Linux Manuals

QuantLib::MarketModelMultiProduct – market-model product Synopsis#include <ql/models/marketmodels/multiproduct.hpp> Inherited by CallSpecifiedMultiProduct, MarketModelCashRebate, MarketModelComposite, MultiProductMultiStep, and MultiProductOneStep. Public Member Functionsvirtual std::vector< Size > suggestedNumeraires () const =0 virtual const EvolutionDescription & evolution () const =0 virtual std::vector< Time > possibleCashFlowTimes () const =0 virtual Size numberOfProducts () const =0 virtual Size maxNumberOfCashFlowsPerProductPerStep () const =0 virtual void reset…

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::EurodollarFuturesImpliedStdDevQuote – quote for the Eurodollar-future implied standard deviation Synopsis#include <ql/quotes/eurodollarfuturesquote.hpp> Inherits QuantLib::Quote, and QuantLib::LazyObject. Public Member FunctionsEurodollarFuturesImpliedStdDevQuote (const Handle< Quote > &forward, const Handle< Quote > &callPrice, const Handle< Quote > &putPrice, Real strike, Real guess=.15, Real accuracy=1.0e-6, Natural maxIter=100) Quote interface Real value () const returns the current value bool isValid () const…

QuantLib::Solver1D – Base class for 1-D solvers. Synopsis#include <ql/math/solver1d.hpp> Inherits CuriouslyRecurringTemplate< Impl >. Public Member FunctionsModifiers template<class F > Real solve (const F &f, Real accuracy, Real guess, Real step) const template<class F > Real solve (const F &f, Real accuracy, Real guess, Real xMin, Real xMax) const void setMaxEvaluations (Size evaluations) void setLowerBound (Real…

QuantLib::AbcdAtmVolCurve – Abcd-interpolated at-the-money (no-smile) volatility curve. Synopsis#include <ql/experimental/volatility/abcdatmvolcurve.hpp> Inherits QuantLib::BlackAtmVolCurve, and QuantLib::LazyObject. Public Member FunctionsAbcdAtmVolCurve (Natural settlementDays, const Calendar &cal, const std::vector< Period > &optionTenors, const std::vector< Handle< Quote > > &volsHandles, const std::vector< bool > inclusionInInterpolationFlag=std::vector< bool >(1, true), BusinessDayConvention bdc=Following, const DayCounter &dc=Actual365Fixed()) floating reference date, floating market data std::vector< Real >…

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::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::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…

NAME QuantLib::GeneralStatistics – Statistics tool. SYNOPSIS #include <ql/math/statistics/generalstatistics.hpp> Public Types typedef Real value_type Public Member Functions Inspectors Size samples () const number of samples collected const std::vector< std::pair< Real, Real > > & data () const collected data Real weightSum () const sum of data weights Real mean () const Real variance () const Real…

NAME 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 ()…

QuantLib::VarianceOption – Variance option. Synopsis#include <ql/experimental/varianceoption/varianceoption.hpp> Inherits QuantLib::Instrument. Classesclass arguments Arguments for forward fair-variance calculation class engine base class for variance-option engines class results Results from variance-option calculation Public Member FunctionsVarianceOption (const boost::shared_ptr< Payoff > &payoff, Real notional, const Date &startDate, const Date &maturityDate) void setupArguments (PricingEngine::arguments *args) const Instrument interface bool isExpired () const…

QuantLib::CashFlows – cashflow-analysis functions Synopsis#include <ql/cashflows/cashflows.hpp> Static Public Member Functionsstatic Leg::const_iterator previousCashFlow (const Leg &leg, Date refDate=Date()) static Leg::const_iterator nextCashFlow (const Leg &leg, Date refDate=Date()) static Rate previousCouponRate (const Leg &leg, const Date &refDate=Date()) static Rate nextCouponRate (const Leg &leg, const Date &refDate=Date()) static Date startDate (const Leg &leg) static Date maturityDate (const Leg &leg)…

NAME QuantLib::HestonModelHelper – calibration helper for Heston model SYNOPSIS #include <ql/models/equity/hestonmodelhelper.hpp> Inherits QuantLib::CalibrationHelper. Public Member Functions HestonModelHelper (const Period &maturity, const Calendar &calendar, const Real s0, const Real strikePrice, const Handle< Quote > &volatility, const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, bool calibrateVolatility=false) void addTimesTo (std::list< Time > &) const Real modelValue…

NAME matrix_mul, matrix_mul_f – Multiplies two matrices. Allegro game programming library. SYNOPSIS #include <allegro.h> void matrix_mul(const MATRIX *m1, const MATRIX *m2, MATRIX *out); void matrix_mul_f(const MATRIX_f *m1, const MATRIX_f *m2, MATRIX_f *out); DESCRIPTION Multiplies two matrices, storing the result in out (this may be a duplicate of one of the input matrices, but it is…

NAME matrix_mul, matrix_mul_f – Multiplies two matrices. Allegro game programming library. SYNOPSIS #include <allegro.h> void matrix_mul(const MATRIX *m1, const MATRIX *m2, MATRIX *out); void matrix_mul_f(const MATRIX_f *m1, const MATRIX_f *m2, MATRIX_f *out); DESCRIPTION Multiplies two matrices, storing the result in out (this may be a duplicate of one of the input matrices, but it is…

NAME matherr – SVID math library exception handling SYNOPSIS #include <math.h> int matherr(struct exception *exc); extern _LIB_VERSION_TYPE _LIB_VERSION; Link with -lm. DESCRIPTION Note: the mechanism described in this page is no longer supported by glibc. Before glibc 2.27, it had been marked as obsolete. Since glibc 2.27, the mechanism has been removed altogether. New applications…

NAME Math tools – Math facilities of the library include: Pseudo-random number and low-discrepancy sequence generators Implementations of pseudo-random number and low-discrepancy sequence generators. They share the ql/RandomNumbers directory. One-dimensional solvers The abstract class QuantLib::Solver1D provides the interface for one-dimensional solvers which can find the zeroes of a given function. A number of such solvers…

NAME matchpathcon, matchpathcon_index – get the default SELinux security context for the specified path from the file contexts configuration SYNOPSIS #include <selinux/selinux.h> int matchpathcon_init(const char *path); int matchpathcon_init_prefix(const char *path, const char *prefix); int matchpathcon_fini(void); int matchpathcon(const char *path, mode_t mode, char **con); int matchpathcon_index(const char *name, mode_t mode, char **con); DESCRIPTION This family of…

NAME matchpathcon, matchpathcon_index – get the default SELinux security context for the specified path from the file contexts configuration SYNOPSIS #include <selinux/selinux.h> int matchpathcon_init(const char *path); int matchpathcon_init_prefix(const char *path, const char *prefix); int matchpathcon_fini(void); int matchpathcon(const char *path, mode_t mode, char **con); int matchpathcon_index(const char *name, mode_t mode, char **con); DESCRIPTION This family of…