Linux Manuals session 3

QuantLib::RiskyAssetSwap – Risky asset-swap instrument. Synopsis #include <ql/experimental/credit/riskyassetswap.hpp> Inherits QuantLib::Instrument. Public Member Functions RiskyAssetSwap (bool fixedPayer, Real nominal, const Schedule &fixedSchedule, const Schedule &floatSchedule, const DayCounter &fixedDayCounter, const DayCounter &floatDayCounter, Rate spread, Rate recoveryRate_, const Handle< YieldTermStructure > &yieldTS, const Handle< DefaultProbabilityTermStructure > &defaultTS, Rate coupon=Null< Rate >()) Real fairSpread () Real floatAnnuity () const…

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::InflationSwap – Abstract base class for inflation swaps. Synopsis #include <ql/instruments/inflationswap.hpp> Inherits QuantLib::Instrument. Inherited by YearOnYearInflationSwap, and ZeroCouponInflationSwap. Public Member Functions InflationSwap (const Date &start, const Date &maturity, const Period &lag, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS) the constructor sets common data members virtual Rate fairRate () const…

QuantLib::AssetSwap – Bullet bond vs Libor swap. Synopsis #include <ql/instruments/assetswap.hpp> Inherits QuantLib::Swap. Classes class arguments Arguments for asset swap calculation class results Results from simple swap calculation Public Member Functions AssetSwap (bool payFixedRate, const boost::shared_ptr< Bond > &bond, Real bondCleanPrice, const boost::shared_ptr< IborIndex > &index, Spread spread, const Handle< YieldTermStructure > &discountCurve, const Schedule &floatSchedule=Schedule(),…

QuantLib::CDO – collateralized debt obligation Synopsis #include <ql/experimental/credit/cdo.hpp> Inherits QuantLib::Instrument. Public Member Functions CDO (Real attachment, Real detachment, const std::vector< Real > &nominals, const std::vector< Handle< DefaultProbabilityTermStructure > > &basket, const Handle< OneFactorCopula > &copula, bool protectionSeller, const Schedule &premiumSchedule, Rate premiumRate, const DayCounter &dayCounter, Rate recoveryRate, Rate upfrontPremiumRate, const Handle< YieldTermStructure > &yieldTS, Size…

QuantLib::BMASwap – swap paying Libor against BMA coupons Synopsis #include <ql/instruments/bmaswap.hpp> Inherits QuantLib::Swap. Public Types enum Type { Receiver = -1, Payer = 1 } Public Member Functions BMASwap (Type type, Real nominal, const Schedule &liborSchedule, Rate liborFraction, Rate liborSpread, const boost::shared_ptr< IborIndex > &liborIndex, const DayCounter &liborDayCount, const Schedule &bmaSchedule, const boost::shared_ptr< BMAIndex >…

QuantLib::BMASwap – swap paying Libor against BMA coupons Synopsis #include <ql/instruments/bmaswap.hpp> Inherits QuantLib::Swap. Public Types enum Type { Receiver = -1, Payer = 1 } Public Member Functions BMASwap (Type type, Real nominal, const Schedule &liborSchedule, Rate liborFraction, Rate liborSpread, const boost::shared_ptr< IborIndex > &liborIndex, const DayCounter &liborDayCount, const Schedule &bmaSchedule, const boost::shared_ptr< BMAIndex >…

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::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…

NAME fade_out_range – Gradually fades a part of the palette to black. Allegro game programming library. SYNOPSIS #include <allegro.h> void fade_out_range(int speed, int from, int to); DESCRIPTION Gradually fades a part of the palette from the current palette to a black screen. The speed is from 1 (the slowest) up to 64 (instantaneous). This routine…

NAME fade_out – Gradually fades the palette to black. Allegro game programming library. SYNOPSIS #include <allegro.h> void fade_out(int speed); DESCRIPTION Fades gradually from the current palette to a black screen. The speed is from 1 (the slowest) up to 64 (instantaneous). Note that this function will block your game while the fade is in effect,…

NAME fade_interpolate – Calculates a new palette interpolated between two others. Allegro game programming library. SYNOPSIS #include <allegro.h> void fade_interpolate(const PALETTE source, const PALETTE dest, PALETTE output, int pos, int from, int to); DESCRIPTION Calculates a temporary palette part way between source and dest, returning it in the output parameter. The position between the two…

NAME fade_in_range – Gradually fades a part of the palette from black. Allegro game programming library. SYNOPSIS #include <allegro.h> void fade_in_range(const PALETTE p, int speed, int from, int to); DESCRIPTION Gradually fades a part of the palette from a black screen to the specified palette. The speed is from 1 (the slowest) up to 64…

NAME fade_in – Gradually fades the palette from black. Allegro game programming library. SYNOPSIS #include <allegro.h> void fade_in(const PALETTE p, int speed); DESCRIPTION Fades gradually from a black screen to the specified palette. The speed is from 1 (the slowest) up to 64 (instantaneous). Note that this function will block your game while the fade…

NAME fade_from_range – Gradually fades a part of the palette between two others. Allegro game programming library. SYNOPSIS #include <allegro.h> void fade_from_range(const PALETTE source, const PALETTE dest, int speed, int from, int to); DESCRIPTION Gradually fades a part of the palette from the source palette to the dest palette. The speed is from 1 (the…

NAME fade_from – Gradually fades the palette between two others. Allegro game programming library. SYNOPSIS #include <allegro.h> void fade_from(const PALETTE source, const PALETTE dest, int speed); DESCRIPTION Fades gradually from the source palette to the dest palette. The speed is from 1 (the slowest) up to 64 (instantaneous). Note that this function will block your…

NAME QuantLib::LfmCovarianceParameterization – Libor market model parameterization SYNOPSIS #include <ql/legacy/libormarketmodels/lfmcovarparam.hpp> Inherited by LfmCovarianceProxy, and LfmHullWhiteParameterization. Public Member Functions LfmCovarianceParameterization (Size size, Size factors) Size size () const Size factors () const virtual Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const =0 virtual Disposable< Matrix > covariance (Time t, const Array &x=Null<…

QuantLib::Bond – Base bond class. Synopsis #include <ql/instruments/bond.hpp> Inherits QuantLib::Instrument. Inherited by AmortizingCmsRateBond, AmortizingFixedRateBond, AmortizingFloatingRateBond, CallableBond, CmsRateBond, ConvertibleBond, FixedRateBond, FloatingRateBond, and ZeroCouponBond. Public Member Functions Bond (Natural settlementDays, const Calendar &calendar, const Date &issueDate=Date(), const Leg &coupons=Leg()) constructor for amortizing or non-amortizing bonds. Bond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &maturityDate, const…

NAME fabs, fabsf, fabsl – absolute value of floating-point number SYNOPSIS #include <math.h> double fabs(double x); float fabsf(float x); long double fabsl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): fabsf(), fabsl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION These functions return the absolute value of the…

NAME fabs, fabsf, fabsl – absolute value of floating-point number SYNOPSIS #include <math.h> double fabs(double x); float fabsf(float x); long double fabsl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): fabsf(), fabsl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION These functions return the absolute value of the…