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NAME mem_d – AA-lib memory driver. SYNOPSIS #include <aalib.h> extern const struct aa_driver mem_d; DESCRIPTION Used to render ascii-art images into memory. You might use this driver to render images into memory and then use your own routines to handle them in case you want to avoid AA-lib’s output mechanizms. SEE ALSO save_d(3), aa_help(3), aa_formats(3),…
QuantLib::HaganPricer – CMS-coupon pricer. Synopsis#include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::CmsCouponPricer. Inherited by AnalyticHaganPricer, and NumericHaganPricer. Public Member Functionsvirtual 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…
QuantLib::HaganPricer – CMS-coupon pricer. Synopsis#include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::CmsCouponPricer. Inherited by AnalyticHaganPricer, and NumericHaganPricer. Public Member Functionsvirtual 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…
NAME QuantLib::StatsHolder – Helper class for precomputed distributions. SYNOPSIS #include <ql/math/statistics/gaussianstatistics.hpp> Public Types typedef Real value_type Public Member Functions StatsHolder (Real mean, Real standardDeviation) Real mean () const Real standardDeviation () const Detailed Description Helper class for precomputed distributions. Author Generated automatically by Doxygen for QuantLib from the source code. Index
NAME ql/methods/montecarlo/mctraits.hpp – Monte Carlo policies. SYNOPSIS #include <ql/methods/montecarlo/pathgenerator.hpp> #include <ql/methods/montecarlo/multipathgenerator.hpp> #include <ql/methods/montecarlo/pathpricer.hpp> #include <ql/math/randomnumbers/rngtraits.hpp> Classes struct SingleVariate< RNG > default Monte Carlo traits for single-variate models struct MultiVariate< RNG > default Monte Carlo traits for multi-variate models Detailed Description Monte Carlo policies. Author Generated automatically by Doxygen for QuantLib from the source code. Index
NAME libmcrypt – encryption/decryption library SYNOPSIS [see also mcrypt.h for more information] DESCRIPTION The libmcrypt is a data encryption library. The library is thread safe and provides encryption and decryption functions. This version of the library supports many encryption algorithms and encryption modes. Some algorithms which are supported: SERPENT, RIJNDAEL, 3DES, GOST, SAFER+, CAST-256, RC2,…
NAME ql/pricingengines/capfloor/mchullwhiteengine.hpp – Monte Carlo Hull-White engine for cap/floors. SYNOPSIS #include <ql/instruments/capfloor.hpp> #include <ql/pricingengines/mcsimulation.hpp> #include <ql/processes/hullwhiteprocess.hpp> #include <ql/models/shortrate/onefactormodels/hullwhite.hpp> Classes class MCHullWhiteCapFloorEngine< RNG, S > Monte Carlo Hull-White engine for cap/floors. class MakeMCHullWhiteCapFloorEngine< RNG, S > Monte Carlo Hull-White cap-floor engine factory. Detailed Description Monte Carlo Hull-White engine for cap/floors. Author Generated automatically by Doxygen for…
NAME ql/pricingengines/vanilla/mchestonhullwhiteengine.hpp – Monte Carlo vanilla option engine for stochastic interest rates. SYNOPSIS #include <ql/processes/hestonprocess.hpp> #include <ql/processes/hullwhiteprocess.hpp> #include <ql/processes/hybridhestonhullwhiteprocess.hpp> #include <ql/pricingengines/vanilla/mcvanillaengine.hpp> #include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp> Detailed Description Monte Carlo vanilla option engine for stochastic interest rates. Author Generated automatically by Doxygen for QuantLib from the source code. Index
NAME mcheck, mcheck_check_all, mcheck_pedantic, mprobe – heap consistency checking SYNOPSIS #include <mcheck.h> int mcheck(void (*abortfunc)(enum mcheck_status mstatus)); int mcheck_pedantic(void (*abortfunc)(enum mcheck_status mstatus)); void mcheck_check_all(void); enum mcheck_status mprobe(void *ptr); DESCRIPTION The mcheck() function installs a set of debugging hooks for the malloc(3) family of memory-allocation functions. These hooks cause certain consistency checks to be performed on…
NAME mcheck, mcheck_check_all, mcheck_pedantic, mprobe – heap consistency checking SYNOPSIS #include <mcheck.h> int mcheck(void (*abortfunc)(enum mcheck_status mstatus)); int mcheck_pedantic(void (*abortfunc)(enum mcheck_status mstatus)); void mcheck_check_all(void); enum mcheck_status mprobe(void *ptr); DESCRIPTION The mcheck() function installs a set of debugging hooks for the malloc(3) family of memory-allocation functions. These hooks cause certain consistency checks to be performed on…
NAME mcheck, mcheck_check_all, mcheck_pedantic, mprobe – heap consistency checking SYNOPSIS #include <mcheck.h> int mcheck(void (*abortfunc)(enum mcheck_status mstatus)); int mcheck_pedantic(void (*abortfunc)(enum mcheck_status mstatus)); void mcheck_check_all(void); enum mcheck_status mprobe(void *ptr); DESCRIPTION The mcheck() function installs a set of debugging hooks for the malloc(3) family of memory-allocation functions. These hooks cause certain consistency checks to be performed on…
NAME ql/pricingengines/asian/mcdiscreteasianengine.hpp – Monte Carlo pricing engine for discrete average Asians. SYNOPSIS #include <ql/pricingengines/mcsimulation.hpp> #include <ql/instruments/asianoption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classes class MCDiscreteAveragingAsianEngine< RNG, S > Pricing engine for discrete average Asians using Monte Carlo simulation. Detailed Description Monte Carlo pricing engine for discrete average Asians. Author Generated automatically by Doxygen for QuantLib from the source code….
