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QuantLib::Quantity – Amount of a commodity. Synopsis Quantity operator+ () const Quantity operator- () const Quantity & operator+= (const Quantity &) Quantity & operator-= (const Quantity &) Quantity & operator*= (Real) Quantity & operator/= (Real) Friends std::ostream & operator<< (std::ostream &, const Quantity &) Related Functions (Note that these are not member functions.) Quantity operator+…
round, roundf, roundl – round to nearest integer, away from zero Synopsis #include <math.h> double round(double x); float roundf(float x); long double roundl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): round(), roundf(), roundl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L Description These functions round x to the nearest integer, but round halfway cases…
rotate_sprite_v_flip – Rotates and flips a sprite. Allegro game programming library. Synopsis #include <allegro.h> void rotate_sprite_v_flip(BITMAP *bmp, BITMAP *sprite, int x, int y, fixed angle); Description Like rotate_sprite, but flips the image vertically before rotating it. To flip horizontally, use this routine but add itofix(128) to the angle. To flip in both directions, use rotate_sprite()…
rotate_sprite – Rotates a sprite. Allegro game programming library. Synopsis #include <allegro.h> void rotate_sprite(BITMAP *bmp, BITMAP *sprite, int x, int y, fixed angle); Description Draws the sprite image onto the bitmap. It is placed with its top left corner at the specified position, then rotated by the specified angle around its centre. The angle is…
rotate_scaled_sprite_v_flip – Rotates, stretches and flips a sprite. Allegro game programming library. Synopsis #include <allegro.h> void rotate_scaled_sprite_v_flip(BITMAP *bmp, BITMAP *sprite, int x, int y, fixed angle, fixed scale); Description Draws the sprite, similar to rotate_scaled_sprite() except that it flips the sprite vertically first. See Also rotate_sprite(3), rotate_scaled_sprite(3), rotate_sprite_v_flip(3)
rotate_scaled_sprite – Rotates and stretches a sprite. Allegro game programming library. Synopsis #include <allegro.h> void rotate_scaled_sprite(BITMAP *bmp, BITMAP *sprite, int x, int y, fixed angle, fixed scale); Description Like rotate_sprite(), but stretches or shrinks the image at the same time as rotating it. See Also rotate_sprite(3), rotate_scaled_sprite_v_flip(3), pivot_scaled_sprite(3), pivot_scaled_sprite_v_flip(3)
rose_aton, rose_ntoa, rose_cmp – ROSE Address manipulation routines Synopsis #include <netrose/rose.h> int rose_aton(const char *cp, char *inp); char *rose_ntoa(rose_address *cp); int rose_cmp(rose_address *a1, rose_address *a2); Description rose_aton() converts the ROSE address cp from an ASCII representation into network format. rose_ntoa() converts the ROSE address cp that is network format to a string that is the…
QuantLib::Solver1D – Base class for 1-D solvers. Synopsis #include <ql/math/solver1d.hpp> Inherits CuriouslyRecurringTemplate< Impl >. Public Member Functions Modifiers template<class F > Real solve (const F &f, Real accuracy, Real guess, Real step) const template<class F > Real solve (const F &f, Real accuracy, Real guess, Real xMin, Real xMax) const void setMaxEvaluations (Size evaluations) void…
QuantLib::EndCriteria – Criteria to end optimization process:. Synopsis #include <ql/math/optimization/endcriteria.hpp> Public Types enum Type { None, MaxIterations, StationaryPoint, StationaryFunctionValue, StationaryFunctionAccuracy, ZeroGradientNorm, Unknown } Public Member Functions EndCriteria (Size maxIterations, Size maxStationaryStateIterations, Real rootEpsilon, Real functionEpsilon, Real gradientNormEpsilon) Initialization constructor. Size maxIterations () const Size maxStationaryStateIterations () const Real rootEpsilon () const Real functionEpsilon () const…
QuantLib::EndCriteria – Criteria to end optimization process:. Synopsis #include <ql/math/optimization/endcriteria.hpp> Public Types enum Type { None, MaxIterations, StationaryPoint, StationaryFunctionValue, StationaryFunctionAccuracy, ZeroGradientNorm, Unknown } Public Member Functions EndCriteria (Size maxIterations, Size maxStationaryStateIterations, Real rootEpsilon, Real functionEpsilon, Real gradientNormEpsilon) Initialization constructor. Size maxIterations () const Size maxStationaryStateIterations () const Real rootEpsilon () const Real functionEpsilon () const…
