SysTutorials Posts

QuantLib::LocalVolSurface – Local volatility surface derived from a Black vol surface. Synopsis#include <ql/termstructures/volatility/equityfx/localvolsurface.hpp> Inherits QuantLib::LocalVolTermStructure. Public Member FunctionsLocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &dividendTS, const Handle< Quote > &underlying) LocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &dividendTS, Real…

ql/termstructures/volatility/equityfx/localvolcurve.hpp – Local volatility curve derived from a Black curve. Synopsis#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp> #include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp> Classesclass LocalVolCurve Local volatility curve derived from a Black curve. Detailed DescriptionLocal volatility curve derived from a Black curve. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/volatility/equityfx/localconstantvol.hpp – Local constant volatility, no time dependence, no asset dependence. Synopsis#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp> #include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp> Classesclass LocalConstantVol Constant local volatility, no time-strike dependence. Detailed DescriptionLocal constant volatility, no time dependence, no asset dependence. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/localbootstrap.hpp – localised-term-structure bootstrapper for most curve types. Synopsis#include <ql/termstructures/bootstraphelper.hpp> #include <ql/math/optimization/costfunction.hpp> #include <ql/math/optimization/constraint.hpp> #include <ql/math/optimization/armijo.hpp> #include <ql/math/optimization/levenbergmarquardt.hpp> #include <ql/math/optimization/problem.hpp> #include <ql/utilities/dataformatters.hpp> #include <boost/shared_ptr.hpp> Classesclass LocalBootstrap< Curve > Localised-term-structure bootstrapper for most curve types. Detailed Descriptionlocalised-term-structure bootstrapper for most curve types. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/math/optimization/lmdif.hpp – wrapper for MINPACK minimization routine Synopsis#include <ql/qldefines.hpp> #include <boost/function.hpp> Typedefstypedef boost::function< void(int, int, double *, double *, int *) LmdifCostFunction ) Functionsvoid lmdif (int m, int n, double *x, double *fvec, double ftol, double xtol, double gtol, int maxfev, double epsfcn, double *diag, int mode, double factor, int nprint, int *info, int *nfev,…

QuantLib::LmVolatilityModel – caplet volatility model Synopsis#include <ql/legacy/libormarketmodels/lmvolmodel.hpp> Inherited by LmConstWrapperVolatilityModel, LmFixedVolatilityModel, and LmLinearExponentialVolatilityModel. Public Member FunctionsLmVolatilityModel (Size size, Size nArguments) Size size () const std::vector< Parameter > & params () void setParams (const std::vector< Parameter > &arguments) virtual Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const =0 virtual Volatility volatility (Size…

QuantLib::LmLinearExponentialVolatilityModel – linear exponential volatility model Synopsis#include <ql/legacy/libormarketmodels/lmlinexpvolmodel.hpp> Inherits QuantLib::LmVolatilityModel. Inherited by LmExtLinearExponentialVolModel. Public Member FunctionsLmLinearExponentialVolatilityModel (const std::vector< Time > &fixingTimes, Real a, Real b, Real c, Real d) Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) const Real integratedVariance…

QuantLib::LmLinearExponentialCorrelationModel – linear exponential correlation model Synopsis#include <ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp> Inherits QuantLib::LmCorrelationModel. Public Member FunctionsLmLinearExponentialCorrelationModel (Size size, Real rho, Real beta, Size factors=Null< Size >()) Disposable< Matrix > correlation (Time t, const Array &x=Null< Array >()) const Disposable< Matrix > pseudoSqrt (Time t, const Array &x=Null< Array >()) const Real correlation (Size i, Size j, Time t,…

QuantLib::LmExtLinearExponentialVolModel – extended linear exponential volatility model Synopsis#include <ql/legacy/libormarketmodels/lmextlinexpvolmodel.hpp> Inherits QuantLib::LmLinearExponentialVolatilityModel. Public Member FunctionsLmExtLinearExponentialVolModel (const std::vector< Time > &fixingTimes, Real a, Real b, Real c, Real d) Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) const Real integratedVariance (Size i,…

