Linux Manuals

QuantLib::DiscretizedAsset – Discretized asset class used by numerical methods. Synopsis virtual void reset (Size size)=0 void preAdjustValues () void postAdjustValues () void adjustValues () virtual std::vector< Time > mandatoryTimes () const =0 Protected Member Functions Inherited by DiscretizedCallableFixedRateBond, DiscretizedCapFloor, DiscretizedConvertible, DiscretizedDiscountBond, DiscretizedOption, DiscretizedSwap, and DiscretizedVanillaOption. Public Member Functions inspectors Time time () const Time &…

QuantLib::CDO – collateralized debt obligation Synopsis 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 nBuckets, const Period &integrationStep=Period(10, Years)) Real nominal…

QuantLib::NthToDefault – N-th to default swap. Synopsis NthToDefault (Size n, const std::vector< Issuer > &basket, const Handle< OneFactorCopula > &copula, Protection::Side side, Real nominal, const Schedule &premiumSchedule, Rate premiumRate, const DayCounter &dayCounter, bool settlePremiumAccrual, const Handle< YieldTermStructure > &yieldTS, const Period &integrationStepSize, boost::shared_ptr< Claim > claim=boost::shared_ptr< Claim >()) bool isExpired () const returns whether the…

QuantLib::NumericHaganPricer – CMS-coupon pricer. Synopsis NumericHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion, Rate lowerLimit=0.0, Rate upperLimit=1.0, Real precision=1.0e-6) Real upperLimit () Real stdDeviations () Real integrate (Real a, Real b, const ConundrumIntegrand &Integrand) const virtual Real optionletPrice (Option::Type optionType, Rate strike) const virtual Real swapletPrice () const Real resetUpperLimit…

QuantLib::Rounding – basic rounding class Synopsis Rounding () default constructor Rounding (Integer precision, Type type=Closest, Integer digit=5) Decimal operator() (Decimal value) const perform rounding Inspectors Inherited by CeilingTruncation, ClosestRounding, DownRounding, FloorTruncation, and UpRounding. Public Types enum Type { None, Up, Down, Closest, Floor, Ceiling } rounding methods Public Member Functions Rounding () default constructor Rounding…

QuantLib::HybridHestonHullWhiteProcess – Hybrid Heston Hull-White stochastic process. Synopsis const boost::shared_ptr< HullWhite > hullWhiteModel_ const Real corrEquityShortRate_ const Time T_ DiscountFactor endDiscount_ Inherits QuantLib::JointStochasticProcess. Public Member Functions HybridHestonHullWhiteProcess (const boost::shared_ptr< HestonProcess > &hestonProcess, const boost::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Size factors) void preEvolve (Time t0, const Array &x0, Time dt, const Array &dw) const Disposable<…

QuantLib::DiscretizedAsset – Discretized asset class used by numerical methods. Synopsis virtual void reset (Size size)=0 void preAdjustValues () void postAdjustValues () void adjustValues () virtual std::vector< Time > mandatoryTimes () const =0 Protected Member Functions Inherited by DiscretizedCallableFixedRateBond, DiscretizedCapFloor, DiscretizedConvertible, DiscretizedDiscountBond, DiscretizedOption, DiscretizedSwap, and DiscretizedVanillaOption. Public Member Functions inspectors Time time () const Time &…

QuantLib::DiscretizedAsset – Discretized asset class used by numerical methods. Synopsis virtual void reset (Size size)=0 void preAdjustValues () void postAdjustValues () void adjustValues () virtual std::vector< Time > mandatoryTimes () const =0 Protected Member Functions Inherited by DiscretizedCallableFixedRateBond, DiscretizedCapFloor, DiscretizedConvertible, DiscretizedDiscountBond, DiscretizedOption, DiscretizedSwap, and DiscretizedVanillaOption. Public Member Functions inspectors Time time () const Time &…

pr29_strerror – API function Synopsis #include <pr29.h> const char *pr29_strerror(Pr29_rc rc); Arguments Pr29_rc rc an Pr29_rc return code. Description Convert a return code integer to a text string. This string can be used to output a diagnostic message to the user. Pr29_Success Successful operation. This value is guaranteed to always be zero, the remaining ones…

pr29_8z – API function Synopsis #include <pr29.h> int pr29_8z(const char *in); Arguments const char * in zero terminated input UTF-8 string. Description Check the input to see if it may be normalized into different strings by different NFKC implementations, due to an anomaly in the NFKC specifications. Return Value Returns the Pr29_rc value PR29_SUCCESS on…

pr29_4z – API function Synopsis #include <pr29.h> int pr29_4z(const uint32_t *in); Arguments const uint32_t * in zero terminated array of Unicode code points. Description Check the input to see if it may be normalized into different strings by different NFKC implementations, due to an anomaly in the NFKC specifications. Return Value Returns the Pr29_rc value…

pr29_4 – API function Synopsis #include <pr29.h> int pr29_4(const uint32_t *in, size_t len); Arguments const uint32_t * in input array with unicode code points. size_t len length of input array with unicode code points. Description Check the input to see if it may be normalized into different strings by different NFKC implementations, due to an…

pow, powf, powl – power functions Synopsis #include <math.h> double pow(double x, double y); float powf(float x, float y); long double powl(long double x, long double y); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): powf(), powl(): _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 value…

pow, powf, powl – power functions Synopsis #include <math.h> double pow(double x, double y); float powf(float x, float y); long double powl(long double x, long double y); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): powf(), powl(): _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 value…

ql/utilities/dataformatters.hpp – output manipulators Synopsis #include <ql/utilities/null.hpp> #include <ostream> Functions template<typename T > std::ostream & operator<< (std::ostream &, const null_checker< T > &) std::ostream & operator<< (std::ostream &, const ordinal_holder &) template<typename T > std::ostream & operator<< (std::ostream &, const power_of_two_holder< T > &) std::ostream & operator<< (std::ostream &, const percent_holder &) template<typename T >…

pow10, pow10f, pow10l – base-10 power functions Synopsis #define _GNU_SOURCE /* See feature_test_macros(7) */ #include <math.h> double pow10(double x); float pow10f(float x); long double pow10l(long double x); Link with -lm. Description These functions return the value of 10 raised to the power x. Note well: These functions perform exactly the same task as the functions…

pow10, pow10f, pow10l – base-10 power functions Synopsis #define _GNU_SOURCE /* See feature_test_macros(7) */ #include <math.h> double pow10(double x); float pow10f(float x); long double pow10l(long double x); Link with -lm. Description These functions return the value of 10 raised to the power x. Note well: These functions perform exactly the same task as the functions…

pow10, pow10f, pow10l – base-10 power functions Synopsis #define _GNU_SOURCE /* See feature_test_macros(7) */ #include <math.h> double pow10(double x); float pow10f(float x); long double pow10l(long double x); Link with -lm. Description These functions return the value of 10 raised to the power x. Note well: These functions perform exactly the same task as the functions…

pow, powf, powl – power functions Synopsis #include <math.h> double pow(double x, double y); float powf(float x, float y); long double powl(long double x, long double y); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): powf(), powl(): _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 value…

QuantLib::GenericRiskStatistics – empirical-distribution risk measures Synopsis #include <ql/math/statistics/riskstatistics.hpp> Inherits S. Public Types typedef S::value_type value_type Public Member Functions Real semiVariance () const Real semiDeviation () const Real downsideVariance () const Real downsideDeviation () const Real regret (Real target) const Real potentialUpside (Real percentile) const potential upside (the reciprocal of VAR) at a given percentile Real…