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NAME ql/instruments/dividendvanillaoption.hpp – Vanilla option on a single asset with discrete dividends. SYNOPSIS #include <ql/instruments/oneassetoption.hpp> #include <ql/instruments/dividendschedule.hpp> #include <ql/instruments/payoffs.hpp> Classes class DividendVanillaOption Single-asset vanilla option (no barriers) with discrete dividends. class arguments Arguments for dividend vanilla option calculation class engine Dividend-vanilla-option engine base class Detailed Description Vanilla option on a single asset with discrete dividends….

NAME ql/experimental/finitedifferences/dividendbarrieroption.hpp – Barrier option on a single asset with discrete dividends. SYNOPSIS #include <ql/instruments/barrieroption.hpp> #include <ql/instruments/dividendschedule.hpp> #include <ql/instruments/payoffs.hpp> Classes class DividendBarrierOption Single-asset barrier option with discrete dividends. class arguments Arguments for dividend barrier option calculation class engine Dividend-barrier-option engine base class Detailed Description Barrier option on a single asset with discrete dividends. Author Generated…

NAME ql/cashflows/dividend.hpp – A stock dividend. SYNOPSIS #include <ql/cashflow.hpp> #include <ql/utilities/null.hpp> #include <vector> Classes class Dividend Predetermined cash flow. class FixedDividend Predetermined cash flow. class FractionalDividend Predetermined cash flow. Functions std::vector< boost::shared_ptr< Dividend > > DividendVector (const std::vector< Date > &dividendDates, const std::vector< Real > &dividends) helper function building a sequence of fixed dividends Detailed…

QuantLib::SingleAssetOption – Black-Scholes-Merton option. Synopsis #include <ql/legacy/pricers/singleassetoption.hpp> Inherited by DiscreteGeometricASO. Public Member Functions SingleAssetOption (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility) virtual void setVolatility (Volatility newVolatility) virtual void setRiskFreeRate (Rate newRate) virtual void setDividendYield (Rate newDividendYield) virtual Real value () const =0 virtual Real delta () const =0…

QuantLib::Disposable – generic disposable object with move semantics Synopsis #include <ql/utilities/disposable.hpp> Inherits T. Public Member Functions Disposable (T &t) Disposable (const Disposable< T > &t) Disposable< T > & operator= (const Disposable< T > &t) Detailed Description template<class T> class QuantLib::Disposable< T > generic disposable object with move semantics This class can be used for…

ImageByteOrder, BitmapBitOrder, BitmapPad, BitmapUnit, DisplayHeight, DisplayHeightMM, DisplayWidth, DisplayWidthMM, XListPixmapFormats, XPixmapFormatValues – image format functions and macros Syntax XPixmapFormatValues *XListPixmapFormats(Display *display, int *count_return); int ImageByteOrder(Display *display); int BitmapBitOrder(Display *display); int BitmapPad(Display *display); int BitmapUnit(Display *display); int DisplayHeight(Display *display, int screen_number); int DisplayHeightMM(Display *display, int screen_number); int DisplayWidth(Display *display, int screen_number); int DisplayWidthMM(Display *display, int screen_number); Arguments…

ImageByteOrder, BitmapBitOrder, BitmapPad, BitmapUnit, DisplayHeight, DisplayHeightMM, DisplayWidth, DisplayWidthMM, XListPixmapFormats, XPixmapFormatValues – image format functions and macros Syntax XPixmapFormatValues *XListPixmapFormats(Display *display, int *count_return); int ImageByteOrder(Display *display); int BitmapBitOrder(Display *display); int BitmapPad(Display *display); int BitmapUnit(Display *display); int DisplayHeight(Display *display, int screen_number); int DisplayHeightMM(Display *display, int screen_number); int DisplayWidth(Display *display, int screen_number); int DisplayWidthMM(Display *display, int screen_number); Arguments…

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 Syntax unsigned 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…

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 Syntax unsigned 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…

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 Syntax unsigned 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…

DisplayOfCCC, VisualOfCCC, ScreenNumberOfCCC, ScreenWhitePointOfCCC, ClientWhitePointOfCCC – Color Conversion Context macros Syntax Display *DisplayOfCCC(XcmsCCC ccc); Visual *VisualOfCCC(XcmsCCC ccc); int ScreenNumberOfCCC(XcmsCCC ccc); XcmsColor *ScreenWhitePointOfCCC(XcmsCCC ccc); XcmsColor *ClientWhitePointOfCCC(XcmsCCC ccc); Arguments ccc Specifies the CCC. Description The DisplayOfCCC macro returns the display associated with the specified CCC. The VisualOfCCC macro returns the visual associated with the specified CCC. The…

