SysTutorials Posts

QuantLib::FDDividendEngineBase – Abstract base class for dividend engines. Synopsis #include <ql/pricingengines/vanilla/fddividendengine.hpp> Inherits QuantLib::FDMultiPeriodEngine. Inherited by FDDividendEngineMerton73, and FDDividendEngineShiftScale. Public Member Functions FDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Protected Member Functions virtual void setupArguments (const PricingEngine::arguments *) const void setGridLimits () const =0 void executeIntermediateStep (Size step) const =0 Real…

QuantLib::FDDividendEngineBase – Abstract base class for dividend engines. Synopsis #include <ql/pricingengines/vanilla/fddividendengine.hpp> Inherits QuantLib::FDMultiPeriodEngine. Inherited by FDDividendEngineMerton73, and FDDividendEngineShiftScale. Public Member Functions FDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) Protected Member Functions virtual void setupArguments (const PricingEngine::arguments *) const void setGridLimits () const =0 void executeIntermediateStep (Size step) const =0 Real…

QuantLib::PricingEngine – interface for pricing engines Synopsis #include <ql/pricingengine.hpp> Inherits QuantLib::Observable. Inherited by GenericEngine< Arguments, Results >, GenericEngine< ArgumentsType, ResultsType >, GenericEngine< BarrierOption::arguments, BarrierOption::results >, GenericEngine< BasketOption::arguments, BasketOption::results >, GenericEngine< Bond::arguments, Bond::results >, GenericEngine< CallableBond::arguments, CallableBond::results >, GenericEngine< CapFloor::arguments, CapFloor::results >, GenericEngine< CliquetOption::arguments, CliquetOption::results >, GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results >, GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results >, GenericEngine< ContinuousFloatingLookbackOption::arguments,…

NAME generate_optimized_palette – Generates an optimized palette for a bitmap. Allegro game programming library. SYNOPSIS #include <allegro.h> int generate_optimized_palette(BITMAP *bmp, PALETTE pal, const char rsvd[PAL_SIZE]); DESCRIPTION Generates a 256-color palette suitable for making a reduced color version of the specified truecolor image. The rsvd parameter points to a table indicating which colors it is allowed…

NAME generate_332_palette – Constructs a fake truecolor palette. Allegro game programming library. SYNOPSIS #include <allegro.h> void generate_332_palette(PALETTE pal); DESCRIPTION Constructs a fake truecolor palette, using three bits for red and green and two for the blue. The load_bitmap() function fills the palette parameter with this if the file does not contain a palette itself (ie….

QuantLib::LmCorrelationModel – libor forward correlation model Synopsis #include <ql/legacy/libormarketmodels/lmcorrmodel.hpp> Inherited by LmConstWrapperCorrelationModel, LmExponentialCorrelationModel, and LmLinearExponentialCorrelationModel. Public Member Functions LmCorrelationModel (Size size, Size nArguments) virtual Size size () const virtual Size factors () const std::vector< Parameter > & params () void setParams (const std::vector< Parameter > &arguments) virtual Disposable< Matrix > correlation (Time t, const Array…

NAME gendlib – perl library for querying genders file SYNOPSIS require “/usr/lib/genders/gendlib.pl”; DESCRIPTION This package contains common functions for manipulating the genders file. Previously this code existed only in the nodeattr command, but applications that must repeatedly call nodeattr would spend a great deal of time reading and parsing the genders file. These functions create…

NAME QuantLib::CapFloor::arguments – Arguments for cap/floor calculation SYNOPSIS #include <ql/instruments/capfloor.hpp> Inherits QuantLib::PricingEngine::arguments. Public Member Functions void validate () const Public Attributes CapFloor::Type type std::vector< Date > startDates std::vector< Date > fixingDates std::vector< Date > endDates std::vector< Time > accrualTimes std::vector< Rate > capRates std::vector< Rate > floorRates std::vector< Rate > forwards std::vector< Real > gearings…

NAME QuantLib::HaganPricer – CMS-coupon pricer. SYNOPSIS #include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::CmsCouponPricer. Inherited by AnalyticHaganPricer, and NumericHaganPricer. Public Member Functions virtual Real swapletPrice () const =0 virtual Rate swapletRate () const virtual Real capletPrice (Rate effectiveCap) const virtual Rate capletRate (Rate effectiveCap) const virtual Real floorletPrice (Rate effectiveFloor) const virtual Rate floorletRate (Rate effectiveFloor) const Real meanReversion…

NAME QuantLib::DoubleStickyRatchetPayoff – Intermediate class for single/double sticky/ratchet payoffs. SYNOPSIS #include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::Payoff. Inherited by RatchetMaxPayoff, RatchetMinPayoff, RatchetPayoff, StickyMaxPayoff, StickyMinPayoff, and StickyPayoff. Public Member Functions DoubleStickyRatchetPayoff (Real type1, Real type2, Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const…

