SysTutorials Posts

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)…

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)…

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)…

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)…

NAME gamma, gammaf, gammal – (logarithm of the) gamma function SYNOPSIS #include <math.h> double gamma(double x); float gammaf(float x); long double gammal(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): gamma(): _XOPEN_SOURCE     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE gammaf(), gammal(): _XOPEN_SOURCE >= 600 || (_XOPEN_SOURCE && _ISOC99_SOURCE)     || /* Since glibc 2.19: */ _DEFAULT_SOURCE…

NAME gamma, gammaf, gammal – (logarithm of the) gamma function SYNOPSIS #include <math.h> double gamma(double x); float gammaf(float x); long double gammal(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): gamma(): _XOPEN_SOURCE     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE gammaf(), gammal(): _XOPEN_SOURCE >= 600 || (_XOPEN_SOURCE && _ISOC99_SOURCE)     || /* Since glibc 2.19: */ _DEFAULT_SOURCE…

NAME QuantLib::MultiAssetOption – Base class for options on multiple assets. SYNOPSIS #include <ql/instruments/multiassetoption.hpp> Inherits QuantLib::Option. Inherited by BasketOption, EverestOption, HimalayaOption, and PagodaOption. Classes class results Results from multi-asset option calculation Public Member Functions MultiAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &) void setupArguments (PricingEngine::arguments *) const void fetchResults (const PricingEngine::results *) const…

QuantLib::BlackCalculator – Black 1976 calculator class. Synopsis #include <ql/pricingengines/blackcalculator.hpp> Inherited by BlackScholesCalculator. Public Member Functions BlackCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) Real value () const Real deltaForward () const virtual Real delta (Real spot) const Real elasticityForward () const virtual Real elasticity (Real spot) const Real gammaForward () const…

NAME gamma, gammaf, gammal – (logarithm of the) gamma function SYNOPSIS #include <math.h> double gamma(double x); float gammaf(float x); long double gammal(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): gamma(): _XOPEN_SOURCE     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE gammaf(), gammal(): _XOPEN_SOURCE >= 600 || (_XOPEN_SOURCE && _ISOC99_SOURCE)     || /* Since glibc 2.19: */ _DEFAULT_SOURCE…

NAME getaddrinfo_a, gai_suspend, gai_error, gai_cancel – asynchronous network address and service translation SYNOPSIS #define _GNU_SOURCE /* See feature_test_macros(7) */ #include <netdb.h> int getaddrinfo_a(int mode, struct gaicb *list[], int nitems, struct sigevent *sevp); int gai_suspend(const struct gaicb *const list[], int nitems, const struct timespec *timeout); int gai_error(struct gaicb *req); int gai_cancel(struct gaicb *req); Link with -…

NAME getaddrinfo, freeaddrinfo, gai_strerror – network address and service translation SYNOPSIS #include <netdb.h> #include <sys/socket.h> #include <sys/types.h> int getaddrinfo(const char *node, const char *service, const struct addrinfo *hints, struct addrinfo **res); void freeaddrinfo(struct addrinfo *res); const char *gai_strerror(int errcode); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): getaddrinfo(), freeaddrinfo(), gai_strerror():     Since glibc 2.22: _POSIX_C_SOURCE >= 200112L     Glibc 2.21…

NAME getaddrinfo_a, gai_suspend, gai_error, gai_cancel – asynchronous network address and service translation SYNOPSIS #define _GNU_SOURCE /* See feature_test_macros(7) */ #include <netdb.h> int getaddrinfo_a(int mode, struct gaicb *list[], int nitems, struct sigevent *sevp); int gai_suspend(const struct gaicb *const list[], int nitems, const struct timespec *timeout); int gai_error(struct gaicb *req); int gai_cancel(struct gaicb *req); Link with -…

NAME getaddrinfo_a, gai_suspend, gai_error, gai_cancel – asynchronous network address and service translation SYNOPSIS #define _GNU_SOURCE /* See feature_test_macros(7) */ #include <netdb.h> int getaddrinfo_a(int mode, struct gaicb *list[], int nitems, struct sigevent *sevp); int gai_suspend(const struct gaicb *const list[], int nitems, const struct timespec *timeout); int gai_error(struct gaicb *req); int gai_cancel(struct gaicb *req); Link with -…

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 ()…

QuantLib::Solver1D – Base class for 1-D solvers. Synopsis #include <ql/math/solver1d.hpp> Inherits CuriouslyRecurringTemplate< Impl >. Public Member Functions Modifiers template<class F > Real solve (const F &f, Real accuracy, Real guess, Real step) const template<class F > Real solve (const F &f, Real accuracy, Real guess, Real xMin, Real xMax) const void setMaxEvaluations (Size evaluations) void…

QuantLib::Solver1D – Base class for 1-D solvers. Synopsis #include <ql/math/solver1d.hpp> Inherits CuriouslyRecurringTemplate< Impl >. Public Member Functions Modifiers template<class F > Real solve (const F &f, Real accuracy, Real guess, Real step) const template<class F > Real solve (const F &f, Real accuracy, Real guess, Real xMin, Real xMax) const void setMaxEvaluations (Size evaluations) void…