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fixtoi – Converts a fixed point to integer with rounding. Allegro game programming library. Synopsis#include <allegro.h> int fixtoi(fixed x); DescriptionConverts fixed point to integer, rounding as required to the nearest integer. Example: int result; /* This will put 33 into `result’. */ result = fixtoi(itofix(100) / 3); /* But this will round up to 17….
fixtof – Converts a fixed point to floating point. Allegro game programming library. Synopsis#include <allegro.h> double fixtof(fixed x); DescriptionConverts fixed point to floating point. Example: float result; /* This will put 33.33333 into `result’. */ result = fixtof(itofix(100) / 3); /* This will put 16.66666 into `result’. */ result = fixtof(itofix(100) / 6);See Alsoftofix(3), itofix(3),…
fixtan – Fixed point tangent of binary angles. Allegro game programming library. Synopsis#include <allegro.h> fixed fixtan(fixed x); DescriptionThis function finds the tangent of a value using a lookup table. The input value must be a fixed point binary angle. Example: fixed angle, res_a, res_b; float dif; angle = itofix(37); /* Prove that tan(angle) == sin(angle)…
fixsub – Safe function to subtract fixed point numbers clamping underflow. Allegro game programming library. Synopsis#include <allegro.h> fixed fixsub(fixed x, fixed y); DescriptionAlthough fixed point numbers can be subtracted with the normal ‘-‘ integer operator, that doesn’t provide any protection against overflow. If overflow is a problem, you should use this function instead. It is…
fixsin – Fixed point sine of binary angles. Allegro game programming library. Synopsis#include <allegro.h> fixed fixsin(fixed x); DescriptionThis function finds the sine of a value using a lookup table. The input value must be a fixed point binary angle. Example: fixed angle; int result; /* Set the binary angle to 90 degrees. */ angle =…
fixmul – Multiplies two fixed point values together. Allegro game programming library. Synopsis#include <allegro.h> fixed fixmul(fixed x, fixed y); DescriptionA fixed point value can be multiplied or divided by an integer with the normal `*’ and `/’ operators. To multiply two fixed point values, though, you must use this function. If an overflow occurs, `errno’…
QuantLib::LfmHullWhiteParameterization – Libor market model parameterization based on Hull White paper Synopsis#include <ql/legacy/libormarketmodels/lfmhullwhiteparam.hpp> Inherits QuantLib::LfmCovarianceParameterization. Public Member FunctionsLfmHullWhiteParameterization (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< OptionletVolatilityStructure > &capletVol, const Matrix &correlation=Matrix(), Size factors=1) Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const Disposable< Matrix > covariance (Time t, const Array &x=Null< Array…
QuantLib::LiborForwardModelProcess – libor-forward-model process Synopsis#include <ql/legacy/libormarketmodels/lfmprocess.hpp> Inherits QuantLib::StochasticProcess. Public Member FunctionsLiborForwardModelProcess (Size size, const boost::shared_ptr< IborIndex > &index) Disposable< Array > initialValues () const returns the initial values of the state variables Disposable< Array > drift (Time t, const Array &x) const returns the drift part of the equation, i.e., $ mu(t, mathrm{x}_t) $ Disposable<…
QuantLib::BMAIndex – Bond Market Association index. Synopsis#include <ql/indexes/bmaindex.hpp> Inherits QuantLib::InterestRateIndex. Public Member FunctionsBMAIndex (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 Date &valueDate)…
QuantLib::HistoricalForwardRatesAnalysisImpl – Historical correlation class Synopsis#include <ql/models/marketmodels/historicalforwardratesanalysis.hpp> Inherits QuantLib::HistoricalForwardRatesAnalysis. Public Member FunctionsHistoricalForwardRatesAnalysisImpl (const boost::shared_ptr< SequenceStatistics > &stats, const Date &startDate, const Date &endDate, const Period &step, const boost::shared_ptr< InterestRateIndex > &fwdIndex, const Period &initialGap, const Period &horizon, const std::vector< boost::shared_ptr< IborIndex > > &iborIndexes, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const DayCounter &yieldCurveDayCounter, Real…
