Linux Manuals

QuantLib::FixedRateBondForward – Forward contract on a fixed-rate bond Synopsis #include <ql/instruments/fixedratebondforward.hpp> Inherits QuantLib::Forward. Public Member Functions Constructors FixedRateBondForward (const Date &valueDate, const Date &maturityDate, Position::Type type, Real strike, Natural settlementDays, const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, const boost::shared_ptr< FixedRateBond > &fixedCouponBond, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &incomeDiscountCurve=Handle<…

QuantLib::FixedRateBond – fixed-rate bond Synopsis #include <ql/instruments/bonds/fixedratebond.hpp> Inherits QuantLib::Bond. Public Member Functions FixedRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date()) FixedRateBond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &startDate, const Date &maturityDate, const Period &tenor, const std::vector< Rate…

QuantLib::FixedDividend – Predetermined cash flow. Synopsis #include <ql/cashflows/dividend.hpp> Inherits QuantLib::Dividend. Public Member Functions FixedDividend (Real amount, const Date &date) Dividend interface virtual Real amount () const returns the amount of the cash flow virtual Real amount (Real) const Protected Attributes Real amount_ Detailed Description Predetermined cash flow. This cash flow pays a predetermined amount at…

QuantLib::ExtendedCoxIngersollRoss::FittingParameter – Analytical term-structure fitting parameter $ te/onefactormodels/extendedcoxingersollross.hpp> Inherits QuantLib::TermStructureFittingParameter. Public Member Functions FittingParameter (const Handle< YieldTermStructure > &termStructure, Real theta, Real k, Real sigma, Real x0) Detailed Description Analytical term-structure fitting parameter $ lytically defined by [ c{2k heta(e^{th}-1)}{2h+(k+h)(e^{th}-1)} – ac{4 x_0 h^2 e^{th}}{(2h+(k+h)(e^{th}-1))^1}, ] where $ f(t) $ is the instantaneous forward rate…

QuantLib::FittedBondDiscountCurve – Discount curve fitted to a set of fixed-coupon bonds. Synopsis #include <ql/termstructures/yield/fittedbonddiscountcurve.hpp> Inherits QuantLib::YieldTermStructure, and QuantLib::LazyObject. Classes class FittingMethod Base fitting method used to construct a fitted bond discount curve. Public Member Functions Constructors FittedBondDiscountCurve (Natural settlementDays, const Calendar &calendar, const std::vector< boost::shared_ptr< FixedRateBondHelper > > &instruments, const DayCounter &dayCounter, const FittingMethod &fittingMethod,…

NAME ql/termstructures/yield/fittedbonddiscountcurve.hpp – discount curve fitted to a set of fixed-coupon bonds SYNOPSIS #include <ql/termstructures/yield/bondhelpers.hpp> #include <ql/patterns/lazyobject.hpp> #include <ql/math/array.hpp> #include <ql/utilities/clone.hpp> #include <vector> Classes class FittedBondDiscountCurve Discount curve fitted to a set of fixed-coupon bonds. class FittingMethod Base fitting method used to construct a fitted bond discount curve. Detailed Description discount curve fitted to a…

