Linux Manuals

QuantLib::DailyTenorJPYLibor – base class for the one day deposit BBA JPY LIBOR indexes Synopsis #include <ql/indexes/ibor/jpylibor.hpp> Inherits QuantLib::DailyTenorLibor. Public Member Functions DailyTenorJPYLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description base class for the one day deposit BBA JPY LIBOR indexes Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::DailyTenorGBPLibor – base class for the one day deposit BBA GBP LIBOR indexes Synopsis #include <ql/indexes/ibor/gbplibor.hpp> Inherits QuantLib::DailyTenorLibor. Inherited by GBPLiborON. Public Member Functions DailyTenorGBPLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description base class for the one day deposit BBA GBP LIBOR indexes Author Generated automatically by Doxygen for QuantLib from…

QuantLib::DailyTenorEuribor365 – Daily tenor Actual/365 Euribor index. Synopsis #include <ql/indexes/ibor/euribor.hpp> Inherits QuantLib::IborIndex. Public Member Functions DailyTenorEuribor365 (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description Daily tenor Actual/365 Euribor index. Euribor rate adjusted for the mismatch between the actual/360 convention used for Euribor and the actual/365 convention previously used by a few pre-EUR…

QuantLib::DailyTenorEuribor – Daily tenor Euribor index. Synopsis #include <ql/indexes/ibor/euribor.hpp> Inherits QuantLib::IborIndex. Public Member Functions DailyTenorEuribor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description Daily tenor Euribor index. Euribor rate fixed by the ECB. Warning This is the rate fixed by the ECB. Use EurLibor if you’re interested in the London fixing by…

QuantLib::DailyTenorEURLibor – base class for the one day deposit BBA EUR LIBOR indexes Synopsis #include <ql/indexes/ibor/eurlibor.hpp> Inherits QuantLib::IborIndex. Inherited by EURLiborON. Public Member Functions DailyTenorEURLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description base class for the one day deposit BBA EUR LIBOR indexes Euro O/N LIBOR fixed by BBA. It can…

QuantLib::DailyTenorCHFLibor – base class for the one day deposit BBA CHF LIBOR indexes Synopsis #include <ql/indexes/ibor/chflibor.hpp> Inherits QuantLib::DailyTenorLibor. Public Member Functions DailyTenorCHFLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description base class for the one day deposit BBA CHF LIBOR indexes Author Generated automatically by Doxygen for QuantLib from the source code.

Date and time calculations – Classes class 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 Modules Calendars Day…

QuantLib::DZero – $ D_{0} $ matricial representation Synopsis #include <ql/methods/finitedifferences/dzero.hpp> Inherits QuantLib::TridiagonalOperator. Public Member Functions DZero (Size gridPoints, Real h) Detailed Description $ D_{0} $ matricial representation The differential operator $ D_{0} $ discretizes the first derivative with the second-order formula [ ac{ artial u_{i}}{ artial x} pprox ac{u_{i+1}-u_{i-1}}{2h} = D_{0} u_{i} ] Tests the…

NAME dzsum1.f – SYNOPSIS Functions/Subroutines DOUBLE PRECISION function dzsum1 (N, CX, INCX) DZSUM1 forms the 1-norm of the complex vector using the true absolute value. Function/Subroutine Documentation DOUBLE PRECISION function dzsum1 (integerN, complex*16, dimension( * )CX, integerINCX) DZSUM1 forms the 1-norm of the complex vector using the true absolute value. Purpose: DZSUM1 takes the sum…

NAME dznrm2.f – SYNOPSIS Functions/Subroutines DOUBLE PRECISION function dznrm2 (N, X, INCX) DZNRM2 Function/Subroutine Documentation DOUBLE PRECISION function dznrm2 (integerN, complex*16, dimension(*)X, integerINCX) DZNRM2 Purpose: DZNRM2 returns the euclidean norm of a vector via the function name, so that DZNRM2 := sqrt( x**H*x )   Author: Univ. of Tennessee Univ. of California Berkeley Univ. of…

NAME dzasum.f – SYNOPSIS Functions/Subroutines DOUBLE PRECISION function dzasum (N, ZX, INCX) DZASUM Function/Subroutine Documentation DOUBLE PRECISION function dzasum (integerN, complex*16, dimension(*)ZX, integerINCX) DZASUM Purpose: DZASUM takes the sum of the absolute values.   Author: Univ. of Tennessee Univ. of California Berkeley Univ. of Colorado Denver NAG Ltd. Date: November 2011 Further Details: jack dongarra,…