QuantLib::FloatingRateCoupon – base floating-rate coupon class Synopsis#include <ql/cashflows/floatingratecoupon.hpp> Inherits QuantLib::Coupon, and QuantLib::Observer. Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon. Public Member FunctionsFloatingRateCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< InterestRateIndex > &index, const Real gearing=1.0, const Spread spread=0.0, const Date &refPeriodStart=Date(), const…
QuantLib::FloatingRateCoupon – base floating-rate coupon class Synopsis#include <ql/cashflows/floatingratecoupon.hpp> Inherits QuantLib::Coupon, and QuantLib::Observer. Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon. Public Member FunctionsFloatingRateCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< InterestRateIndex > &index, const Real gearing=1.0, const Spread spread=0.0, const Date &refPeriodStart=Date(), const…
QuantLib::DiscreteAveragingAsianOption – Discrete-averaging Asian option. Synopsis#include <ql/instruments/asianoption.hpp> Inherits QuantLib::OneAssetOption. Classesclass arguments Extra arguments for single-asset discrete-average Asian option. class engine Discrete-averaging Asian engine base class. Public Member FunctionsDiscreteAveragingAsianOption (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 *) const Protected…
QuantLib::AverageBMACoupon – Average BMA coupon. Synopsis#include <ql/cashflows/averagebmacoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Public Member FunctionsAverageBMACoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const boost::shared_ptr< BMAIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter()) FloatingRateCoupon interface Date fixingDate () const not applicable here; use fixingDates() instead std::vector< Date…
QuantLib::HaganPricer – CMS-coupon pricer. Synopsis#include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::CmsCouponPricer. Inherited by AnalyticHaganPricer, and NumericHaganPricer. Public Member Functionsvirtual 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…
QuantLib::AverageBMACoupon – Average BMA coupon. Synopsis#include <ql/cashflows/averagebmacoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Public Member FunctionsAverageBMACoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const boost::shared_ptr< BMAIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter()) FloatingRateCoupon interface Date fixingDate () const not applicable here; use fixingDates() instead std::vector< Date…
QuantLib::InterestRateIndex – base class for interest rate indexes Synopsis#include <ql/indexes/interestrateindex.hpp> Inherits QuantLib::Index, and QuantLib::Observer. Inherited by BMAIndex, IborIndex, and SwapIndex. Public Member FunctionsInterestRateIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, const DayCounter &dayCounter) Index interface std::string name () const Returns the name of the index. Calendar fixingCalendar ()…
QuantLib::Index – purely virtual base class for indexes Synopsis#include <ql/index.hpp> Inherits QuantLib::Observable. Inherited by InflationIndex, and InterestRateIndex. Public Member Functionsvirtual std::string name () const =0 Returns the name of the index. virtual Calendar fixingCalendar () const =0 returns the calendar defining valid fixing dates virtual bool isValidFixingDate (const Date &fixingDate) const =0 returns TRUE if…
QuantLib::Index – purely virtual base class for indexes Synopsis#include <ql/index.hpp> Inherits QuantLib::Observable. Inherited by InflationIndex, and InterestRateIndex. Public Member Functionsvirtual std::string name () const =0 Returns the name of the index. virtual Calendar fixingCalendar () const =0 returns the calendar defining valid fixing dates virtual bool isValidFixingDate (const Date &fixingDate) const =0 returns TRUE if…
fixfloor – Returns the greatest integer not greater than x. Allegro game programming library. Synopsis#include <allegro.h> int fixfloor(fixed x); DescriptionReturns the greatest integer not greater than x. That is, it rounds towards negative infinity. Example: int result; /* This will put 33 into `result’. */ result = fixfloor(itofix(100) / 3); /* And this will round…