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QuantLib::BSpline – B-spline basis functions. Synopsis #include <ql/math/bspline.hpp> Public Member Functions BSpline (Natural p, Natural n, const std::vector< Real > &knots) Real operator() (Natural i, Real x) const Detailed Description B-spline basis functions. Follows treatment and notation from: Weisstein, Eric W. ‘B-Spline.’ From MathWorld–A Wolfram Web Resource. <http://mathworld.wolfram.com/B-Spline.html> $ (p+1) $-th order B-spline (or p…
QuantLib::Slovakia – Slovak calendars. Synopsis #include <ql/time/calendars/slovakia.hpp> Inherits QuantLib::Calendar. Public Types enum Market { BSSE } Public Member Functions Slovakia (Market m=BSSE) Detailed Description Slovak calendars. Holidays for the Bratislava stock exchange (data from <http://www.bsse.sk/>): * Saturdays * Sundays * New Year’s Day, January 1st * Epiphany, January 6th * Good Friday * Easter Monday…
NAME ql/methods/finitedifferences/bsmtermoperator.hpp – differential operator for Black-Scholes-Merton equation SYNOPSIS #include <ql/methods/finitedifferences/tridiagonaloperator.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/math/transformedgrid.hpp> #include <ql/methods/finitedifferences/pdebsm.hpp> Typedefs typedef PdeOperator< PdeBSM > BSMTermOperator Black-Scholes-Merton differential operator. Detailed Description differential operator for Black-Scholes-Merton equation Author Generated automatically by Doxygen for QuantLib from the source code. Index
NAME ql/methods/finitedifferences/bsmoperator.hpp – differential operator for Black-Scholes-Merton equation SYNOPSIS #include <ql/methods/finitedifferences/tridiagonaloperator.hpp> #include <ql/processes/blackscholesprocess.hpp> Classes class BSMOperator Black-Scholes-Merton differential operator. Detailed Description differential operator for Black-Scholes-Merton equation Author Generated automatically by Doxygen for QuantLib from the source code. Index
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…
QuantLib::Mexico – Mexican calendars Synopsis #include <ql/time/calendars/mexico.hpp> Inherits QuantLib::Calendar. Public Types enum Market { BMV } Public Member Functions Mexico (Market m=BMV) Detailed Description Mexican 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,…
QuantLib::BMASwapRateHelper – Rate helper for bootstrapping over BMA swap rates. Synopsis #include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member Functions BMASwapRateHelper (const Handle< Quote > &liborFraction, const Period &tenor, Natural settlementDays, const Calendar &calendar, const Period &bmaPeriod, BusinessDayConvention bmaConvention, const DayCounter &bmaDayCount, const boost::shared_ptr< BMAIndex > &bmaIndex, const boost::shared_ptr< IborIndex > &index) RateHelper interface Real impliedQuote ()…
QuantLib::BMASwap – swap paying Libor against BMA coupons Synopsis #include <ql/instruments/bmaswap.hpp> Inherits QuantLib::Swap. Public Types enum Type { Receiver = -1, Payer = 1 } Public Member Functions BMASwap (Type type, Real nominal, const Schedule &liborSchedule, Rate liborFraction, Rate liborSpread, const boost::shared_ptr< IborIndex > &liborIndex, const DayCounter &liborDayCount, const Schedule &bmaSchedule, const boost::shared_ptr< BMAIndex >…
QuantLib::BMAIndex – Bond Market Association index. Synopsis #include <ql/indexes/bmaindex.hpp> Inherits QuantLib::InterestRateIndex. Public Member Functions BMAIndex (const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Index interface std::string name () const bool isValidFixingDate (const Date &fixingDate) const returns TRUE if the fixing date is a valid one InterestRateIndex interface Handle< YieldTermStructure > termStructure () const Date maturityDate (const…
xerbla_array.f – Synopsis Functions/Subroutines subroutine xerbla_array (SRNAME_ARRAY, SRNAME_LEN, INFO) XERBLA_ARRAY Function/Subroutine Documentation subroutine xerbla_array (character(1), dimension(srname_len)SRNAME_ARRAY, integerSRNAME_LEN, integerINFO) XERBLA_ARRAY Purpose: XERBLA_ARRAY assists other languages in calling XERBLA, the LAPACK and BLAS error handler. Rather than taking a Fortran string argument as the function’s name, XERBLA_ARRAY takes an array of single characters along with the array’s…
