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asprintf, vasprintf – print to allocated string Synopsis #define _GNU_SOURCE /* See feature_test_macros(7) */ #include <stdio.h> int asprintf(char **strp, const char *fmt, …); int vasprintf(char **strp, const char *fmt, va_list ap); Description The functions asprintf() and vasprintf() are analogs of sprintf(3) and vsprintf(3), except that they allocate a string large enough to hold the output…
QuantLib::MarketModelVolProcess – Synopsis #include <ql/models/marketmodels/evolvers/marketmodelvolprocess.hpp> Inherited by SquareRootAndersen. Public Member Functions virtual Size variatesPerStep ()=0 virtual Size numberSteps ()=0 virtual void nextPath ()=0 virtual Real nextstep (const std::vector< Real > &variates)=0 virtual Real stepSd () const =0 virtual std::vector< Real > & stateVariables () const =0 virtual Size numberStateVariables () const =0 Detailed Description Displaced…
QuantLib::CovarianceDecomposition – Covariance decomposition into correlation and variances. Synopsis CovarianceDecomposition (const Matrix &covarianceMatrix, Real tolerance=1.0e-12, SalvagingAlgorithm::Type sa=SalvagingAlgorithm::None) const Array & variances () const const Array & standardDeviations () const const Matrix & correlationMatrix () const Public Member Functions CovarianceDecomposition (const Matrix &covarianceMatrix, Real tolerance=1.0e-12, SalvagingAlgorithm::Type sa=SalvagingAlgorithm::None) const Array & variances () const const Array &…
QuantLib::VarianceSwap – Variance swap. Synopsis void setupExpired () const Protected Attributes Inherits QuantLib::Instrument. Classes class arguments Arguments for forward fair-variance calculation class engine base class for variance-swap engines class results Results from variance-swap calculation Public Member Functions VarianceSwap (Position::Type position, Real strike, Real notional, const Date &startDate, const Date &maturityDate) void setupArguments (PricingEngine::arguments *args) const…
QuantLib::SmileSection – interest rate volatility smile section Synopsis SmileSection (const Date &d, const DayCounter &dc=DayCounter(), const Date &referenceDate=Date()) SmileSection (Time exerciseTime, const DayCounter &dc=DayCounter()) virtual void update () virtual Real minStrike () const =0 virtual Real maxStrike () const =0 Real variance (Rate strike=Null< Rate >()) const Volatility volatility (Rate strike=Null< Rate >()) const virtual…
QuantLib::VarianceSwap – Variance swap. Synopsis void setupExpired () const Protected Attributes Inherits QuantLib::Instrument. Classes class arguments Arguments for forward fair-variance calculation class engine base class for variance-swap engines class results Results from variance-swap calculation Public Member Functions VarianceSwap (Position::Type position, Real strike, Real notional, const Date &startDate, const Date &maturityDate) void setupArguments (PricingEngine::arguments *args) const…
QuantLib::OneFactorModel::ShortRateDynamics – Base class describing the short-rate dynamics. Synopsis #include <ql/models/shortrate/onefactormodel.hpp> Inherited by Dynamics, Dynamics, Dynamics, and Dynamics. Public Member Functions ShortRateDynamics (const boost::shared_ptr< StochasticProcess1D > &process) virtual Real variable (Time t, Rate r) const =0 Compute state variable from short rate. virtual Rate shortRate (Time t, Real variable) const =0 Compute short rate from…
Vanilla option engines – Classes class FdBlackScholesVanillaEngine Finite-Differences Black Scholes vanilla option engine. class FdHestonVanillaEngine Finite-Differences Heston Vanilla Option engine. class AnalyticBSMHullWhiteEngine analytic european option pricer including stochastic interest rates class AnalyticDigitalAmericanEngine Analytic pricing engine for American vanilla options with digital payoff. class AnalyticDividendEuropeanEngine Analytic pricing engine for European options with discrete dividends. class AnalyticEuropeanEngine…
QuantLib::HaganPricer – CMS-coupon pricer. Synopsis virtual Real swapletPrice () const =0 virtual Rate swapletRate () const virtual Real capletPrice (Rate effectiveCap) const virtual Rate capletRate (Rate effectiveCap) const virtual Real floorletPrice (Rate effectiveFloor) const virtual Rate floorletRate (Rate effectiveFloor) const Real meanReversion () const void setMeanReversion (const Handle< Quote > &meanReversion) Protected Member Functions HaganPricer…
QuantLib::DiscretizedAsset – Discretized asset class used by numerical methods. Synopsis virtual void reset (Size size)=0 void preAdjustValues () void postAdjustValues () void adjustValues () virtual std::vector< Time > mandatoryTimes () const =0 Protected Member Functions Inherited by DiscretizedCallableFixedRateBond, DiscretizedCapFloor, DiscretizedConvertible, DiscretizedDiscountBond, DiscretizedOption, DiscretizedSwap, and DiscretizedVanillaOption. Public Member Functions inspectors Time time () const Time &…
