NAME basename, dirname – parse pathname components SYNOPSIS #include <libgen.h> char *dirname(char *path); char *basename(char *path); DESCRIPTION Warning: there are two different functions basename() – see below. The functions dirname() and basename() break a null-terminated pathname string into directory and filename components. In the usual case, dirname() returns the string up to, but not including,…
NAME ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classes class MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefs typedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real,…
NAME ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classes class MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefs typedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real,…
NAME ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classes class MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefs typedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real,…
NAME ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classes class MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefs typedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real,…
NAME ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classes class MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefs typedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real,…
NAME ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classes class MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefs typedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real,…
QuantLib::Quantity – Amount of a commodity. Synopsis #include <ql/experimental/commodities/quantity.hpp> Public Member Functions Constructors Quantity () Quantity (const CommodityType &commodityType, const UnitOfMeasure &unitOfMeasure, Real amount) Inspectors const CommodityType & commodityType () const const UnitOfMeasure & unitOfMeasure () const Real amount () const Quantity rounded () const Quantity arithmetics See below for non-member functions and for settings…
QuantLib::InflationTermStructure – Interface for inflation term structures. Synopsis #include <ql/termstructures/inflationtermstructure.hpp> Inherits QuantLib::TermStructure. Inherited by YoYInflationTermStructure, and ZeroInflationTermStructure. Public Member Functions Constructors InflationTermStructure (const Period &lag, Frequency frequency, Rate baseRate, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter()) InflationTermStructure (const Date &referenceDate, const Period &lag, Frequency frequency, Rate baseRate, const Handle< YieldTermStructure > &yTS, const Calendar…
QuantLib::InflationTermStructure – Interface for inflation term structures. Synopsis #include <ql/termstructures/inflationtermstructure.hpp> Inherits QuantLib::TermStructure. Inherited by YoYInflationTermStructure, and ZeroInflationTermStructure. Public Member Functions Constructors InflationTermStructure (const Period &lag, Frequency frequency, Rate baseRate, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter()) InflationTermStructure (const Date &referenceDate, const Period &lag, Frequency frequency, Rate baseRate, const Handle< YieldTermStructure > &yTS, const Calendar…
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 () const…
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 () const…
QuantLib::Money – amount of cash Synopsis #include <ql/money.hpp> Public Member Functions Constructors Money () Money (const Currency ¤cy, Decimal value) Money (Decimal value, const Currency ¤cy) Inspectors const Currency & currency () const Decimal value () const Money rounded () const Money arithmetics See below for non-member functions and for settings which determine the behavior…
NAME Barrier option engines – Classes class PerturbativeBarrierOptionEngine perturbative barrier-option engine class FdBlackScholesBarrierEngine Finite-Differences Black Scholes barrier option engine. class FdBlackScholesRebateEngine Finite-Differences Black Scholes barrier option rebate helper engine. class FdHestonBarrierEngine Finite-Differences Heston Barrier Option engine. class FdHestonRebateEngine Finite-Differences Heston Barrier Option rebate helper engine. class AnalyticBarrierEngine Pricing engine for barrier options using analytical formulae….
NAME QuantLib::BarrierOption – Barrier option on a single asset. SYNOPSIS #include <ql/instruments/barrieroption.hpp> Inherits QuantLib::OneAssetOption. Inherited by DividendBarrierOption, and QuantoBarrierOption. Classes class arguments Arguments for barrier option calculation class engine Barrier-option engine base class Public Member Functions BarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments…
QuantLib::BarrierOption – Barrier option on a single asset. Synopsis #include <ql/instruments/barrieroption.hpp> Inherits QuantLib::OneAssetOption. Inherited by DividendBarrierOption, and QuantoBarrierOption. Classes class arguments Arguments for barrier option calculation class engine Barrier-option engine base class Public Member Functions BarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments…
NAME ql/instruments/barriertype.hpp – Barrier type. SYNOPSIS #include <ql/qldefines.hpp> #include <ostream> Classes struct Barrier Placeholder for enumerated barrier types. Functions std::ostream & operator<< (std::ostream &out, Barrier::Type type) Detailed Description Barrier type. Author Generated automatically by Doxygen for QuantLib from the source code. Index
NAME QuantLib::BarrierOption::arguments – Arguments for barrier option calculation SYNOPSIS #include <ql/instruments/barrieroption.hpp> Inherits OneAssetOption::arguments. Inherited by arguments. Public Member Functions void validate () const Public Attributes Barrier::Type barrierType Real barrier Real rebate Detailed Description Arguments for barrier option calculation Author Generated automatically by Doxygen for QuantLib from the source code. Index
NAME ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp – Barone-Adesi and Whaley approximation engine. SYNOPSIS #include <ql/instruments/vanillaoption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classes class BaroneAdesiWhaleyApproximationEngine Barone-Adesi and Whaley pricing engine for American options (1987). Detailed Description Barone-Adesi and Whaley approximation engine. Author Generated automatically by Doxygen for QuantLib from the source code. Index
NAME barcode – a library to create and print bar codes SYNOPSIS #include <barcode.h> struct Barcode_Item *Barcode_Create(char *text); int Barcode_Delete(struct Barcode_Item *bc); int Barcode_Encode(struct Barcode_Item *bc, int flags); int Barcode_Print(struct Barcode_Item *bc, FILE *f, int flags); int Barcode_Position(struct Barcode_Item *bc, int wid, int hei, int xoff, int yoff , double scalef); int Barcode_Encode_and_Print(char *text, FILE…