Linux Manuals

QuantLib::Actual365Fixed – Actual/365 (Fixed) day count convention. Synopsis#include <ql/time/daycounters/actual365fixed.hpp> Inherits QuantLib::DayCounter. Detailed DescriptionActual/365 (Fixed) day count convention. Warning According to ISDA, ‘Actual/365’ (without ‘Fixed’) is an alias for ‘Actual/Actual (ISDA)’ (see ActualActual.) If Actual/365 is not explicitly specified as fixed in an instrument specification, you might want to double-check its meaning. Examples: BermudanSwaption.cpp, Bonds.cpp, CDS.cpp,…

QuantLib::AccountingEngine – Engine collecting cash flows along a market-model simulation. Synopsis#include <ql/models/marketmodels/accountingengine.hpp> Public Member FunctionsAccountingEngine (const boost::shared_ptr< MarketModelEvolver > &evolver, const Clone< MarketModelMultiProduct > &product, Real initialNumeraireValue) void multiplePathValues (SequenceStatisticsInc &stats, Size numberOfPaths) Detailed DescriptionEngine collecting cash flows along a market-model simulation. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::AbcdVol – Abcd-interpolated volatility structure Synopsis#include <ql/models/marketmodels/models/abcdvol.hpp> Inherits QuantLib::MarketModel. Public Member FunctionsAbcdVol (Real a, Real b, Real c, Real d, const std::vector< Real > &ks, const boost::shared_ptr< PiecewiseConstantCorrelation > &corr, const EvolutionDescription &evolution, const Size numberOfFactors, const std::vector< Rate > &initialRates, const std::vector< Spread > &displacements) MarketModel interface const std::vector< Rate > & initialRates ()…

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::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::AUDLibor – AUD LIBOR rate Synopsis#include <ql/indexes/ibor/audlibor.hpp> Inherits QuantLib::Libor. Public Member FunctionsAUDLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionAUD LIBOR rate Australian Dollar LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib – Introduction QuantLib ( http://quantlib.org/) is a C++ library for financial quantitative analysts and developers. QuantLib is Non-Copylefted Free Software released under the modified BSD License. It is also OSI Certified Open Source Software. OSI Certified is a certification mark of the Open Source Initiative. QuantLib is free software and you are allowed to…

QmcSource – manages contexts created by all groups C++ Synopsis #include <QmcSource.h> CC … -lqmc -lpcp DescriptionThe QmcSource class maintains a unique list of all metric sources in use to minimize the creation of new contexts (see pmNewContext(3)) when the context could have been duplicated (see pmDupContext(3)). This also reduces the duplication of descriptions of…

QmcMetric – container for a metric and all its values C++ Synopsis #include <pcp/pmc/Metric.h> CC … -lpcp_pmc -lpcp DescriptionA QmcMetric object is a container for a single metric and all its values. The QmcMetricValue structure is used to hold the instance index, values and errors of each instance. In the case of a singular metric,…

QmcIndom – container for a instance domain description C++ Synopsis #include <QmcIndom.h> CC … -lqmc -lpcp DescriptionA QmcIndom object represents a PMAPI(3) instance domain. This includes a description of all the instances in the instance domain. A QmcInstance is a structure used to describe each instance in the instance domain. This includes: – internal identifier….

QmcGroup – container representing a single fetch group of metrics from multiple sources C++ Synopsis #include <QmcGroup.h> CC … -lqmc -lpcp DescriptionA QmcGroup object is a container for contexts and metrics that should be fetched at the same time. The class manages the QmcContext(3) objects, timezones and bounds for every context created with QmcGroup::use and…

QmcDesc – container for a metric description C++ Synopsis #include <QmcDesc.h> CC … -lqmc -lpcp DescriptionA QmcDesc object is a container for a metric descriptor (pmDesc, see PMAPI(3)) and units. CONSTRUCTORS & DESTRUCTOR~QmcDesc(); Destructor. QmcDesc(pmID pmid); Construct a container for the descriptor for pmid. The descriptor is obtained from the current PMAPI(3) context using pmLookupDesc(3).Descriptionint…

QmcContext – container for a PMAPI context and its metrics C++ Synopsis #include <QmcContext.h> CC … -lqmc -lpcp DescriptionA QmcContext object is a container for a single PMAPI(3) context. The object maintains a list of all the metric descriptors (QmcDesc), instance domains (QmcIndom) and metrics (QmcMetric) using the context to minimize the duplication of these…

