SysTutorials Posts

QuantLib::SmileSection – interest rate volatility smile section Synopsis #include <ql/termstructures/volatility/smilesection.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Inherited by FlatSmileSection, InterpolatedSmileSection< Interpolator >, SabrInterpolatedSmileSection, SabrSmileSection, and SpreadedSmileSection. Public Member Functions SmileSection (const Date &d, const DayCounter &dc=DayCounter(), const Date &referenceDate=Date()) SmileSection (Time exerciseTime, const DayCounter &dc=DayCounter()) virtual void update () virtual Real minStrike () const =0 virtual Real…

QuantLib::FDVanillaEngine – Finite-differences pricing engine for BSM one asset options. Synopsis #include <ql/pricingengines/vanilla/fdvanillaengine.hpp> Inherited by FDEuropeanEngine, FDMultiPeriodEngine, and FDStepConditionEngine. Public Member Functions FDVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) const Array & grid () const Protected Types typedef BoundaryCondition< TridiagonalOperator > bc_type Protected Member Functions virtual void setupArguments (const PricingEngine::arguments…

QuantLib::SmileSection – interest rate volatility smile section Synopsis #include <ql/termstructures/volatility/smilesection.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Inherited by FlatSmileSection, InterpolatedSmileSection< Interpolator >, SabrInterpolatedSmileSection, SabrSmileSection, and SpreadedSmileSection. Public Member Functions SmileSection (const Date &d, const DayCounter &dc=DayCounter(), const Date &referenceDate=Date()) SmileSection (Time exerciseTime, const DayCounter &dc=DayCounter()) virtual void update () virtual Real minStrike () const =0 virtual Real…

NAME execl, execlp, execle, execv, execvp, execvpe – execute a file SYNOPSIS #include <unistd.h> extern char **environ; int execl(const char *pathname, const char *arg, … /* (char *) NULL */); int execlp(const char *file, const char *arg, … /* (char *) NULL */); int execle(const char *pathname, const char *arg, … /*, (char *) NULL,…

NAME execl, execlp, execle, execv, execvp, execvpe – execute a file SYNOPSIS #include <unistd.h> extern char **environ; int execl(const char *pathname, const char *arg, … /* (char *) NULL */); int execlp(const char *file, const char *arg, … /* (char *) NULL */); int execle(const char *pathname, const char *arg, … /*, (char *) NULL,…

NAME execl, execlp, execle, execv, execvp, execvpe – execute a file SYNOPSIS #include <unistd.h> extern char **environ; int execl(const char *pathname, const char *arg, … /* (char *) NULL */); int execlp(const char *file, const char *arg, … /* (char *) NULL */); int execle(const char *pathname, const char *arg, … /*, (char *) NULL,…

QuantLib::FDBermudanEngine – Finite-differences Bermudan engine. Synopsis #include <ql/pricingengines/vanilla/fdbermudanengine.hpp> Inherits VanillaOption::engine, and QuantLib::FDMultiPeriodEngine. Public Member Functions FDBermudanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) void calculate () const Protected Member Functions void initializeStepCondition () const void executeIntermediateStep (Size) const Protected Attributes Real extraTermInBermudan Detailed Description Finite-differences Bermudan engine. Examples: EquityOption.cpp. Author Generated…

NAME execl, execlp, execle, execv, execvp, execvpe – execute a file SYNOPSIS #include <unistd.h> extern char **environ; int execl(const char *pathname, const char *arg, … /* (char *) NULL */); int execlp(const char *file, const char *arg, … /* (char *) NULL */); int execle(const char *pathname, const char *arg, … /*, (char *) NULL,…

NAME execl, execlp, execle, execv, execvp, execvpe – execute a file SYNOPSIS #include <unistd.h> extern char **environ; int execl(const char *pathname, const char *arg, … /* (char *) NULL */); int execlp(const char *file, const char *arg, … /* (char *) NULL */); int execle(const char *pathname, const char *arg, … /*, (char *) NULL,…

