SysTutorials Posts

NAME QuantLib::FittedBondDiscountCurve::FittingMethod – Base fitting method used to construct a fitted bond discount curve. SYNOPSIS #include <ql/termstructures/yield/fittedbonddiscountcurve.hpp> Inherited by CubicBSplinesFitting, ExponentialSplinesFitting, NelsonSiegelFitting, and SimplePolynomialFitting. Public Member Functions virtual Size size () const =0 total number of coefficients to fit/solve for Array solution () const output array of results of optimization problem Integer numberOfIterations () const…

NAME infnan – deal with infinite or not-a-number (NaN) result SYNOPSIS #include <math.h> double infnan(int error); Link with -lm. DESCRIPTION The infnan() function returns a suitable value for infinity and "not-a-number" (NaN) results. The value of error can be ERANGE to represent infinity or anything else to represent NaN. errno is also set. RETURN VALUE…

NAME ql/termstructures/inflation/inflationhelpers.hpp – Bootstrap helpers for inflation term structures. SYNOPSIS #include <ql/termstructures/bootstraphelper.hpp> #include <ql/instruments/zerocouponinflationswap.hpp> #include <ql/instruments/yearonyearinflationswap.hpp> Classes class ZciisInflationHelper Zero-coupon inflation-swap bootstrap helper. class YyiisInflationHelper Year-on-year inflation-swap bootstrap helper. Detailed Description Bootstrap helpers for inflation term structures. Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::YearOnYearInflationSwap – Year-on-year inflation-indexed swap. Synopsis#include <ql/instruments/yearonyearinflationswap.hpp> Inherits QuantLib::InflationSwap. Public Member FunctionsYearOnYearInflationSwap (const Date &start, const Date &maturity, const Period &lag, Rate fixedRate, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS, const Handle< YoYInflationTermStructure > &inflationTS, bool allowAmbiguousPayments=false, const Period &ambiguousPaymentPeriod=Period(1, Months)) Instrument interface bool isExpired () const returns whether…

ql/termstructures/inflationtermstructure.hpp – Base classes for inflation term structures. Synopsis#include <ql/termstructures/yieldtermstructure.hpp> Classesclass InflationTermStructure Interface for inflation term structures. class ZeroInflationTermStructure Interface for zero inflation term structures. class YoYInflationTermStructure Base class for year-on-year inflation term structures. Functionsstd::pair< Date, Date > inflationPeriod (const Date &, Frequency) utility function giving the inflation period for a given date Detailed DescriptionBase…

NAME inet_pton – convert IPv4 and IPv6 addresses from text to binary form SYNOPSIS #include <arpa/inet.h> int inet_pton(int af, const char *src, void *dst); DESCRIPTION This function converts the character string src into a network address structure in the af address family, then copies the network address structure to dst. The af argument must be…

NAME inet_ntop – convert IPv4 and IPv6 addresses from binary to text form SYNOPSIS #include <arpa/inet.h> const char *inet_ntop(int af, const void *src, char *dst, socklen_t size); DESCRIPTION This function converts the network address structure src in the af address family into a character string. The resulting string is copied to the buffer pointed to…

NAME inet_aton, inet_addr, inet_network, inet_ntoa, inet_makeaddr, inet_lnaof, inet_netof – Internet address manipulation routines SYNOPSIS #include <arpa/inet.h> #include <netinet/in.h> #include <sys/socket.h> int inet_aton(const char *cp, struct in_addr *inp); in_addr_t inet_addr(const char *cp); in_addr_t inet_network(const char *cp); char *inet_ntoa(struct in_addr in); struct in_addr inet_makeaddr(in_addr_t net, in_addr_t host); in_addr_t inet_lnaof(struct in_addr in); in_addr_t inet_netof(struct in_addr in); Feature Test…

NAME inet_aton, inet_addr, inet_network, inet_ntoa, inet_makeaddr, inet_lnaof, inet_netof – Internet address manipulation routines SYNOPSIS #include <arpa/inet.h> #include <netinet/in.h> #include <sys/socket.h> int inet_aton(const char *cp, struct in_addr *inp); in_addr_t inet_addr(const char *cp); in_addr_t inet_network(const char *cp); char *inet_ntoa(struct in_addr in); struct in_addr inet_makeaddr(in_addr_t net, in_addr_t host); in_addr_t inet_lnaof(struct in_addr in); in_addr_t inet_netof(struct in_addr in); Feature Test…

NAME inet_aton, inet_addr, inet_network, inet_ntoa, inet_makeaddr, inet_lnaof, inet_netof – Internet address manipulation routines SYNOPSIS #include <arpa/inet.h> #include <netinet/in.h> #include <sys/socket.h> int inet_aton(const char *cp, struct in_addr *inp); in_addr_t inet_addr(const char *cp); in_addr_t inet_network(const char *cp); char *inet_ntoa(struct in_addr in); struct in_addr inet_makeaddr(in_addr_t net, in_addr_t host); in_addr_t inet_lnaof(struct in_addr in); in_addr_t inet_netof(struct in_addr in); Feature Test…

