Date and time calculations – Classes class DateInterval Date interval described by a number of a given time unit. class PricingPeriod Time pricingperiod described by a number of a given time unit. class Calendar calendar class class Date Concrete date class. struct DateGeneration Date-generation rule. class DayCounter day counter class class Period Modules Calendars Day…
QuantLib::SegmentIntegral – Integral of a one-dimensional function. Synopsis #include <ql/math/integrals/segmentintegral.hpp> Inherits QuantLib::Integrator. Public Member Functions SegmentIntegral (Size intervals) Protected Member Functions virtual Real integrate (const boost::function< Real(Real)> &f, Real a, Real b) const Detailed Description Integral of a one-dimensional function. Given a number $ N $ of intervals, the integral of a function $ f…
QuantLib::Commodity – Commodity base class. Synopsis Commodity (const boost::shared_ptr< SecondaryCosts > &secondaryCosts) const boost::shared_ptr< SecondaryCosts > & secondaryCosts () const const SecondaryCostAmounts & secondaryCostAmounts () const const PricingErrors & pricingErrors () const void addPricingError (PricingError::Level errorLevel, const std::string &error, const std::string &detail=”) const Protected Attributes Inherits QuantLib::Instrument. Inherited by EnergyCommodity. Public Member Functions Commodity (const…
QuantLib::Commodity – Commodity base class. Synopsis Commodity (const boost::shared_ptr< SecondaryCosts > &secondaryCosts) const boost::shared_ptr< SecondaryCosts > & secondaryCosts () const const SecondaryCostAmounts & secondaryCostAmounts () const const PricingErrors & pricingErrors () const void addPricingError (PricingError::Level errorLevel, const std::string &error, const std::string &detail=”) const Protected Attributes Inherits QuantLib::Instrument. Inherited by EnergyCommodity. Public Member Functions Commodity (const…
QuantLib::Interpolation – base class for 1-D interpolations. Synopsis bool empty () const Real operator() (Real x, bool allowExtrapolation=false) const Real primitive (Real x, bool allowExtrapolation=false) const Real derivative (Real x, bool allowExtrapolation=false) const Real secondDerivative (Real x, bool allowExtrapolation=false) const Real xMin () const Real xMax () const bool isInRange (Real x) const void update…
DisplayOfCCC, VisualOfCCC, ScreenNumberOfCCC, ScreenWhitePointOfCCC, ClientWhitePointOfCCC – Color Conversion Context macros Syntax Display *DisplayOfCCC(XcmsCCC ccc); Visual *VisualOfCCC(XcmsCCC ccc); int ScreenNumberOfCCC(XcmsCCC ccc); XcmsColor *ScreenWhitePointOfCCC(XcmsCCC ccc); XcmsColor *ClientWhitePointOfCCC(XcmsCCC ccc); Arguments ccc Specifies the CCC. Description The DisplayOfCCC macro returns the display associated with the specified CCC. The VisualOfCCC macro returns the visual associated with the specified CCC. The…
AllPlanes, BlackPixel, WhitePixel, ConnectionNumber, DefaultColormap, DefaultDepth, XListDepths, DefaultGC, DefaultRootWindow, DefaultScreenOfDisplay, DefaultScreen, DefaultVisual, DisplayCells, DisplayPlanes, DisplayString, XMaxRequestSize, XExtendedMaxRequestSize, LastKnownRequestProcessed, NextRequest, ProtocolVersion, ProtocolRevision, QLength, RootWindow, ScreenCount, ScreenOfDisplay, ServerVendor, VendorRelease – Display macros and functions Syntax unsigned long AllPlanes; unsigned long BlackPixel(Display *display, int screen_number); unsigned long WhitePixel(Display *display, int screen_number); int ConnectionNumber(Display *display); Colormap DefaultColormap(Display *display, int…
DisplayOfCCC, VisualOfCCC, ScreenNumberOfCCC, ScreenWhitePointOfCCC, ClientWhitePointOfCCC – Color Conversion Context macros Syntax Display *DisplayOfCCC(XcmsCCC ccc); Visual *VisualOfCCC(XcmsCCC ccc); int ScreenNumberOfCCC(XcmsCCC ccc); XcmsColor *ScreenWhitePointOfCCC(XcmsCCC ccc); XcmsColor *ClientWhitePointOfCCC(XcmsCCC ccc); Arguments ccc Specifies the CCC. Description The DisplayOfCCC macro returns the display associated with the specified CCC. The VisualOfCCC macro returns the visual associated with the specified CCC. The…
AllPlanes, BlackPixel, WhitePixel, ConnectionNumber, DefaultColormap, DefaultDepth, XListDepths, DefaultGC, DefaultRootWindow, DefaultScreenOfDisplay, DefaultScreen, DefaultVisual, DisplayCells, DisplayPlanes, DisplayString, XMaxRequestSize, XExtendedMaxRequestSize, LastKnownRequestProcessed, NextRequest, ProtocolVersion, ProtocolRevision, QLength, RootWindow, ScreenCount, ScreenOfDisplay, ServerVendor, VendorRelease – Display macros and functions Syntax unsigned long AllPlanes; unsigned long BlackPixel(Display *display, int screen_number); unsigned long WhitePixel(Display *display, int screen_number); int ConnectionNumber(Display *display); Colormap DefaultColormap(Display *display, int…
ql/time/schedule.hpp – date schedule Synopsis #include <ql/time/calendars/nullcalendar.hpp> #include <ql/utilities/null.hpp> #include <ql/time/period.hpp> #include <ql/time/dategenerationrule.hpp> #include <ql/errors.hpp> Classes class Schedule Payment schedule. class MakeSchedule helper class Detailed Description date schedule Author Generated automatically by Doxygen for QuantLib from the source code.