QMC – library for managing groups of Performance Co-Pilot metrics C++ Synopsis #include <QMC.h> CC … -lqmc -lpcp DescriptionThe Qt-based Performance Metrics Class (QMC) class library is a collection of C++ classes for managing a large set of performance metrics from a variety of sources. This library is built over PMAPI(3). See AlsoPMAPI(3), QmcContext(3), QmcDesc(3),…

AllPlanes, BlackPixel, WhitePixel, ConnectionNumber, DefaultColormap, DefaultDepth, XListDepths, DefaultGC, DefaultRootWindow, DefaultScreenOfDisplay, DefaultScreen, DefaultVisual, DisplayCells, DisplayPlanes, DisplayString, XMaxRequestSize, XExtendedMaxRequestSize, LastKnownRequestProcessed, NextRequest, ProtocolVersion, ProtocolRevision, QLength, RootWindow, ScreenCount, ScreenOfDisplay, ServerVendor, VendorRelease – Display macros and functions Syntaxunsigned long AllPlanes; unsigned long BlackPixel(Display *display, int screen_number); unsigned long WhitePixel(Display *display, int screen_number); int ConnectionNumber(Display *display); Colormap DefaultColormap(Display *display, int screen_number);…

ql/qldefines.hpp – Global definitions and compiler switches. Synopsis#include <boost/config.hpp> #include <boost/version.hpp> #include <ql/config.ansi.hpp> #include <cmath> #include <boost/limits.hpp> Defines#define BOOST_ENABLE_ASSERT_HANDLER #define QL_INTEGER int #define QL_BIG_INTEGER long #define QL_REAL double #define QL_VERSION ‘0.9.7’ version string #define QL_HEX_VERSION 0x000907f0 version hexadecimal number #define QL_LIB_VERSION ‘0_9_7’ version string for output lib name #define QL_MIN_INTEGER ((std::numeric_limits<QL_INTEGER>::min)()) #define QL_MAX_INTEGER ((std::numeric_limits<QL_INTEGER>::max)()) #define…

Debugging macros – Defines#define QL_TRACE_ENABLE enable tracing #define QL_TRACE_DISABLE disable tracing #define QL_TRACE_ON(out) set tracing stream #define QL_TRACE(message) output tracing information #define QL_TRACE_ENTER_FUNCTION output tracing information #define QL_TRACE_EXIT_FUNCTION output tracing information #define QL_TRACE_LOCATION output tracing information #define QL_TRACE_VARIABLE(variable) output tracing information Detailed DescriptionFor debugging purposes, macros can be used to output information about the code…

Debugging macros – Defines#define QL_TRACE_ENABLE enable tracing #define QL_TRACE_DISABLE disable tracing #define QL_TRACE_ON(out) set tracing stream #define QL_TRACE(message) output tracing information #define QL_TRACE_ENTER_FUNCTION output tracing information #define QL_TRACE_EXIT_FUNCTION output tracing information #define QL_TRACE_LOCATION output tracing information #define QL_TRACE_VARIABLE(variable) output tracing information Detailed DescriptionFor debugging purposes, macros can be used to output information about the code…

Debugging macros – Defines#define QL_TRACE_ENABLE enable tracing #define QL_TRACE_DISABLE disable tracing #define QL_TRACE_ON(out) set tracing stream #define QL_TRACE(message) output tracing information #define QL_TRACE_ENTER_FUNCTION output tracing information #define QL_TRACE_EXIT_FUNCTION output tracing information #define QL_TRACE_LOCATION output tracing information #define QL_TRACE_VARIABLE(variable) output tracing information Detailed DescriptionFor debugging purposes, macros can be used to output information about the code…

Debugging macros – Defines#define QL_TRACE_ENABLE enable tracing #define QL_TRACE_DISABLE disable tracing #define QL_TRACE_ON(out) set tracing stream #define QL_TRACE(message) output tracing information #define QL_TRACE_ENTER_FUNCTION output tracing information #define QL_TRACE_EXIT_FUNCTION output tracing information #define QL_TRACE_LOCATION output tracing information #define QL_TRACE_VARIABLE(variable) output tracing information Detailed DescriptionFor debugging purposes, macros can be used to output information about the code…