NAME inet_net_pton, inet_net_ntop – Internet network number conversion SYNOPSIS #include <arpa/inet.h> int inet_net_pton(int af, const char *pres, void *netp, size_t nsize); char *inet_net_ntop(int af, const void *netp, int bits, char *pres, size_t psize); Link with -lresolv. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): inet_net_pton(), inet_net_ntop(): Since glibc 2.20: _DEFAULT_SOURCE Before glibc 2.20: _BSD_SOURCE ||…

NAME inet_net_pton, inet_net_ntop – Internet network number conversion SYNOPSIS #include <arpa/inet.h> int inet_net_pton(int af, const char *pres, void *netp, size_t nsize); char *inet_net_ntop(int af, const void *netp, int bits, char *pres, size_t psize); Link with -lresolv. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): inet_net_pton(), inet_net_ntop(): Since glibc 2.20: _DEFAULT_SOURCE Before glibc 2.20: _BSD_SOURCE ||…

NAME inet_aton, inet_addr, inet_network, inet_ntoa, inet_makeaddr, inet_lnaof, inet_netof – Internet address manipulation routines SYNOPSIS #include <arpa/inet.h> #include <netinet/in.h> #include <sys/socket.h> int inet_aton(const char *cp, struct in_addr *inp); in_addr_t inet_addr(const char *cp); in_addr_t inet_network(const char *cp); char *inet_ntoa(struct in_addr in); struct in_addr inet_makeaddr(in_addr_t net, in_addr_t host); in_addr_t inet_lnaof(struct in_addr in); in_addr_t inet_netof(struct in_addr in); Feature Test…

NAME inet_aton, inet_addr, inet_network, inet_ntoa, inet_makeaddr, inet_lnaof, inet_netof – Internet address manipulation routines SYNOPSIS #include <arpa/inet.h> #include <netinet/in.h> #include <sys/socket.h> int inet_aton(const char *cp, struct in_addr *inp); in_addr_t inet_addr(const char *cp); in_addr_t inet_network(const char *cp); char *inet_ntoa(struct in_addr in); struct in_addr inet_makeaddr(in_addr_t net, in_addr_t host); in_addr_t inet_lnaof(struct in_addr in); in_addr_t inet_netof(struct in_addr in); Feature Test…

NAME inet_aton, inet_addr, inet_network, inet_ntoa, inet_makeaddr, inet_lnaof, inet_netof – Internet address manipulation routines SYNOPSIS #include <arpa/inet.h> #include <netinet/in.h> #include <sys/socket.h> int inet_aton(const char *cp, struct in_addr *inp); in_addr_t inet_addr(const char *cp); in_addr_t inet_network(const char *cp); char *inet_ntoa(struct in_addr in); struct in_addr inet_makeaddr(in_addr_t net, in_addr_t host); in_addr_t inet_lnaof(struct in_addr in); in_addr_t inet_netof(struct in_addr in); Feature Test…

NAME inet_aton, inet_addr, inet_network, inet_ntoa, inet_makeaddr, inet_lnaof, inet_netof – Internet address manipulation routines SYNOPSIS #include <arpa/inet.h> #include <netinet/in.h> #include <sys/socket.h> int inet_aton(const char *cp, struct in_addr *inp); in_addr_t inet_addr(const char *cp); in_addr_t inet_network(const char *cp); char *inet_ntoa(struct in_addr in); struct in_addr inet_makeaddr(in_addr_t net, in_addr_t host); in_addr_t inet_lnaof(struct in_addr in); in_addr_t inet_netof(struct in_addr in); Feature Test…

NAME inet_aton, inet_addr, inet_network, inet_ntoa, inet_makeaddr, inet_lnaof, inet_netof – Internet address manipulation routines SYNOPSIS #include <arpa/inet.h> #include <netinet/in.h> #include <sys/socket.h> int inet_aton(const char *cp, struct in_addr *inp); in_addr_t inet_addr(const char *cp); in_addr_t inet_network(const char *cp); char *inet_ntoa(struct in_addr in); struct in_addr inet_makeaddr(in_addr_t net, in_addr_t host); in_addr_t inet_lnaof(struct in_addr in); in_addr_t inet_netof(struct in_addr in); Feature Test…

NAME QuantLib::FloatingRateCoupon – base floating-rate coupon class SYNOPSIS #include <ql/cashflows/floatingratecoupon.hpp> Inherits QuantLib::Coupon, and QuantLib::Observer. Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon. Public Member Functions FloatingRateCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< InterestRateIndex > &index, const Real gearing=1.0, const Spread spread=0.0, const…

QuantLib::FuturesConvAdjustmentQuote – quote for the futures-convexity adjustment of an index Synopsis#include <ql/quotes/futuresconvadjustmentquote.hpp> Inherits QuantLib::Quote, and QuantLib::Observer. Public Member FunctionsFuturesConvAdjustmentQuote (const boost::shared_ptr< IborIndex > &index, const Date &futuresDate, const Handle< Quote > &futuresQuote, const Handle< Quote > &volatility, const Handle< Quote > &meanReversion) FuturesConvAdjustmentQuote (const boost::shared_ptr< IborIndex > &index, const std::string &immCode, const Handle< Quote >…

QuantLib::AverageBMACoupon – Average BMA coupon. Synopsis#include <ql/cashflows/averagebmacoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Public Member FunctionsAverageBMACoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const boost::shared_ptr< BMAIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter()) FloatingRateCoupon interface Date fixingDate () const not applicable here; use fixingDates() instead std::vector< Date…