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include/antlr3convertutf.h – Synopsis #include <antlr3defs.h> Defines #define UNI_MAX_BMP (UTF32)0x0000FFFF #define UNI_MAX_LEGAL_UTF32 (UTF32)0x0010FFFF #define UNI_MAX_UTF16 (UTF32)0x0010FFFF #define UNI_MAX_UTF32 (UTF32)0x7FFFFFFF #define UNI_REPLACEMENT_CHAR (UTF32)0x0000FFFD Typedefs typedef ANTLR3_UINT16 UTF16 typedef ANTLR3_UINT32 UTF32 typedef ANTLR3_UINT8 UTF8 Enumerations enum ConversionFlags { strictConversion = 0, lenientConversion } enum ConversionResult { conversionOK, sourceExhausted, targetExhausted, sourceIllegal } Functions ConversionResult ConvertUTF16toUTF32 (const UTF16 **sourceStart, const…

include/antlr3convertutf.h – Synopsis #include <antlr3defs.h> Defines #define UNI_MAX_BMP (UTF32)0x0000FFFF #define UNI_MAX_LEGAL_UTF32 (UTF32)0x0010FFFF #define UNI_MAX_UTF16 (UTF32)0x0010FFFF #define UNI_MAX_UTF32 (UTF32)0x7FFFFFFF #define UNI_REPLACEMENT_CHAR (UTF32)0x0000FFFD Typedefs typedef ANTLR3_UINT16 UTF16 typedef ANTLR3_UINT32 UTF32 typedef ANTLR3_UINT8 UTF8 Enumerations enum ConversionFlags { strictConversion = 0, lenientConversion } enum ConversionResult { conversionOK, sourceExhausted, targetExhausted, sourceIllegal } Functions ConversionResult ConvertUTF16toUTF32 (const UTF16 **sourceStart, const…

include/antlr3convertutf.h – Synopsis #include <antlr3defs.h> Defines #define UNI_MAX_BMP (UTF32)0x0000FFFF #define UNI_MAX_LEGAL_UTF32 (UTF32)0x0010FFFF #define UNI_MAX_UTF16 (UTF32)0x0010FFFF #define UNI_MAX_UTF32 (UTF32)0x7FFFFFFF #define UNI_REPLACEMENT_CHAR (UTF32)0x0000FFFD Typedefs typedef ANTLR3_UINT16 UTF16 typedef ANTLR3_UINT32 UTF32 typedef ANTLR3_UINT8 UTF8 Enumerations enum ConversionFlags { strictConversion = 0, lenientConversion } enum ConversionResult { conversionOK, sourceExhausted, targetExhausted, sourceIllegal } Functions ConversionResult ConvertUTF16toUTF32 (const UTF16 **sourceStart, const…

include/antlr3cyclicdfa.h – Synopsis #include <antlr3baserecognizer.h> #include <antlr3intstream.h> Data Structures struct ANTLR3_CYCLIC_DFA_struct Definition of a cyclic dfa structure such that it can be initialized at compile time and have only a single runtime function that can deal with all cyclic dfa structures and show Java how it is done ;-). Typedefs typedef struct ANTLR3_CYCLIC_DFA_struct ANTLR3_CYCLIC_DFA Definition…

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…

NAME QuantLib::MultiPathGenerator – Generates a multipath from a random number generator. SYNOPSIS #include <ql/methods/montecarlo/multipathgenerator.hpp> Public Types typedef Sample< MultiPath > sample_type Public Member Functions MultiPathGenerator (const boost::shared_ptr< StochasticProcess > &, const TimeGrid &, GSG generator, bool brownianBridge=false) const sample_type & next () const const sample_type & antithetic () const Detailed Description template<class GSG> class QuantLib::MultiPathGenerator<…

NAME 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 ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp – Analytic engine for continuous floating-strike lookback. SYNOPSIS #include <ql/instruments/lookbackoption.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/math/distributions/normaldistribution.hpp> Classes class AnalyticContinuousFloatingLookbackEngine Pricing engine for European continuous floating-strike lookback. Detailed Description Analytic engine for continuous floating-strike lookback. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp – Analytic engine for continuous fixed-strike lookback. SYNOPSIS #include <ql/instruments/lookbackoption.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/math/distributions/normaldistribution.hpp> Classes class AnalyticContinuousFixedLookbackEngine Pricing engine for European continuous fixed-strike lookback. Detailed Description Analytic engine for continuous fixed-strike lookback. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/pricingengines/asian/analytic_discr_geom_av_price.hpp – Analytic engine for discrete geometric average price Asian. SYNOPSIS #include <ql/instruments/asianoption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classes class AnalyticDiscreteGeometricAveragePriceAsianEngine Pricing engine for European discrete geometric average price Asian. Detailed Description Analytic engine for discrete geometric average price Asian. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/pricingengines/asian/analytic_cont_geom_av_price.hpp – Analytic engine for continuous geometric average price Asian. SYNOPSIS #include <ql/instruments/asianoption.hpp> #include <ql/processes/blackscholesprocess.hpp> Classes class AnalyticContinuousGeometricAveragePriceAsianEngine Pricing engine for European continuous geometric average price Asian. Detailed Description Analytic engine for continuous geometric average price Asian. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME QuantLib::FixedDividend – Predetermined cash flow. SYNOPSIS #include <ql/cashflows/dividend.hpp> Inherits QuantLib::Dividend. Public Member Functions FixedDividend (Real amount, const Date &date) Dividend interface virtual Real amount () const returns the amount of the cash flow virtual Real amount (Real) const Protected Attributes Real amount_ Detailed Description Predetermined cash flow. This cash flow pays a predetermined amount…

