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types.h File Reference

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Classes

struct  cachedval

Defines

#define TN_INTEGER   int
#define TN_LONG_INTEGER   long
#define TN_REAL   double
#define TN_INFINITY   9999

Typedefs

typedef short TN_INTEGER ShortInteger
typedef unsigned short TN_INTEGER ShortNatural
typedef TN_INTEGER Integer
typedef unsigned TN_INTEGER Natural
typedef TN_LONG_INTEGER LongInteger
typedef unsigned TN_LONG_INTEGER LongNatural
typedef TN_REAL Real
typedef long long VeryLongInteger
typedef unsigned long long VeryLongNatural

Enumerations

enum  Currency { USD = 1, EUR = 2, CAD = 3 }


Define Documentation

#define TN_INFINITY   9999
 

Definition at line 9 of file types.h.

Referenced by mergeunique().

#define TN_INTEGER   int
 

Definition at line 6 of file types.h.

#define TN_LONG_INTEGER   long
 

Definition at line 7 of file types.h.

#define TN_REAL   double
 

Definition at line 8 of file types.h.

Referenced by Date::dayCount(), and bond::fairvalue().


Typedef Documentation

typedef TN_INTEGER Integer
 

Definition at line 14 of file types.h.

Referenced by Date::advance(), volsurface::forwardvolsurface(), bond::getCashflow(), interpolator::getInterpolation(), interpolator::getPlace(), interpolator::getPlaceOnXi(), VarianceSwap::getPrice(), Portfolio::getPrice(), Exotics::getTheta(), inputBond(), inputBSOption(), inputButterflySpread(), inputCallSpread(), inputConvertibleBond(), inputPutSpread(), inputRatioCallSpread(), inputStraddle(), inputStrangle(), inputVanillaSwap(), interpolator::interpolate(), interpolatormain(), maininterpolator(), mainmc(), Date::month(), Date::monthLength(), Date::monthOffset(), Date::plus(), Date::plusDays(), Date::plusMonths(), Date::plusWeeks(), Date::plusYears(), Portfolio::returnSensibilityToRate(), Portfolio::returnSensibilityToTime(), Portfolio::returnSensibilityToVol(), binomialTree::runEngineCall(), binomialTree::runEngineConvertibleBond(), volsurface::shiftedvolsurface(), Sobol::sobseq(), SwapLeg::SwapLeg(), and Date::weekday().

typedef TN_LONG_INTEGER LongInteger
 

Definition at line 16 of file types.h.

Referenced by Date::applyConvention(), Date::Date(), ParkMiller::GetOneRandomInteger(), Drift::GetTimeBtwDates(), Date::maximumSerialNumber(), Date::minimumSerialNumber(), Date::operator+(), Date::operator++(), Date::operator+=(), Date::operator-(), Date::operator--(), Date::operator-=(), SwapLeg::returnSize(), Date::serialNumber(), Sobol::sobseq(), SwapLeg::SwapLeg(), and Date::yearOffset().

typedef unsigned TN_LONG_INTEGER LongNatural
 

Definition at line 17 of file types.h.

