Linux Manuals

QuantLib::MoroInverseCumulativeNormal – Moro Inverse cumulative normal distribution class. Synopsis#include <ql/math/distributions/normaldistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsMoroInverseCumulativeNormal (Real average=0.0, Real sigma=1.0) Real operator() (Real x) const Detailed DescriptionMoro Inverse cumulative normal distribution class. Given x between zero and one as the integral value of a gaussian normal distribution this class provides the value y such that formula…

Date and time calculations – Classesclass DateInterval Date interval described by a number of a given time unit. class PricingPeriod Time pricingperiod described by a number of a given time unit. class Calendar calendar class class Date Concrete date class. struct DateGeneration Date-generation rule. class DayCounter day counter class class Period ModulesCalendars Day counters Typedefstypedef…

QuantLib::Date – Concrete date class. Synopsis#include <ql/time/date.hpp> Public Member Functionsconstructors Date () Default constructor returning a null date. Date (BigInteger serialNumber) Constructor taking a serial number as given by Applix or Excel. Date (Day d, Month m, Year y) More traditional constructor. inspectors Weekday weekday () const Day dayOfMonth () const Day dayOfYear () const…

ql/methods/montecarlo/montecarlomodel.hpp – General-purpose Monte Carlo model. Synopsis#include <ql/methods/montecarlo/mctraits.hpp> #include <ql/math/statistics/statistics.hpp> #include <boost/shared_ptr.hpp> Classesclass MonteCarloModel< MC, RNG, S > General-purpose Monte Carlo model for path samples. Detailed DescriptionGeneral-purpose Monte Carlo model. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::MonteCarloCDOEngine2 – CDO engine, Monte Carlo for the sample payoff. Synopsis#include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits QuantLib::SyntheticCDO::engine. Public Member FunctionsMonteCarloCDOEngine2 (boost::shared_ptr< RandomDefaultModel > rdm, Size samples) void calculate () const Detailed DescriptionCDO engine, Monte Carlo for the sample payoff. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::MonteCarloCDOEngine1 – CDO engine, Monte Carlo for the exptected tranche loss distribution. Synopsis#include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits QuantLib::MidPointCDOEngine. Public Member FunctionsMonteCarloCDOEngine1 (boost::shared_ptr< RandomDefaultModel > rdm, Size samples) Detailed DescriptionCDO engine, Monte Carlo for the exptected tranche loss distribution. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Money – amount of cash Synopsis#include <ql/money.hpp> Public Member FunctionsConstructors Money () Money (const Currency &currency, Decimal value) Money (Decimal value, const Currency &currency) Inspectors const Currency & currency () const Decimal value () const Money rounded () const Money arithmetics See below for non-member functions and for settings which determine the behavior of the…

Date and time calculations – Classesclass DateInterval Date interval described by a number of a given time unit. class PricingPeriod Time pricingperiod described by a number of a given time unit. class Calendar calendar class class Date Concrete date class. struct DateGeneration Date-generation rule. class DayCounter day counter class class Period ModulesCalendars Day counters Typedefstypedef…

QuantLib::CubicInterpolation – Cubic interpolation between discrete points. Synopsis#include <ql/math/interpolations/cubicinterpolation.hpp> Inherits QuantLib::Interpolation. Inherited by MonotonicNaturalCubicInterpolation, and NaturalCubicInterpolation. Public Typesenum DerivativeApprox { Spline, FourthOrder, Parabolic, ModifiedParabolic, FritschButland, Akima, Kruger } enum BoundaryCondition { NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange } Public Member Functionstemplate<class I1 , class I2 > CubicInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin,…

Date and time calculations – Classesclass DateInterval Date interval described by a number of a given time unit. class PricingPeriod Time pricingperiod described by a number of a given time unit. class Calendar calendar class class Date Concrete date class. struct DateGeneration Date-generation rule. class DayCounter day counter class class Period ModulesCalendars Day counters Typedefstypedef…

QuantLib::MixedScheme – Mixed (explicit/implicit) scheme for finite difference methods. Synopsis#include <ql/methods/finitedifferences/mixedscheme.hpp> Public Typestypedef OperatorTraits< Operator > traits typedef traits::operator_type operator_type typedef traits::array_type array_type typedef traits::bc_set bc_set typedef traits::condition_type condition_type Public Member FunctionsMixedScheme (const operator_type &L, Real theta, const bc_set &bcs) void step (array_type &a, Time t) void setStep (Time dt) Protected Attributesoperator_type L_ operator_type I_…