NAME Monte Carlo framework – Classes class BrownianBridge Builds Wiener process paths using Gaussian variates. class EarlyExercisePathPricer< PathType, TimeType, ValueType > base class for early exercise path pricers class LongstaffSchwartzPathPricer< PathType > Longstaff-Schwarz path pricer for early exercise options. class MonteCarloModel< MC, RNG, S > General-purpose Monte Carlo model for path samples. class MultiPath Correlated…
NAME QuantLib::MonteCarloModel – General-purpose Monte Carlo model for path samples. SYNOPSIS #include <ql/methods/montecarlo/montecarlomodel.hpp> Public Types typedef MC< RNG > mc_traits typedef RNG rng_traits typedef MC< RNG >::path_generator_type path_generator_type typedef MC< RNG >::path_pricer_type path_pricer_type typedef path_generator_type::sample_type sample_type typedef path_pricer_type::result_type result_type typedef S stats_type Public Member Functions MonteCarloModel (const boost::shared_ptr< path_generator_type > &pathGenerator, const boost::shared_ptr< path_pricer_type >…
NAME ql/pricingengines/asian/mc_discr_geom_av_price.hpp – Monte Carlo engine for discrete geometric average price Asian. SYNOPSIS #include <ql/pricingengines/asian/mcdiscreteasianengine.hpp> #include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp> #include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp> #include <ql/exercise.hpp> Classes class MCDiscreteGeometricAPEngine< RNG, S > Monte Carlo pricing engine for discrete geometric average price Asian. Detailed Description Monte Carlo engine for discrete geometric average price Asian. Author Generated automatically by Doxygen for QuantLib…
NAME ql/pricingengines/asian/mc_discr_arith_av_strike.hpp – Monte Carlo engine for discrete arithmetic average-strike Asian. SYNOPSIS #include <ql/pricingengines/asian/mcdiscreteasianengine.hpp> #include <ql/exercise.hpp> Classes class MCDiscreteArithmeticASEngine< RNG, S > Monte Carlo pricing engine for discrete arithmetic average-strike Asian. Detailed Description Monte Carlo engine for discrete arithmetic average-strike Asian. Author Generated automatically by Doxygen for QuantLib from the source code. Index
NAME ql/pricingengines/asian/mc_discr_arith_av_price.hpp – Monte Carlo engine for discrete arithmetic average price Asian. SYNOPSIS #include <ql/pricingengines/asian/mc_discr_geom_av_price.hpp> #include <ql/pricingengines/asian/analytic_discr_geom_av_price.hpp> #include <ql/exercise.hpp> Classes class MCDiscreteArithmeticAPEngine< RNG, S > Monte Carlo pricing engine for discrete arithmetic average price Asian. Detailed Description Monte Carlo engine for discrete arithmetic average price Asian. Author Generated automatically by Doxygen for QuantLib from the…
QuantLib::McPricer – base class for Monte Carlo pricers Synopsis#include <ql/legacy/pricers/mcpricer.hpp> Public Member FunctionsReal value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const add samples until the required tolerance is reached Real valueWithSamples (Size samples, Size minSamples=1023) const simulate a fixed number of samples Real errorEstimate () const estimated error of the samples simulated so far const…
NAME mbtowc – convert a multibyte sequence to a wide character SYNOPSIS #include <stdlib.h> int mbtowc(wchar_t *pwc, const char *s, size_t n); DESCRIPTION The main case for this function is when s is not NULL and pwc is not NULL. In this case, the mbtowc() function inspects at most n bytes of the multibyte string…
NAME mbstowcs – convert a multibyte string to a wide-character string SYNOPSIS #include <stdlib.h> size_t mbstowcs(wchar_t *dest, const char *src, size_t n); DESCRIPTION If dest is not NULL, the mbstowcs() function converts the multibyte string src to a wide-character string starting at dest. At most n wide characters are written to dest. The sequence of…