SysTutorials Posts

NAME QuantLib::MultiCubicSpline – N-dimensional cubic spline interpolation between discrete points. SYNOPSIS #include <ql/math/interpolations/multicubicspline.hpp> Public Types typedef c_splint::argument_type argument_type typedef c_splint::result_type result_type typedef c_splint::data_table data_table typedef c_splint::return_type return_type typedef c_splint::output_data output_data typedef c_splint::dimensions dimensions typedef c_splint::data data Public Member Functions MultiCubicSpline (const SplineGrid &grid, const data_table &y, const std::vector< bool > &ae=std::vector< bool >(20, false)) result_type…

NAME QuantLib::GenericSequenceStatistics – Statistics analysis of N-dimensional (sequence) data. SYNOPSIS #include <ql/math/statistics/sequencestatistics.hpp> Public Types typedef StatisticsType statistics_type typedef std::vector< typename StatisticsType::value_type > value_type Public Member Functions GenericSequenceStatistics (Size dimension=0) inspectors Size size () const covariance and correlation Disposable< Matrix > covariance () const returns the covariance Matrix Disposable< Matrix > correlation () const returns the…

NAME QuantLib::FaureRsg – Faure low-discrepancy sequence generator. SYNOPSIS #include <ql/math/randomnumbers/faurersg.hpp> Public Types typedef Sample< std::vector< Real > > sample_type Public Member Functions FaureRsg (Size dimensionality) const std::vector< long int > & nextIntSequence () const const std::vector< long int > & lastIntSequence () const const sample_type & nextSequence () const const sample_type & lastSequence () const…

NAME digi_recorder – Hook notifying you when a new sample buffer becomes available. Allegro game programming library. SYNOPSIS #include <allegro.h> extern void (*digi_recorder)(); DESCRIPTION If set, this function is called by the input driver whenever a new sample buffer becomes available, at which point you can use read_sound_input() to copy the data into a more…

NAME QuantLib::LfmHullWhiteParameterization – Libor market model parameterization based on Hull White paper SYNOPSIS #include <ql/legacy/libormarketmodels/lfmhullwhiteparam.hpp> Inherits QuantLib::LfmCovarianceParameterization. Public Member Functions LfmHullWhiteParameterization (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< OptionletVolatilityStructure > &capletVol, const Matrix &correlation=Matrix(), Size factors=1) Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const Disposable< Matrix > covariance (Time t, const…

NAME QuantLib::ExtendedBlackScholesMertonProcess – experimental Black-Scholes-Merton stochastic process SYNOPSIS #include <ql/experimental/processes/extendedblackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Types enum Discretization { Euler, Milstein, PredictorCorrector } Public Member Functions ExtendedBlackScholesMertonProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization), Discretization evolDisc=Milstein)…

NAME difftime – calculate time difference SYNOPSIS #include <time.h> double difftime(time_t time1, time_t time0); DESCRIPTION The difftime() function returns the number of seconds elapsed between time time1 and time time0, represented as a double. Each of the times is specified in calendar time, which means its value is a measurement (in seconds) relative to the…

dictSetValue – set/reset an items value. Synopsis #include <util/dict.h> NEOERR *dictSetValue(dictCtx dict, const char *id, void *value); Arguments dict – dictionary to add pair to. id – identifier to insert/update value – value to store (may NOT be NULL) Description Updates the <id>/<value> pair into <dict>. If <id> is not in <dict>, it is created….

dictSearch – search for value in dictionary. Synopsis #include <util/dict.h> void *dictSearch(dictCtx dict, const char *id, void **plock); Arguments dict – dictionary to search in. id – identifier of item to find. plock – place for value lock (or NULL). Description Searches for <id> in <dict>, and returns value if found, or NULL if not….