Referenced by PayOff::AsianCall(), PayOff::AsianPut(), Average(), PayOff::BarrierCall(), PayOff::BarrierPut(), GaussianProcess::BuildPath(), Drift::Drift(), Exotics::Exotics(), GaussianProcess::GaussianProcess(), Random::GetDimensionality(), Drift::GetDriftattimei(), Random::GetGaussians(), Sobol::GetOneRandomInteger(), RandC::GetOneRandomInteger(), ParkMiller::GetOneRandomInteger(), MersenneTwister::GetOneRandomInteger(), RainbowOption::getPrice(), GaussianProcess::GetStepIncrements(), Drift::GetTimeBtwDates(), Random::GetUniforms(), inputExoticOptionOnSingleAsset(), mainbinomialtree(), mainmc(), mainmontecarlo(), mainoption(), Maximize(), MCEngine::MCEngine(), MersenneTwister::MersenneTwister(), Sobol::Min(), RandC::Min(), ParkMiller::Min(), MersenneTwister::Min(), ParkMiller::ParkMiller(), RainbowOption::PriceByMc_2AssetsBasketMax(), RainbowOption::PriceByMc_2SpreadOptionMax(), RainbowOption::PriceByMc_BestOf2AssetsCash(), RainbowOption::PriceByMc_BetterOf2Assets(), RainbowOption::PriceByMc_Max2AssetsCall(), RainbowOption::PriceByMc_Max2AssetsPut(), RainbowOption::PriceByMc_Min2AssetsCall(), RainbowOption::PriceByMc_Min2AssetsPut(), RainbowOption::PriceByMc_WorseOf2Assets(), RainbowOption::PriceByMc_WorstOf2AssetsCash(), RainbowOption::RainbowOption(), RandC::RandC(), Random::Random(), RandomGenerator::RandomGenerator(), Random::ResetDimensionality(), PayOff::RevLookbackCall(), PayOff::RevLookbackPut(), MCEngine::RunEngineAsianCall(), MCEngine::RunEngineAsianPut(), MCEngine::RunEngineBarrierCall(), MCEngine::RunEngineBarrierPut(), MCEngine::RunEngineCall(), MCEngine::RunEngineCappedCliquet(), MCEngine::RunEngineFlooredCliquet(), MCEngine::RunEnginePut(), MCEngine::RunEngineRainbow2AssetsBasketMax(), MCEngine::RunEngineRainbow2SpreadOptionMax(), MCEngine::RunEngineRainbowBestOf2AssetsCash(), MCEngine::RunEngineRainbowMax2AssetsCall(), MCEngine::RunEngineRainbowMax2AssetsPut(), MCEngine::RunEngineRainbowMin2AssetsCall(), MCEngine::RunEngineRainbowMin2AssetsPut(), MCEngine::RunEngineRainbowWorstOf2AssetsCash(), MCEngine::RunEngineRevLookbackCall(), MCEngine::RunEngineRevLookbackPut(), Sobol::SetSeed(), RandomGenerator::SetSeed(), Random::SetSeed(), RandC::SetSeed(), ParkMiller::SetSeed(), MersenneTwister::SetSeed(), Random::Skip(), Sobol::Sobol(), and Sobol::sobseq().

typedef unsigned TN_INTEGER Natural
 

Definition at line 15 of file types.h.

Referenced by yieldCurve::assignFlatRate(), creditCurve::assignFlatSpread(), yieldCurve::assignZCBrateAtIndex(), binomialTree::binomialTree(), FileReader::buildCreditSpreadPointArray(), FileReader::buildVolSurfaceParams(), FileReader::buildYieldPointArray(), CashFlow::CashFlow(), choiceToType(), choosePricingType(), chooseRainbowType(), creditCurve::combineUnderlyingAndSpreads(), yieldCurve::computeZCBRatesBootstrap(), binomialTree::constructStockProcess(), convertiblebond::convertiblebond(), bond::convexity(), creditCurve::createSpreadCurve(), CumulativeBivariateNormal(), creditCurve::defaultProbability(), importData::displayFileFormatsMenu(), Drift::Drift(), bond::duration(), bond::fairvalue(), asset::forwardPrice(), yieldCurve::forwardZCBCurve(), GaussianProcess::GaussianProcess(), bond::getCashflow(), binomialTree::getClaimProcess(), RainbowOption::getCorrelRisk(), RainbowOption::getDelta(), CashFlow::getFairValue(), RainbowOption::getGamma(), yieldCurve::getMaturitiesInTheMarketCurve(), yieldCurve::getMaturitiesInTheZCBCurve(), RainbowOption::getPartialDelta(), RainbowOption::getPartialGamma(), RainbowOption::getPartialVega(), yieldCurve::getPointAtMaturity(), VarianceSwap::getPrice(), binomialTree::getRate(), yieldCurve::getSequentSwapRates(), convertiblebond::getSteps(), binomialTree::getSteps(), binomialTree::getStockProcess(), yieldCurve::getSwapRates(), Drift::GetvDates(), Drift::GetvDrift(), RainbowOption::getVega(), creditCurve::indexOfCurrentSpread(), creditCurve::indexOfPreviousSpread(), inputBond(), inputBSOption(), inputButterflySpread(), inputConvertibleBond(), inputExoticOptionOnSingleAsset(), inputOptionStrategy(), inputRainbowOption(), inputSpecificOptionStrategy(), inputVanillaSwap(), RainbowOption::instanciateMCVariables(), main(), mainasset(), mainbinomialtree(), mainconvertiblebond(), maincreditcurve(), mainmatrix(), maintests(), mainvarianceswap(), mainyieldcurve(), mergeunique(), operator<<(), yieldCurve::operator==(), CSVParser::operator>>(), productsCreationMenu(), riskybond::quotedPrice(), bond::quotedPrice(), RainbowOption::reassignVolsAtThemoney(), RainbowOption::reassignVolsAtThestrike(), creditCurve::resampleSpread(), OptionStrategy::returnNbOptions(), OptionStrategy::returnOption(), OptionStrategy::returnOptionQuantity(), yieldCurve::rotateZCBRateCurve(), binomialTree::runEngineCall(), binomialTree::runEngineConvertibleBond(), MCEngine::RunEngineGeneral(), MCEngine::RunEngineRainbow2AssetsBasketMax(), MCEngine::RunEngineRainbow2SpreadOptionMax(), MCEngine::RunEngineRainbowBestOf2AssetsCash(), MCEngine::RunEngineRainbowMax2AssetsCall(), MCEngine::RunEngineRainbowMax2AssetsPut(), MCEngine::RunEngineRainbowMin2AssetsCall(), MCEngine::RunEngineRainbowMin2AssetsPut(), MCEngine::RunEngineRainbowWorstOf2AssetsCash(), importData::runInterface(), yieldCurve::SequentDiscountFactorsByInvertSwapMatrix(), binomialTree::setClaimVariables(), yieldCurve::shiftZCBRateCurve(), Sobol::sobseq(), yieldCurve::sortCashSwap(), yieldCurve::sortMarketRatesByMaturity(), yieldCurve::spotRate(), creditCurve::survivalProbability(), creditCurve::swapFees(), SwapLeg::SwapLeg(), transform1DvalarrayToColumnMatrix(), transform2DvalarrayToMatrix(), transformColumnMatrixTo1Dvalarray(), transformMatrixTo2Dvalarray(), valarrayRealToString(), and bond::yieldToMaturity().

