Linux Manuals

QuantLib::MCPathBasketEngine – Pricing engine for path dependent basket options using Monte Carlo simulation. Synopsis #include <ql/experimental/mcbasket/mcpathbasketengine.hpp> Inherits QuantLib::PathMultiAssetOption::engine, and McSimulation< MultiVariate, RNG, S >. Public Types typedef McSimulation< MultiVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< MultiVariate, RNG, S >::stats_type stats_type Public Member Functions MCPathBasketEngine (Size timeSteps, bool brownianBridge,…

QuantLib::GenericSequenceStatistics – Statistics analysis of N-dimensional (sequence) data. Synopsis void reset (Size dimension=0) template<class Sequence > void add (const Sequence &sample, Real weight=1.0) template<class Iterator > void add (Iterator begin, Iterator end, Real weight=1.0) Protected Attributes Public Types typedef StatisticsType statistics_type typedef std::vector< typename StatisticsType::value_type > value_type Public Member Functions void reset (Size dimension=0) template<class…

QuantLib::HistoricalRatesAnalysis – Historical rate analysis class Synopsis #include <ql/models/marketmodels/historicalratesanalysis.hpp> Public Member Functions HistoricalRatesAnalysis (const boost::shared_ptr< SequenceStatistics > &stats, const Date &startDate, const Date &endDate, const Period &step, const std::vector< boost::shared_ptr< InterestRateIndex > > &indexes) const std::vector< Date > & skippedDates () const const std::vector< std::string > & skippedDatesErrorMessage () const const boost::shared_ptr< SequenceStatistics > &…

QuantLib::GenericSequenceStatistics – Statistics analysis of N-dimensional (sequence) data. Synopsis void reset (Size dimension=0) template<class Sequence > void add (const Sequence &sample, Real weight=1.0) template<class Iterator > void add (Iterator begin, Iterator end, Real weight=1.0) Protected Attributes Public Types typedef StatisticsType statistics_type typedef std::vector< typename StatisticsType::value_type > value_type Public Member Functions void reset (Size dimension=0) template<class…

statgrab, libstatgrab – get system statistics Synopsis #include <statgrab.h> sg_error sg_init (int ignore_init_errors); sg_error sg_shutdown (void); sg_error sg_drop_privileges (void); sg_error sg_get_error (void); const char *sg_get_error_arg (void); int sg_get_error_errno (void); const char *sg_str_error (sg_error code); sg_error sg_get_error_details (sg_error_details *err_details); char *sg_strperror (char **buf, const sg_error_details *const err_details); size_t sg_get_nelements (const void *data); sg_error sg_free_stats_buf (void *data);…

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::GeneralizedBlackScholesProcess – Generalized Black-Scholes stochastic process. Synopsis const Handle< Quote > & stateVariable () const const Handle< YieldTermStructure > & dividendYield () const const Handle< YieldTermStructure > & riskFreeRate () const const Handle< BlackVolTermStructure > & blackVolatility () const const Handle< LocalVolTermStructure > & localVolatility () const Inherits QuantLib::StochasticProcess1D. Inherited by BlackProcess, BlackScholesMertonProcess, BlackScholesProcess, ExtendedBlackScholesMertonProcess,…

QuantLib::TreeLattice – Tree-based lattice-method base class. Synopsis void initialize (DiscretizedAsset &, Time t) const initialize an asset at the given time. void rollback (DiscretizedAsset &, Time to) const void partialRollback (DiscretizedAsset &, Time to) const Real presentValue (DiscretizedAsset &) const Computes the present value of an asset using Arrow-Debrew prices. Protected Member Functions void computeStatePrices…

QuantLib::TreeLattice – Tree-based lattice-method base class. Synopsis void initialize (DiscretizedAsset &, Time t) const initialize an asset at the given time. void rollback (DiscretizedAsset &, Time to) const void partialRollback (DiscretizedAsset &, Time to) const Real presentValue (DiscretizedAsset &) const Computes the present value of an asset using Arrow-Debrew prices. Protected Member Functions void computeStatePrices…

QuantLib::EarlyExercisePathPricer – base class for early exercise path pricers Synopsis virtual ValueType operator() (const PathType &path, TimeType t) const =0 virtual StateType state (const PathType &path, TimeType t) const =0 virtual std::vector< boost::function1< ValueType, StateType > > basisSystem () const =0 Public Types typedef EarlyExerciseTraits< PathType >::StateType StateType Public Member Functions virtual ValueType operator() (const…

start_sound_input – Starts recording in the specified format. Allegro game programming library. Synopsis #include <allegro.h> int start_sound_input(int rate, int bits, int stereo); Description Starts recording in the specified format, suspending audio playback as necessary if the card is not full duplex. Return Value Returns the buffer size in bytes if successful, or zero on error….

