SysTutorials Posts

QuantLib::GenericRiskStatistics – empirical-distribution risk measures Synopsis #include <ql/math/statistics/riskstatistics.hpp> Inherits S. Public Types typedef S::value_type value_type Public Member Functions Real semiVariance () const Real semiDeviation () const Real downsideVariance () const Real downsideDeviation () const Real regret (Real target) const Real potentialUpside (Real percentile) const potential upside (the reciprocal of VAR) at a given percentile Real…

QuantLib::HybridHestonHullWhiteProcess – Hybrid Heston Hull-White stochastic process. Synopsis const boost::shared_ptr< HullWhite > hullWhiteModel_ const Real corrEquityShortRate_ const Time T_ DiscountFactor endDiscount_ Inherits QuantLib::JointStochasticProcess. Public Member Functions HybridHestonHullWhiteProcess (const boost::shared_ptr< HestonProcess > &hestonProcess, const boost::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Size factors) void preEvolve (Time t0, const Array &x0, Time dt, const Array &dw) const Disposable<…

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 &…

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 &…

QuantLib::MarketModelMultiProduct – market-model product Synopsis virtual std::vector< Size > suggestedNumeraires () const =0 virtual const EvolutionDescription & evolution () const =0 virtual std::vector< Time > possibleCashFlowTimes () const =0 virtual Size numberOfProducts () const =0 virtual Size maxNumberOfCashFlowsPerProductPerStep () const =0 virtual void reset ()=0 during simulation put product at start of path virtual bool…

posix_spawn, posix_spawnp – spawn a process Synopsis #include <spawn.h> int posix_spawn(pid_t *pid, const char *path, const posix_spawn_file_actions_t *file_actions, const posix_spawnattr_t *attrp, char *const argv[], char *const envp[]); int posix_spawnp(pid_t *pid, const char *file, const posix_spawn_file_actions_t *file_actions, const posix_spawnattr_t *attrp, char *const argv[], char *const envp[]); Description The posix_spawn() and posix_spawnp() functions are used to create…

posix_spawn, posix_spawnp – spawn a process Synopsis #include <spawn.h> int posix_spawn(pid_t *pid, const char *path, const posix_spawn_file_actions_t *file_actions, const posix_spawnattr_t *attrp, char *const argv[], char *const envp[]); int posix_spawnp(pid_t *pid, const char *file, const posix_spawn_file_actions_t *file_actions, const posix_spawnattr_t *attrp, char *const argv[], char *const envp[]); Description The posix_spawn() and posix_spawnp() functions are used to create…

posix_openpt – open a pseudoterminal device Synopsis #include <fcntl.h> #include <stdlib.h> int posix_openpt(int flags); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): posix_openpt(): _XOPEN_SOURCE >= 600 Description The posix_openpt() function opens an unused pseudoterminal master device, returning a file descriptor that can be used to refer to that device. The flags argument is a bit mask that…

posix_memalign, aligned_alloc, memalign, valloc, pvalloc – allocate aligned memory Synopsis #include <stdlib.h> int posix_memalign(void **memptr, size_t alignment, size_t size); void *aligned_alloc(size_t alignment, size_t size); void *valloc(size_t size); #include <malloc.h> void *memalign(size_t alignment, size_t size); void *pvalloc(size_t size); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): posix_memalign(): _POSIX_C_SOURCE >= 200112L aligned_alloc(): _ISOC11_SOURCE valloc(): Since glibc 2.12: (_XOPEN_SOURCE >= 500) &&…

posix_madvise – give advice about patterns of memory usage Synopsis #include <sys/mman.h> int posix_madvise(void *addr, size_t len, int advice); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): posix_madvise(): _POSIX_C_SOURCE >= 200112L Description The posix_madvise() function allows an application to advise the system about its expected patterns of usage of memory in the address range starting…

posix_fallocate – allocate file space Synopsis #include <fcntl.h> int posix_fallocate(int fd, off_t offset, off_t len); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): posix_fallocate(): _POSIX_C_SOURCE >= 200112L Description The function posix_fallocate() ensures that disk space is allocated for the file referred to by the file descriptor fd for the bytes in the range starting at offset and…

position_mouse – Moves the mouse to the specified screen position. Allegro game programming library. Synopsis #include <allegro.h> void position_mouse(int x, int y); Description Moves the mouse to the specified screen position. It is safe to call even when a mouse pointer is being displayed. See Also install_mouse(3), position_mouse_z(3), set_mouse_range(3), set_mouse_speed(3), position_mouse_w(3)

