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QuantLib::AmericanPayoffAtHit – Analytic formula for American exercise payoff at-hit options. Synopsis #include <ql/pricingengines/americanpayoffathit.hpp> Public Member Functions AmericanPayoffAtHit (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff) Real value () const Real delta () const Real gamma () const Real rho (Time maturity) const Detailed Description Analytic formula for American exercise payoff…

QuantLib::AmericanPayoffAtExpiry – Analytic formula for American exercise payoff at-expiry options. Synopsis #include <ql/pricingengines/americanpayoffatexpiry.hpp> Public Member Functions AmericanPayoffAtExpiry (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff) Real value () const Detailed Description Analytic formula for American exercise payoff at-expiry options. Possible enhancements calculate greeks Author Generated automatically by Doxygen for QuantLib…

QuantLib::AmericanExercise – American exercise. Synopsis #include <ql/exercise.hpp> Inherits QuantLib::EarlyExercise. Public Member Functions AmericanExercise (const Date &earliestDate, const Date &latestDate, bool payoffAtExpiry=false) AmericanExercise (const Date &latestDate, bool payoffAtExpiry=false) Detailed Description American exercise. An American option can be exercised at any time between two predefined dates; the first date might be omitted, in which case the option…

QuantLib::AmericanCondition – American exercise condition. Synopsis #include <ql/methods/finitedifferences/americancondition.hpp> Inherits CurveDependentStepCondition< Array >. Public Member Functions AmericanCondition (Option::Type type, Real strike) AmericanCondition (const Array &intrinsicValues) Detailed Description American exercise condition. Possible enhancements unify the intrinsicValues/Payoff thing Author Generated automatically by Doxygen for QuantLib from the source code.

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::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,…

AdmBlackBoxModuleVector – Synopsis #include <blackbox.h> Public Attributes int abi_major_ver int abi_minor_ver int(* getBox )(AdmBlackBoxMethods **mod, void **data, AdmList *box_list, AdmError **error) Member Data Documentation int AdmBlackBoxModuleVector::abi_major_ver int AdmBlackBoxModuleVector::abi_minor_ver int(* AdmBlackBoxModuleVector::getBox)(AdmBlackBoxMethods **mod, void **data, AdmList *box_list, AdmError **error) Author Generated automatically by Doxygen for Alchemist from the source code.

AdmBlackBoxMethods – Synopsis #include <blackbox.h> Public Attributes void(* free )(void *data) AdmContext *(* read )(void *data, AdmError **error) unsigned int(* listSerial )(void *data, unsigned int *array, unsigned int array_len, unsigned int top_serial, AdmError **error) AdmContext *(* readSerial )(void *data, unsigned int serial, AdmError **error) int(* write )(void *data, AdmContext *context, AdmError **error) Member Data Documentation…

QuantLib::AdditiveEQPBinomialTree – Additive equal probabilities binomial tree. Synopsis #include <ql/methods/lattices/binomialtree.hpp> Inherits EqualProbabilitiesBinomialTree< AdditiveEQPBinomialTree >. Public Member Functions AdditiveEQPBinomialTree (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Detailed Description Additive equal probabilities binomial tree. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::ActualActual – Actual/Actual day count. Synopsis #include <ql/time/daycounters/actualactual.hpp> Inherits QuantLib::DayCounter. Public Types enum Convention { ISMA, Bond, ISDA, Historical, Actual365, AFB, Euro } Public Member Functions ActualActual (Convention c=ActualActual::ISDA) Detailed Description Actual/Actual day count. The day count can be calculated according to: * the ISDA convention, also known as ‘Actual/Actual (Historical)’, ‘Actual/Actual’, ‘Act/Act’, and according…

QuantLib::AccountingEngine – Engine collecting cash flows along a market-model simulation. Synopsis #include <ql/models/marketmodels/accountingengine.hpp> Public Member Functions AccountingEngine (const boost::shared_ptr< MarketModelEvolver > &evolver, const Clone< MarketModelMultiProduct > &product, Real initialNumeraireValue) void multiplePathValues (SequenceStatisticsInc &stats, Size numberOfPaths) Detailed Description Engine collecting cash flows along a market-model simulation. Author Generated automatically by Doxygen for QuantLib from the source…