dictRemove – remove item from dictionary. Synopsis #include <util/dict.h> BOOL dictRemove(dictCtx dict, const char *id); Arguments dict – dictionary to search in. id – identifier of item to remove. Description Removes item identified by <id> from <dict>. MT-Level: Safe if <dict> thread-safe. Return Value None. See Also dictDestroy(3), dictCleanup(3), dictReleaseLock(3), dictRemove(3), dictNext(3), dictCreate(3), dictSetValue(3), dictModifyValue(3),…

dictReleaseLock – release lock on value. Synopsis #include <util/dict.h> void dictReleaseLock(dictCtx dict, void *lock); Arguments dict – dictionary containing value to release. lock – lock to release. Description Releases the lock on the value associated with <lock>. Once the lock is released, the dictCleanupFunc callback can be called for the value (see dictCleanup()). MT-Level: Safe…

dictNext – search for next value in dictionary. Synopsis #include <util/dict.h> void *dictNext(dictCtx dict, char **id, void **plock); Arguments dict – dictionary to iterate over. id – pointer to identifier of last item found, or pointer to NULL to retrieve first. plock – place for value lock (or NULL). Description Can be used to iterate…

dictModifyValue – create/modify an item. Synopsis #include <util/dict.h> NEOERR *dictModifyValue(dictCtx dict, const char *id, dictNewValueCB new_cb, dictUpdateValueCB update, void *rock); Arguments dict – dictionary to add pair to. id – identifier of value new – function to call to create new value (may be NULL) update – function to call to modify value (if NULL,…

dictDestroy – destroy dictionary. Synopsis #include <util/dict.h> void dictDestroy(dictCtx dict); Arguments dict – dictionary to destroy Description Release all resources used by <dict>. MT-Level: Safe for unique <dict>. Return Value None. See Also dictDestroy(3), dictCleanup(3), dictReleaseLock(3), dictRemove(3), dictNext(3), dictCreate(3), dictSetValue(3), dictModifyValue(3), dictSearch

dictCreate – create new dictionary. Synopsis #include <util/dict.h> NEOERR *dictCreate(dictCtx *dict, BOOL threaded, UINT32 root, UINT32 maxLevel, UINT32 flushLimit, BOOL useCase, dictFreeValueFunc freeValue, void *freeRock); Arguments threaded – true if list should be thread-safe. root – performance parameter (see above). maxLevel – performance parameter (see above). flushLimit – max deleted items to keep cached before…

dictCleanup – cleanup dictionary Synopsis #include <util/dict.h> void dictCleanup(dictCtx dict, dictCleanupFunc cleanup, void *rock); Arguments dict – dictionary to cleanup cleanup – cleanup callback rock – to pass to <cleanup> Description Calls <cleanup> for every item in <dict>. If <cleanup> returns true, then item is removed from <dict>. MT-Level: Safe if <dict> thread-safe. Return Value…

NAME dialog_message – Sends a message to all the objects in an array. Allegro game programming library. SYNOPSIS #include <allegro.h> int dialog_message(DIALOG *dialog, int msg, int c, int *obj); DESCRIPTION Sends a message to all the objects in an array. If any of the dialog procedures return values other than D_O_K, it returns the value…

NAME QuantLib::TridiagonalOperator – Base implementation for tridiagonal operator. SYNOPSIS #include <ql/methods/finitedifferences/tridiagonaloperator.hpp> Inherited by BSMOperator, DMinus, DPlus, DPlusDMinus, DZero, and PdeOperator< PdeClass >. Classes class TimeSetter encapsulation of time-setting logic Public Types typedef Array array_type Public Member Functions TridiagonalOperator (Size size=0) TridiagonalOperator (const Array &low, const Array &mid, const Array &high) TridiagonalOperator (const Disposable< TridiagonalOperator >…

dhseqr.f – Synopsis Functions/Subroutines subroutine dhseqr (JOB, COMPZ, N, ILO, IHI, H, LDH, WR, WI, Z, LDZ, WORK, LWORK, INFO) DHSEQR Function/Subroutine Documentation subroutine dhseqr (characterJOB, characterCOMPZ, integerN, integerILO, integerIHI, double precision, dimension( ldh, * )H, integerLDH, double precision, dimension( * )WR, double precision, dimension( * )WI, double precision, dimension( ldz, * )Z, integerLDZ, double…

dhsein.f – Synopsis Functions/Subroutines subroutine dhsein (SIDE, EIGSRC, INITV, SELECT, N, H, LDH, WR, WI, VL, LDVL, VR, LDVR, MM, M, WORK, IFAILL, IFAILR, INFO) DHSEIN Function/Subroutine Documentation subroutine dhsein (characterSIDE, characterEIGSRC, characterINITV, logical, dimension( * )SELECT, integerN, double precision, dimension( ldh, * )H, integerLDH, double precision, dimension( * )WR, double precision, dimension( * )WI,…