SysTutorials Posts

NAME ql/pricingengines/vanilla/mchestonhullwhiteengine.hpp – Monte Carlo vanilla option engine for stochastic interest rates. SYNOPSIS #include <ql/processes/hestonprocess.hpp> #include <ql/processes/hullwhiteprocess.hpp> #include <ql/processes/hybridhestonhullwhiteprocess.hpp> #include <ql/pricingengines/vanilla/mcvanillaengine.hpp> #include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp> Detailed Description Monte Carlo vanilla option engine for stochastic interest rates. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME mcheck, mcheck_check_all, mcheck_pedantic, mprobe – heap consistency checking SYNOPSIS #include <mcheck.h> int mcheck(void (*abortfunc)(enum mcheck_status mstatus)); int mcheck_pedantic(void (*abortfunc)(enum mcheck_status mstatus)); void mcheck_check_all(void); enum mcheck_status mprobe(void *ptr); DESCRIPTION The mcheck() function installs a set of debugging hooks for the malloc(3) family of memory-allocation functions. These hooks cause certain consistency checks to be performed on…

NAME mcheck, mcheck_check_all, mcheck_pedantic, mprobe – heap consistency checking SYNOPSIS #include <mcheck.h> int mcheck(void (*abortfunc)(enum mcheck_status mstatus)); int mcheck_pedantic(void (*abortfunc)(enum mcheck_status mstatus)); void mcheck_check_all(void); enum mcheck_status mprobe(void *ptr); DESCRIPTION The mcheck() function installs a set of debugging hooks for the malloc(3) family of memory-allocation functions. These hooks cause certain consistency checks to be performed on…

NAME mcheck, mcheck_check_all, mcheck_pedantic, mprobe – heap consistency checking SYNOPSIS #include <mcheck.h> int mcheck(void (*abortfunc)(enum mcheck_status mstatus)); int mcheck_pedantic(void (*abortfunc)(enum mcheck_status mstatus)); void mcheck_check_all(void); enum mcheck_status mprobe(void *ptr); DESCRIPTION The mcheck() function installs a set of debugging hooks for the malloc(3) family of memory-allocation functions. These hooks cause certain consistency checks to be performed on…

NAME ql/pricingengines/asian/mcdiscreteasianengine.hpp – Monte Carlo pricing engine for discrete average Asians. SYNOPSIS #include <ql/pricingengines/mcsimulation.hpp> #include <ql/instruments/asianoption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classes class MCDiscreteAveragingAsianEngine< RNG, S > Pricing engine for discrete average Asians using Monte Carlo simulation. Detailed Description Monte Carlo pricing engine for discrete average Asians. Author Generated automatically by Doxygen for QuantLib from the source code….

NAME Monte Carlo framework – Classes class BrownianBridge Builds Wiener process paths using Gaussian variates. class EarlyExercisePathPricer< PathType, TimeType, ValueType > base class for early exercise path pricers class LongstaffSchwartzPathPricer< PathType > Longstaff-Schwarz path pricer for early exercise options. class MonteCarloModel< MC, RNG, S > General-purpose Monte Carlo model for path samples. class MultiPath Correlated…

NAME QuantLib::MonteCarloModel – General-purpose Monte Carlo model for path samples. SYNOPSIS #include <ql/methods/montecarlo/montecarlomodel.hpp> Public Types typedef MC< RNG > mc_traits typedef RNG rng_traits typedef MC< RNG >::path_generator_type path_generator_type typedef MC< RNG >::path_pricer_type path_pricer_type typedef path_generator_type::sample_type sample_type typedef path_pricer_type::result_type result_type typedef S stats_type Public Member Functions MonteCarloModel (const boost::shared_ptr< path_generator_type > &pathGenerator, const boost::shared_ptr< path_pricer_type >…

NAME ql/pricingengines/asian/mc_discr_geom_av_price.hpp – Monte Carlo engine for discrete geometric average price Asian. SYNOPSIS #include <ql/pricingengines/asian/mcdiscreteasianengine.hpp> #include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp> #include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp> #include <ql/exercise.hpp> Classes class MCDiscreteGeometricAPEngine< RNG, S > Monte Carlo pricing engine for discrete geometric average price Asian. Detailed Description Monte Carlo engine for discrete geometric average price Asian. Author Generated automatically by Doxygen for QuantLib…

