SysTutorials Posts

NAME cunbdb2.f – SYNOPSIS Functions/Subroutines subroutine cunbdb2 (M, P, Q, X11, LDX11, X21, LDX21, THETA, PHI, TAUP1, TAUP2, TAUQ1, WORK, LWORK, INFO) CUNBDB2 Function/Subroutine Documentation subroutine cunbdb2 (integerM, integerP, integerQ, complex, dimension(ldx11,*)X11, integerLDX11, complex, dimension(ldx21,*)X21, integerLDX21, real, dimension(*)THETA, real, dimension(*)PHI, complex, dimension(*)TAUP1, complex, dimension(*)TAUP2, complex, dimension(*)TAUQ1, complex, dimension(*)WORK, integerLWORK, integerINFO) CUNBDB2 .SH "Purpose:" CUNBDB2 simultaneously…

NAME cunbdb1.f – SYNOPSIS Functions/Subroutines subroutine cunbdb1 (M, P, Q, X11, LDX11, X21, LDX21, THETA, PHI, TAUP1, TAUP2, TAUQ1, WORK, LWORK, INFO) CUNBDB1 Function/Subroutine Documentation subroutine cunbdb1 (integerM, integerP, integerQ, complex, dimension(ldx11,*)X11, integerLDX11, complex, dimension(ldx21,*)X21, integerLDX21, real, dimension(*)THETA, real, dimension(*)PHI, complex, dimension(*)TAUP1, complex, dimension(*)TAUP2, complex, dimension(*)TAUQ1, complex, dimension(*)WORK, integerLWORK, integerINFO) CUNBDB1 .SH "Purpose:" CUNBDB1 simultaneously…

cunbdb.f – Synopsis Functions/Subroutines subroutine cunbdb (TRANS, SIGNS, M, P, Q, X11, LDX11, X12, LDX12, X21, LDX21, X22, LDX22, THETA, PHI, TAUP1, TAUP2, TAUQ1, TAUQ2, WORK, LWORK, INFO) CUNBDB Function/Subroutine Documentation subroutine cunbdb (characterTRANS, characterSIGNS, integerM, integerP, integerQ, complex, dimension( ldx11, * )X11, integerLDX11, complex, dimension( ldx12, * )X12, integerLDX12, complex, dimension( ldx21, * )X21,…

QuantLib::OneFactorCopula – Abstract base class for one-factor copula models. Synopsis #include <ql/experimental/credit/onefactorcopula.hpp> Inherits QuantLib::LazyObject. Inherited by OneFactorGaussianCopula, OneFactorGaussianStudentCopula, OneFactorStudentCopula, and OneFactorStudentGaussianCopula. Public Member Functions OneFactorCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) virtual Real density (Real m) const =0 Density function of M. virtual Real cumulativeZ (Real z) const =0 Cumulative distribution of…

QuantLib::OneFactorCopula – Abstract base class for one-factor copula models. Synopsis #include <ql/experimental/credit/onefactorcopula.hpp> Inherits QuantLib::LazyObject. Inherited by OneFactorGaussianCopula, OneFactorGaussianStudentCopula, OneFactorStudentCopula, and OneFactorStudentGaussianCopula. Public Member Functions OneFactorCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) virtual Real density (Real m) const =0 Density function of M. virtual Real cumulativeZ (Real z) const =0 Cumulative distribution of…

QuantLib::OneFactorCopula – Abstract base class for one-factor copula models. Synopsis #include <ql/experimental/credit/onefactorcopula.hpp> Inherits QuantLib::LazyObject. Inherited by OneFactorGaussianCopula, OneFactorGaussianStudentCopula, OneFactorStudentCopula, and OneFactorStudentGaussianCopula. Public Member Functions OneFactorCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) virtual Real density (Real m) const =0 Density function of M. virtual Real cumulativeZ (Real z) const =0 Cumulative distribution of…

QuantLib::Basket – Synopsis #include <ql/experimental/credit/basket.hpp> Public Member Functions Basket (const std::vector< std::string > &names, const std::vector< Real > &notionals, const boost::shared_ptr< Pool > pool, Real attachmentRatio=0.0, Real detachmentRatio=1.0) Size size () const const std::vector< std::string > & names () const const std::vector< Real > & notionals () const Real notional () boost::shared_ptr< Pool > pool…

NAME 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 ()…

NAME 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 ()…

NAME ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classes class MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefs typedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real,…

NAME ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classes class MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefs typedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real,…

NAME ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classes class MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefs typedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real,…

NAME ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classes class MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefs typedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real,…

NAME ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classes class MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefs typedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real,…

NAME ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classes class MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefs typedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real,…

NAME ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classes class MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefs typedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real,…

NAME ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classes class MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefs typedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real,…

NAME ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classes class MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefs typedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real,…

NAME ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classes class MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefs typedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real,…

NAME ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classes class MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefs typedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real,…