NAME execl, execlp, execle, execv, execvp, execvpe – execute a file SYNOPSIS #include <unistd.h> extern char **environ; int execl(const char *pathname, const char *arg, … /* (char *) NULL */); int execlp(const char *file, const char *arg, … /* (char *) NULL */); int execle(const char *pathname, const char *arg, … /*, (char *) NULL,…

NAME execl, execlp, execle, execv, execvp, execvpe – execute a file SYNOPSIS #include <unistd.h> extern char **environ; int execl(const char *pathname, const char *arg, … /* (char *) NULL */); int execlp(const char *file, const char *arg, … /* (char *) NULL */); int execle(const char *pathname, const char *arg, … /*, (char *) NULL,…

NAME exdbuf – How to use double buffering to avoid flicker. Allegro game programming library. SYNOPSIS #include <allegro.h> Example exdbuf DESCRIPTION This program demonstrates the use of double buffering. It moves a circle across the screen, first just erasing and redrawing directly to the screen, then with a double buffer. SEE ALSO BITMAP(3), END_OF_MAIN(3), SCREEN_H(3),…

NAME exdata – Accessing the contents of datafiles. Allegro game programming library. SYNOPSIS #include <allegro.h> Example exdata DESCRIPTION This program demonstrates how to access the contents of an Allegro datafile (created by the grabber utility). The example loads the file `example.dat’, then blits a bitmap and shows a font, both from this datafile. SEE ALSO…

NAME excustom – Creating custom GUI objects. Allegro game programming library. SYNOPSIS #include <allegro.h> Example excustom DESCRIPTION A follow up of the exgui.c example showing how to customise the default Allegro framework. In this case a dialog procedure animates a graphical clock without disrupting other GUI dialogs. A more simple option shows how to dynamically…

NAME exconfig – Using the configuration routines. Allegro game programming library. SYNOPSIS #include <allegro.h> Example exconfig DESCRIPTION This is a very simple program showing how to use the Allegro configuration (ini file) routines. A first look at the example shows nothing more than a static graphic and the wait for a key press. However, the…

NAME excolmap – Creating graphical effects with color mapping tables. Allegro game programming library. SYNOPSIS #include <allegro.h> Example excolmap DESCRIPTION This program demonstrates how to create custom graphic effects with the create_color_table function. Allegro drawing routines are affected by any color table you might have set up. In the first part of this example, a…

QuantLib::QuantoEngine – Quanto engine. Synopsis #include <ql/pricingengines/quanto/quantoengine.hpp> Inherits GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > >. Public Member Functions QuantoEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, const Handle< YieldTermStructure > &foreignRiskFreeRate, const Handle< BlackVolTermStructure > &exchangeRateVolatility, const Handle< Quote > &correlation) void calculate () const Protected Attributes boost::shared_ptr< GeneralizedBlackScholesProcess > process_ Handle< YieldTermStructure > foreignRiskFreeRate_ Handle< BlackVolTermStructure >…

QuantLib::CommodityIndex – base class for commodity indexes Synopsis #include <ql/experimental/commodities/commodityindex.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Public Member Functions CommodityIndex (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, Real lotQuantity, const boost::shared_ptr< CommodityCurve > &forwardCurve, const boost::shared_ptr< ExchangeContracts > &exchangeContracts, int nearbyOffset) void addQuote (const Date &quoteDate, Real quote) void…

QuantLib::LossDistBinomial – Binomial loss distribution. Synopsis #include <ql/experimental/credit/lossdistribution.hpp> Inherits QuantLib::LossDist. Public Member Functions LossDistBinomial (Size nBuckets, Real maximum) Distribution operator() (Size n, Real volume, Real probability) const Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const Size buckets () const Real maximum () const Real volume () const Size size ()…

NAME excamera – Viewing a 3d world from an arbitrary camera position. Allegro game programming library. SYNOPSIS #include <allegro.h> Example excamera DESCRIPTION This program demonstrates how to use the get_camera_matrix() function to view a 3d world from any position and angle. The example draws a checkered floor through a viewport region on the screen. You…