cpbtrf.f – Synopsis Functions/Subroutines subroutine cpbtrf (UPLO, N, KD, AB, LDAB, INFO) CPBTRF Function/Subroutine Documentation subroutine cpbtrf (characterUPLO, integerN, integerKD, complex, dimension( ldab, * )AB, integerLDAB, integerINFO) CPBTRF Purpose: CPBTRF computes the Cholesky factorization of a complex Hermitian positive definite band matrix A. The factorization has the form A = U**H * U, if UPLO…
cpbtf2.f – Synopsis Functions/Subroutines subroutine cpbtf2 (UPLO, N, KD, AB, LDAB, INFO) CPBTF2 computes the Cholesky factorization of a symmetric/Hermitian positive definite band matrix (unblocked algorithm). Function/Subroutine Documentation subroutine cpbtf2 (characterUPLO, integerN, integerKD, complex, dimension( ldab, * )AB, integerLDAB, integerINFO) CPBTF2 computes the Cholesky factorization of a symmetric/Hermitian positive definite band matrix (unblocked algorithm). Purpose:…
cpbsvx.f – Synopsis Functions/Subroutines subroutine cpbsvx (FACT, UPLO, N, KD, NRHS, AB, LDAB, AFB, LDAFB, EQUED, S, B, LDB, X, LDX, RCOND, FERR, BERR, WORK, RWORK, INFO) CPBSVX computes the solution to system of linear equations A * X = B for OTHER matrices Function/Subroutine Documentation subroutine cpbsvx (characterFACT, characterUPLO, integerN, integerKD, integerNRHS, complex, dimension(…
cpbsv.f – Synopsis Functions/Subroutines subroutine cpbsv (UPLO, N, KD, NRHS, AB, LDAB, B, LDB, INFO) CPBSV computes the solution to system of linear equations A * X = B for OTHER matrices Function/Subroutine Documentation subroutine cpbsv (characterUPLO, integerN, integerKD, integerNRHS, complex, dimension( ldab, * )AB, integerLDAB, complex, dimension( ldb, * )B, integerLDB, integerINFO) CPBSV computes…
cpbstf.f – Synopsis Functions/Subroutines subroutine cpbstf (UPLO, N, KD, AB, LDAB, INFO) CPBSTF Function/Subroutine Documentation subroutine cpbstf (characterUPLO, integerN, integerKD, complex, dimension( ldab, * )AB, integerLDAB, integerINFO) CPBSTF Purpose: CPBSTF computes a split Cholesky factorization of a complex Hermitian positive definite band matrix A. This routine is designed to be used in conjunction with CHBGST….
cpbrfs.f – Synopsis Functions/Subroutines subroutine cpbrfs (UPLO, N, KD, NRHS, AB, LDAB, AFB, LDAFB, B, LDB, X, LDX, FERR, BERR, WORK, RWORK, INFO) CPBRFS Function/Subroutine Documentation subroutine cpbrfs (characterUPLO, integerN, integerKD, integerNRHS, complex, dimension( ldab, * )AB, integerLDAB, complex, dimension( ldafb, * )AFB, integerLDAFB, complex, dimension( ldb, * )B, integerLDB, complex, dimension( ldx, * )X,…
cpbequ.f – Synopsis Functions/Subroutines subroutine cpbequ (UPLO, N, KD, AB, LDAB, S, SCOND, AMAX, INFO) CPBEQU Function/Subroutine Documentation subroutine cpbequ (characterUPLO, integerN, integerKD, complex, dimension( ldab, * )AB, integerLDAB, real, dimension( * )S, realSCOND, realAMAX, integerINFO) CPBEQU Purpose: CPBEQU computes row and column scalings intended to equilibrate a Hermitian positive definite band matrix A and…
cpbcon.f – Synopsis Functions/Subroutines subroutine cpbcon (UPLO, N, KD, AB, LDAB, ANORM, RCOND, WORK, RWORK, INFO) CPBCON Function/Subroutine Documentation subroutine cpbcon (characterUPLO, integerN, integerKD, complex, dimension( ldab, * )AB, integerLDAB, realANORM, realRCOND, complex, dimension( * )WORK, real, dimension( * )RWORK, integerINFO) CPBCON Purpose: CPBCON estimates the reciprocal of the condition number (in the 1-norm) of…
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::LfmCovarianceParameterization – Libor market model parameterization SYNOPSIS #include <ql/legacy/libormarketmodels/lfmcovarparam.hpp> Inherited by LfmCovarianceProxy, and LfmHullWhiteParameterization. Public Member Functions LfmCovarianceParameterization (Size size, Size factors) Size size () const Size factors () const virtual Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const =0 virtual Disposable< Matrix > covariance (Time t, const Array &x=Null<…
