SysTutorials Posts

NAME ql/legacy/libormarketmodels/lfmhullwhiteparam.hpp – libor market model parameterization based on Hull White SYNOPSIS #include <ql/legacy/libormarketmodels/lfmprocess.hpp> #include <ql/legacy/libormarketmodels/lfmcovarparam.hpp> Classes class LfmHullWhiteParameterization Libor market model parameterization based on Hull White paper Detailed Description libor market model parameterization based on Hull White Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/legacy/libormarketmodels/lfmcovarproxy.hpp – proxy for libor forward covariance parameterization SYNOPSIS #include <ql/legacy/libormarketmodels/lfmcovarparam.hpp> #include <ql/legacy/libormarketmodels/lmvolmodel.hpp> #include <ql/legacy/libormarketmodels/lmcorrmodel.hpp> Classes class LfmCovarianceProxy proxy for a libor forward model covariance parameterization Detailed Description proxy for libor forward covariance parameterization Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME lfind, lsearch – linear search of an array SYNOPSIS #include <search.h> void *lfind(const void *key, const void *base, size_t *nmemb, size_t size, int (*compar)(const void *, const void *)); void *lsearch(const void *key, void *base, size_t *nmemb, size_t size, int (*compar)(const void *, const void *)); DESCRIPTION lfind() and lsearch() perform a linear search…

NAME QuantLib::OrnsteinUhlenbeckProcess – Ornstein-Uhlenbeck process class. SYNOPSIS #include <ql/processes/ornsteinuhlenbeckprocess.hpp> Inherits QuantLib::StochasticProcess1D. Public Member Functions OrnsteinUhlenbeckProcess (Real speed, Volatility vol, Real x0=0.0, Real level=0.0) StochasticProcess interface Real x0 () const returns the initial value of the state variable Real speed () const Real volatility () const Real level () const Real drift (Time t, Real x)…

NAME ntlm_buf – SYNOPSIS #include <heimntlm.h> Data Fields size_t length void * data Detailed Description Buffer for storing data in the NTLM library. When filled in by the library it should be freed with heim_ntlm_free_buf(). Examples: test_ntlm.c. Field Documentation void* ntlm_buf::data pointer to the data itself Examples: test_ntlm.c. size_t ntlm_buf::length length buffer data Examples: test_ntlm.c….

NAME QuantLib::Swap – Interest rate swap. SYNOPSIS #include <ql/instruments/swap.hpp> Inherits QuantLib::Instrument. Inherited by AssetSwap, BMASwap, and VanillaSwap. Public Member Functions Constructors Swap (const Leg &firstLeg, const Leg &secondLeg) Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments (PricingEngine::arguments…

NAME QuantLib::CreditDefaultSwap – Credit default swap. SYNOPSIS #include <ql/instruments/creditdefaultswap.hpp> Inherits QuantLib::Instrument. Public Member Functions Constructors CreditDefaultSwap (Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >()) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void…

QuantLib::Swap – Interest rate swap. Synopsis#include <ql/instruments/swap.hpp> Inherits QuantLib::Instrument. Inherited by AssetSwap, BMASwap, and VanillaSwap. Public Member FunctionsConstructors Swap (const Leg &firstLeg, const Leg &secondLeg) Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments (PricingEngine::arguments *) const void…

QuantLib::Swap – Interest rate swap. Synopsis#include <ql/instruments/swap.hpp> Inherits QuantLib::Instrument. Inherited by AssetSwap, BMASwap, and VanillaSwap. Public Member FunctionsConstructors Swap (const Leg &firstLeg, const Leg &secondLeg) Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments (PricingEngine::arguments *) const void…

QuantLib::Swap – Interest rate swap. Synopsis#include <ql/instruments/swap.hpp> Inherits QuantLib::Instrument. Inherited by AssetSwap, BMASwap, and VanillaSwap. Public Member FunctionsConstructors Swap (const Leg &firstLeg, const Leg &secondLeg) Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments (PricingEngine::arguments *) const void…

QuantLib::Swap – Interest rate swap. Synopsis#include <ql/instruments/swap.hpp> Inherits QuantLib::Instrument. Inherited by AssetSwap, BMASwap, and VanillaSwap. Public Member FunctionsConstructors Swap (const Leg &firstLeg, const Leg &secondLeg) Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments (PricingEngine::arguments *) const void…