QuantLib::VarianceSwap – Variance swap. Synopsis void setupExpired () const Protected Attributes Inherits QuantLib::Instrument. Classes class arguments Arguments for forward fair-variance calculation class engine base class for variance-swap engines class results Results from variance-swap calculation Public Member Functions VarianceSwap (Position::Type position, Real strike, Real notional, const Date &startDate, const Date &maturityDate) void setupArguments (PricingEngine::arguments *args) const…

popt – Parse command line options Synopsis #include <popt.h> poptContext poptGetContext(const char *name, int argc, const char **argv, const struct poptOption *options, int flags); void poptFreeContext(poptContext con); void poptResetContext(poptContext con); int poptGetNextOpt(poptContext con); const char *poptGetOptArg(poptContext con); const char *poptGetArg(poptContext con); const char *poptPeekArg(poptContext con); const char **poptGetArgs(poptContext con); const char *const poptStrerror(const int error);…

popen, pclose – pipe stream to or from a process Synopsis #include <stdio.h> FILE *popen(const char *command, const char *type); int pclose(FILE *stream); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): popen(), pclose(): _POSIX_C_SOURCE >= 2     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE Description The popen() function opens a process by creating a pipe, forking, and invoking the shell. Since a…

QuantLib::RandomDefaultModel – Base class for random default models. Synopsis RandomDefaultModel (boost::shared_ptr< Pool > pool) virtual void nextSequence (Real tmax=QL_MAX_REAL)=0 Protected Attributes Inherited by GaussianRandomDefaultModel. Public Member Functions RandomDefaultModel (boost::shared_ptr< Pool > pool) virtual void nextSequence (Real tmax=QL_MAX_REAL)=0 Protected Attributes boost::shared_ptr< Pool > pool_ Detailed Description Base class for random default models. Provides sequences of random…

pool.h – C wrapper for DMLite Pool API. Synopsis #include ‘dmlite.h’ #include ‘any.h’ #include ‘inode.h’ #include ‘utils.h’ Data Structures struct dmlite_pool Pool data. struct dmlite_chunk Chunk of data. struct dmlite_location Collection of chunks that form a replica. Macros #define POOL_TYPE_MAX 16 #define POOL_MAX 16 Typedefs typedef struct dmlite_pool dmlite_pool Pool data. typedef struct dmlite_chunk dmlite_chunk…

polygon_z_normal, polygon_z_normal_f – Finds the Z component of the normal vector to three vertices. Allegro game programming library. Synopsis #include <allegro.h> fixed polygon_z_normal(const V3D *v1, const V3D *v2, const V3D *v3); float polygon_z_normal_f(const V3D_f *v1, const V3D_f *v2, const V3D_f *v3); Description Finds the Z component of the normal vector to the specified three vertices…

polygon_z_normal, polygon_z_normal_f – Finds the Z component of the normal vector to three vertices. Allegro game programming library. Synopsis #include <allegro.h> fixed polygon_z_normal(const V3D *v1, const V3D *v2, const V3D *v3); float polygon_z_normal_f(const V3D_f *v1, const V3D_f *v2, const V3D_f *v3); Description Finds the Z component of the normal vector to the specified three vertices…

polygon3d, polygon3d_f – Draws a 3d polygon onto the specified bitmap. Allegro game programming library. Synopsis #include <allegro.h> void polygon3d(BITMAP *bmp, int type, BITMAP *texture, int vc, V3D *vtx[]); void polygon3d_f(BITMAP *bmp, int type, BITMAP *texture, int vc, V3D_f *vtx[]); Description Draw 3d polygons onto the specified bitmap, using the specified rendering mode. Unlike the…