SysTutorials Posts

QuantLib::MCPathBasketEngine – Pricing engine for path dependent basket options using Monte Carlo simulation. Synopsis #include <ql/experimental/mcbasket/mcpathbasketengine.hpp> Inherits QuantLib::PathMultiAssetOption::engine, and McSimulation< MultiVariate, RNG, S >. Public Types typedef McSimulation< MultiVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< MultiVariate, RNG, S >::stats_type stats_type Public Member Functions MCPathBasketEngine (Size timeSteps, bool brownianBridge,…

QuantLib::Path – single-factor random walk Synopsis#include <ql/methods/montecarlo/path.hpp> Public Member FunctionsPath (const TimeGrid &timeGrid, const Array &values=Array()) inspectors bool empty () const Size length () const Real operator[] (Size i) const asset value at the $ i $-th point Real at (Size i) const Real & operator[] (Size i) Real & at (Size i) Real value…

Parse::Yapp – Perl extension for generating and using LALR parsers. Synopsis yapp -m MyParser grammar_file.yp … use MyParser; $parser=new MyParser(); $value=$parser->YYParse(yylex => \&lexer_sub, yyerror => \&error_sub); $nberr=$parser->YYNberr(); $parser->YYData->{DATA}= [ ‘Anything’, ‘You Want’ ]; $data=$parser->YYData->{DATA}[0];DescriptionParse::Yapp (Yet Another Perl Parser compiler) is a collection of modules that let you generate and use yacc like thread safe (reentrant)…

ql/models/parameter.hpp – Model parameter classes. Synopsis #include <ql/qldefines.hpp> #include <ql/handle.hpp> #include <ql/math/optimization/constraint.hpp> #include <vector> Classes class Parameter Base class for model arguments. class Impl Base class for model parameter implementation. class ConstantParameter Standard constant parameter $ a(t) = a $. class NullParameter Parameter which is always zero $ a(t) = 0 $ class PiecewiseConstantParameter Piecewise-constant…

QuantLib::CubicInterpolation – Cubic interpolation between discrete points. Synopsis#include <ql/math/interpolations/cubicinterpolation.hpp> Inherits QuantLib::Interpolation. Inherited by MonotonicNaturalCubicInterpolation, and NaturalCubicInterpolation. Public Typesenum DerivativeApprox { Spline, FourthOrder, Parabolic, ModifiedParabolic, FritschButland, Akima, Kruger } enum BoundaryCondition { NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange } Public Member Functionstemplate<class I1 , class I2 > CubicInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin,…

ql/instruments/pagodaoption.hpp – Roofed Asian option on a number of assets. Synopsis #include <ql/instruments/multiassetoption.hpp> #include <ql/time/date.hpp> #include <vector> Classes class PagodaOption Roofed Asian option on a number of assets. class engine Pagoda-option engine base class Detailed Description Roofed Asian option on a number of assets. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::CzechRepublic – Czech calendars. Synopsis#include <ql/time/calendars/czechrepublic.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { PSE } Public Member FunctionsCzechRepublic (Market m=PSE) Detailed DescriptionCzech calendars. Holidays for the Prague stock exchange (see http://www.pse.cz/): * Saturdays * Sundays * New Year’s Day, January 1st * Easter Monday * Labour Day, May 1st * Liberation Day, May 8th * SS….

PROXYPOLICY_st – SynopsisDetailed DescriptionNote: NOTE: The API provides functions to manipulate the fields of a PROXYPOLICY. Accessing the fields directly will not work. This typedef maintains information about the policies that have been placed on a proxy certificate Parameters: policy_language defines which policy language is to be used to define the policies policy the policy…

PROXYCERTINFO_st – This typedef maintains information about a proxy certificate. SynopsisDetailed DescriptionThis typedef maintains information about a proxy certificate. Note: NOTE: The API provides functions to manipulate the fields of a PROXYCERTINFO. Accessing the fields directly is not a good idea. Parameters: path_length an optional field in the ANS.1 DER encoding, it specifies the maximum…

POLYTYPE_ATEX_TRANS, POLYTYPE_PTEX_TRANS – Polygon rendering mode type Allegro game programming library. Synopsis#include <allegro.h> #define POLYTYPE_ATEX_TRANS #define POLYTYPE_PTEX_TRANS DescriptionRender translucent textures. All the general rules for drawing translucent things apply. However, these modes have a major limitation: they only work with memory bitmaps or linear frame buffers (not with banked frame buffers). Don’t even try, they…

