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NAME mbsrtowcs – convert a multibyte string to a wide-character string SYNOPSIS #include <wchar.h> size_t mbsrtowcs(wchar_t *dest, const char **src, size_t len, mbstate_t *ps); DESCRIPTION If dest is not NULL, the mbsrtowcs() function converts the multibyte string *src to a wide-character string starting at dest. At most len wide characters are written to dest. The…
NAME mbsnrtowcs – convert a multibyte string to a wide-character string SYNOPSIS #include <wchar.h> size_t mbsnrtowcs(wchar_t *dest, const char **src, size_t nms, size_t len, mbstate_t *ps); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): mbsnrtowcs(): Since glibc 2.10: _POSIX_C_SOURCE >= 200809L Before glibc 2.10: _GNU_SOURCE DESCRIPTION The mbsnrtowcs() function is like the mbsrtowcs(3) function, except that the…
NAME mbsinit – test for initial shift state SYNOPSIS #include <wchar.h> int mbsinit(const mbstate_t *ps); DESCRIPTION Character conversion between the multibyte representation and the wide character representation uses conversion state, of type mbstate_t. Conversion of a string uses a finite-state machine; when it is interrupted after the complete conversion of a number of characters, it…
NAME mbrtowc – convert a multibyte sequence to a wide character SYNOPSIS #include <wchar.h> size_t mbrtowc(wchar_t *pwc, const char *s, size_t n, mbstate_t *ps); DESCRIPTION The main case for this function is when s is not NULL and pwc is not NULL. In this case, the mbrtowc() function inspects at most n bytes of the…
NAME mbrlen – determine number of bytes in next multibyte character SYNOPSIS #include <wchar.h> size_t mbrlen(const char *s, size_t n, mbstate_t *ps); DESCRIPTION The mbrlen() function inspects at most n bytes of the multibyte string starting at s and extracts the next complete multibyte character. It updates the shift state *ps. If the multibyte character…
NAME ibv_rate_to_mbps – convert IB rate enumeration to Mbit/sec mbps_to_ibv_rate – convert Mbit/sec to an IB rate enumeration SYNOPSIS #include <infiniband/verbs.h> int ibv_rate_to_mbps(enum ibv_rate rate); enum ibv_rate mbps_to_ibv_rate(int mbps); DESCRIPTION ibv_rate_to_mbps() converts the IB transmission rate enumeration rate to a number of Mbit/sec. For example, if rate is IBV_RATE_5_GBPS, the value 5000 will be returned…
NAME mblen – determine number of bytes in next multibyte character SYNOPSIS #include <stdlib.h> int mblen(const char *s, size_t n); DESCRIPTION If s is not NULL, the mblen() function inspects at most n bytes of the multibyte string starting at s and extracts the next complete multibyte character. It uses a static anonymous shift state…
QuantLib::AbcdFunction – Abcd functional form for instantaneous volatility Synopsis#include <ql/termstructures/volatility/abcd.hpp> Inherits std::unary_function<Real, Real>. Public Member FunctionsAbcdFunction (Real a=-0.06, Real b=0.17, Real c=0.54, Real d=0.17) Real operator() (Time u) const volatility function value at time u: [ f(u) ] Real maximumLocation () const time at which the volatility function reaches maximum (if any) Real maximumVolatility ()…
QuantLib::AbcdFunction – Abcd functional form for instantaneous volatility Synopsis#include <ql/termstructures/volatility/abcd.hpp> Inherits std::unary_function<Real, Real>. Public Member FunctionsAbcdFunction (Real a=-0.06, Real b=0.17, Real c=0.54, Real d=0.17) Real operator() (Time u) const volatility function value at time u: [ f(u) ] Real maximumLocation () const time at which the volatility function reaches maximum (if any) Real maximumVolatility ()…
NAME QuantLib::LossDist – Probability formulas and algorithms. SYNOPSIS #include <ql/experimental/credit/lossdistribution.hpp> Inherited by LossDistBinomial, LossDistBucketing, LossDistHomogeneous, and LossDistMonteCarlo. Public Member Functions virtual Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const =0 virtual Size buckets () const =0 virtual Real maximum () const =0 Static Public Member Functions static Real binomialProbabilityOfNEvents (int…
NAME QuantLib::OneFactorCopula – Abstract base class for one-factor copula models. SYNOPSIS #include <ql/experimental/credit/onefactorcopula.hpp> Inherits QuantLib::LazyObject. Inherited by OneFactorGaussianCopula, OneFactorGaussianStudentCopula, OneFactorStudentCopula, and OneFactorStudentGaussianCopula. Public Member Functions OneFactorCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) virtual Real density (Real m) const =0 Density function of M. virtual Real cumulativeZ (Real z) const =0 Cumulative distribution…
