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QuantLib::IndexManager – global repository for past index fixings Synopsis #include <ql/indexes/indexmanager.hpp> Inherits Singleton< IndexManager >. Public Member Functions bool hasHistory (const std::string &name) const returns whether historical fixings were stored for the index const TimeSeries< Real > & getHistory (const std::string &name) const returns the (possibly empty) history of the index fixings void setHistory (const…
QuantLib::FDDividendEngineBase – Abstract base class for dividend engines. Synopsis FDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Protected Member Functions virtual void setupArguments (const PricingEngine::arguments *) const void setGridLimits () const =0 void executeIntermediateStep (Size step) const =0 Real getDividendAmount (Size i) const Real getDiscountedDividend (Size i) const Inherits QuantLib::FDMultiPeriodEngine. Inherited…
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::Problem – Constrained optimization problem. Synopsis Problem (CostFunction &costFunction, Constraint &constraint, const Array &initialValue=Array()) default constructor void reset () Real value (const Array &x) call cost function computation and increment evaluation counter Disposable< Array > values (const Array &x) call cost values computation and increment evaluation counter void gradient (Array &grad_f, const Array &x) call…
QuantLib::Problem – Constrained optimization problem. Synopsis Problem (CostFunction &costFunction, Constraint &constraint, const Array &initialValue=Array()) default constructor void reset () Real value (const Array &x) call cost function computation and increment evaluation counter Disposable< Array > values (const Array &x) call cost values computation and increment evaluation counter void gradient (Array &grad_f, const Array &x) call…
QuantLib::ForwardMeasureProcess – forward-measure stochastic process Synopsis void setForwardMeasureTime (Time) Time getForwardMeasureTime () const Protected Member Functions Inherits QuantLib::StochasticProcess. Inherited by G2ForwardProcess. Public Member Functions void setForwardMeasureTime (Time) Time getForwardMeasureTime () const Protected Member Functions ForwardMeasureProcess (Time T) ForwardMeasureProcess (const boost::shared_ptr< discretization > &) Protected Attributes Time T_ Detailed Description forward-measure stochastic process stochastic process whose…
QuantLib::TridiagonalOperator – Base implementation for tridiagonal operator. Synopsis void swap (TridiagonalOperator &) Protected Attributes Inherited by BSMOperator, DMinus, DPlus, DPlusDMinus, DZero, and PdeOperator< PdeClass >. Classes class TimeSetter encapsulation of time-setting logic Public Types typedef Array array_type Public Member Functions void swap (TridiagonalOperator &) Protected Attributes Inspectors Size size () const bool isTimeDependent () const…
QuantLib::SingleAssetOption – Black-Scholes-Merton option. Synopsis static const Real dVolMultiplier_ static const Real dRMultiplier_ Friends Inherited by DiscreteGeometricASO. Public Member Functions static const Real dVolMultiplier_ static const Real dRMultiplier_ Friends Real underlying_ PlainVanillaPayoff payoff_ Spread dividendYield_ Rate riskFreeRate_ Time residualTime_ Volatility volatility_ bool hasBeenCalculated_ Real rho_ Real dividendRho_ Real vega_ Real theta_ bool rhoComputed_ bool dividendRhoComputed_…
QuantLib::Problem – Constrained optimization problem. Synopsis Problem (CostFunction &costFunction, Constraint &constraint, const Array &initialValue=Array()) default constructor void reset () Real value (const Array &x) call cost function computation and increment evaluation counter Disposable< Array > values (const Array &x) call cost values computation and increment evaluation counter void gradient (Array &grad_f, const Array &x) call…
QuantLib::LiborForwardModelProcess – libor-forward-model process Synopsis LiborForwardModelProcess(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<Matrix> diffusion(Time t, const Array &x) const returns the diffusion part of the equation,…
ql/cashflows/couponpricer.hpp – Coupon pricers. Synopsis void setCouponPricer (const Leg &leg, const boost::shared_ptr< FloatingRateCouponPricer > &) void setCouponPricers (const Leg &leg, const std::vector< boost::shared_ptr< FloatingRateCouponPricer > > &) Classes class FloatingRateCouponPricer generic pricer for floating-rate coupons class IborCouponPricer base pricer for capped/floored Ibor coupons class BlackIborCouponPricer Black-formula pricer for capped/floored Ibor coupons. class CmsCouponPricer base pricer…
