SysTutorials Posts

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 QuantLib::HomogeneousPoolCDOEngine – CDO engine, loss distribution convolution for finite homogeneous pool. SYNOPSIS #include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits CDOEngine. Public Member Functions HomogeneousPoolCDOEngine (const Handle< OneFactorCopula > copula, Size nBuckets, Period stepSize=1 *Days) Protected Attributes const Handle< OneFactorCopula > copula_ Size nBuckets_ Detailed Description template<class CDOEngine> class QuantLib::HomogeneousPoolCDOEngine< CDOEngine > CDO engine, loss distribution convolution for finite…

QuantLib::HullWhite – Single-factor Hull-White (extended Vasicek) model class. Synopsis #include <ql/models/shortrate/onefactormodels/hullwhite.hpp> Inherits QuantLib::Vasicek, and QuantLib::TermStructureConsistentModel. Classes class Dynamics Short-rate dynamics in the Hull-White model. class FittingParameter Analytical term-structure fitting parameter $ ndle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01)" Public Member Functions HullWhite (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01) boost::shared_ptr< Lattice >…

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::AverageBMACoupon – Average BMA coupon. Synopsis #include <ql/cashflows/averagebmacoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Public Member Functions AverageBMACoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const boost::shared_ptr< BMAIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter()) FloatingRateCoupon interface Date fixingDate () const not applicable here; use fixingDates() instead…

NAME QuantLib::CashFlows – cashflow-analysis functions SYNOPSIS #include <ql/cashflows/cashflows.hpp> Static Public Member Functions static Leg::const_iterator previousCashFlow (const Leg &leg, Date refDate=Date()) static Leg::const_iterator nextCashFlow (const Leg &leg, Date refDate=Date()) static Rate previousCouponRate (const Leg &leg, const Date &refDate=Date()) static Rate nextCouponRate (const Leg &leg, const Date &refDate=Date()) static Date startDate (const Leg &leg) static Date maturityDate…

QuantLib::CallableBondVolatilityStructure – Callable-bond volatility structure. Synopsis #include <ql/experimental/callablebonds/callablebondvolstructure.hpp> Inherits QuantLib::TermStructure. Inherited by CallableBondConstantVolatility. Public Member Functions virtual std::pair< Time, Time > convertDates (const Date &optionDate, const Period &bondTenor) const implements the conversion between dates and times virtual BusinessDayConvention businessDayConvention () const the business day convention used for option date calculation Date optionDateFromTenor (const Period &optionTenor)…

QuantLib::ConvertibleBond – base class for convertible bonds Synopsis #include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::Bond. Inherited by ConvertibleFixedCouponBond, ConvertibleFloatingRateBond, and ConvertibleZeroCouponBond. Public Member Functions Real conversionRatio () const const DividendSchedule & dividends () const const CallabilitySchedule & callability () const const Handle< Quote > & creditSpread () const Protected Member Functions ConvertibleBond (const boost::shared_ptr< Exercise > &exercise, Real…

QuantLib::ConvertibleBond – base class for convertible bonds Synopsis #include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::Bond. Inherited by ConvertibleFixedCouponBond, ConvertibleFloatingRateBond, and ConvertibleZeroCouponBond. Public Member Functions Real conversionRatio () const const DividendSchedule & dividends () const const CallabilitySchedule & callability () const const Handle< Quote > & creditSpread () const Protected Member Functions ConvertibleBond (const boost::shared_ptr< Exercise > &exercise, Real…

QuantLib::ConvergenceStatistics – statistics class with convergence table Synopsis #include <ql/math/statistics/convergencestatistics.hpp> Inherits T. Public Types typedef T::value_type value_type typedef std::vector< std::pair< Size, value_type > > table_type Public Member Functions ConvergenceStatistics (const T &stats, const U &rule=U()) ConvergenceStatistics (const U &rule=U()) void add (const value_type &value, Real weight=1.0) template<class DataIterator > void addSequence (DataIterator begin, DataIterator end)…

NAME QuantLib::IborIndex – base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) SYNOPSIS #include <ql/indexes/iborindex.hpp> Inherits QuantLib::InterestRateIndex. Inherited by Cdor, DailyTenorEuribor, DailyTenorEuribor365, DailyTenorEURLibor, DailyTenorLibor, Euribor, Euribor365, EURLibor, Jibar, Libor, Tibor, TRLibor, and Zibor. Public Member Functions IborIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, BusinessDayConvention convention, bool endOfMonth, const…

