NAME d_check_proc – Dialog procedure implementing a check box object. Allegro game programming library. SYNOPSIS #include <allegro.h> int d_check_proc(int msg, DIALOG *d, int c); DESCRIPTION This is an example of how you can derive objects from other objects. Most of the functionality comes from d_button_proc(), but it displays itself as a check box. If the…
NAME d_button_proc – Dialog procedure implementing a button object. Allegro game programming library. SYNOPSIS #include <allegro.h> int d_button_proc(int msg, DIALOG *d, int c); DESCRIPTION A button object (the dp field points to the text string). This object can be selected by clicking on it with the mouse or by pressing its keyboard shortcut. If the…
QuantLib::SingleAssetOption – Black-Scholes-Merton option. Synopsis #include <ql/legacy/pricers/singleassetoption.hpp> Inherited by DiscreteGeometricASO. Public Member Functions SingleAssetOption (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility) virtual void setVolatility (Volatility newVolatility) virtual void setRiskFreeRate (Rate newRate) virtual void setDividendYield (Rate newDividendYield) virtual Real value () const =0 virtual Real delta () const =0…
QuantLib::SingleAssetOption – Black-Scholes-Merton option. Synopsis #include <ql/legacy/pricers/singleassetoption.hpp> Inherited by DiscreteGeometricASO. Public Member Functions SingleAssetOption (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility) virtual void setVolatility (Volatility newVolatility) virtual void setRiskFreeRate (Rate newRate) virtual void setDividendYield (Rate newDividendYield) virtual Real value () const =0 virtual Real delta () const =0…
QuantLib::LongstaffSchwartzPathPricer – Longstaff-Schwarz path pricer for early exercise options. Synopsis #include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp> Inherits PathPricer< PathType >. Public Types typedef EarlyExerciseTraits< PathType >::StateType StateType Public Member Functions LongstaffSchwartzPathPricer (const TimeGrid ×, const boost::shared_ptr< EarlyExercisePathPricer< PathType > > &, const boost::shared_ptr< YieldTermStructure > &termStructure) Real operator() (const PathType &path) const virtual void calibrate () Protected Attributes bool…
NAME QuantLib::AbcdAtmVolCurve – Abcd-interpolated at-the-money (no-smile) volatility curve. SYNOPSIS #include <ql/experimental/volatility/abcdatmvolcurve.hpp> Inherits QuantLib::BlackAtmVolCurve, and QuantLib::LazyObject. Public Member Functions AbcdAtmVolCurve (Natural settlementDays, const Calendar &cal, const std::vector< Period > &optionTenors, const std::vector< Handle< Quote > > &volsHandles, const std::vector< bool > inclusionInInterpolationFlag=std::vector< bool >(1, true), BusinessDayConvention bdc=Following, const DayCounter &dc=Actual365Fixed()) floating reference date, floating market data…
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::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 getlogin, getlogin_r, cuserid – get username SYNOPSIS #include <unistd.h> char *getlogin(void); int getlogin_r(char *buf, size_t bufsize); #include <stdio.h> char *cuserid(char *string); Feature Test Macro Requirements for glibc (see feature_test_macros(7)): getlogin_r(): _POSIX_C_SOURCE >= 199506L cuserid(): Since glibc 2.24: (_XOPEN_SOURCE && ! (_POSIX_C_SOURCE >= 200112L) || _GNU_SOURCE Up to and including glibc 2.23: _XOPEN_SOURCE DESCRIPTION getlogin() returns a…
NAME curvescreenshots – Curve Plots Index
NAME QuantLib::FittedBondDiscountCurve::FittingMethod – Base fitting method used to construct a fitted bond discount curve. SYNOPSIS #include <ql/termstructures/yield/fittedbonddiscountcurve.hpp> Inherited by CubicBSplinesFitting, ExponentialSplinesFitting, NelsonSiegelFitting, and SimplePolynomialFitting. Public Member Functions virtual Size size () const =0 total number of coefficients to fit/solve for Array solution () const output array of results of optimization problem Integer numberOfIterations () const…