ImageByteOrder, BitmapBitOrder, BitmapPad, BitmapUnit, DisplayHeight, DisplayHeightMM, DisplayWidth, DisplayWidthMM, XListPixmapFormats, XPixmapFormatValues – image format functions and macros Syntax XPixmapFormatValues *XListPixmapFormats(Display *display, int *count_return); int ImageByteOrder(Display *display); int BitmapBitOrder(Display *display); int BitmapPad(Display *display); int BitmapUnit(Display *display); int DisplayHeight(Display *display, int screen_number); int DisplayHeightMM(Display *display, int screen_number); int DisplayWidth(Display *display, int screen_number); int DisplayWidthMM(Display *display, int screen_number); Arguments…

ImageByteOrder, BitmapBitOrder, BitmapPad, BitmapUnit, DisplayHeight, DisplayHeightMM, DisplayWidth, DisplayWidthMM, XListPixmapFormats, XPixmapFormatValues – image format functions and macros Syntax XPixmapFormatValues *XListPixmapFormats(Display *display, int *count_return); int ImageByteOrder(Display *display); int BitmapBitOrder(Display *display); int BitmapPad(Display *display); int BitmapUnit(Display *display); int DisplayHeight(Display *display, int screen_number); int DisplayHeightMM(Display *display, int screen_number); int DisplayWidth(Display *display, int screen_number); int DisplayWidthMM(Display *display, int screen_number); Arguments…

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 Syntax unsigned 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…

QuantLib::DiscretizedOption – Discretized option on a given asset. Synopsis #include <ql/discretizedasset.hpp> Inherits QuantLib::DiscretizedAsset. Inherited by DiscretizedSwaption. Public Member Functions DiscretizedOption (const boost::shared_ptr< DiscretizedAsset > &underlying, Exercise::Type exerciseType, const std::vector< Time > &exerciseTimes) void reset (Size size) std::vector< Time > mandatoryTimes () const Protected Member Functions void postAdjustValuesImpl () void applyExerciseCondition () Protected Attributes boost::shared_ptr< DiscretizedAsset…

NAME ql/legacy/pricers/discretegeometricaso.hpp – Discrete geometric average-strike Asian option. SYNOPSIS #include <ql/legacy/pricers/singleassetoption.hpp> #include <ql/math/distributions/normaldistribution.hpp> #include <vector> Classes class DiscreteGeometricASO Discrete geometric average-strike Asian option (European style). Detailed Description Discrete geometric average-strike Asian option. Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::DiscreteAveragingAsianOption – Discrete-averaging Asian option. Synopsis #include <ql/instruments/asianoption.hpp> Inherits QuantLib::OneAssetOption. Classes class arguments Extra arguments for single-asset discrete-average Asian option. class engine Discrete-averaging Asian engine base class. Public Member Functions DiscreteAveragingAsianOption (Average::Type averageType, Real runningAccumulator, Size pastFixings, const std::vector< Date > &fixingDates, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments…

QuantLib::DiscrepancyStatistics – Statistic tool for sequences with discrepancy calculation. Synopsis #include <ql/math/statistics/discrepancystatistics.hpp> Inherits GenericSequenceStatistics< Statistics >. Public Types typedef SequenceStatistics::value_type value_type Public Member Functions DiscrepancyStatistics (Size dimension) template<class Sequence > void add (const Sequence &sample, Real weight=1.0) template<class Iterator > void add (Iterator begin, Iterator end, Real weight=1.0) void reset (Size dimension=0) 1-dimensional inspectors Real…

QuantLib::InterestRate – Concrete interest rate class. Synopsis #include <ql/interestrate.hpp> Public Member Functions constructors InterestRate () Default constructor returning a null interest rate. InterestRate (Rate r, const DayCounter &dc=Actual365Fixed(), Compounding comp=Continuous, Frequency freq=Annual) Standard constructor. conversions operator Rate () const inspectors Rate rate () const const DayCounter & dayCounter () const Compounding compounding () const Frequency…

NAME ql/termstructures/yield/discountcurve.hpp – interpolated discount factor structure SYNOPSIS #include <ql/termstructures/yieldtermstructure.hpp> #include <ql/math/interpolations/loginterpolation.hpp> #include <ql/math/comparison.hpp> #include <boost/noncopyable.hpp> #include <vector> #include <utility> Classes class InterpolatedDiscountCurve< Interpolator > Term structure based on interpolation of discount factors. Typedefs typedef InterpolatedDiscountCurve< LogLinear > DiscountCurve Term structure based on log-linear interpolation of discount factors. Detailed Description interpolated discount factor structure Author…