QuantLib::SaudiArabia – Saudi Arabian calendar. Synopsis #include <ql/time/calendars/saudiarabia.hpp> Inherits QuantLib::Calendar. Public Types enum Market { Tadawul } Public Member Functions SaudiArabia (Market m=Tadawul) Detailed Description Saudi Arabian calendar. Holidays for the Tadawul financial market (data from <http://www.tadawul.com.sa>): * Thursdays * Fridays * National Day of Saudi Arabia, September 23rd Other holidays for which no rule…
ql/math/sampledcurve.hpp – a class that contains a sampled curve Synopsis #include <ql/math/array.hpp> #include <ql/grid.hpp> #include <ql/math/interpolations/cubicinterpolation.hpp> Classes class SampledCurve This class contains a sampled curve. Typedefs typedef SampledCurve SampledCurveSet Functions void swap (SampledCurve &, SampledCurve &) std::ostream & operator<< (std::ostream &out, const SampledCurve &a) Detailed Description a class that contains a sampled curve Author Generated…
ql/math/sampledcurve.hpp – a class that contains a sampled curve Synopsis void swap (SampledCurve &, SampledCurve &) std::ostream & operator<< (std::ostream &out, const SampledCurve &a) Classes class SampledCurve This class contains a sampled curve. Typedefs typedef SampledCurve SampledCurveSet Functions void swap (SampledCurve &, SampledCurve &) std::ostream & operator<< (std::ostream &out, const SampledCurve &a) Detailed Description a…
ql/experimental/volatility/sabrvolsurface.hpp – SABR volatility (smile) surface. Synopsis #include <ql/experimental/volatility/interestratevolsurface.hpp> #include <ql/experimental/volatility/blackatmvolcurve.hpp> #include <ql/quote.hpp> #include <ql/termstructures/volatility/sabrinterpolatedsmilesection.hpp> #include <boost/array.hpp> Classes class SabrVolSurface SABR volatility (smile) surface. Detailed Description SABR volatility (smile) surface. Author Generated automatically by Doxygen for QuantLib from the source code.
QuantLib::LiborForwardModel – Libor forward model Synopsis #include <ql/legacy/libormarketmodels/liborforwardmodel.hpp> Inherits QuantLib::CalibratedModel, and QuantLib::AffineModel. Public Member Functions LiborForwardModel (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel) Rate S_0 (Size alpha, Size beta) const virtual boost::shared_ptr< SwaptionVolatilityMatrix > getSwaptionVolatilityMatrix () const DiscountFactor discount (Time t) const Implied discount curve. Real discountBond…
QuantLib::SVDDFwdRatePc – Synopsis #include <ql/models/marketmodels/evolvers/svddfwdratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member Functions SVDDFwdRatePc (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const boost::shared_ptr< MarketModelVolProcess > &volProcess, Size firstVolatilityFactor, Size volatilityFactorStep, const std::vector< Size > &numeraires, Size initialStep=0) MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath () Real advanceStep () Size currentStep () const…
QuantLib::SVD – Singular value decomposition. Synopsis #include <ql/math/matrixutilities/svd.hpp> Public Member Functions SVD (const Matrix &) const Matrix & U () const const Matrix & V () const const Array & singularValues () const Disposable< Matrix > S () const Real norm2 () Real cond () Integer rank () Disposable< Array > solveFor (const Array &)…
NAME stzrzf.f – SYNOPSIS Functions/Subroutines subroutine stzrzf (M, N, A, LDA, TAU, WORK, LWORK, INFO) STZRZF Function/Subroutine Documentation subroutine stzrzf (integerM, integerN, real, dimension( lda, * )A, integerLDA, real, dimension( * )TAU, real, dimension( * )WORK, integerLWORK, integerINFO) STZRZF Purpose: STZRZF reduces the M-by-N ( M<=N ) real upper trapezoidal matrix A to upper triangular…
NAME stzrqf.f – SYNOPSIS Functions/Subroutines subroutine stzrqf (M, N, A, LDA, TAU, INFO) STZRQF Function/Subroutine Documentation subroutine stzrqf (integerM, integerN, real, dimension( lda, * )A, integerLDA, real, dimension( * )TAU, integerINFO) STZRQF Purpose: This routine is deprecated and has been replaced by routine STZRZF. STZRQF reduces the M-by-N ( M<=N ) real upper trapezoidal matrix…
NAME strttp.f – SYNOPSIS Functions/Subroutines subroutine strttp (UPLO, N, A, LDA, AP, INFO) STRTTP copies a triangular matrix from the standard full format (TR) to the standard packed format (TP). Function/Subroutine Documentation subroutine strttp (characterUPLO, integerN, real, dimension( lda, * )A, integerLDA, real, dimension( * )AP, integerINFO) STRTTP copies a triangular matrix from the standard…