QuantLib::Problem – Constrained optimization problem. Synopsis #include <ql/math/optimization/problem.hpp> Public Member Functions Problem (CostFunction &costFunction, Constraint &constraint, const Array &initialValue=Array()) default constructor void reset () Real value (const Array &x) call cost function computation and increment evaluation counter Disposable< Array > values (const Array &x) call cost values computation and increment evaluation counter void gradient (Array…
QuantLib::Problem – Constrained optimization problem. Synopsis #include <ql/math/optimization/problem.hpp> Public Member Functions Problem (CostFunction &costFunction, Constraint &constraint, const Array &initialValue=Array()) default constructor void reset () Real value (const Array &x) call cost function computation and increment evaluation counter Disposable< Array > values (const Array &x) call cost values computation and increment evaluation counter void gradient (Array…
QuantLib::MarketModelEvolver – Market-model evolver. Synopsis #include <ql/models/marketmodels/evolver.hpp> Inherited by ConstrainedEvolver, LogNormalCmSwapRatePc, LogNormalCotSwapRatePc, LogNormalFwdRateEuler, LogNormalFwdRateIpc, LogNormalFwdRatePc, NormalFwdRatePc, and SVDDFwdRatePc. Public Member Functions virtual const std::vector< Size > & numeraires () const =0 virtual Real startNewPath ()=0 virtual Real advanceStep ()=0 virtual Size currentStep () const =0 virtual const CurveState & currentState () const =0 virtual void…
QuantLib::MarketModelEvolver – Market-model evolver. Synopsis #include <ql/models/marketmodels/evolver.hpp> Inherited by ConstrainedEvolver, LogNormalCmSwapRatePc, LogNormalCotSwapRatePc, LogNormalFwdRateEuler, LogNormalFwdRateIpc, LogNormalFwdRatePc, NormalFwdRatePc, and SVDDFwdRatePc. Public Member Functions virtual const std::vector< Size > & numeraires () const =0 virtual Real startNewPath ()=0 virtual Real advanceStep ()=0 virtual Size currentStep () const =0 virtual const CurveState & currentState () const =0 virtual void…
QuantLib::Handle – Shared handle to an observable. Synopsis #include <ql/handle.hpp> Public Member Functions Handle (const boost::shared_ptr< T > &h=boost::shared_ptr< T >(), bool registerAsObserver=true) const boost::shared_ptr< T > & currentLink () const dereferencing const boost::shared_ptr< T > & operator-> () const const boost::shared_ptr< T > & operator* () const bool empty () const checks if the…
QuantLib::MarketModelComposite – Composition of two or more market-model products. Synopsis #include <ql/models/marketmodels/products/compositeproduct.hpp> Inherits QuantLib::MarketModelMultiProduct. Inherited by MultiProductComposite, and SingleProductComposite. Public Member Functions MarketModelMultiProduct interface const EvolutionDescription & evolution () const std::vector< Size > suggestedNumeraires () const std::vector< Time > possibleCashFlowTimes () const void reset () during simulation put product at start of path Composite facilities…
QuantLib::AssetSwap::arguments – Arguments for asset swap calculation Synopsis #include <ql/instruments/assetswap.hpp> Inherits QuantLib::Swap::arguments. Public Member Functions void validate () const Public Attributes Real nominal Date settlementDate std::vector< Date > fixedResetDates std::vector< Date > fixedPayDates std::vector< Real > fixedCoupons std::vector< Time > floatingAccrualTimes std::vector< Date > floatingResetDates std::vector< Date > floatingFixingDates std::vector< Date > floatingPayDates std::vector< Spread…
NAME QuantLib::CommodityCurve – Commodity term structure. SYNOPSIS #include <ql/experimental/commodities/commoditycurve.hpp> Inherits QuantLib::TermStructure. Public Member Functions CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency ¤cy, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, const std::vector< Date > &dates, const std::vector< Real > &prices, const DayCounter &dayCounter=Actual365Fixed()) CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency ¤cy, const UnitOfMeasure…
NAME Currencies and FX rates – Classes class ZARCurrency South-African rand. class ARSCurrency Argentinian peso. class BRLCurrency Brazilian real. class CADCurrency Canadian dollar. class CLPCurrency Chilean peso. class COPCurrency Colombian peso. class MXNCurrency Mexican peso. class PENCurrency Peruvian nuevo sol. class PEICurrency Peruvian inti. class PEHCurrency Peruvian sol. class TTDCurrency Trinidad & Tobago dollar. class…