SysTutorials Posts

QuantLib::SwaptionVolatilityCube – swaption-volatility cube Synopsis #include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp> Inherits QuantLib::SwaptionVolatilityDiscrete. Inherited by SwaptionVolCube1, and SwaptionVolCube2. Public Member Functions SwaptionVolatilityCube (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…

QuantLib::MCLongstaffSchwartzEngine – Longstaff-Schwarz Monte Carlo engine for early exercise options. Synopsis #include <ql/pricingengines/mclongstaffschwartzengine.hpp> Inherits QuantLib::GenericEngine, and McSimulation< MC, RNG, S >. Public Types typedef MC< RNG >::path_type path_type typedef McSimulation< MC, RNG, S >::stats_type stats_type typedef McSimulation< MC, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< MC, RNG, S >::path_generator_type path_generator_type Public Member Functions MCLongstaffSchwartzEngine (const boost::shared_ptr<…

QuantLib::HomogeneousPoolCDOEngine – CDO engine, loss distribution convolution for finite homogeneous pool. Synopsis #include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits CDOEngine. Public Member Functions HomogeneousPoolCDOEngine (const Handle< OneFactorCopula > copula, Size nBuckets, Period stepSize=1 *Days) Protected Attributes const Handle< OneFactorCopula > copula_ Size nBuckets_ Detailed Description template<class CDOEngine> class QuantLib::HomogeneousPoolCDOEngine< CDOEngine > CDO engine, loss distribution convolution for finite homogeneous…

mxml – Mini-XML API Include File #include <mxml.h> Library -lmxml Description Mini-XML is a small XML parsing library that you can use to read XML and XML-like data files in your application without requiring large non-standard libraries. Mini-XML only requires an ANSI C compatible compiler (GCC works, as do most vendors’ ANSI C compilers) and…

mtrace, muntrace – malloc tracing Synopsis #include <mcheck.h> void mtrace(void); void muntrace(void); Description The mtrace() function installs hook functions for the memory-allocation functions (malloc(3), realloc(3) memalign(3), free(3)). These hook functions record tracing information about memory allocation and deallocation. The tracing information can be used to discover memory leaks and attempts to free nonallocated memory in…

munge_enum_is_valid, munge_enum_int_to_str, munge_enum_str_to_int – MUNGE enumeration functions Synopsis #include <munge.h> int munge_enum_is_valid (munge_enum_t type, int val); const char * munge_enum_int_to_str (munge_enum_t type, int val); int munge_enum_str_to_int (munge_enum_t type, const char *str); cc `pkg-config –cflags –libs munge` -o foo foo.c Description The munge_enum_is_valid() function checks if the given value val is a valid MUNGE enumeration of…

munge_ctx_create, munge_ctx_copy, munge_ctx_destroy, munge_ctx_strerror, munge_ctx_get, munge_ctx_set – MUNGE context functions Synopsis #include <munge.h> munge_ctx_t munge_ctx_create (void); munge_ctx_t munge_ctx_copy (munge_ctx_t ctx); void munge_ctx_destroy (munge_ctx_t ctx); const char * munge_ctx_strerror (munge_ctx_t ctx); munge_err_t munge_ctx_get (munge_ctx_t ctx, munge_opt_t opt, …); munge_err_t munge_ctx_set (munge_ctx_t ctx, munge_opt_t opt, …); cc `pkg-config –cflags –libs munge` -o foo foo.c Description The munge_ctx_create()…

munge_encode, munge_decode, munge_strerror – MUNGE core functions Synopsis #include <munge.h> munge_err_t munge_encode (char **cred, munge_ctx_t ctx, const void *buf, int len); munge_err_t munge_decode (const char *cred, munge_ctx_t ctx, void **buf, int *len, uid_t *uid, gid_t *gid); const char * munge_strerror (munge_err_t e); cc `pkg-config –cflags –libs munge` -o foo foo.c Description The munge_encode() function creates…

QuantLib::MarketModelComposite – Composition of two or more market-model products. Synopsis #include <ql/models/marketmodels/products/compositeproduct.hpp> Inherits QuantLib::MarketModelMultiProduct. Inherited by MultiProductComposite, and SingleProductComposite. Public Member Functions MarketModelMultiProduct interface const EvolutionDescription & evolution () const std::vector< Size > suggestedNumeraires () const std::vector< Time > possibleCashFlowTimes () const void reset () during simulation put product at start of path Composite facilities…

QuantLib::AccountingEngine – Engine collecting cash flows along a market-model simulation. Synopsis #include <ql/models/marketmodels/accountingengine.hpp> Public Member Functions AccountingEngine (const boost::shared_ptr< MarketModelEvolver > &evolver, const Clone< MarketModelMultiProduct > &product, Real initialNumeraireValue) void multiplePathValues (SequenceStatisticsInc &stats, Size numberOfPaths) Detailed Description Engine collecting cash flows along a market-model simulation. Author Generated automatically by Doxygen for QuantLib from the source…

ibv_rate_to_mult – convert IB rate enumeration to multiplier of 2.5 Gbit/sec mult_to_ibv_rate – convert multiplier of 2.5 Gbit/sec to an IB rate enumeration Synopsis #include <infiniband/verbs.h> int ibv_rate_to_mult(enum ibv_rate rate); enum ibv_rate mult_to_ibv_rate(int mult); Description ibv_rate_to_mult() converts the IB transmission rate enumeration rate to a multiple of 2.5 Gbit/sec (the base rate). For example, if…