QuantLib::InflationSwap – Abstract base class for inflation swaps. Synopsis InflationSwap (const Date &start, const Date &maturity, const Period &lag, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS) the constructor sets common data members virtual Rate fairRate () const =0 Inherits QuantLib::Instrument. Inherited by YearOnYearInflationSwap, and ZeroCouponInflationSwap. Public Member Functions InflationSwap…

QuantLib::MarketModelEvolver – Market-model evolver. Synopsis virtual const std::vector< Size > & numeraires () const =0 virtual Real startNewPath ()=0 virtual Real advanceStep ()=0 virtual Size currentStep () const =0 virtual const CurveState & currentState () const =0 virtual void setInitialState (const CurveState &)=0 Inherited by ConstrainedEvolver, LogNormalCmSwapRatePc, LogNormalCotSwapRatePc, LogNormalFwdRateEuler, LogNormalFwdRateIpc, LogNormalFwdRatePc, NormalFwdRatePc, and SVDDFwdRatePc. Public…

QuantLib::CapFloor::arguments – Arguments for cap/floor calculation Synopsis void validate () const Public Attributes Inherits QuantLib::PricingEngine::arguments. Public Member Functions void validate () const Public Attributes CapFloor::Type type std::vector< Date > startDates std::vector< Date > fixingDates std::vector< Date > endDates std::vector< Time > accrualTimes std::vector< Rate > capRates std::vector< Rate > floorRates std::vector< Rate > forwards std::vector<…

QuantLib::VarianceOption – Variance option. Synopsis #include <ql/experimental/varianceoption/varianceoption.hpp> Inherits QuantLib::Instrument. Classes class arguments Arguments for forward fair-variance calculation class engine base class for variance-option engines class results Results from variance-option calculation Public Member Functions VarianceOption (const boost::shared_ptr< Payoff > &payoff, Real notional, const Date &startDate, const Date &maturityDate) void setupArguments (PricingEngine::arguments *args) const Instrument interface bool…

QuantLib::CashFlows – cashflow-analysis functions Synopsis #include <ql/cashflows/cashflows.hpp> Static Public Member Functions static 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…

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::StatsHolder – Helper class for precomputed distributions. Synopsis #include <ql/math/statistics/gaussianstatistics.hpp> Public Types typedef Real value_type Public Member Functions StatsHolder (Real mean, Real standardDeviation) Real mean () const Real standardDeviation () const Detailed Description Helper class for precomputed distributions. Author Generated automatically by Doxygen for QuantLib from the source code.

STAILQ_CONCAT, STAILQ_EMPTY, STAILQ_ENTRY, STAILQ_FIRST, STAILQ_FOREACH, STAILQ_HEAD, STAILQ_HEAD_INITIALIZER, STAILQ_INIT, STAILQ_INSERT_AFTER, STAILQ_INSERT_HEAD, STAILQ_INSERT_TAIL, STAILQ_NEXT, STAILQ_REMOVE, STAILQ_REMOVE_HEAD, – implementation of a singly linked tail queue Synopsis #include <sys/queue.h> void STAILQ_CONCAT(STAILQ_HEAD *head1, STAILQ_HEAD *head2); int STAILQ_EMPTY(STAILQ_HEAD *head); STAILQ_ENTRY(TYPE); struct TYPE *STAILQ_FIRST(STAILQ_HEAD *head); STAILQ_FOREACH(struct TYPE *var, STAILQ_HEAD *head, STAILQ_ENTRY NAME); STAILQ_HEAD(HEADNAME, TYPE); STAILQ_HEAD STAILQ_HEAD_INITIALIZER(STAILQ_HEAD head); void STAILQ_INIT(STAILQ_HEAD *head); void STAILQ_INSERT_AFTER(STAILQ_HEAD…

ssytrs_rook.f – Synopsis Functions/Subroutines subroutine ssytrs_rook (UPLO, N, NRHS, A, LDA, IPIV, B, LDB, INFO) SSYTRS_ROOK Function/Subroutine Documentation subroutine ssytrs_rook (characterUPLO, integerN, integerNRHS, real, dimension( lda, * )A, integerLDA, integer, dimension( * )IPIV, real, dimension( ldb, * )B, integerLDB, integerINFO) SSYTRS_ROOK Purpose: SSYTRS_ROOK solves a system of linear equations A*X = B with a real…