typedef TN_REAL Real
 

Definition at line 18 of file types.h.

Referenced by absolute(), Portfolio::addAsset(), Portfolio::addBond(), Portfolio::addExoticOption(), OptionStrategy::addLongButterflySpread(), OptionStrategy::addLongCallSpread(), OptionStrategy::addLongPutSpread(), OptionStrategy::addLongRatioCallSpread(), OptionStrategy::addLongStraddle(), OptionStrategy::addLongStrangle(), OptionStrategy::addOneBlackScholesObject(), OptionStrategy::addOneOptionToStrategy(), Portfolio::addRainbowOption(), Portfolio::addVanillaSwap(), Portfolio::addVarianceSwap(), convertiblebond::adjustedConversionRatio(), PayOff::AsianCall(), PayOff::AsianPut(), asset::asset(), yieldCurve::assignFlatRate(), creditCurve::assignFlatSpread(), yieldCurve::assignZCBrateAtIndex(), Average(), PayOff::BarrierCall(), PayOff::BarrierPut(), binomialTree::binomialTree(), BlackScholes::BlackScholes(), bond::bond(), GaussianProcess::BuildPath(), GaussianProcess::BuildTerminalPoint(), PayOff::Call(), PayOff::CappedCliquet(), CashFlow::CashFlow(), OptionStrategy::changeMaturity(), BlackScholes::changeMaturity(), OptionStrategy::changeRate(), BlackScholes::changeRate(), OptionStrategy::changeSpot(), BlackScholes::changeSpot(), OptionStrategy::changeStrike(), BlackScholes::changeStrike(), OptionStrategy::changeVol(), BlackScholes::changeVol(), Matrix::CholeskyDecomposition(), RainbowOption::compute_A(), RainbowOption::compute_B(), RainbowOption::compute_C(), RainbowOption::compute_d1(), RainbowOption::compute_d2(), RainbowOption::compute_d3(), RainbowOption::compute_d4(), RainbowOption::compute_rho1(), RainbowOption::compute_rho2(), RainbowOption::compute_sigmaA(), yieldCurve::computeZCBRatesBootstrap(), PayOff::Convertible(), convertiblebond::convertiblebond(), bond::convexity(), creditCurve::creditCurve(), creditCurve::creditSpread(), CreditSpreadPoint::CreditSpreadPoint(), CumulativeBivariateNormal(), creditCurve::cumulativeDefaultProbability(), CumulativeNormal(), Date::dayCount(), creditCurve::defaultProbability(), convertiblebond::delta(), yieldCurve::discountFactor(), creditCurve::discountFactor(), Drift::Drift(), bond::duration(), Exotics::Exotics(), convertiblebond::fairvalue(), bond::fairvalue(), PayOff::FlooredCliquet(), flowSchedule::flowSchedule(), yieldCurve::forwardDiscountFactor(), asset::forwardPrice(), yieldCurve::forwardRate(), creditCurve::forwardRate(), volsurface::forwardVolatility(), yieldCurve::forwardZCBCurve(), convertiblebond::gamma(), GaussianProcess::GaussianProcess(), flowSchedule::getAmount(), bond::getCashflow(), RainbowOption::getCorrelRisk(), RainbowOption::getDelta(), Exotics::getDelta(), BlackScholes::getDelta(), asset::getDelta(), Drift::GetDriftattimei(), bond::getFaceAmount(), CashFlow::getFairValue(), VanillaSwap::getFairValue1(), VanillaSwap::getFairValue2(), RainbowOption::getGamma(), BlackScholes::getGamma(), Random::GetGaussian(), Random::GetGaussians(), OptionStrategy::getGlobalDelta(), OptionStrategy::getGlobalGamma(), OptionStrategy::getGlobalRho(), OptionStrategy::getGlobalTheta(), OptionStrategy::getGlobalVega(), interpolator::getInterpolation(), yieldPoint::getMaturity(), CreditSpreadPoint::getMaturity(), BlackScholes::getMaturity(), binomialTree::getMaturity(), bond::getMaturityInYears(), RainbowOption::getPartialDelta(), RainbowOption::getPartialGamma(), RainbowOption::getPartialVega(), interpolator::getPlace(), interpolator::getPlaceOnXi(), yieldCurve::getPointAtMaturity(), VarianceSwap::getPrice(), RainbowOption::getPrice(), Portfolio::getPrice(), Exotics::getPrice(), BlackScholes::getPrice(), asset::getPrice(), yieldPoint::getRate(), CreditSpreadPoint::getRate(), BlackScholes::getRate(), binomialTree::getRate(), asset::getRate(), creditCurve::getRecoveryRate(), VarianceSwap::getRho(), VanillaSwap::getRho(), RainbowOption::getRho(), Exotics::getRho(), BlackScholes::getRho(), asset::getRho(), yieldCurve::getSequentSwapRates(), binomialTree::getSigma(), binomialTree::getSo(), BlackScholes::getSpot(), BlackScholes::getStrike(), VarianceSwap::getTheta(), VanillaSwap::getTheta(), RainbowOption::getTheta(), Exotics::getTheta(), BlackScholes::getTheta(), Sobol::getUniform(), RandomGenerator::getUniform(), Random::GetUniform(), RandC::getUniform(), ParkMiller::getUniform(), MersenneTwister::getUniform(), VarianceSwap::getVega(), RainbowOption::getVega(), Exotics::getVega(), BlackScholes::getVega(), BlackScholes::getVolatility(), asset::GetVolatility(), creditCurve::hazardRate(), importData::importVolSurface(), creditCurve::indexOfCurrentSpread(), creditCurve::indexOfPreviousSpread(), inputBond(), inputBSOption(), inputButterflySpread(), inputCallSpread(), inputConvertibleBond(), inputExoticOptionOnSingleAsset(), inputOptionStrategy(), inputPutSpread(), inputRainbowOption(), inputRatioCallSpread(), inputStraddle(), inputStrangle(), inputVanillaSwap(), convertiblebond::interestRateDelta(), interpolator::interpolate(), interpolatormain(), InverseCumulativeNormal(), volsurface::invertBSformula(), mainasset(), mainbinomialtree(), mainbond(), mainconvertiblebond(), maincreditcurve(), maininterpolator(), mainIRVanillaSwap(), mainmc(), mainmontecarlo(), mainrainbowoptions(), mainvarianceswap(), mainvolsurface(), mainyieldcurve(), Maximize(), MCEngine::MCEngine(), MCEngine::MCResult(), mergeunique(), NormalDensity(), PayOff::operator()(), yieldCurve::operator==(), convertiblebond::parity(), convertiblebond::parityDelta(), convertiblebond::parityGamma(), PayOff::PayOff(), asset::Price(), RainbowOption::PriceByClosedForm_BestOf2_plusCash(), RainbowOption::PriceByClosedForm_BetterOf2(), RainbowOption::PriceByClosedForm_MaxOf2_call(), RainbowOption::PriceByClosedForm_MaxOf2_put(), RainbowOption::PriceByClosedForm_MinOf2_call(), RainbowOption::PriceByClosedForm_MinOf2_put(), RainbowOption::PriceByClosedForm_WorseOf2(), RainbowOption::PriceByMc_2AssetsBasketMax(), RainbowOption::PriceByMc_2SpreadOptionMax(), RainbowOption::PriceByMc_BestOf2AssetsCash(), RainbowOption::PriceByMc_BetterOf2Assets(), RainbowOption::PriceByMc_Max2AssetsCall(), RainbowOption::PriceByMc_Max2AssetsPut(), RainbowOption::PriceByMc_Min2AssetsCall(), RainbowOption::PriceByMc_Min2AssetsPut(), RainbowOption::PriceByMc_WorseOf2Assets(), RainbowOption::PriceByMc_WorstOf2AssetsCash(), PayOff::Put(), riskybond::quotedPrice(), bond::quotedPrice(), PayOff::Rainbow2AssetsBasketMax(), PayOff::Rainbow2SpreadOptionMax(), PayOff::RainbowBestOf2AssetsCash(), PayOff::RainbowMax2AssetsCall(), PayOff::RainbowMax2AssetsPut(), PayOff::RainbowMin2AssetsCall(), PayOff::RainbowMin2AssetsPut(), RainbowOption::RainbowOption(), PayOff::RainbowWorstOf2AssetsCash(), realsEqual(), OptionStrategy::recalcPrice(), OptionStrategy::returnOptionQuantity(), VanillaSwap::returnPrice(), OptionStrategy::returnPrice(), Portfolio::returnSensibilityToRate(), Portfolio::returnSensibilityToTime(), Portfolio::returnSensibilityToVol(), PayOff::RevLookbackCall(), PayOff::RevLookbackPut(), convertiblebond::rho(), riskybond::rho(), treasurybond::rho(), riskybond::riskybond(), creditCurve::riskyDiscountFactor(), yieldCurve::rotateZCBRateCurve(), binomialTree::runEngineConvertibleBond(), MCEngine::RunEngineRainbow2AssetsBasketMax(), MCEngine::RunEngineRainbow2SpreadOptionMax(), MCEngine::RunEngineRainbowBestOf2AssetsCash(), MCEngine::RunEngineRainbowMax2AssetsCall(), MCEngine::RunEngineRainbowMax2AssetsPut(), MCEngine::RunEngineRainbowMin2AssetsCall(), MCEngine::RunEngineRainbowMin2AssetsPut(), MCEngine::RunEngineRainbowWorstOf2AssetsCash(), importData::runUserDefinedInterface(), flowSchedule::setAmount(), binomialTree::setClaimVariables(), asset::setDivAsRate(), yieldPoint::setMaturity(), CreditSpreadPoint::setMaturity(), asset::setPrice(), yieldPoint::setRate(), CreditSpreadPoint::setRate(), PayOff::SetStrike(), asset::setVolatility(), volsurface::setvolsurface(), riskybond::shiftedbond(), treasurybond::shiftedbond(), convertiblebond::shiftedcbond(), volsurface::shiftedvolsurface(), volsurface::shiftedYCvolsurface(), yieldCurve::shiftZCBRateCurve(), sign(), Sobol::sobseq(), yieldCurve::sortMarketRatesByMaturity(), yieldCurve::spotRate(), creditCurve::spotRate(), SubFunctionForBivariateNormal(), creditCurve::survivalProbability(), creditCurve::swapFees(), SwapLeg::SwapLeg(), creditCurve::timeOfCurrentSpread(), creditCurve::timeOfPreviousSpread(), treasurybond::treasurybond(), volsurface::variance(), VarianceSwap::VarianceSwap(), volsurface::volatility(), volsurface::volsurface(), yieldCurve::yieldCurve(), yieldPoint::yieldPoint(), and bond::yieldToMaturity().

typedef short TN_INTEGER ShortInteger
 

Definition at line 12 of file types.h.

Referenced by Date::nthWeekday().

typedef unsigned short TN_INTEGER ShortNatural
 

Definition at line 13 of file types.h.

Referenced by Date::Date(), maintests(), and VanillaSwap::VanillaSwap().

typedef long long VeryLongInteger
 

Definition at line 19 of file types.h.

typedef unsigned long long VeryLongNatural
 

Definition at line 20 of file types.h.

Referenced by Sobol::Max(), RandC::Max(), ParkMiller::Max(), and MersenneTwister::Max().


Enumeration Type Documentation

enum Currency
 

Enumeration values:
USD 
EUR 
CAD 

Definition at line 22 of file types.h.

Referenced by Portfolio::getCurrency(), creditCurve::getCurrency(), and asset::GetCurrencyFormat().


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