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

NAME ql/methods/finitedifferences/finitedifferencemodel.hpp – generic finite difference model SYNOPSIS #include <ql/methods/finitedifferences/stepcondition.hpp> #include <ql/methods/finitedifferences/boundarycondition.hpp> #include <ql/methods/finitedifferences/operatortraits.hpp> Classes class FiniteDifferenceModel< Evolver > Generic finite difference model. Detailed Description generic finite difference model Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/experimental/finitedifferences/fdhestonvanillaengine.hpp – Finite-Differences Heston vanilla option engine. SYNOPSIS #include <ql/instruments/dividendvanillaoption.hpp> #include <ql/models/equity/hestonmodel.hpp> #include <ql/pricingengines/genericmodelengine.hpp> Classes class FdHestonVanillaEngine Finite-Differences Heston Vanilla Option engine. Detailed Description Finite-Differences Heston vanilla option engine. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/experimental/finitedifferences/fdhestonrebateengine.hpp – Finite-Differences Heston barrier option rebate helper engine. SYNOPSIS #include <ql/experimental/finitedifferences/dividendbarrieroption.hpp> #include <ql/models/equity/hestonmodel.hpp> #include <ql/pricingengines/genericmodelengine.hpp> Classes class FdHestonRebateEngine Finite-Differences Heston Barrier Option rebate helper engine. Detailed Description Finite-Differences Heston barrier option rebate helper engine. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/experimental/finitedifferences/fdhestonbarrierengine.hpp – Finite-Differences Heston barrier option engine. SYNOPSIS #include <ql/experimental/finitedifferences/dividendbarrieroption.hpp> #include <ql/models/equity/hestonmodel.hpp> #include <ql/pricingengines/genericmodelengine.hpp> Classes class FdHestonBarrierEngine Finite-Differences Heston Barrier Option engine. Detailed Description Finite-Differences Heston barrier option engine. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp – Finite-Differences Black Scholes vanilla option engine. SYNOPSIS #include <ql/pricingengine.hpp> #include <ql/instruments/dividendvanillaoption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classes class FdBlackScholesVanillaEngine Finite-Differences Black Scholes vanilla option engine. Detailed Description Finite-Differences Black Scholes vanilla option engine. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp – Finite-Differences Black Scholes barrier option rebate helper engine. SYNOPSIS #include <ql/experimental/finitedifferences/dividendbarrieroption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classes class FdBlackScholesRebateEngine Finite-Differences Black Scholes barrier option rebate helper engine. Detailed Description Finite-Differences Black Scholes barrier option rebate helper engine. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp – Finite-Differences Black Scholes barrier option engine. SYNOPSIS #include <ql/experimental/finitedifferences/dividendbarrieroption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classes class FdBlackScholesBarrierEngine Finite-Differences Black Scholes barrier option engine. Detailed Description Finite-Differences Black Scholes barrier option engine. Author Generated automatically by Doxygen for QuantLib from the source code. Index

FcWeightToOpenTypeDouble – Convert from fontconfig weight values to OpenType ones Synopsis #include <fontconfig/fontconfig.h> double FcWeightToOpenTypeDouble (doubleot_weight); Description FcWeightToOpenTypeDouble is the inverse of FcWeightFromOpenType. If the input is less than FC_WEIGHT_THIN or greater than FC_WEIGHT_EXTRABLACK, returns -1. Otherwise returns a number in the range 1 to 1000. Since version 2.12.92

FcWeightToOpenType – Convert from fontconfig weight values to OpenType ones Synopsis #include <fontconfig/fontconfig.h> int FcWeightToOpenType (intot_weight); Description FcWeightToOpenType is like FcWeightToOpenTypeDouble but with integer arguments. Use the other function instead. Since version 2.11.91

FcWeightFromOpenTypeDouble – Convert from OpenType weight values to fontconfig ones Synopsis #include <fontconfig/fontconfig.h> double FcWeightFromOpenTypeDouble (doubleot_weight); Description FcWeightFromOpenTypeDouble returns an double value to use with FC_WEIGHT, from an double in the 1..1000 range, resembling the numbers from OpenType specification’s OS/2 usWeight numbers, which are also similar to CSS font-weight numbers. If input is negative, zero,…

FcWeightFromOpenType – Convert from OpenType weight values to fontconfig ones Synopsis #include <fontconfig/fontconfig.h> int FcWeightFromOpenType (intot_weight); Description FcWeightFromOpenType is like FcWeightFromOpenTypeDouble but with integer arguments. Use the other function instead. Since version 2.11.91

FcValueSave – Copy a value Synopsis #include <fontconfig/fontconfig.h> FcValue FcValueSave (FcValue v); Description Returns a copy of v duplicating any object referenced by it so that v may be safely destroyed without harming the new value.

FcValuePrint – Print a value to stdout Synopsis #include <fontconfig/fontconfig.h> void FcValuePrint (FcValue v); Description Prints a human-readable representation of v to stdout. The format should not be considered part of the library specification as it may change in the future.