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NAME htobe16, htole16, be16toh, le16toh, htobe32, htole32, be32toh, le32toh, htobe64, htole64, be64toh, le64toh – convert values between host and big-/little-endian byte order SYNOPSIS #include <endian.h> uint16_t htobe16(uint16_t host_16bits); uint16_t htole16(uint16_t host_16bits); uint16_t be16toh(uint16_t big_endian_16bits); uint16_t le16toh(uint16_t little_endian_16bits); uint32_t htobe32(uint32_t host_32bits); uint32_t htole32(uint32_t host_32bits); uint32_t be32toh(uint32_t big_endian_32bits); uint32_t le32toh(uint32_t little_endian_32bits); uint64_t htobe64(uint64_t host_64bits); uint64_t htole64(uint64_t host_64bits);…

NAME QuantLib::InflationSwap – Abstract base class for inflation swaps. SYNOPSIS #include <ql/instruments/inflationswap.hpp> Inherits QuantLib::Instrument. Inherited by YearOnYearInflationSwap, and ZeroCouponInflationSwap. Public Member Functions InflationSwap (const Date &start, const Date &maturity, const Period &lag, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS) the constructor sets common data members virtual Rate fairRate ()…

NAME bcopy – copy byte sequence SYNOPSIS #include <strings.h> void bcopy(const void *src, void *dest, size_t n); DESCRIPTION The bcopy() function copies n bytes from src to dest. The result is correct, even when both areas overlap. RETURN VALUE None. ATTRIBUTES For an explanation of the terms used in this section, see attributes(7). Interface Attribute…

NAME bcmp – compare byte sequences SYNOPSIS #include <strings.h> int bcmp(const void *s1, const void *s2, size_t n); DESCRIPTION The bcmp() function compares the two byte sequences s1 and s2 of length n each. If they are equal, and in particular if n is zero, bcmp() returns 0. Otherwise, it returns a nonzero result. RETURN…

NAME QuantLib::ExplicitEuler – Forward Euler scheme for finite difference methods SYNOPSIS #include <ql/methods/finitedifferences/expliciteuler.hpp> Inherits MixedScheme< Operator >. Public Types typedef OperatorTraits< Operator > traits typedef traits::operator_type operator_type typedef traits::array_type array_type typedef traits::bc_type bc_type typedef traits::bc_set bc_set typedef traits::condition_type condition_type Public Member Functions ExplicitEuler (const operator_type &L, const std::vector< boost::shared_ptr< bc_type > > &bcs) Detailed Description…

NAME QuantLib::CrankNicolson – Crank-Nicolson scheme for finite difference methods. SYNOPSIS #include <ql/methods/finitedifferences/cranknicolson.hpp> Inherits MixedScheme< Operator >. Public Types typedef OperatorTraits< Operator > traits typedef traits::operator_type operator_type typedef traits::array_type array_type typedef traits::bc_set bc_set typedef traits::condition_type condition_type Public Member Functions CrankNicolson (const operator_type &L, const bc_set &bcs) Detailed Description template<class Operator> class QuantLib::CrankNicolson< Operator > Crank-Nicolson scheme…

QuantLib::NthToDefault – N-th to default swap. Synopsis #include <ql/experimental/credit/nthtodefault.hpp> Inherits QuantLib::Instrument. Public Member Functions NthToDefault (Size n, const std::vector< Issuer > &basket, const Handle< OneFactorCopula > &copula, Protection::Side side, Real nominal, const Schedule &premiumSchedule, Rate premiumRate, const DayCounter &dayCounter, bool settlePremiumAccrual, const Handle< YieldTermStructure > &yieldTS, const Period &integrationStepSize, boost::shared_ptr< Claim > claim=boost::shared_ptr< Claim >())…

