NAME dbopen – database access methods SYNOPSIS #include <db.h> #include <fcntl.h> #include <limits.h> #include <sys/types.h> DB *dbopen(const char *file, int flags, int mode, DBTYPE type, const void *openinfo); DESCRIPTION Note well: This page documents interfaces provided in glibc up until version 2.1. Since version 2.2, glibc no longer provides these interfaces. Probably, you are looking…
QuantLib::GJRGARCHProcess – Stochastic-volatility GJR-GARCH(1,1) process. Synopsis #include <ql/processes/gjrgarchprocess.hpp> Inherits QuantLib::StochasticProcess. Public Types enum Discretization { PartialTruncation, FullTruncation, Reflection } Public Member Functions GJRGARCHProcess (const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > ÷ndYield, const Handle< Quote > &s0, Real v0, Real omega, Real alpha, Real beta, Real gamma, Real lambda, Real daysPerYear=252.0, Discretization d=FullTruncation) Size…
NAME QuantLib::Period – SYNOPSIS #include <ql/time/period.hpp> Public Member Functions Period (Integer n, TimeUnit units) Period (Frequency f) Integer length () const TimeUnit units () const Frequency frequency () const Period & operator+= (const Period &) Period & operator-= (const Period &) Period & operator/= (Integer) void normalize () Related Functions (Note that these are not…
NAME tzset, tzname, timezone, daylight – initialize time conversion information SYNOPSIS #include <time.h> void tzset(void); extern char *tzname[2]; extern long timezone; extern int daylight; Feature Test Macro Requirements for glibc (see feature_test_macros(7)): tzset(): _POSIX_C_SOURCE tzname: _POSIX_C_SOURCE timezone, daylight: _XOPEN_SOURCE || /* Glibc since 2.19: */ _DEFAULT_SOURCE || /* Glibc versions <= 2.19: */ _SVID_SOURCE DESCRIPTION The tzset() function initializes the tzname variable from the TZ…
NAME Day counters – Classes class Actual360 Actual/360 day count convention. class Actual365Fixed Actual/365 (Fixed) day count convention. class ActualActual Actual/Actual day count. class Business252 Business/252 day count convention. class OneDayCounter 1/1 day count convention class SimpleDayCounter Simple day counter for reproducing theoretical calculations. class Thirty360 30/360 day count convention Detailed Description The class QuantLib::DayCounter…
QuantLib::Date – Concrete date class. Synopsis #include <ql/time/date.hpp> Public Member Functions constructors Date () Default constructor returning a null date. Date (BigInteger serialNumber) Constructor taking a serial number as given by Applix or Excel. Date (Day d, Month m, Year y) More traditional constructor. inspectors Weekday weekday () const Day dayOfMonth () const Day dayOfYear…
QuantLib::Date – Concrete date class. Synopsis #include <ql/time/date.hpp> Public Member Functions constructors Date () Default constructor returning a null date. Date (BigInteger serialNumber) Constructor taking a serial number as given by Applix or Excel. Date (Day d, Month m, Year y) More traditional constructor. inspectors Weekday weekday () const Day dayOfMonth () const Day dayOfYear…
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 Date…
QuantLib::DayCounter – day counter class Synopsis #include <ql/time/daycounter.hpp> Inherited by Actual360, Actual365Fixed, ActualActual, Business252, OneDayCounter, SimpleDayCounter, and Thirty360. Classes class Impl abstract base class for day counter implementations Public Member Functions DayCounter () DayCounter interface bool empty () const Returns whether or not the day counter is initialized. std::string name () const Returns the name…
daxpy.f – Synopsis Functions/Subroutines subroutine daxpy (N, DA, DX, INCX, DY, INCY) DAXPY Function/Subroutine Documentation subroutine daxpy (integerN, double precisionDA, double precision, dimension(*)DX, integerINCX, double precision, dimension(*)DY, integerINCY) DAXPY Purpose: DAXPY constant times a vector plus a vector. uses unrolled loops for increments equal to one. Author: Univ. of Tennessee Univ. of California Berkeley…