xerbla_array.f – Synopsis Functions/Subroutines subroutine xerbla_array (SRNAME_ARRAY, SRNAME_LEN, INFO) XERBLA_ARRAY Function/Subroutine Documentation subroutine xerbla_array (character(1), dimension(srname_len)SRNAME_ARRAY, integerSRNAME_LEN, integerINFO) XERBLA_ARRAY Purpose: XERBLA_ARRAY assists other languages in calling XERBLA, the LAPACK and BLAS error handler. Rather than taking a Fortran string argument as the function’s name, XERBLA_ARRAY takes an array of single characters along with the array’s…
xerbla.f – Synopsis Functions/Subroutines subroutine xerbla (SRNAME, INFO) XERBLA Function/Subroutine Documentation subroutine xerbla (character*(*)SRNAME, integerINFO) XERBLA Purpose: XERBLA is an error handler for the LAPACK routines. It is called by an LAPACK routine if an input parameter has an invalid value. A message is printed and execution stops. Installers may consider modifying the STOP statement…
xerbla.f – Synopsis Functions/Subroutines subroutine xerbla (SRNAME, INFO) XERBLA Function/Subroutine Documentation subroutine xerbla (character*(*)SRNAME, integerINFO) XERBLA Purpose: XERBLA is an error handler for the LAPACK routines. It is called by an LAPACK routine if an input parameter has an invalid value. A message is printed and execution stops. Installers may consider modifying the STOP statement…
lsame.f – Synopsis Functions/Subroutines LOGICAL function lsame (CA, CB) LSAME Function/Subroutine Documentation LOGICAL function lsame (characterCA, characterCB) LSAME Purpose: LSAME returns .TRUE. if CA is the same letter as CB regardless of case. Parameters: CA CA is CHARACTER*1 CB CB is CHARACTER*1 CA and CB specify the single characters to be compared. Author:…
lsame.f – Synopsis Functions/Subroutines LOGICAL function lsame (CA, CB) LSAME Function/Subroutine Documentation LOGICAL function lsame (characterCA, characterCB) LSAME Purpose: LSAME returns .TRUE. if CA is the same letter as CB regardless of case. Parameters: CA CA is CHARACTER*1 CB CB is CHARACTER*1 CA and CB specify the single characters to be compared. Author:…
BITMAP – Stores the contents of a bitmap. Allegro game programming library. Synopsis #include <allegro.h> typedef struct BITMAP Description int w, h; – size of the bitmap in pixels int clip; – non-zero if clipping is turned on int cl, cr, ct, cb; – clip rectangle left, right, top, and bottom unsigned char *line[]; -…
QuantLib::Indonesia – Indonesian calendars Synopsis #include <ql/time/calendars/indonesia.hpp> Inherits QuantLib::Calendar. Public Types enum Market { BEJ, JSX } Public Member Functions Indonesia (Market m=BEJ) Detailed Description Indonesian calendars Holidays for the Jakarta stock exchange (data from <http://www.jsx.co.id/>): * Saturdays * Sundays * New Year’s Day, January 1st * Good Friday * Ascension of Jesus Christ *…
NAME QuantLib::MixedScheme – Mixed (explicit/implicit) scheme for finite difference methods. SYNOPSIS #include <ql/methods/finitedifferences/mixedscheme.hpp> Public Types typedef 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 Functions MixedScheme (const operator_type &L, Real theta, const bc_set &bcs) void step (array_type &a, Time t) void setStep (Time dt) Protected…
NAME 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 Functions AbcdAtmVolCurve (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…
QuantLib::AverageBMALeg – helper class building a sequence of average BMA coupons Synopsis #include <ql/cashflows/averagebmacoupon.hpp> Public Member Functions AverageBMALeg (const Schedule &schedule, const boost::shared_ptr< BMAIndex > &index) AverageBMALeg & withNotionals (Real notional) AverageBMALeg & withNotionals (const std::vector< Real > ¬ionals) AverageBMALeg & withPaymentDayCounter (const DayCounter &) AverageBMALeg & withPaymentAdjustment (BusinessDayConvention) AverageBMALeg & withGearings (Real gearing) AverageBMALeg…