POLYTYPE_ATEX_MASK_LIT, POLYTYPE_PTEX_MASK_LIT – Polygon rendering mode type Allegro game programming library. Synopsis#include <allegro.h> #define POLYTYPE_ATEX_MASK_LIT #define POLYTYPE_PTEX_MASK_LIT DescriptionLike POLYTYPE_ATEX_LIT and POLYTYPE_PTEX_LIT, but zero texture map pixels are skipped, allowing parts of the texture map to be transparent. See Alsopolygon3d(3), POLYTYPE_ATEX_LIT(3), POLYTYPE_PTEX_LIT(3), ex3d(3)

POLYTYPE_ATEX_MASK, POLYTYPE_PTEX_MASK – Polygon rendering mode type Allegro game programming library. Synopsis#include <allegro.h> #define POLYTYPE_ATEX_MASK #define POLYTYPE_PTEX_MASK DescriptionLike POLYTYPE_ATEX and POLYTYPE_PTEX, but zero texture map pixels are skipped, allowing parts of the texture map to be transparent. See Alsopolygon3d(3), POLYTYPE_ATEX(3), POLYTYPE_PTEX(3), ex3d(3)

POLYTYPE_ATEX_LIT, POLYTYPE_PTEX_LIT – Polygon rendering mode type Allegro game programming library. Synopsis#include <allegro.h> #define POLYTYPE_ATEX_LIT #define POLYTYPE_PTEX_LIT DescriptionLike POLYTYPE_ATEX and POLYTYPE_PTEX, but the global color_map table (for 256-color modes) or blender function (for non-MMX truecolor modes) is used to blend the texture with a light level taken from the `c’ value in the vertex structure….

POLYTYPE_PTEX – Polygon rendering mode type Allegro game programming library. Synopsis#include <allegro.h> #define POLYTYPE_PTEX DescriptionA perspective-correct texture mapped polygon. This uses the `z’ value from the vertex structure as well as the u/v coordinates, so textures are displayed correctly regardless of the angle they are viewed from. Because it involves division calculations in the inner…

POLYTYPE_GRGB – Polygon rendering mode type Allegro game programming library. Synopsis#include <allegro.h> #define POLYTYPE_GRGB DescriptionA gouraud shaded polygon which interpolates RGB triplets rather than a single color. In 256-color modes this uses the global rgb_map table to convert the result to an 8-bit paletted color, so it must only be used after you have set…

POLYTYPE_GCOL – Polygon rendering mode type Allegro game programming library. Synopsis#include <allegro.h> #define POLYTYPE_GCOL DescriptionA single-color gouraud shaded polygon. The colors for each vertex are taken from the `c’ value, and interpolated across the polygon. This is very fast, but will only work in 256-color modes if your palette contains a smooth gradient between the…

POLYTYPE_FLAT – Polygon rendering mode type Allegro game programming library. Synopsis#include <allegro.h> #define POLYTYPE_FLAT DescriptionA simple flat shaded polygon, taking the color from the `c’ value of the first vertex. This polygon type is affected by the drawing_mode() function, so it can be used to render XOR or translucent polygons. See Alsopolygon3d(3), drawing_mode(3), ex3d(3), excamera(3)

POLYTYPE_ATEX_TRANS, POLYTYPE_PTEX_TRANS – Polygon rendering mode type Allegro game programming library. Synopsis#include <allegro.h> #define POLYTYPE_ATEX_TRANS #define POLYTYPE_PTEX_TRANS DescriptionRender translucent textures. All the general rules for drawing translucent things apply. However, these modes have a major limitation: they only work with memory bitmaps or linear frame buffers (not with banked frame buffers). Don’t even try, they…

POLYTYPE_ATEX_MASK_LIT, POLYTYPE_PTEX_MASK_LIT – Polygon rendering mode type Allegro game programming library. Synopsis#include <allegro.h> #define POLYTYPE_ATEX_MASK_LIT #define POLYTYPE_PTEX_MASK_LIT DescriptionLike POLYTYPE_ATEX_LIT and POLYTYPE_PTEX_LIT, but zero texture map pixels are skipped, allowing parts of the texture map to be transparent. See Alsopolygon3d(3), POLYTYPE_ATEX_LIT(3), POLYTYPE_PTEX_LIT(3), ex3d(3)

POLYTYPE_ATEX_MASK, POLYTYPE_PTEX_MASK – Polygon rendering mode type Allegro game programming library. Synopsis#include <allegro.h> #define POLYTYPE_ATEX_MASK #define POLYTYPE_PTEX_MASK DescriptionLike POLYTYPE_ATEX and POLYTYPE_PTEX, but zero texture map pixels are skipped, allowing parts of the texture map to be transparent. See Alsopolygon3d(3), POLYTYPE_ATEX(3), POLYTYPE_PTEX(3), ex3d(3)