NAME Date and time calculations – Classes class DateInterval Date interval described by a number of a given time unit. class PricingPeriod Time pricingperiod described by a number of a given time unit. class Calendar calendar class class Date Concrete date class. struct DateGeneration Date-generation rule. class DayCounter day counter class class Period Modules Calendars…
NAME QuantLib::Exercise – Base exercise class. SYNOPSIS #include <ql/exercise.hpp> Inherited by EarlyExercise, and EuropeanExercise. Public Types enum Type { American, Bermudan, European } Public Member Functions Exercise (Type type) Type type () const Date date (Size index) const const std::vector< Date > & dates () const Returns all exercise dates. Date lastDate () const Protected…
NAME QuantLib::Exercise – Base exercise class. SYNOPSIS #include <ql/exercise.hpp> Inherited by EarlyExercise, and EuropeanExercise. Public Types enum Type { American, Bermudan, European } Public Member Functions Exercise (Type type) Type type () const Date date (Size index) const const std::vector< Date > & dates () const Returns all exercise dates. Date lastDate () const Protected…
NAME QuantLib::Dividend – Predetermined cash flow. SYNOPSIS #include <ql/cashflows/dividend.hpp> Inherits QuantLib::CashFlow. Inherited by FixedDividend, and FractionalDividend. Public Member Functions Dividend (const Date &date) virtual Real amount (Real underlying) const =0 Event interface Date date () const CashFlow interface virtual Real amount () const =0 returns the amount of the cash flow Visitability virtual void accept…
NAME ql/utilities/dataformatters.hpp – output manipulators SYNOPSIS #include <ql/utilities/null.hpp> #include <ostream> Functions template<typename T > std::ostream & operator<< (std::ostream &, const null_checker< T > &) std::ostream & operator<< (std::ostream &, const ordinal_holder &) template<typename T > std::ostream & operator<< (std::ostream &, const power_of_two_holder< T > &) std::ostream & operator<< (std::ostream &, const percent_holder &) template<typename T…
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::Currency – Currency specification SYNOPSIS #include <ql/currency.hpp> Inherited by ARSCurrency, ATSCurrency, AUDCurrency, BDTCurrency, BEFCurrency, BGLCurrency, BRLCurrency, BYRCurrency, CADCurrency, CHFCurrency, CLPCurrency, CNYCurrency, COPCurrency, CYPCurrency, CZKCurrency, DEMCurrency, DKKCurrency, EEKCurrency, ESPCurrency, EURCurrency, FIMCurrency, FRFCurrency, GBPCurrency, GRDCurrency, HKDCurrency, HUFCurrency, IEPCurrency, ILSCurrency, INRCurrency, IQDCurrency, IRRCurrency, ISKCurrency, ITLCurrency, JPYCurrency, KRWCurrency, KWDCurrency, LTLCurrency, LUFCurrency, LVLCurrency, MTLCurrency, MXNCurrency, NLGCurrency, NOKCurrency, NPRCurrency, NZDCurrency,…
QuantLib::ConvexMonotone – Convex-monotone interpolation factory and traits. Synopsis #include <ql/math/interpolations/convexmonotoneinterpolation.hpp> Public Member Functions ConvexMonotone (Real quadraticity=0.3, Real monotonicity=0.7, bool forcePositive=true) template<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const template<class I1 , class I2 > Interpolation localInterpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin,…
NAME ntlm_buf – SYNOPSIS #include <heimntlm.h> Data Fields size_t length void * data Detailed Description Buffer for storing data in the NTLM library. When filled in by the library it should be freed with heim_ntlm_free_buf(). Examples: test_ntlm.c. Field Documentation void* ntlm_buf::data pointer to the data itself Examples: test_ntlm.c. size_t ntlm_buf::length length buffer data Examples: test_ntlm.c….
dasum.f – Synopsis Functions/Subroutines DOUBLE PRECISION function dasum (N, DX, INCX) DASUM Function/Subroutine Documentation DOUBLE PRECISION function dasum (integerN, double precision, dimension(*)DX, integerINCX) DASUM Purpose: DASUM takes the sum of the absolute values. Author: Univ. of Tennessee Univ. of California Berkeley Univ. of Colorado Denver NAG Ltd. Date: November 2011 Further Details: jack dongarra,…