QuantLib::BlackCalculator – Black 1976 calculator class. Synopsis #include <ql/pricingengines/blackcalculator.hpp> Inherited by BlackScholesCalculator. Public Member Functions BlackCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) Real value () const Real deltaForward () const virtual Real delta (Real spot) const Real elasticityForward () const virtual Real elasticity (Real spot) const Real gammaForward () const…

QuantLib::BlackCalculator – Black 1976 calculator class. Synopsis #include <ql/pricingengines/blackcalculator.hpp> Inherited by BlackScholesCalculator. Public Member Functions BlackCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) Real value () const Real deltaForward () const virtual Real delta (Real spot) const Real elasticityForward () const virtual Real elasticity (Real spot) const Real gammaForward () const…

NAME dtzrzf.f – SYNOPSIS Functions/Subroutines subroutine dtzrzf (M, N, A, LDA, TAU, WORK, LWORK, INFO) DTZRZF Function/Subroutine Documentation subroutine dtzrzf (integerM, integerN, double precision, dimension( lda, * )A, integerLDA, double precision, dimension( * )TAU, double precision, dimension( * )WORK, integerLWORK, integerINFO) DTZRZF Purpose: DTZRZF reduces the M-by-N ( M<=N ) real upper trapezoidal matrix A…

NAME dtzrqf.f – SYNOPSIS Functions/Subroutines subroutine dtzrqf (M, N, A, LDA, TAU, INFO) DTZRQF Function/Subroutine Documentation subroutine dtzrqf (integerM, integerN, double precision, dimension( lda, * )A, integerLDA, double precision, dimension( * )TAU, integerINFO) DTZRQF Purpose: This routine is deprecated and has been replaced by routine DTZRZF. DTZRQF reduces the M-by-N ( M<=N ) real upper…

NAME dtrttp.f – SYNOPSIS Functions/Subroutines subroutine dtrttp (UPLO, N, A, LDA, AP, INFO) DTRTTP copies a triangular matrix from the standard full format (TR) to the standard packed format (TP). Function/Subroutine Documentation subroutine dtrttp (characterUPLO, integerN, double precision, dimension( lda, * )A, integerLDA, double precision, dimension( * )AP, integerINFO) DTRTTP copies a triangular matrix from…

NAME dtrttf.f – SYNOPSIS Functions/Subroutines subroutine dtrttf (TRANSR, UPLO, N, A, LDA, ARF, INFO) DTRTTF copies a triangular matrix from the standard full format (TR) to the rectangular full packed format (TF). Function/Subroutine Documentation subroutine dtrttf (characterTRANSR, characterUPLO, integerN, double precision, dimension( 0: lda-1, 0: * )A, integerLDA, double precision, dimension( 0: * )ARF, integerINFO)…

NAME dtrtrs.f – SYNOPSIS Functions/Subroutines subroutine dtrtrs (UPLO, TRANS, DIAG, N, NRHS, A, LDA, B, LDB, INFO) DTRTRS Function/Subroutine Documentation subroutine dtrtrs (characterUPLO, characterTRANS, characterDIAG, integerN, integerNRHS, double precision, dimension( lda, * )A, integerLDA, double precision, dimension( ldb, * )B, integerLDB, integerINFO) DTRTRS Purpose: DTRTRS solves a triangular system of the form A * X…

NAME dtrtri.f – SYNOPSIS Functions/Subroutines subroutine dtrtri (UPLO, DIAG, N, A, LDA, INFO) DTRTRI Function/Subroutine Documentation subroutine dtrtri (characterUPLO, characterDIAG, integerN, double precision, dimension( lda, * )A, integerLDA, integerINFO) DTRTRI Purpose: DTRTRI computes the inverse of a real upper or lower triangular matrix A. This is the Level 3 BLAS version of the algorithm.  …

NAME dtrti2.f – SYNOPSIS Functions/Subroutines subroutine dtrti2 (UPLO, DIAG, N, A, LDA, INFO) DTRTI2 computes the inverse of a triangular matrix (unblocked algorithm). Function/Subroutine Documentation subroutine dtrti2 (characterUPLO, characterDIAG, integerN, double precision, dimension( lda, * )A, integerLDA, integerINFO) DTRTI2 computes the inverse of a triangular matrix (unblocked algorithm). Purpose: DTRTI2 computes the inverse of a…