NAME ql/cashflows/conundrumpricer.hpp – CMS-coupon pricer. SYNOPSIS #include <ql/cashflows/couponpricer.hpp> #include <ql/instruments/payoffs.hpp> Classes class HaganPricer CMS-coupon pricer. class NumericHaganPricer CMS-coupon pricer. class AnalyticHaganPricer CMS-coupon pricer. Functions std::ostream & operator<< (std::ostream &out, GFunctionFactory::YieldCurveModel type) Detailed Description CMS-coupon pricer. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME controlscreenshots – Dials, Compasses, Knobs, Wheels, Sliders, Thermos   Index

QuantLib::McSimulation – base class for Monte Carlo engines Synopsis #include <ql/pricingengines/mcsimulation.hpp> Public Types typedef MonteCarloModel< MC, RNG, S >::path_generator_type path_generator_type typedef MonteCarloModel< MC, RNG, S >::path_pricer_type path_pricer_type typedef MonteCarloModel< MC, RNG, S >::stats_type stats_type typedef MonteCarloModel< MC, RNG, S >::result_type result_type Public Member Functions result_type value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const add samples…

QuantLib::MCDiscreteAveragingAsianEngine – Pricing engine for discrete average Asians using Monte Carlo simulation. Synopsis #include <ql/pricingengines/asian/mcdiscreteasianengine.hpp> Inherits QuantLib::DiscreteAveragingAsianOption::engine, and McSimulation< SingleVariate, RNG, S >. Public Types typedef McSimulation< SingleVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< SingleVariate, RNG, S >::stats_type stats_type Public Member Functions MCDiscreteAveragingAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process,…

QuantLib::MCDiscreteArithmeticAPEngine – Monte Carlo pricing engine for discrete arithmetic average price Asian. Synopsis #include <ql/pricingengines/asian/mc_discr_arith_av_price.hpp> Inherits MCDiscreteAveragingAsianEngine< RNG, S >. Public Types typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_generator_type path_generator_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_pricer_type path_pricer_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::stats_type stats_type Public Member Functions MCDiscreteArithmeticAPEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepPerYear, bool brownianBridge, bool antitheticVariate,…

QuantLib::FDStepConditionEngine – Finite-differences pricing engine for American-style vanilla options. Synopsis #include <ql/pricingengines/vanilla/fdstepconditionengine.hpp> Inherits QuantLib::FDVanillaEngine. Public Member Functions FDStepConditionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) Protected Member Functions virtual void initializeStepCondition () const =0 virtual void calculate (PricingEngine::results *) const Protected Attributes boost::shared_ptr< StandardStepCondition > stepCondition_ SampledCurve prices_ TridiagonalOperator controlOperator_ std::vector<…

QuantLib::MCDiscreteArithmeticAPEngine – Monte Carlo pricing engine for discrete arithmetic average price Asian. Synopsis #include <ql/pricingengines/asian/mc_discr_arith_av_price.hpp> Inherits MCDiscreteAveragingAsianEngine< RNG, S >. Public Types typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_generator_type path_generator_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::path_pricer_type path_pricer_type typedef MCDiscreteAveragingAsianEngine< RNG, S >::stats_type stats_type Public Member Functions MCDiscreteArithmeticAPEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepPerYear, bool brownianBridge, bool antitheticVariate,…

QuantLib::McSimulation – base class for Monte Carlo engines Synopsis #include <ql/pricingengines/mcsimulation.hpp> Public Types typedef MonteCarloModel< MC, RNG, S >::path_generator_type path_generator_type typedef MonteCarloModel< MC, RNG, S >::path_pricer_type path_pricer_type typedef MonteCarloModel< MC, RNG, S >::stats_type stats_type typedef MonteCarloModel< MC, RNG, S >::result_type result_type Public Member Functions result_type value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const add samples…

QuantLib::FDStepConditionEngine – Finite-differences pricing engine for American-style vanilla options. Synopsis #include <ql/pricingengines/vanilla/fdstepconditionengine.hpp> Inherits QuantLib::FDVanillaEngine. Public Member Functions FDStepConditionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) Protected Member Functions virtual void initializeStepCondition () const =0 virtual void calculate (PricingEngine::results *) const Protected Attributes boost::shared_ptr< StandardStepCondition > stepCondition_ SampledCurve prices_ TridiagonalOperator controlOperator_ std::vector<…