BlackPixelOfScreen, WhitePixelOfScreen, CellsOfScreen, DefaultColormapOfScreen, DefaultDepthOfScreen, DefaultGCOfScreen, DefaultVisualOfScreen, DoesBackingStore, DoesSaveUnders, DisplayOfScreen, XScreenNumberOfScreen, EventMaskOfScreen, HeightOfScreen, HeightMMOfScreen, MaxCmapsOfScreen, MinCmapsOfScreen, PlanesOfScreen, RootWindowOfScreen, WidthOfScreen, WidthMMOfScreen – screen information functions and macros Syntaxunsigned long BlackPixelOfScreen(Screen *screen); unsigned long WhitePixelOfScreen(Screen *screen); int CellsOfScreen(Screen *screen); Colormap DefaultColormapOfScreen(Screen *screen); int DefaultDepthOfScreen(Screen *screen); GC DefaultGCOfScreen(Screen *screen); Visual *DefaultVisualOfScreen(Screen *screen); int DoesBackingStore(Screen *screen); Bool DoesSaveUnders(Screen *screen);…

QuantLib::MidPointCDOEngine – CDO base engine taking schedule steps. Synopsis#include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits QuantLib::SyntheticCDO::engine. Inherited by MonteCarloCDOEngine1. Public Member FunctionsMidPointCDOEngine (Period stepSize=0 *Days) void calculate () const Detailed DescriptionCDO base engine taking schedule steps. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Mexico – Mexican calendars Synopsis#include <ql/time/calendars/mexico.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { BMV } Public Member FunctionsMexico (Market m=BMV) Detailed DescriptionMexican calendars Holidays for the Mexican stock exchange (data from <http://www.bmv.com.mx/>): * Saturdays * Sundays * New Year’s Day, January 1st * Constitution Day, February 5th * Birthday of Benito Juarez, March 21st * Holy…

QuantLib::Argentina – Argentinian calendars. Synopsis#include <ql/time/calendars/argentina.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { Merval } Public Member FunctionsArgentina (Market m=Merval) Detailed DescriptionArgentinian calendars. Holidays for the Buenos Aires stock exchange (data from <http://www.merval.sba.com.ar/>): * Saturdays * Sundays * New Year’s Day, January 1st * Holy Thursday * Good Friday * Labour Day, May 1st * May…

QuantLib::Merton76Process – Merton-76 jump-diffusion process. Synopsis#include <ql/processes/merton76process.hpp> Inherits QuantLib::StochasticProcess1D. Public Member FunctionsMerton76Process (const Handle< Quote > &stateVariable, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const Handle< Quote > &jumpInt, const Handle< Quote > &logJMean, const Handle< Quote > &logJVol, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization))…

QuantLib::MersenneTwisterUniformRng – Uniform random number generator. Synopsis#include <ql/math/randomnumbers/mt19937uniformrng.hpp> Public Typestypedef Sample< Real > sample_type Public Member FunctionsMersenneTwisterUniformRng (unsigned long seed=0) MersenneTwisterUniformRng (const std::vector< unsigned long > &seeds) sample_type next () const unsigned long nextInt32 () const return a random number on [0,0xffffffff]-interval Detailed DescriptionUniform random number generator. Mersenne Twister random number generator of period 2**19937-1…

XtPopup, XtPopupSpringLoaded, XtCallbackNone, XtCallbackNonexclusive, XtCallbackExclusive – map a pop-up Syntax#include <X11/Intrinsic.h> void XtPopup(Widget popup_shell, XtGrabKind grab_kind); void XtPopupSpringLoaded(Widget popup_shell); void XtCallbackNone(Widget w, XtPointer client_data, XtPointer call_data); void XtCallbackNonexclusive(Widget w, XtPointer client_data, XtPointer call_data); void XtCallbackExclusive(Widget w, XtPointer client_data, XtPointer call_data);Actionsvoid XtMenuPopup(String shell_name);Argumentscall_data Specifies the callback data, which is not used by this procedure. client_data Specifies…

XtPopdown, XtCallbackPopdown – unmap a pop-up Syntax#include <X11/Intrinsic.h> void XtPopdown(Widget popup_shell); void XtCallbackPopdown(Widget w, XtPointer client_data, XtPointer call_data);Actionsvoid XtMenuPopdown(String shell_name);Argumentscall_data Specifies the callback data, which is not used by this procedure. client_data Specifies a pointer to the XtPopdownID structure. popup_shell Specifies the widget shell to pop down. shell_name Specifies the name of the widget shell…

QuantLib::McSimulation – base class for Monte Carlo engines Synopsis#include <ql/pricingengines/mcsimulation.hpp> Public Typestypedef MonteCarloModel< MC, RNG, S >::path_generator_type path_generator_type typedef MonteCarloModel< MC, RNG, S >::path_pricer_type path_pricer_type typedef MonteCarloModel< MC, RNG, S >::stats_type stats_type typedef MonteCarloModel< MC, RNG, S >::result_type result_type Public Member Functionsresult_type value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const add samples until the required…