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atoi, atol, atoll – convert a string to an integer Synopsis#include <stdlib.h> int atoi(const char *nptr); long atol(const char *nptr); long long atoll(const char *nptr);Feature Test Macro Requirements for glibc (see feature_test_macros(7)): atoll(): _ISOC99_SOURCE || || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCEDescriptionThe atoi() function converts the initial portion of the string pointed to by nptr to int. The behavior…
atof – convert a string to a double Synopsis#include <stdlib.h> double atof(const char *nptr);DescriptionThe atof() function converts the initial portion of the string pointed to by nptr to double. The behavior is the same as strtod(nptr, NULL); except that atof() does not detect errors. Return ValueThe converted value. AttributesFor an explanation of the terms used…
QuantLib::SwaptionVolatilityCube – swaption-volatility cube Synopsis#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp> Inherits QuantLib::SwaptionVolatilityDiscrete. Inherited by SwaptionVolCube1, and SwaptionVolCube2. Public Member FunctionsSwaptionVolatilityCube (const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Spread > &strikeSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const boost::shared_ptr< SwapIndex > &swapIndexBase, const boost::shared_ptr< SwapIndex > &shortSwapIndexBase,…
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 FunctionsAbcdAtmVolCurve (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 std::vector< Real >…
QuantLib::BlackAtmVolCurve – Black at-the-money (no-smile) volatility curve. Synopsis#include <ql/experimental/volatility/blackatmvolcurve.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by AbcdAtmVolCurve, and BlackVolSurface. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. BlackAtmVolCurve (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackAtmVolCurve (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference…
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 FunctionsAbcdAtmVolCurve (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 std::vector< Real >…
QuantLib::BlackAtmVolCurve – Black at-the-money (no-smile) volatility curve. Synopsis#include <ql/experimental/volatility/blackatmvolcurve.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by AbcdAtmVolCurve, and BlackVolSurface. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. BlackAtmVolCurve (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackAtmVolCurve (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference…
QuantLib::SwaptionVolatilityCube – swaption-volatility cube Synopsis#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp> Inherits QuantLib::SwaptionVolatilityDiscrete. Inherited by SwaptionVolCube1, and SwaptionVolCube2. Public Member FunctionsSwaptionVolatilityCube (const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Spread > &strikeSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const boost::shared_ptr< SwapIndex > &swapIndexBase, const boost::shared_ptr< SwapIndex > &shortSwapIndexBase,…
QuantLib::CashFlows – cashflow-analysis functions Synopsis#include <ql/cashflows/cashflows.hpp> Static Public Member Functionsstatic Leg::const_iterator previousCashFlow (const Leg &leg, Date refDate=Date()) static Leg::const_iterator nextCashFlow (const Leg &leg, Date refDate=Date()) static Rate previousCouponRate (const Leg &leg, const Date &refDate=Date()) static Rate nextCouponRate (const Leg &leg, const Date &refDate=Date()) static Date startDate (const Leg &leg) static Date maturityDate (const Leg &leg)…
QuantLib::StrippedOptionlet – Synopsis#include <ql/termstructures/volatility/optionlet/strippedoptionlet.hpp> Inherits QuantLib::StrippedOptionletBase. Public Member FunctionsStrippedOptionlet (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const boost::shared_ptr< IborIndex > &iborIndex, const std::vector< Date > &optionletDates, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc=Actual365Fixed()) StrippedOptionletBase interface const std::vector< Rate > & optionletStrikes (Size i) const const…
QuantLib::SmileSection – interest rate volatility smile section Synopsis#include <ql/termstructures/volatility/smilesection.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Inherited by FlatSmileSection, InterpolatedSmileSection< Interpolator >, SabrInterpolatedSmileSection, SabrSmileSection, and SpreadedSmileSection. Public Member FunctionsSmileSection (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 ()…