NAME abs, labs, llabs, imaxabs – compute the absolute value of an integer SYNOPSIS #include <stdlib.h> int abs(int j); long labs(long j); long long llabs(long long j); #include <inttypes.h> intmax_t imaxabs(intmax_t j); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): llabs(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L DESCRIPTION The abs() function computes the absolute value of the integer…

QuantLib::AbcdVol – Abcd-interpolated volatility structure Synopsis #include <ql/models/marketmodels/models/abcdvol.hpp> Inherits QuantLib::MarketModel. Public Member Functions AbcdVol (Real a, Real b, Real c, Real d, const std::vector< Real > &ks, const boost::shared_ptr< PiecewiseConstantCorrelation > &corr, const EvolutionDescription &evolution, const Size numberOfFactors, const std::vector< Rate > &initialRates, const std::vector< Spread > &displacements) MarketModel interface const std::vector< Rate > &…

QuantLib::AbcdFunction – Abcd functional form for instantaneous volatility Synopsis #include <ql/termstructures/volatility/abcd.hpp> Inherits std::unary_function<Real, Real>. Public Member Functions AbcdFunction (Real a=-0.06, Real b=0.17, Real c=0.54, Real d=0.17) Real operator() (Time u) const volatility function value at time u: [ f(u) ] Real maximumLocation () const time at which the volatility function reaches maximum (if any) Real…

NAME ql/experimental/volatility/abcdatmvolcurve.hpp – Abcd-interpolated at-the-money (no-smile) interest rate vol curve. SYNOPSIS #include <ql/experimental/volatility/blackatmvolcurve.hpp> #include <ql/patterns/lazyobject.hpp> #include <ql/math/interpolations/abcdinterpolation.hpp> Classes class AbcdAtmVolCurve Abcd-interpolated at-the-money (no-smile) volatility curve. Detailed Description Abcd-interpolated at-the-money (no-smile) interest rate vol curve. Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::AUDLibor – AUD LIBOR rate Synopsis #include <ql/indexes/ibor/audlibor.hpp> Inherits QuantLib::Libor. Public Member Functions AUDLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description AUD LIBOR rate Australian Dollar LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. Author Generated automatically by Doxygen for QuantLib from the source code.

AUDIOSTREAM – Stores an audiostream. Allegro game programming library. Synopsis #include <allegro.h> typedef struct AUDIOSTREAM Description int voice; – the hardware voice used for the sample A structure holding an audiostream, which is a convenience wrapper around a SAMPLE structure to double buffer sounds too big to fit into memory, or do clever things like…

NAME assert – abort the program if assertion is false SYNOPSIS #include <assert.h> void assert(scalar expression); DESCRIPTION This macro can help programmers find bugs in their programs, or handle exceptional cases via a crash that will produce limited debugging output. If expression is false (i.e., compares equal to zero), assert() prints an error message to…

ANTLR3_VECTOR_struct – Synopsis #include <antlr3collections.h> Public Member Functions void (ANTLR3_CDECL *free)(struct ANTLR3_VECTOR_struct *vector) Data Fields ANTLR3_UINT32(* add )(struct ANTLR3_VECTOR_struct *vector, void *element, void(ANTLR3_CDECL *freeptr)(void *)) void(* clear )(struct ANTLR3_VECTOR_struct *vector) ANTLR3_UINT32 count Number of entries currently in the list;. void(* del )(struct ANTLR3_VECTOR_struct *vector, ANTLR3_UINT32 entry) pANTLR3_VECTOR_ELEMENT elements Array of pointers to vector elements. ANTLR3_UINT32…

include/antlr3collections.h – Synopsis #include <antlr3defs.h> #include <antlr3bitset.h> Data Structures struct ANTLR3_HASH_BUCKET_struct Internal structure of a hash table bucket, which tracks all keys that hash to the same bucket. struct ANTLR3_HASH_ENTRY_struct Internal structure representing an element in a hash bucket. struct ANTLR3_HASH_ENUM_struct Internal structure representing an enumeration of a table. struct ANTLR3_HASH_KEY_struct struct ANTLR3_HASH_TABLE_struct Structure that…