ql/cashflows/couponpricer.hpp – Coupon pricers. Synopsis void setCouponPricer (const Leg &leg, const boost::shared_ptr< FloatingRateCouponPricer > &) void setCouponPricers (const Leg &leg, const std::vector< boost::shared_ptr< FloatingRateCouponPricer > > &) Classes class FloatingRateCouponPricer generic pricer for floating-rate coupons class IborCouponPricer base pricer for capped/floored Ibor coupons class BlackIborCouponPricer Black-formula pricer for capped/floored Ibor coupons. class CmsCouponPricer base pricer…
QuantLib::ConstrainedEvolver – Constrained market-model evolver. Synopsis virtual void setConstraintType (const std::vector< Size > &startIndexOfSwapRate, const std::vector< Size > &EndIndexOfSwapRate)=0 call once virtual void setThisConstraint (const std::vector< Rate > &rateConstraints, const std::vector< bool > &isConstraintActive)=0 call before each path Inherits QuantLib::MarketModelEvolver. Inherited by LogNormalFwdRateEulerConstrained. Public Member Functions virtual void setConstraintType (const std::vector< Size > &startIndexOfSwapRate, const…
QuantLib::IborCouponPricer – base pricer for capped/floored Ibor coupons Synopsis IborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >()) Handle< OptionletVolatilityStructure > capletVolatility () const void setCapletVolatility (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >()) Inherits QuantLib::FloatingRateCouponPricer. Inherited by BlackIborCouponPricer. Public Member Functions IborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >()) Handle< OptionletVolatilityStructure > capletVolatility () const void…
QuantLib::CommodityCurve – Commodity term structure. Synopsis std::ostream & operator<< (std::ostream &out, const CommodityCurve &curve) std::string name_ CommodityType commodityType_ UnitOfMeasure unitOfMeasure_ Currency currency_ std::vector< Date > dates_ std::vector< Time > times_ std::vector< Real > data_ Interpolation interpolation_ ForwardFlat interpolator_ boost::shared_ptr< CommodityCurve > basisOfCurve_ Real basisOfCurveUomConversionFactor_ const std::string & name () const const CommodityType & commodityType ()…
QuantLib::InflationTermStructure – Interface for inflation term structures. Synopsis virtual Period lag () const virtual Frequency frequency () const virtual Rate baseRate () const virtual Handle< YieldTermStructure > nominalTermStructure () const virtual Date baseDate () const =0 minimum (base) date Protected Member Functions Inherits QuantLib::TermStructure. Inherited by YoYInflationTermStructure, and ZeroInflationTermStructure. Public Member Functions Constructors virtual Period…
QuantLib::Date – Concrete date class. Synopsis static Date todaysDate () today’s date. static Date minDate () earliest allowed date static Date maxDate () latest allowed date static bool isLeap (Year y) whether the given year is a leap one static Date endOfMonth (const Date &d) last day of the month to which the given date…
Serd – Detailed Description A lightweight RDF syntax library. Data Structures struct SerdNode struct SerdChunk struct SerdError struct SerdURI Typedefs typedef struct SerdEnvImpl SerdEnv typedef struct SerdReaderImpl SerdReader typedef struct SerdWriterImpl SerdWriter typedef uint32_t SerdStatementFlags typedef uint32_t SerdNodeFlags Enumerations enum SerdStatus { SERD_SUCCESS, SERD_FAILURE, SERD_ERR_UNKNOWN, SERD_ERR_BAD_SYNTAX, SERD_ERR_BAD_ARG, SERD_ERR_NOT_FOUND, SERD_ERR_ID_CLASH, SERD_ERR_BAD_CURIE, SERD_ERR_INTERNAL } enum SerdSyntax {…
ql/math/statistics/sequencestatistics.hpp – Statistics tools for sequence (vector, list, array) samples. Synopsis #define DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID(METHOD) #define DEFINE_SEQUENCE_STAT_CONST_METHOD_DOUBLE(METHOD) Typedefs Classes class GenericSequenceStatistics< StatisticsType > Statistics analysis of N-dimensional (sequence) data. Defines #define DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID(METHOD) #define DEFINE_SEQUENCE_STAT_CONST_METHOD_DOUBLE(METHOD) Typedefs typedef GenericSequenceStatistics< Statistics > SequenceStatistics default multi-dimensional statistics tool typedef GenericSequenceStatistics< IncrementalStatistics > SequenceStatisticsInc Detailed Description Statistics tools for sequence (vector, list,…
sepol_genusers – Generate a new binary policy image with a customized user configuration Synopsis #include <sepol/sepol.h> int sepol_genusers(void *data, size_t len, const char *usersdir, void *newdata, size_t *newlen); void sepol_set_delusers(int on); Description sepol_genusers generates a new binary policy image from an existing binary policy image stored in the memory region described by the starting address…