Linux Manuals

QuantLib::YearOnYearInflationSwap – Year-on-year inflation-indexed swap. Synopsis void setupExpired () const void performCalculations () const Protected Attributes Inherits QuantLib::InflationSwap. Public Member Functions void setupExpired () const void performCalculations () const Protected Attributes Instrument interface bool isExpired () const returns whether the instrument is still tradable. InflationSwap interface void setupExpired () const void performCalculations () const Protected…

QuantLib::YearOnYearInflationSwap – Year-on-year inflation-indexed swap. Synopsis void setupExpired () const void performCalculations () const Protected Attributes Inherits QuantLib::InflationSwap. Public Member Functions void setupExpired () const void performCalculations () const Protected Attributes Instrument interface bool isExpired () const returns whether the instrument is still tradable. InflationSwap interface void setupExpired () const void performCalculations () const Protected…

QuantLib::HaganPricer – CMS-coupon pricer. Synopsis 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 () const void setMeanReversion (const Handle< Quote > &meanReversion) Protected Member Functions HaganPricer…

QuantLib::PricingPeriod – Time pricingperiod described by a number of a given time unit. Synopsis #include <ql/experimental/commodities/pricingperiod.hpp> Inherits QuantLib::DateInterval. Public Member Functions PricingPeriod (const Date &startDate, const Date &endDate, const Date &paymentDate, const Quantity &quantity) const Date & paymentDate () const const Quantity & quantity () const Detailed Description Time pricingperiod described by a number of…

QuantLib::ZciisInflationHelper – Zero-coupon inflation-swap bootstrap helper. Synopsis #include <ql/termstructures/inflation/inflationhelpers.hpp> Inherits BootstrapHelper< ZeroInflationTermStructure >. Public Member Functions ZciisInflationHelper (const Handle< Quote > &quote, const Period &lag, const Date &maturity, Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dayCounter, Frequency frequency) void setTermStructure (ZeroInflationTermStructure *) sets the term structure to be used for pricing Real impliedQuote…

QuantLib::VanillaSwap – Plain-vanilla swap. Synopsis 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, const boost::shared_ptr<IborIndex> &iborIndex, Spread spread, const DayCounter &floatingDayCount, BusinessDayConvention paymentConvention = Following) Real fixedLegBPS() const Real fixedLegNPV() const Rate fairRate() const Real…

QuantLib::Swap – Interest rate swap. Synopsis void setupExpired () const Protected Attributes Inherits QuantLib::Instrument. Inherited by AssetSwap, BMASwap, and VanillaSwap. Public Member Functions Constructors Swap (const Leg &firstLeg, const Leg &secondLeg) Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer) Instrument interface bool isExpired () const returns whether the instrument is still tradable….

QuantLib::EnergyVanillaSwap – Vanilla energy swap. Synopsis void performCalculations () const Protected Attributes Inherits QuantLib::EnergySwap. Public Member Functions EnergyVanillaSwap (bool payer, const Calendar &calendar, const Money &fixedPrice, const UnitOfMeasure &fixedPriceUnitOfMeasure, const boost::shared_ptr< CommodityIndex > &index, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure >…

QuantLib::EnergyVanillaSwap – Vanilla energy swap. Synopsis void performCalculations () const Protected Attributes Inherits QuantLib::EnergySwap. Public Member Functions EnergyVanillaSwap (bool payer, const Calendar &calendar, const Money &fixedPrice, const UnitOfMeasure &fixedPriceUnitOfMeasure, const boost::shared_ptr< CommodityIndex > &index, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure >…

QuantLib::EnergyBasisSwap – Energy basis swap. Synopsis void performCalculations () const Protected Attributes Inherits QuantLib::EnergySwap. Public Member Functions EnergyBasisSwap (const Calendar &calendar, const boost::shared_ptr< CommodityIndex > &spreadIndex, const boost::shared_ptr< CommodityIndex > &payIndex, const boost::shared_ptr< CommodityIndex > &receiveIndex, bool spreadToPayLeg, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityUnitCost &basis, const CommodityType &commodityType, const boost::shared_ptr<…