NAME ql/math/optimization/leastsquare.hpp – Least square cost function. SYNOPSIS #include <ql/math/optimization/problem.hpp> #include <ql/math/optimization/conjugategradient.hpp> #include <ql/math/matrix.hpp> Classes class LeastSquareProblem Base class for least square problem. class LeastSquareFunction Cost function for least-square problems. class NonLinearLeastSquare Non-linear least-square method. Detailed Description Least square cost function. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME htobe16, htole16, be16toh, le16toh, htobe32, htole32, be32toh, le32toh, htobe64, htole64, be64toh, le64toh – convert values between host and big-/little-endian byte order SYNOPSIS #include <endian.h> uint16_t htobe16(uint16_t host_16bits); uint16_t htole16(uint16_t host_16bits); uint16_t be16toh(uint16_t big_endian_16bits); uint16_t le16toh(uint16_t little_endian_16bits); uint32_t htobe32(uint32_t host_32bits); uint32_t htole32(uint32_t host_32bits); uint32_t be32toh(uint32_t big_endian_32bits); uint32_t le32toh(uint32_t little_endian_32bits); uint64_t htobe64(uint64_t host_64bits); uint64_t htole64(uint64_t host_64bits);…

NAME htobe16, htole16, be16toh, le16toh, htobe32, htole32, be32toh, le32toh, htobe64, htole64, be64toh, le64toh – convert values between host and big-/little-endian byte order SYNOPSIS #include <endian.h> uint16_t htobe16(uint16_t host_16bits); uint16_t htole16(uint16_t host_16bits); uint16_t be16toh(uint16_t big_endian_16bits); uint16_t le16toh(uint16_t little_endian_16bits); uint32_t htobe32(uint32_t host_32bits); uint32_t htole32(uint32_t host_32bits); uint32_t be32toh(uint32_t big_endian_32bits); uint32_t le32toh(uint32_t little_endian_32bits); uint64_t htobe64(uint64_t host_64bits); uint64_t htole64(uint64_t host_64bits);…

NAME htobe16, htole16, be16toh, le16toh, htobe32, htole32, be32toh, le32toh, htobe64, htole64, be64toh, le64toh – convert values between host and big-/little-endian byte order SYNOPSIS #include <endian.h> uint16_t htobe16(uint16_t host_16bits); uint16_t htole16(uint16_t host_16bits); uint16_t be16toh(uint16_t big_endian_16bits); uint16_t le16toh(uint16_t little_endian_16bits); uint32_t htobe32(uint32_t host_32bits); uint32_t htole32(uint32_t host_32bits); uint32_t be32toh(uint32_t big_endian_32bits); uint32_t le32toh(uint32_t little_endian_32bits); uint64_t htobe64(uint64_t host_64bits); uint64_t htole64(uint64_t host_64bits);…

NAME ldns_zone_sort, ldns_zone_glue_rr_list SYNOPSIS #include <stdint.h> #include <stdbool.h> #include <ldns/ldns.h> void ldns_zone_sort(ldns_zone *zone); ldns_rr_list* ldns_zone_glue_rr_list(const ldns_zone *z); DESCRIPTION ldns_zone_sort() Sort the rrs in a zone, with the current impl. this is slow .br zone: the zone to sort ldns_zone_glue_rr_list() Retrieve all resource records from the zone that are glue records. The resulting list does are…

NAME ldns_zone_rrs, ldns_zone_soa SYNOPSIS #include <stdint.h> #include <stdbool.h> #include <ldns/ldns.h> ldns_rr_list * ldns_zone_rrs(const ldns_zone *z); ldns_rr * ldns_zone_soa(const ldns_zone *z); DESCRIPTION ldns_zone_rrs() Get a list of a zone’s content. Note that the SOA isn’t included in this list. You need to get the with ldns_zone_soa. .br z: the zone to read from .br Returns the…

NAME ldns_zone_set_rrs, ldns_zone_set_soa SYNOPSIS #include <stdint.h> #include <stdbool.h> #include <ldns/ldns.h> void ldns_zone_set_rrs(ldns_zone *z, ldns_rr_list *rrlist); void ldns_zone_set_soa(ldns_zone *z, ldns_rr *soa); DESCRIPTION ldns_zone_set_rrs() Set the zone’s contents .br z: the zone to put the new soa in .br rrlist: the rrlist to use ldns_zone_set_soa() Set the zone’s soa record .br z: the zone to put the…

NAME ldns_zone_set_rrs, ldns_zone_set_soa SYNOPSIS #include <stdint.h> #include <stdbool.h> #include <ldns/ldns.h> void ldns_zone_set_rrs(ldns_zone *z, ldns_rr_list *rrlist); void ldns_zone_set_soa(ldns_zone *z, ldns_rr *soa); DESCRIPTION ldns_zone_set_rrs() Set the zone’s contents .br z: the zone to put the new soa in .br rrlist: the rrlist to use ldns_zone_set_soa() Set the zone’s soa record .br z: the zone to put the…

NAME ldns_zone_rrs, ldns_zone_soa SYNOPSIS #include <stdint.h> #include <stdbool.h> #include <ldns/ldns.h> ldns_rr_list * ldns_zone_rrs(const ldns_zone *z); ldns_rr * ldns_zone_soa(const ldns_zone *z); DESCRIPTION ldns_zone_rrs() Get a list of a zone’s content. Note that the SOA isn’t included in this list. You need to get the with ldns_zone_soa. .br z: the zone to read from .br Returns the…