QuantLib::PagodaOption – Roofed Asian option on a number of assets. Synopsis #include <ql/instruments/pagodaoption.hpp> Inherits QuantLib::MultiAssetOption. Classes class engine Pagoda-option engine base class Public Member Functions PagodaOption (const std::vector< Date > &fixingDates, Real roof, Real fraction) void setupArguments (PricingEngine::arguments *) const Protected Attributes std::vector< Date > fixingDates_ Real roof_ Real fraction_ Detailed Description Roofed Asian option…
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 &…
ql/math/randomnumbers/rngtraits.hpp – random-number generation policies Synopsis #include <ql/methods/montecarlo/pathgenerator.hpp> #include <ql/math/randomnumbers/mt19937uniformrng.hpp> #include <ql/math/randomnumbers/inversecumulativerng.hpp> #include <ql/math/randomnumbers/randomsequencegenerator.hpp> #include <ql/math/randomnumbers/sobolrsg.hpp> #include <ql/math/randomnumbers/inversecumulativersg.hpp> #include <ql/math/distributions/normaldistribution.hpp> #include <ql/math/distributions/poissondistribution.hpp> Typedefs typedef GenericPseudoRandom< MersenneTwisterUniformRng, InverseCumulativeNormal > PseudoRandom default traits for pseudo-random number generation typedef GenericPseudoRandom< MersenneTwisterUniformRng, InverseCumulativePoisson > PoissonPseudoRandom traits for Poisson-distributed pseudo-random number generation typedef GenericLowDiscrepancy< SobolRsg, InverseCumulativeNormal > LowDiscrepancy default traits…
QuantLib::SingleVariate – default Monte Carlo traits for single-variate models Synopsis enum { allowsErrorEstimate = RNG::allowsErrorEstimate } typedef RNG rng_traits typedef Path path_type typedef PathPricer< path_type > path_pricer_type typedef RNG::rsg_type rsg_type typedef PathGenerator< rsg_type > path_generator_type Public Types enum { allowsErrorEstimate = RNG::allowsErrorEstimate } typedef RNG rng_traits typedef Path path_type typedef PathPricer< path_type > path_pricer_type typedef…
QuantLib::AbcdAtmVolCurve – Abcd-interpolated at-the-money (no-smile) volatility curve. Synopsis const std::vector< Period > & optionTenors () const const std::vector< Period > & optionTenorsInInterpolation () const const std::vector< Date > & optionDates () const const std::vector< Time > & optionTimes () const Inherits QuantLib::BlackAtmVolCurve, and QuantLib::LazyObject. Public Member Functions const std::vector< Period > & optionTenors () const…
rmol-library – C++ Revenue Management Optimisation Library Synopsis #include <rmol/…> Description The Revenue Management Optimisation Library (RMOL) is a collection of routines for revenue management calculations. The routines are written from scratch by the RMOL team in C++, and present a modern Applications Programming Interface (API) for C/C++ programmers, allowing wrappers to be written for…
QuantLib::CdsOption – CDS option. Synopsis #include <ql/experimental/credit/cdsoption.hpp> Inherits QuantLib::Instrument. Public Member Functions CdsOption (const Date &expiry, Rate strike, const Handle< Quote > &volatility, const Issuer &issuer, Protection::Side side, Real nominal, const Schedule &premiumSchedule, const DayCounter &dayCounter, bool settlePremiumAccrual, const Handle< YieldTermStructure > &yieldTS) Real forward () const Real riskyAnnuity () const bool isExpired () const…
ql/math/statistics/riskstatistics.hpp – empirical-distribution risk measures Synopsis #include <ql/math/functional.hpp> #include <ql/math/statistics/gaussianstatistics.hpp> Classes class GenericRiskStatistics< S > empirical-distribution risk measures Typedefs typedef GenericRiskStatistics< GaussianStatistics > RiskStatistics default risk measures tool Detailed Description empirical-distribution risk measures Author Generated automatically by Doxygen for QuantLib from the source code.
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::TsiveriotisFernandesLattice – Binomial lattice approximating the Tsiveriotis-Fernandes model. Synopsis void stepback (Size i, const Array &values, const Array &conversionProbability, const Array &spreadAdjustedRate, Array &newValues, Array &newConversionProbability, Array &newSpreadAdjustedRate) const void rollback (DiscretizedAsset &, Time to) const void partialRollback (DiscretizedAsset &, Time to) const Inherits BlackScholesLattice< T >. Public Member Functions TsiveriotisFernandesLattice (const boost::shared_ptr< T >…