QuantLib::EquityFXVolSurface – Equity/FX volatility (smile) surface. Synopsis#include <ql/experimental/volatility/equityfxvolsurface.hpp> Inherits QuantLib::BlackVolSurface. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. EquityFXVolSurface (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor EquityFXVolSurface (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference date EquityFXVolSurface (Natural settlementDays, const Calendar…
QuantLib::EquityFXVolSurface – Equity/FX volatility (smile) surface. Synopsis#include <ql/experimental/volatility/equityfxvolsurface.hpp> Inherits QuantLib::BlackVolSurface. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. EquityFXVolSurface (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor EquityFXVolSurface (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference date EquityFXVolSurface (Natural settlementDays, const Calendar…
QuantLib::SabrVolSurface – SABR volatility (smile) surface. Synopsis#include <ql/experimental/volatility/sabrvolsurface.hpp> Inherits QuantLib::InterestRateVolSurface. Public Member FunctionsSabrVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Handle< BlackAtmVolCurve > &, const std::vector< Period > &optionTenors, const std::vector< Spread > &atmRateSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads) const Handle< BlackAtmVolCurve > & atmCurve () const std::vector< Volatility > volatilitySpreads (const…
QuantLib::OptionletStripper2 – Synopsis#include <ql/termstructures/volatility/optionlet/optionletstripper2.hpp> Inherits QuantLib::OptionletStripper. Public Member FunctionsOptionletStripper2 (const boost::shared_ptr< OptionletStripper1 > &optionletStripper1, const Handle< CapFloorTermVolCurve > &atmCapFloorTermVolCurve) std::vector< Rate > atmCapFloorStrikes () const std::vector< Real > atmCapFloorPrices () const std::vector< Volatility > spreadsVol () const LazyObject interface void performCalculations () const Detailed DescriptionHelper class to extend an OptionletStripper1 object stripping additional optionlet (i.e….
QuantLib::OptionletStripper2 – Synopsis#include <ql/termstructures/volatility/optionlet/optionletstripper2.hpp> Inherits QuantLib::OptionletStripper. Public Member FunctionsOptionletStripper2 (const boost::shared_ptr< OptionletStripper1 > &optionletStripper1, const Handle< CapFloorTermVolCurve > &atmCapFloorTermVolCurve) std::vector< Rate > atmCapFloorStrikes () const std::vector< Real > atmCapFloorPrices () const std::vector< Volatility > spreadsVol () const LazyObject interface void performCalculations () const Detailed DescriptionHelper class to extend an OptionletStripper1 object stripping additional optionlet (i.e….
atexit – register a function to be called at normal process termination Synopsis#include <stdlib.h> int atexit(void (*function)(void));DescriptionThe atexit() function registers the given function to be called at normal process termination, either via exit(3) or via return from the program’s main(). Functions so registered are called in the reverse order of their registration; no arguments are…
atan, atanf, atanl – arc tangent function Synopsis#include <math.h> double atan(double x); float atanf(float x); long double atanl( long double x);Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): atanf(), atanl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L || /* Since glibc 2.19: */ _DEFAULT_SOURCE || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCEDescriptionThese functions calculate the principal value of the arc tangent of x; that is…
atanh, atanhf, atanhl – inverse hyperbolic tangent function Synopsis#include <math.h> double atanh(double x); float atanhf(float x); long double atanhl(long double x);Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): atanh(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L || _XOPEN_SOURCE >= 500 || /* Since glibc 2.19: */ _DEFAULT_SOURCE || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE atanhf(), atanhl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L || /* Since glibc 2.19: */ _DEFAULT_SOURCE || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCEDescriptionThese functions calculate…
atanh, atanhf, atanhl – inverse hyperbolic tangent function Synopsis#include <math.h> double atanh(double x); float atanhf(float x); long double atanhl(long double x);Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): atanh(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L || _XOPEN_SOURCE >= 500 || /* Since glibc 2.19: */ _DEFAULT_SOURCE || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE atanhf(), atanhl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L || /* Since glibc 2.19: */ _DEFAULT_SOURCE || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCEDescriptionThese functions calculate…