QuantLib::EnergyBasisSwap – Energy basis swap. Synopsis void performCalculations () const Protected Attributes Inherits QuantLib::EnergySwap. Public Member Functions EnergyBasisSwap (const Calendar &calendar, const boost::shared_ptr< CommodityIndex > &spreadIndex, const boost::shared_ptr< CommodityIndex > &payIndex, const boost::shared_ptr< CommodityIndex > &receiveIndex, bool spreadToPayLeg, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityUnitCost &basis, const CommodityType &commodityType, const boost::shared_ptr<…

QuantLib::EnergyBasisSwap – Energy basis swap. Synopsis void performCalculations () const Protected Attributes Inherits QuantLib::EnergySwap. Public Member Functions EnergyBasisSwap (const Calendar &calendar, const boost::shared_ptr< CommodityIndex > &spreadIndex, const boost::shared_ptr< CommodityIndex > &payIndex, const boost::shared_ptr< CommodityIndex > &receiveIndex, bool spreadToPayLeg, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityUnitCost &basis, const CommodityType &commodityType, const boost::shared_ptr<…

QuantLib::AssetSwap – Bullet bond vs Libor swap. Synopsis 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(), const DayCounter &floatingDayCount=DayCounter(), bool parAssetSwap=true) Spread fairSpread () const Real floatingLegBPS () const Real fairPrice () const Spread spread () const Real…

Design patterns – Classes class Composite< T > Composite pattern. class CuriouslyRecurringTemplate< Impl > Support for the curiously recurring template pattern. class LazyObject Framework for calculation on demand and result caching. class Observable Object that notifies its changes to a set of observables. class Observer Object that gets notified when a given observable changes. class…

QuantLib::LongstaffSchwartzPathPricer – Longstaff-Schwarz path pricer for early exercise options. Synopsis #include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp> Inherits PathPricer< PathType >. Public Types typedef EarlyExerciseTraits< PathType >::StateType StateType Public Member Functions LongstaffSchwartzPathPricer (const TimeGrid &times, const boost::shared_ptr< EarlyExercisePathPricer< PathType > > &, const boost::shared_ptr< YieldTermStructure > &termStructure) Real operator() (const PathType &path) const virtual void calibrate () Protected Attributes bool…

libpathplan – finds and smooths shortest paths Synopsis #include <graphviz/pathplan.h> typedef struct Pxy_t { double x, y; } Pxy_t; typedef struct Pxy_t Ppoint_t; typedef struct Pxy_t Pvector_t; typedef struct Ppoly_t { Ppoint_t *ps; int pn; } Ppoly_t; typedef Ppoly_t Ppolyline_t; typedef struct Pedge_t { Ppoint_t a, b; } Pedge_t; typedef struct vconfig_s vconfig_t; #define POLYID_NONE…

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 in…

QuantLib::SingleVariate – default Monte Carlo traits for single-variate models Synopsis enum { allowsErrorEstimate = RNG::allowsErrorEstimate } typedef RNG rng_traits typedef Path path_type typedef PathPricer< path_type > path_pricer_type typedef RNG::rsg_type rsg_type typedef PathGenerator< rsg_type > path_generator_type Public Types enum { allowsErrorEstimate = RNG::allowsErrorEstimate } typedef RNG rng_traits typedef Path path_type typedef PathPricer< path_type > path_pricer_type typedef…

path_to_handle, path_to_fshandle, fd_to_handle, handle_to_fshandle, open_by_handle, readlink_by_handle, attr_multi_by_handle, attr_list_by_handle, fssetdm_by_handle, free_handle, getparents_by_handle, getparentpaths_by_handle – file handle operations C Synopsis #include <sys/types.h> #include <xfs/handle.h> int path_to_handle(char *path, void **hanp, size_t *hlen); int path_to_fshandle(char *path, void **hanp, size_t *hlen); int fd_to_handle(int fd, void **hanp, size_t *hlen); int handle_to_fshandle(void *hanp, size_t hlen, void **fshanp, size_t *fshlen); int open_by_handle(void *hanp,…

QuantLib::MCPathBasketEngine – Pricing engine for path dependent basket options using Monte Carlo simulation. Synopsis #include <ql/experimental/mcbasket/mcpathbasketengine.hpp> Inherits QuantLib::PathMultiAssetOption::engine, and McSimulation< MultiVariate, RNG, S >. Public Types typedef McSimulation< MultiVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< MultiVariate, RNG, S >::stats_type stats_type Public Member Functions MCPathBasketEngine (Size timeSteps, bool brownianBridge,…