QuantLib::DiscretizedAsset – Discretized asset class used by numerical methods. Synopsis virtual void reset (Size size)=0 void preAdjustValues () void postAdjustValues () void adjustValues () virtual std::vector< Time > mandatoryTimes () const =0 Protected Member Functions Inherited by DiscretizedCallableFixedRateBond, DiscretizedCapFloor, DiscretizedConvertible, DiscretizedDiscountBond, DiscretizedOption, DiscretizedSwap, and DiscretizedVanillaOption. Public Member Functions inspectors Time time () const Time &…
QuantLib::Array – 1-D array used in linear algebra. Synopsis void swap (Array &) Related Functions (Note that these are not member functions.) Real DotProduct (const Array &, const Array &) const Disposable< Array > operator+ (const Array &v) const Disposable< Array > operator- (const Array &v) const Disposable< Array > operator+ (const Array &, const…
QuantLib::McPricer – base class for Monte Carlo pricers Synopsis Real value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const add samples until the required tolerance is reached Real valueWithSamples (Size samples, Size minSamples=1023) const simulate a fixed number of samples Real errorEstimate () const estimated error of the samples simulated so far const S & sampleAccumulator…
QuantLib::Forward – Abstract base forward class. Synopsis Forward (const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, Natural settlementDays, const boost::shared_ptr< Payoff > &payoff, const Date &valueDate, const Date &maturityDate, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) void performCalculations () const Protected Attributes Inherits QuantLib::Instrument. Inherited by FixedRateBondForward, and ForwardRateAgreement. Public Member Functions virtual Real spotValue…
QuantLib::EURLibor – base class for all BBA EUR LIBOR indexes but the O/N Synopsis EURLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Inherits QuantLib::IborIndex. Inherited by EURLibor10M, EURLibor11M, EURLibor1M, EURLibor1Y, EURLibor2M, EURLibor2W, EURLibor3M, EURLibor4M, EURLibor5M, EURLibor6M, EURLibor7M, EURLibor8M, EURLibor9M, and EURLiborSW. Public Member Functions EURLibor (const Period &tenor, const Handle< YieldTermStructure >…
QuantLib::GenericRiskStatistics – empirical-distribution risk measures Synopsis #include <ql/math/statistics/riskstatistics.hpp> Inherits S. Public Types typedef S::value_type value_type Public Member Functions Real semiVariance () const Real semiDeviation () const Real downsideVariance () const Real downsideDeviation () const Real regret (Real target) const Real potentialUpside (Real percentile) const potential upside (the reciprocal of VAR) at a given percentile Real…
QuantLib::SampledCurve – This class contains a sampled curve. Synopsis void swap (SampledCurve &) void setLogGrid (Real min, Real max) void regridLogGrid (Real min, Real max) void shiftGrid (Real s) void scaleGrid (Real s) void regrid (const Array &new_grid) template<class T > void regrid (const Array &new_grid, T func) template<class T > const SampledCurve & transform…
QuantLib::CostFunction – Cost function abstract class for optimization problem. Synopsis virtual Real value (const Array &x) const =0 method to overload to compute the cost function value in x virtual Disposable< Array > values (const Array &x) const =0 method to overload to compute the cost function values in x virtual void gradient (Array &grad,…
QuantLib::DiscreteGeometricASO – Discrete geometric average-strike Asian option (European style). Synopsis #include <ql/legacy/pricers/discretegeometricaso.hpp> Inherits QuantLib::SingleAssetOption. Public Member Functions DiscreteGeometricASO (Option::Type type, Real underlying, Spread dividendYield, Rate riskFreeRate, const std::vector< Time > ×, Volatility volatility) Real value () const Real delta () const Real gamma () const Real theta () const boost::shared_ptr< SingleAssetOption > clone () const…
posix_memalign, aligned_alloc, memalign, valloc, pvalloc – allocate aligned memory Synopsis #include <stdlib.h> int posix_memalign(void **memptr, size_t alignment, size_t size); void *aligned_alloc(size_t alignment, size_t size); void *valloc(size_t size); #include <malloc.h> void *memalign(size_t alignment, size_t size); void *pvalloc(size_t size); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): posix_memalign(): _POSIX_C_SOURCE >= 200112L aligned_alloc(): _ISOC11_SOURCE valloc(): Since glibc 2.12: (_XOPEN_SOURCE >= 500) &&…