NAME casinh, casinhf, casinhl – complex arc sine hyperbolic SYNOPSIS #include <complex.h> double complex casinh(double complex z); float complex casinhf(float complex z); long double complex casinhl(long double complex z); Link with -lm. DESCRIPTION These functions calculate the complex arc hyperbolic sine of z. If y = casinh(z), then z = csinh(y). The imaginary part of y is chosen in…
NAME casinh, casinhf, casinhl – complex arc sine hyperbolic SYNOPSIS #include <complex.h> double complex casinh(double complex z); float complex casinhf(float complex z); long double complex casinhl(long double complex z); Link with -lm. DESCRIPTION These functions calculate the complex arc hyperbolic sine of z. If y = casinh(z), then z = csinh(y). The imaginary part of y is chosen in…
NAME casin, casinf, casinl – complex arc sine SYNOPSIS #include <complex.h> double complex casin(double complex z); float complex casinf(float complex z); long double complex casinl(long double complex z); Link with -lm. DESCRIPTION These functions calculate the complex arc sine of z. If y = casin(z), then z = csin(y). The real part of y is chosen in the interval…
NAME casin, casinf, casinl – complex arc sine SYNOPSIS #include <complex.h> double complex casin(double complex z); float complex casinf(float complex z); long double complex casinl(long double complex z); Link with -lm. DESCRIPTION These functions calculate the complex arc sine of z. If y = casin(z), then z = csin(y). The real part of y is chosen in the interval…
NAME ql/cashflows/cashflowvectors.hpp – Cash flow vector builders. SYNOPSIS #include <ql/cashflows/fixedratecoupon.hpp> #include <ql/cashflows/replication.hpp> #include <ql/time/schedule.hpp> #include <ql/utilities/null.hpp> #include <ql/utilities/vectors.hpp> #include <ql/position.hpp> #include <ql/indexes/swapindex.hpp> Functions Rate effectiveFixedRate (const std::vector< Spread > &spreads, const std::vector< Rate > &caps, const std::vector< Rate > &floors, Size i) bool noOption (const std::vector< Rate > &caps, const std::vector< Rate > &floors, Size…
NAME QuantLib::Bond – Base bond class. SYNOPSIS #include <ql/instruments/bond.hpp> Inherits QuantLib::Instrument. Inherited by AmortizingCmsRateBond, AmortizingFixedRateBond, AmortizingFloatingRateBond, CallableBond, CmsRateBond, ConvertibleBond, FixedRateBond, FloatingRateBond, and ZeroCouponBond. Public Member Functions Bond (Natural settlementDays, const Calendar &calendar, const Date &issueDate=Date(), const Leg &coupons=Leg()) constructor for amortizing or non-amortizing bonds. Bond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &maturityDate,…
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::CashOrNothingPayoff – Binary cash-or-nothing payoff. Synopsis #include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member Functions CashOrNothingPayoff (Option::Type type, Real strike, Real cashPayoff) Real cashPayoff () const Payoff interface std::string name () const std::string description () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Protected Attributes Real cashPayoff_ Detailed Description Binary cash-or-nothing payoff. Examples: Replication.cpp….
QuantLib::CashOrNothingPayoff – Binary cash-or-nothing payoff. Synopsis #include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member Functions CashOrNothingPayoff (Option::Type type, Real strike, Real cashPayoff) Real cashPayoff () const Payoff interface std::string name () const std::string description () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Protected Attributes Real cashPayoff_ Detailed Description Binary cash-or-nothing payoff. Examples: Replication.cpp….
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 ql/cashflow.hpp – Base class for cash flows. SYNOPSIS #include <ql/event.hpp> #include <ql/math/comparison.hpp> #include <vector> Classes class CashFlow Base class for cash flows. Typedefs typedef std::vector< boost::shared_ptr< CashFlow > > Leg Detailed Description Base class for cash flows. Author Generated automatically by Doxygen for QuantLib from the source code. Index
NAME carg, cargf, cargl – calculate the complex argument SYNOPSIS #include <complex.h> double carg(double complex z); float cargf(float complex z); long double cargl(long double complex z); Link with -lm. DESCRIPTION These functions calculate the complex argument (also called phase angle) of z, with a branch cut along the negative real axis. A complex number can…
NAME carg, cargf, cargl – calculate the complex argument SYNOPSIS #include <complex.h> double carg(double complex z); float cargf(float complex z); long double cargl(long double complex z); Link with -lm. DESCRIPTION These functions calculate the complex argument (also called phase angle) of z, with a branch cut along the negative real axis. A complex number can…
NAME carg, cargf, cargl – calculate the complex argument SYNOPSIS #include <complex.h> double carg(double complex z); float cargf(float complex z); long double cargl(long double complex z); Link with -lm. DESCRIPTION These functions calculate the complex argument (also called phase angle) of z, with a branch cut along the negative real axis. A complex number can…
NAME cap_get_proc, cap_set_proc, capgetp, cap_get_bound, cap_drop_bound – capability manipulation on processes SYNOPSIS #include <sys/capability.h> cap_t cap_get_proc(void); int cap_set_proc(cap_t cap_p); int cap_get_bound(cap_value_t cap); CAP_IS_SUPPORTED(cap_value_t cap); int cap_drop_bound(cap_value_t cap); #include <sys/types.h> cap_t cap_get_pid(pid_t pid); Link with -lcap. DESCRIPTION cap_get_proc() allocates a capability state in working storage, sets its state to that of the calling process, and returns…
QuantLib::IborCouponPricer – base pricer for capped/floored Ibor coupons Synopsis #include <ql/cashflows/couponpricer.hpp> Inherits QuantLib::FloatingRateCouponPricer. Inherited by BlackIborCouponPricer. Public Member Functions IborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >()) Handle< OptionletVolatilityStructure > capletVolatility () const void setCapletVolatility (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >()) Detailed Description base pricer for capped/floored Ibor coupons Author Generated automatically by Doxygen…
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 cap_get_proc, cap_set_proc, capgetp, cap_get_bound, cap_drop_bound – capability manipulation on processes SYNOPSIS #include <sys/capability.h> cap_t cap_get_proc(void); int cap_set_proc(cap_t cap_p); int cap_get_bound(cap_value_t cap); CAP_IS_SUPPORTED(cap_value_t cap); int cap_drop_bound(cap_value_t cap); #include <sys/types.h> cap_t cap_get_pid(pid_t pid); Link with -lcap. DESCRIPTION cap_get_proc() allocates a capability state in working storage, sets its state to that of the calling process, and returns…
NAME cap_from_text, cap_to_text, cap_to_name, cap_from_name – capability state textual representation translation SYNOPSIS #include <sys/capability.h> cap_t cap_from_text(const char *buf_p); char *cap_to_text(cap_t caps, ssize_t *length_p); int cap_from_name(const char *name, cap_value_t *cap_p); char *cap_to_name(cap_value_t cap); Link with -lcap. DESCRIPTION These functions translate a capability state between an internal representation and a textual one. The internal representation is managed…