NAME QuantLib::DoubleStickyRatchetPayoff – Intermediate class for single/double sticky/ratchet payoffs. SYNOPSIS #include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::Payoff. Inherited by RatchetMaxPayoff, RatchetMinPayoff, RatchetPayoff, StickyMaxPayoff, StickyMinPayoff, and StickyPayoff. Public Member Functions DoubleStickyRatchetPayoff (Real type1, Real type2, Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const…

NAME QuantLib::DoubleStickyRatchetPayoff – Intermediate class for single/double sticky/ratchet payoffs. SYNOPSIS #include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::Payoff. Inherited by RatchetMaxPayoff, RatchetMinPayoff, RatchetPayoff, StickyMaxPayoff, StickyMinPayoff, and StickyPayoff. Public Member Functions DoubleStickyRatchetPayoff (Real type1, Real type2, Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const…

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…

NAME GDBM – The GNU database manager. Includes dbm and ndbm compatability. (Version 1.9.) SYNOPSIS #include <gdbm.h> extern gdbm_error gdbm_errno; extern char *gdbm_version; GDBM_FILE gdbm_open(const char *name, int block_size, &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; int flags, int mode, &nbsp;…

NAME gcvt – convert a floating-point number to a string SYNOPSIS #include <stdlib.h> char *gcvt(double number, int ndigit, char *buf); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): gcvt(): Since glibc 2.12: (_XOPEN_SOURCE &nbsp; >= &nbsp; 500) !(_POSIX_C_SOURCE & nbsp; >= &nbsp; 200112L) || /* Glibc since 2.19: */ _DEFAULT_SOURCE || /* Glibc versions <=…

NAME GC_malloc, GC_malloc_atomic, GC_free, GC_realloc, GC_enable_incremental, GC_register_finalizer, GC_malloc_ignore_off_page, GC_malloc_atomic_ignore_off_page, GC_set_warn_proc – Garbage collecting malloc replacement SYNOPSIS #include "gc.h" void * GC_malloc(size_t size); void GC_free(void *ptr); void * GC_realloc(void *ptr, size_t size); cc … gc.a DESCRIPTION GC_malloc and GC_free are plug-in replacements for standard malloc and free. However, GC_malloc will attempt to reclaim inaccessible space automatically…

NAME ql/math/integrals/gaussianquadratures.hpp – Integral of a 1-dimensional function using the Gauss quadratures. SYNOPSIS #include <ql/math/array.hpp> #include <ql/math/integrals/gaussianorthogonalpolynomial.hpp> Classes class GaussianQuadrature Integral of a 1-dimensional function using the Gauss quadratures method. class GaussLaguerreIntegration generalized Gauss-Laguerre integration class GaussHermiteIntegration generalized Gauss-Hermite integration class GaussJacobiIntegration Gauss-Jacobi integration. class GaussHyperbolicIntegration Gauss-Hyperbolic integration. class GaussLegendreIntegration Gauss-Legendre integration. class GaussChebyshevIntegration Gauss-Chebyshev…

NAME ql/math/integrals/gaussianorthogonalpolynomial.hpp – orthogonal polynomials for gaussian quadratures SYNOPSIS #include <ql/types.hpp> Classes class GaussianOrthogonalPolynomial orthogonal polynomial for Gaussian quadratures class GaussLaguerrePolynomial Gauss-Laguerre polynomial. class GaussHermitePolynomial Gauss-Hermite polynomial. class GaussJacobiPolynomial Gauss-Jacobi polynomial. class GaussLegendrePolynomial Gauss-Legendre polynomial. class GaussChebyshevPolynomial Gauss-Chebyshev polynomial. class GaussChebyshev2thPolynomial Gauss-Chebyshev polynomial (second kind). class GaussGegenbauerPolynomial Gauss-Gegenbauer polynomial. class GaussHyperbolicPolynomial Gauss hyperbolic polynomial. Detailed…

QuantLib::GenericGaussianStatistics – Statistics tool for gaussian-assumption risk measures. Synopsis #include <ql/math/statistics/gaussianstatistics.hpp> Inherits Stat. Public Types typedef Stat::value_type value_type Public Member Functions GenericGaussianStatistics (const Stat &s) Gaussian risk measures Real gaussianDownsideVariance () const Real gaussianDownsideDeviation () const Real gaussianRegret (Real target) const Real gaussianPercentile (Real percentile) const Real gaussianTopPercentile (Real percentile) const Real gaussianPotentialUpside (Real percentile)…

QuantLib::GenericGaussianStatistics – Statistics tool for gaussian-assumption risk measures. Synopsis #include <ql/math/statistics/gaussianstatistics.hpp> Inherits Stat. Public Types typedef Stat::value_type value_type Public Member Functions GenericGaussianStatistics (const Stat &s) Gaussian risk measures Real gaussianDownsideVariance () const Real gaussianDownsideDeviation () const Real gaussianRegret (Real target) const Real gaussianPercentile (Real percentile) const Real gaussianTopPercentile (Real percentile) const Real gaussianPotentialUpside (Real percentile)…