QuantLib::LiborForwardModel – Libor forward model Synopsis #include <ql/legacy/libormarketmodels/liborforwardmodel.hpp> Inherits QuantLib::CalibratedModel, and QuantLib::AffineModel. Public Member Functions LiborForwardModel (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel) Rate S_0 (Size alpha, Size beta) const virtual boost::shared_ptr< SwaptionVolatilityMatrix > getSwaptionVolatilityMatrix () const DiscountFactor discount (Time t) const Implied discount curve. Real discountBond…
QuantLib::LiborForwardModelProcess – libor-forward-model process Synopsis #include <ql/legacy/libormarketmodels/lfmprocess.hpp> Inherits QuantLib::StochasticProcess. Public Member Functions LiborForwardModelProcess (Size size, const boost::shared_ptr< IborIndex > &index) Disposable< Array > initialValues () const returns the initial values of the state variables Disposable< Array > drift (Time t, const Array &x) const returns the drift part of the equation, i.e., $ mu(t, mathrm{x}_t)…
NAME QuantLib::CreditDefaultSwap – Credit default swap. SYNOPSIS #include <ql/instruments/creditdefaultswap.hpp> Inherits QuantLib::Instrument. Public Member Functions Constructors CreditDefaultSwap (Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >()) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void…
NAME ql/cashflows/couponpricer.hpp – Coupon pricers. SYNOPSIS #include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp> #include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp> #include <ql/cashflow.hpp> #include <ql/option.hpp> Classes class FloatingRateCouponPricer generic pricer for floating-rate coupons class IborCouponPricer base pricer for capped/floored Ibor coupons class BlackIborCouponPricer Black-formula pricer for capped/floored Ibor coupons. class CmsCouponPricer base pricer for vanilla CMS coupons Functions void setCouponPricer (const Leg &leg, const boost::shared_ptr< FloatingRateCouponPricer…
NAME 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::CreditDefaultSwap – Credit default swap. Synopsis #include <ql/instruments/creditdefaultswap.hpp> Inherits QuantLib::Instrument. Public Member Functions Constructors CreditDefaultSwap (Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >()) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments…
QuantLib::CreditDefaultSwap – Credit default swap. Synopsis #include <ql/instruments/creditdefaultswap.hpp> Inherits QuantLib::Instrument. Public Member Functions Constructors CreditDefaultSwap (Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >()) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments…
QuantLib::CreditDefaultSwap – Credit default swap. Synopsis #include <ql/instruments/creditdefaultswap.hpp> Inherits QuantLib::Instrument. Public Member Functions Constructors CreditDefaultSwap (Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >()) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments…
QuantLib::CreditDefaultSwap – Credit default swap. Synopsis #include <ql/instruments/creditdefaultswap.hpp> Inherits QuantLib::Instrument. Public Member Functions Constructors CreditDefaultSwap (Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >()) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments…
NAME QuantLib::Histogram – Histogram class. SYNOPSIS #include <ql/math/statistics/histogram.hpp> Public Types enum Algorithm { None, Sturges, FD, Scott } Public Member Functions constructors Histogram () template<class T > Histogram (T data_begin, T data_end, Size breaks) template<class T > Histogram (T data_begin, T data_end, Algorithm algorithm) template<class T , class U > Histogram (T data_begin, T data_end,…