NAME QuantLib::CashFlow – Base class for cash flows. SYNOPSIS #include <ql/cashflow.hpp> Inherits QuantLib::Event. Inherited by CommodityCashFlow, Coupon, Dividend, and SimpleCashFlow. Public Member Functions Event interface virtual Date date () const =0 CashFlow interface virtual Real amount () const =0 returns the amount of the cash flow Visitability virtual void accept (AcyclicVisitor &) Detailed Description Base…

NAME ql/currencies/america.hpp – American currencies. SYNOPSIS #include <ql/currency.hpp> Classes class ARSCurrency Argentinian peso. class BRLCurrency Brazilian real. class CADCurrency Canadian dollar. class CLPCurrency Chilean peso. class COPCurrency Colombian peso. class MXNCurrency Mexican peso. class PENCurrency Peruvian nuevo sol. class PEICurrency Peruvian inti. class PEHCurrency Peruvian sol. class TTDCurrency Trinidad & Tobago dollar. class USDCurrency U.S….

QuantLib::YearOnYearInflationSwap – Year-on-year inflation-indexed swap. Synopsis #include <ql/instruments/yearonyearinflationswap.hpp> Inherits QuantLib::InflationSwap. Public Member Functions YearOnYearInflationSwap (const Date &start, const Date &maturity, const Period &lag, Rate fixedRate, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS, const Handle< YoYInflationTermStructure > &inflationTS, bool allowAmbiguousPayments=false, const Period &ambiguousPaymentPeriod=Period(1, Months)) Instrument interface bool isExpired () const…

QuantLib::MarketModelPathwiseMultiProduct – market-model pathwise product Synopsis #include <ql/models/marketmodels/pathwisemultiproduct.hpp> Inherited by MarketModelPathwiseCoterminalSwaptionsDeflated, MarketModelPathwiseCoterminalSwaptionsNumericalDeflated, MarketModelPathwiseMultiCaplet, MarketModelPathwiseMultiDeflatedCap, and MarketModelPathwiseMultiDeflatedCaplet. Public Member Functions virtual std::vector< Size > suggestedNumeraires () const =0 virtual const EvolutionDescription & evolution () const =0 virtual std::vector< Time > possibleCashFlowTimes () const =0 virtual Size numberOfProducts () const =0 virtual Size maxNumberOfCashFlowsPerProductPerStep () const =0…

NAME scandir, scandirat, alphasort, versionsort – scan a directory for matching entries SYNOPSIS #include <dirent.h> int scandir(const char *dirp, struct dirent ***namelist, int (*filter)(const struct dirent *), int (*compar)(const struct dirent **, const struct dirent **)); int alphasort(const struct dirent **a, const struct dirent **b); int versionsort(const struct dirent **a, const struct dirent **b); #include…

NAME QuantLib::GaussLobattoIntegral – Integral of a one-dimensional function. SYNOPSIS #include <ql/math/integrals/gausslobattointegral.hpp> Inherits QuantLib::Integrator. Public Member Functions GaussLobattoIntegral (Size maxIterations, Real absAccuracy, Real relAccuracy=Null< Real >(), bool useConvergenceEstimate=true) Protected Member Functions Real integrate (const boost::function< Real(Real)> &f, Real a, Real b) const Real adaptivGaussLobattoStep (const boost::function< Real(Real)> &f, Real a, Real b, Real fa, Real fb,…

NAME QuantLib::GaussianOrthogonalPolynomial – orthogonal polynomial for Gaussian quadratures SYNOPSIS #include <ql/math/integrals/gaussianorthogonalpolynomial.hpp> Inherited by GaussHermitePolynomial, GaussHyperbolicPolynomial, GaussJacobiPolynomial, and GaussLaguerrePolynomial. Public Member Functions virtual Real mu_0 () const =0 virtual Real alpha (Size i) const =0 virtual Real beta (Size i) const =0 virtual Real w (Real x) const =0 Real value (Size i, Real x) const…

QuantLib::Extrapolator – base class for classes possibly allowing extrapolation Synopsis #include <ql/math/interpolations/extrapolation.hpp> Inherited by Interpolation, Interpolation2D, and TermStructure. Public Member Functions modifiers void enableExtrapolation (bool b=true) enable extrapolation in subsequent calls void disableExtrapolation (bool b=true) disable extrapolation in subsequent calls inspectors bool allowsExtrapolation () const tells whether extrapolation is enabled Detailed Description base class for…