NAME ql/pricingengines/asian/mc_discr_arith_av_strike.hpp – Monte Carlo engine for discrete arithmetic average-strike Asian. SYNOPSIS #include <ql/pricingengines/asian/mcdiscreteasianengine.hpp> #include <ql/exercise.hpp> Classes class MCDiscreteArithmeticASEngine< RNG, S > Monte Carlo pricing engine for discrete arithmetic average-strike Asian. Detailed Description Monte Carlo engine for discrete arithmetic average-strike Asian. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/pricingengines/asian/mc_discr_arith_av_price.hpp – Monte Carlo engine for discrete arithmetic average price Asian. SYNOPSIS #include <ql/pricingengines/asian/mc_discr_geom_av_price.hpp> #include <ql/pricingengines/asian/analytic_discr_geom_av_price.hpp> #include <ql/exercise.hpp> Classes class MCDiscreteArithmeticAPEngine< RNG, S > Monte Carlo pricing engine for discrete arithmetic average price Asian. Detailed Description Monte Carlo engine for discrete arithmetic average price Asian. Author Generated automatically by Doxygen for QuantLib from the…

QuantLib::McPricer – base class for Monte Carlo pricers Synopsis #include <ql/legacy/pricers/mcpricer.hpp> Public Member Functions Real value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const add samples until the required tolerance is reached Real valueWithSamples (Size samples, Size minSamples=1023) const simulate a fixed number of samples Real errorEstimate () const estimated error of the samples simulated so…

NAME mbtowc – convert a multibyte sequence to a wide character SYNOPSIS #include <stdlib.h> int mbtowc(wchar_t *pwc, const char *s, size_t n); DESCRIPTION The main case for this function is when s is not NULL and pwc is not NULL. In this case, the mbtowc() function inspects at most n bytes of the multibyte string…

NAME mbstowcs – convert a multibyte string to a wide-character string SYNOPSIS #include <stdlib.h> size_t mbstowcs(wchar_t *dest, const char *src, size_t n); DESCRIPTION If dest is not NULL, the mbstowcs() function converts the multibyte string src to a wide-character string starting at dest. At most n wide characters are written to dest. The sequence of…

NAME mbsrtowcs – convert a multibyte string to a wide-character string SYNOPSIS #include <wchar.h> size_t mbsrtowcs(wchar_t *dest, const char **src, size_t len, mbstate_t *ps); DESCRIPTION If dest is not NULL, the mbsrtowcs() function converts the multibyte string *src to a wide-character string starting at dest. At most len wide characters are written to dest. The…

NAME mbsnrtowcs – convert a multibyte string to a wide-character string SYNOPSIS #include <wchar.h> size_t mbsnrtowcs(wchar_t *dest, const char **src, size_t nms, size_t len, mbstate_t *ps); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): mbsnrtowcs(): Since glibc 2.10: _POSIX_C_SOURCE >= 200809L Before glibc 2.10: _GNU_SOURCE DESCRIPTION The mbsnrtowcs() function is like the mbsrtowcs(3) function, except that the…

NAME mbsinit – test for initial shift state SYNOPSIS #include <wchar.h> int mbsinit(const mbstate_t *ps); DESCRIPTION Character conversion between the multibyte representation and the wide character representation uses conversion state, of type mbstate_t. Conversion of a string uses a finite-state machine; when it is interrupted after the complete conversion of a number of characters, it…

NAME mbrtowc – convert a multibyte sequence to a wide character SYNOPSIS #include <wchar.h> size_t mbrtowc(wchar_t *pwc, const char *s, size_t n, mbstate_t *ps); DESCRIPTION The main case for this function is when s is not NULL and pwc is not NULL. In this case, the mbrtowc() function inspects at most n bytes of the…

NAME mbrlen – determine number of bytes in next multibyte character SYNOPSIS #include <wchar.h> size_t mbrlen(const char *s, size_t n, mbstate_t *ps); DESCRIPTION The mbrlen() function inspects at most n bytes of the multibyte string starting at s and extracts the next complete multibyte character. It updates the shift state *ps. If the multibyte character…

NAME ibv_rate_to_mbps – convert IB rate enumeration to Mbit/sec mbps_to_ibv_rate – convert Mbit/sec to an IB rate enumeration SYNOPSIS #include <infiniband/verbs.h> int ibv_rate_to_mbps(enum ibv_rate rate); enum ibv_rate mbps_to_ibv_rate(int mbps); DESCRIPTION ibv_rate_to_mbps() converts the IB transmission rate enumeration rate to a number of Mbit/sec. For example, if rate is IBV_RATE_5_GBPS, the value 5000 will be returned…

NAME mblen – determine number of bytes in next multibyte character SYNOPSIS #include <stdlib.h> int mblen(const char *s, size_t n); DESCRIPTION If s is not NULL, the mblen() function inspects at most n bytes of the multibyte string starting at s and extracts the next complete multibyte character. It uses a static anonymous shift state…