #include <ql/index.hpp> Inherits QuantLib::Observable. Inherited by InflationIndex, and InterestRateIndex. Public Member Functions virtual std::string name () const =0 Returns the name of the index. virtual Calendar fixingCalendar () const =0 returns the calendar defining valid fixing dates virtual bool isValidFixingDate (const Date &fixingDate) const =0…

NAME fixfloor – Returns the greatest integer not greater than x. Allegro game programming library. SYNOPSIS #include <allegro.h> int fixfloor(fixed x); DESCRIPTION Returns the greatest integer not greater than x. That is, it rounds towards negative infinity. Example: int result; /* This will put 33 into `result’. */ result = fixfloor(itofix(100) / 3); /* And…

QuantLib::VanillaSwap – Plain-vanilla swap. Synopsis #include <ql/instruments/vanillaswap.hpp> Inherits QuantLib::Swap. Classes class arguments Arguments for simple swap calculation class results Results from simple swap calculation Public Types enum Type { Receiver = -1, Payer = 1 } Public Member Functions VanillaSwap (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &floatSchedule,…

QuantLib::AssetSwap::arguments – Arguments for asset swap calculation Synopsis #include <ql/instruments/assetswap.hpp> Inherits QuantLib::Swap::arguments. Public Member Functions void validate () const Public Attributes Real nominal Date settlementDate std::vector< Date > fixedResetDates std::vector< Date > fixedPayDates std::vector< Real > fixedCoupons std::vector< Time > floatingAccrualTimes std::vector< Date > floatingResetDates std::vector< Date > floatingFixingDates std::vector< Date > floatingPayDates std::vector< Spread…

QuantLib::YearOnYearInflationSwap – Year-on-year inflation-indexed swap. Synopsis #include <ql/instruments/yearonyearinflationswap.hpp> Inherits QuantLib::InflationSwap. Public Member Functions YearOnYearInflationSwap (const Date &start, const Date &maturity, const Period &lag, Rate fixedRate, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS, const Handle< YoYInflationTermStructure > &inflationTS, bool allowAmbiguousPayments=false, const Period &ambiguousPaymentPeriod=Period(1, Months)) Instrument interface bool isExpired () const…

QuantLib::VanillaSwap – Plain-vanilla swap. Synopsis #include <ql/instruments/vanillaswap.hpp> Inherits QuantLib::Swap. Classes class arguments Arguments for simple swap calculation class results Results from simple swap calculation Public Types enum Type { Receiver = -1, Payer = 1 } Public Member Functions VanillaSwap (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &floatSchedule,…