QuantLib::HazardRate – Hazard-rate-curve traits. Synopsis#include <ql/termstructures/credit/probabilitytraits.hpp> Public Typestypedef BootstrapHelper< DefaultProbabilityTermStructure > helper Static Public Member Functionsstatic Date initialDate (const DefaultProbabilityTermStructure *c) static Real initialValue (const DefaultProbabilityTermStructure *) static bool dummyInitialValue () static Real initialGuess () static Real guess (const DefaultProbabilityTermStructure *c, const Date &d) static Real minValueAfter (Size, const std::vector< Real > &) static Real…
QuantLib::MCDiscreteAveragingAsianEngine – Pricing engine for discrete average Asians using Monte Carlo simulation. Synopsis#include <ql/pricingengines/asian/mcdiscreteasianengine.hpp> Inherits QuantLib::DiscreteAveragingAsianOption::engine, and McSimulation< SingleVariate, RNG, S >. Public Typestypedef McSimulation< SingleVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< SingleVariate, RNG, S >::stats_type stats_type Public Member FunctionsMCDiscreteAveragingAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepsPerYear, bool…
QuantLib::SabrVolSurface – SABR volatility (smile) surface. Synopsis#include <ql/experimental/volatility/sabrvolsurface.hpp> Inherits QuantLib::InterestRateVolSurface. Public Member FunctionsSabrVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Handle< BlackAtmVolCurve > &, const std::vector< Period > &optionTenors, const std::vector< Spread > &atmRateSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads) const Handle< BlackAtmVolCurve > & atmCurve () const std::vector< Volatility > volatilitySpreads (const…
QuantLib::ConstantSwaptionVolatility – Constant swaption volatility, no time-strike dependence. Synopsis#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp> Inherits QuantLib::SwaptionVolatilityStructure. Public Member FunctionsConstantSwaptionVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) floating reference date, floating market data ConstantSwaptionVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) fixed reference…
QuantLib::SwaptionVolatilityStructure – Swaption-volatility structure Synopsis#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by ConstantSwaptionVolatility, SpreadedSwaptionVolatility, and SwaptionVolatilityDiscrete. Public Member FunctionsTime swapLength (const Period &swapTenor) const implements the conversion between swap tenor and swap (time) length Time swapLength (const Date &start, const Date &end) const implements the conversion between swap dates and swap (time) length Constructors See the TermStructure…
QuantLib::CallableBondConstantVolatility – Constant callable-bond volatility, no time-strike dependence. Synopsis#include <ql/experimental/callablebonds/callablebondconstantvol.hpp> Inherits QuantLib::CallableBondVolatilityStructure. Public Member FunctionsCallableBondConstantVolatility (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter) CallableBondConstantVolatility (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter) CallableBondConstantVolatility (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) CallableBondConstantVolatility (Natural settlementDays, const Calendar &, const Handle< Quote…
QuantLib::EndCriteria – Criteria to end optimization process:. Synopsis#include <ql/math/optimization/endcriteria.hpp> Public Typesenum Type { None, MaxIterations, StationaryPoint, StationaryFunctionValue, StationaryFunctionAccuracy, ZeroGradientNorm, Unknown } Public Member FunctionsEndCriteria (Size maxIterations, Size maxStationaryStateIterations, Real rootEpsilon, Real functionEpsilon, Real gradientNormEpsilon) Initialization constructor. Size maxIterations () const Size maxStationaryStateIterations () const Real rootEpsilon () const Real functionEpsilon () const Real gradientNormEpsilon ()…
QuantLib::EndCriteria – Criteria to end optimization process:. Synopsis#include <ql/math/optimization/endcriteria.hpp> Public Typesenum Type { None, MaxIterations, StationaryPoint, StationaryFunctionValue, StationaryFunctionAccuracy, ZeroGradientNorm, Unknown } Public Member FunctionsEndCriteria (Size maxIterations, Size maxStationaryStateIterations, Real rootEpsilon, Real functionEpsilon, Real gradientNormEpsilon) Initialization constructor. Size maxIterations () const Size maxStationaryStateIterations () const Real rootEpsilon () const Real functionEpsilon () const Real gradientNormEpsilon ()…
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 Typestypedef 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 FunctionsMCPathBasketEngine (Size timeSteps, bool brownianBridge, bool antitheticVariate, bool…