QuantLib::GeometricBrownianMotionProcess – Geometric brownian-motion process. Synopsis #include <ql/processes/geometricbrownianprocess.hpp> Inherits QuantLib::StochasticProcess1D. Public Member Functions GeometricBrownianMotionProcess (double initialValue, double mue, double sigma) Real x0 () const returns the initial value of the state variable Real drift (Time t, Real x) const returns the drift part of the equation, i.e. $ mu(t, x_t) $ Real diffusion (Time t,…

QuantLib::GaussianOrthogonalPolynomial – orthogonal polynomial for Gaussian quadratures Synopsis #include <ql/math/integrals/gaussianorthogonalpolynomial.hpp> Inherited by GaussHermitePolynomial, GaussHyperbolicPolynomial, GaussJacobiPolynomial, and GaussLaguerrePolynomial. Public Member Functions virtual Real mu_0 () const =0 virtual Real alpha (Size i) const =0 virtual Real beta (Size i) const =0 virtual Real w (Real x) const =0 Real value (Size i, Real x) const Real…

mtrace, muntrace – malloc tracing Synopsis #include <mcheck.h> void mtrace(void); void muntrace(void); Description The mtrace() function installs hook functions for the memory-allocation functions (malloc(3), realloc(3) memalign(3), free(3)). These hook functions record tracing information about memory allocation and deallocation. The tracing information can be used to discover memory leaks and attempts to free nonallocated memory in…

msgpuck.h – MsgPuck is a simple and efficient MsgPack encoder/decoder library in a single self-contained file. Synopsis #include <stdlib.h> #include <stdint.h> #include <stddef.h> #include <stdbool.h> #include <string.h> #include <assert.h> #include <stdarg.h> #include <stdio.h> Enumerations enum mp_type { MP_NIL = 0, MP_UINT, MP_INT, MP_STR, MP_BIN, MP_ARRAY, MP_MAP, MP_BOOL, MP_FLOAT, MP_DOUBLE, MP_EXT } MsgPack data types. Functions…

drand48_r, erand48_r, lrand48_r, nrand48_r, mrand48_r, jrand48_r, srand48_r, seed48_r, lcong48_r – generate uniformly distributed pseudo-random numbers reentrantly Synopsis #include <stdlib.h> int drand48_r(struct drand48_data *buffer, double *result); int erand48_r(unsigned short xsubi[3], struct drand48_data *buffer, double *result); int lrand48_r(struct drand48_data *buffer, long *result); int nrand48_r(unsigned short xsubi[3], struct drand48_data *buffer, long *result); int mrand48_r(struct drand48_data *buffer,long *result); int…

drand48, erand48, lrand48, nrand48, mrand48, jrand48, srand48, seed48, lcong48 – generate uniformly distributed pseudo-random numbers Synopsis #include <stdlib.h> double drand48(void); double erand48(unsigned short xsubi[3]); long lrand48(void); long nrand48(unsigned short xsubi[3]); long mrand48(void); long jrand48(unsigned short xsubi[3]); void srand48(long seedval); unsigned short *seed48(unsigned short seed16v[3]); void lcong48(unsigned short param[7]); Feature Test Macro Requirements for glibc (see…

mq_unlink – remove a message queue Synopsis #include <mqueue.h> int mq_unlink(const char *name); Link with -lrt. Description mq_unlink() removes the specified message queue name. The message queue name is removed immediately. The queue itself is destroyed once any other processes that have the queue open close their descriptors referring to the queue. Return Value On…

mq_send, mq_timedsend – send a message to a message queue Synopsis #include <mqueue.h> int mq_send(mqd_t mqdes, const char *msg_ptr, size_t msg_len, unsigned int msg_prio); #include <time.h> #include <mqueue.h> int mq_timedsend(mqd_t mqdes, const char *msg_ptr, size_t msg_len, unsigned int msg_prio, const struct timespec *abs_timeout); Link with -lrt. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): mq_timedsend():…

mq_receive, mq_timedreceive – receive a message from a message queue Synopsis #include <mqueue.h> ssize_t mq_receive(mqd_t mqdes, char *msg_ptr, size_t msg_len, unsigned int *msg_prio); #include <time.h> #include <mqueue.h> ssize_t mq_timedreceive(mqd_t mqdes, char *msg_ptr, size_t msg_len, unsigned int *msg_prio, const struct timespec *abs_timeout); Link with -lrt. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): mq_timedreceive(): _POSIX_C_SOURCE >= 200112L Description…