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…

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::EnergyBasisSwap – Energy basis swap. SYNOPSIS #include <ql/experimental/commodities/energybasisswap.hpp> Inherits QuantLib::EnergySwap. Public Member Functions EnergyBasisSwap (const Calendar &calendar, const boost::shared_ptr< CommodityIndex > &spreadIndex, const boost::shared_ptr< CommodityIndex > &payIndex, const boost::shared_ptr< CommodityIndex > &receiveIndex, bool spreadToPayLeg, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityUnitCost &basis, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts,…

QuantLib::EarlyExercisePathPricer – base class for early exercise path pricers Synopsis #include <ql/methods/montecarlo/earlyexercisepathpricer.hpp> Public Types typedef EarlyExerciseTraits< PathType >::StateType StateType Public Member Functions virtual ValueType operator() (const PathType &path, TimeType t) const =0 virtual StateType state (const PathType &path, TimeType t) const =0 virtual std::vector< boost::function1< ValueType, StateType > > basisSystem () const =0 Detailed Description…

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 (const…

QuantLib::CommodityCurve – Commodity term structure. Synopsis #include <ql/experimental/commodities/commoditycurve.hpp> Inherits QuantLib::TermStructure. Public Member Functions CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, const std::vector< Date > &dates, const std::vector< Real > &prices, const DayCounter &dayCounter=Actual365Fixed()) CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure,…

QuantLib::CommodityCurve – Commodity term structure. Synopsis #include <ql/experimental/commodities/commoditycurve.hpp> Inherits QuantLib::TermStructure. Public Member Functions CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, const std::vector< Date > &dates, const std::vector< Real > &prices, const DayCounter &dayCounter=Actual365Fixed()) CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure,…

QuantLib::CommodityCurve – Commodity term structure. Synopsis #include <ql/experimental/commodities/commoditycurve.hpp> Inherits QuantLib::TermStructure. Public Member Functions CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, const std::vector< Date > &dates, const std::vector< Real > &prices, const DayCounter &dayCounter=Actual365Fixed()) CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure,…

QuantLib::CommodityCurve – Commodity term structure. Synopsis #include <ql/experimental/commodities/commoditycurve.hpp> Inherits QuantLib::TermStructure. Public Member Functions CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, const std::vector< Date > &dates, const std::vector< Real > &prices, const DayCounter &dayCounter=Actual365Fixed()) CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure,…

QuantLib::CommodityCurve – Commodity term structure. Synopsis #include <ql/experimental/commodities/commoditycurve.hpp> Inherits QuantLib::TermStructure. Public Member Functions CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, const std::vector< Date > &dates, const std::vector< Real > &prices, const DayCounter &dayCounter=Actual365Fixed()) CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure,…

QuantLib::CubicBSplinesFitting – CubicSpline B-splines fitting method. Synopsis #include <ql/termstructures/yield/nonlinearfittingmethods.hpp> Inherits QuantLib::FittedBondDiscountCurve::FittingMethod. Public Member Functions CubicBSplinesFitting (const std::vector< Time > &knotVector, bool constrainAtZero=true) Real basisFunction (Integer i, Time t) const cubic B-spline basis functions std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const clone of the current object Detailed Description CubicSpline B-splines fitting method. Fits a discount function to…

NAME QuantLib::EnergyBasisSwap – Energy basis swap. SYNOPSIS #include <ql/experimental/commodities/energybasisswap.hpp> Inherits QuantLib::EnergySwap. Public Member Functions EnergyBasisSwap (const Calendar &calendar, const boost::shared_ptr< CommodityIndex > &spreadIndex, const boost::shared_ptr< CommodityIndex > &payIndex, const boost::shared_ptr< CommodityIndex > &receiveIndex, bool spreadToPayLeg, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityUnitCost &basis, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts,…

NAME baseobj – Base object DESCRIPTION Base class so objects will inherit the methods providing the string representation of the object and methods to change the verbosity of such string representation. It also includes a simple debug printing and logging mechanism including methods to change the debug verbosity level and methods to add debug levels….