QuantLib::LmExponentialCorrelationModel – exponential correlation model Synopsis#include <ql/legacy/libormarketmodels/lmexpcorrmodel.hpp> Inherits QuantLib::LmCorrelationModel. Public Member FunctionsLmExponentialCorrelationModel (Size size, Real rho) Disposable< Matrix > correlation (Time t, const Array &x=Null< Array >()) const Disposable< Matrix > pseudoSqrt (Time t, const Array &x=Null< Array >()) const Real correlation (Size i, Size j, Time t, const Array &x) const bool isTimeIndependent ()…

QuantLib::LmCorrelationModel – libor forward correlation model Synopsis#include <ql/legacy/libormarketmodels/lmcorrmodel.hpp> Inherited by LmConstWrapperCorrelationModel, LmExponentialCorrelationModel, and LmLinearExponentialCorrelationModel. Public Member FunctionsLmCorrelationModel (Size size, Size nArguments) virtual Size size () const virtual Size factors () const std::vector< Parameter > & params () void setParams (const std::vector< Parameter > &arguments) virtual Disposable< Matrix > correlation (Time t, const Array &x=Null< Array…

QuantLib::LmConstWrapperVolatilityModel – caplet const volatility model Synopsis#include <ql/legacy/libormarketmodels/lmconstwrappervolmodel.hpp> Inherits QuantLib::LmVolatilityModel. Public Member FunctionsLmConstWrapperVolatilityModel (const boost::shared_ptr< LmVolatilityModel > &volaModel) Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) Real integratedVariance (Size i, Size j, Time u, const Array &x=Null< Array >()) const…

Lintian::Util – Lintian utility functions Synopsis use Lintian::Util qw(normalize_pkg_path); my $path = normalize_pkg_path(‘usr/bin/’, ‘../lib/git-core/git-pull’); if (defined $path) { # … }DescriptionThis module contains a number of utility subs that are nice to have, but on their own did not warrant their own module. Most subs are imported only on request. Variables$PKGNAME_REGEX Regular expression that matches…

Lintian::Unpacker — Job handler to unpack collections Synopsis use Lintian::DepMap::Properties; use Lintian::Unpacker; my $done = 1; my $joblimit = 4; my $collmap = Lintian::DepMap::Properties->new; my %requested = ( ‘debfiles’ => 1 ); # Initialise $collmap with the collections and their relations # – Each node in $collmap should an instance of L::CollScript # as property….

Lintian::Tutorial::WritingTests — Short tutorial on writing tests SynopsisWarning: This document may be out of date. This document attempts to be a short / quick tutorial to the Lintian test suite from a test-writer’s perspective. As such, it will only cover the standard type of tests (from the “tests” suite). The guide will involve writing a…

Lintian::Tutorial::WritingChecks — Writing checks for Lintian SynopsisWarning: This tutorial may be outdated. This guide will quickly guide you through the basics of writing a Lintian check. Most of the work is in writing the two files: checks/<my-check>.pm checks/<my-check>.descAnd then either adding a Lintian profile or extending an existing one. DescriptionThe basics of writing a check…

Lintian::Tutorial::TestSuite — Quick intro to running the Lintian testsuite SynopsisWarning: This document may be out of date. This guide will quickly introduce you to running the Lintian test suite and some tricks. The Lintian test suite is fairly large and accordingly it can take a substantial amount of time to run. To speed up development,…

Lintian::Tutorial — The newcomer’s guide to Lintian SynopsisGetting started with lintian in 5 minutes… maybe 10. DescriptionDepending on what you want to work with there are different ways to approach Lintian and its code. • Writing a Lintian check • Running (parts of) the Lintian test suite • Writing new Lintian tests • Understanding Lintian…

Lintian::Tags – Manipulate and output Lintian tags Synopsis my $tags = Lintian::Tags->new; my $proc = Lintian::Processable::Package->new (‘/path/to/file’); $tags->file_start ($proc); $tags->file_overrides (‘/path/to/an/overrides-file’); $tags->tag (‘lintian-tag’, ‘extra tag information’); tag (‘other-lintian-tag’, ‘with some extra data’); tag (‘third-lintian-tag’); # with no extra). my %overrides = $tags->overrides ($proc); my %stats = $tags->statistics; if ($tags->displayed (‘lintian-tag’)) { # do something if…

Lintian::Tag::Standard – standard tag with arguments concatenated by space Synopsis use Lintian::Tag::Standard;DescriptionProvides a standard tag whose arguments are concatenated by a space. Instance Methods