QuantLib::CurveState – Curve state for market-model simulations Synopsis #include <ql/models/marketmodels/curvestate.hpp> Inherited by CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState. Public Member Functions CurveState (const std::vector< Time > &rateTimes) Inspectors Size numberOfRates () const const std::vector< Time > & rateTimes () const const std::vector< Time > & rateTaus () const virtual Real discountRatio (Size i, Size j) const =0…
QuantLib::CurveState – Curve state for market-model simulations Synopsis #include <ql/models/marketmodels/curvestate.hpp> Inherited by CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState. Public Member Functions CurveState (const std::vector< Time > &rateTimes) Inspectors Size numberOfRates () const const std::vector< Time > & rateTimes () const const std::vector< Time > & rateTaus () const virtual Real discountRatio (Size i, Size j) const =0…
QuantLib::CurveState – Curve state for market-model simulations Synopsis #include <ql/models/marketmodels/curvestate.hpp> Inherited by CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState. Public Member Functions CurveState (const std::vector< Time > &rateTimes) Inspectors Size numberOfRates () const const std::vector< Time > & rateTimes () const const std::vector< Time > & rateTaus () const virtual Real discountRatio (Size i, Size j) const =0…
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…
NAME cos, cosf, cosl – cosine function SYNOPSIS #include <math.h> double cos(double x); float cosf(float x); long double cosl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): cosf(), cosl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L || /* Since glibc 2.19: */ _DEFAULT_SOURCE || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION These functions return the cosine of x, where x is given…
NAME cosh, coshf, coshl – hyperbolic cosine function SYNOPSIS #include <math.h> double cosh(double x); float coshf(float x); long double coshl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): coshf(), coshl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L || /* Since glibc 2.19: */ _DEFAULT_SOURCE || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION These functions return the hyperbolic cosine of x, which is…
NAME cosh, coshf, coshl – hyperbolic cosine function SYNOPSIS #include <math.h> double cosh(double x); float coshf(float x); long double coshl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): coshf(), coshl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L || /* Since glibc 2.19: */ _DEFAULT_SOURCE || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION These functions return the hyperbolic cosine of x, which is…
NAME cosh, coshf, coshl – hyperbolic cosine function SYNOPSIS #include <math.h> double cosh(double x); float coshf(float x); long double coshl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): coshf(), coshl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L || /* Since glibc 2.19: */ _DEFAULT_SOURCE || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION These functions return the hyperbolic cosine of x, which is…
NAME cos, cosf, cosl – cosine function SYNOPSIS #include <math.h> double cos(double x); float cosf(float x); long double cosl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): cosf(), cosl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L || /* Since glibc 2.19: */ _DEFAULT_SOURCE || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION These functions return the cosine of x, where x is given…
NAME cos, cosf, cosl – cosine function SYNOPSIS #include <math.h> double cos(double x); float cosf(float x); long double cosl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): cosf(), cosl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L || /* Since glibc 2.19: */ _DEFAULT_SOURCE || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION These functions return the cosine of x, where x is given…
NAME 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…
QuantLib::LfmCovarianceProxy – proxy for a libor forward model covariance parameterization Synopsis #include <ql/legacy/libormarketmodels/lfmcovarproxy.hpp> Inherits QuantLib::LfmCovarianceParameterization. Public Member Functions LfmCovarianceProxy (const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel) boost::shared_ptr< LmVolatilityModel > volatilityModel () const boost::shared_ptr< LmCorrelationModel > correlationModel () const Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const Disposable< Matrix…
QuantLib::CovarianceDecomposition – Covariance decomposition into correlation and variances. Synopsis #include <ql/math/matrixutilities/getcovariance.hpp> Public Member Functions CovarianceDecomposition (const Matrix &covarianceMatrix, Real tolerance=1.0e-12, SalvagingAlgorithm::Type sa=SalvagingAlgorithm::None) const Array & variances () const const Array & standardDeviations () const const Matrix & correlationMatrix () const Detailed Description Covariance decomposition into correlation and variances. Extracts the correlation matrix and the vector…
QuantLib::HybridHestonHullWhiteProcess – Hybrid Heston Hull-White stochastic process. Synopsis #include <ql/processes/hybridhestonhullwhiteprocess.hpp> Inherits QuantLib::JointStochasticProcess. Public Member Functions HybridHestonHullWhiteProcess (const boost::shared_ptr< HestonProcess > &hestonProcess, const boost::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Size factors) void preEvolve (Time t0, const Array &x0, Time dt, const Array &dw) const Disposable< Array > postEvolve (Time t0, const Array &x0, Time dt, const…
NAME 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…
QuantLib::LfmCovarianceProxy – proxy for a libor forward model covariance parameterization Synopsis #include <ql/legacy/libormarketmodels/lfmcovarproxy.hpp> Inherits QuantLib::LfmCovarianceParameterization. Public Member Functions LfmCovarianceProxy (const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel) boost::shared_ptr< LmVolatilityModel > volatilityModel () const boost::shared_ptr< LmCorrelationModel > correlationModel () const Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const Disposable< Matrix…
QuantLib::HybridHestonHullWhiteProcess – Hybrid Heston Hull-White stochastic process. Synopsis #include <ql/processes/hybridhestonhullwhiteprocess.hpp> Inherits QuantLib::JointStochasticProcess. Public Member Functions HybridHestonHullWhiteProcess (const boost::shared_ptr< HestonProcess > &hestonProcess, const boost::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Size factors) void preEvolve (Time t0, const Array &x0, Time dt, const Array &dw) const Disposable< Array > postEvolve (Time t0, const Array &x0, Time dt, const…
NAME copysign, copysignf, copysignl – copy sign of a number SYNOPSIS #include <math.h> double copysign(double x, double y); float copysignf(float x, float y); long double copysignl(long double x, long double y); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): copysign(), copysignf(), copysignl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L || /* Since glibc 2.19: */ _DEFAULT_SOURCE || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION…
NAME copysign, copysignf, copysignl – copy sign of a number SYNOPSIS #include <math.h> double copysign(double x, double y); float copysignf(float x, float y); long double copysignl(long double x, long double y); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): copysign(), copysignf(), copysignl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L || /* Since glibc 2.19: */ _DEFAULT_SOURCE || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION…