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<div class="title">CallableBonds.cpp</div> </div>
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<p>This examples prices a number of callable bonds and compares the results to known good data. It uses the experimental CallableBond class.</p>
<div class="fragment"><pre class="fragment"><span class="comment">/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */</span>
<span class="comment">/* This example sets up a callable fixed rate bond with a Hull White pricing</span>
<span class="comment"> engine and compares to Bloomberg's Hull White price/yield calculations.</span>
<span class="comment">*/</span>
<span class="preprocessor">#ifdef BOOST_MSVC</span>
<span class="preprocessor"></span><span class="comment">/* Uncomment the following lines to unmask floating-point</span>
<span class="comment"> exceptions. Warning: unpredictable results can arise...</span>
<span class="comment"></span>
<span class="comment"> See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481</span>
<span class="comment"> Is there anyone with a definitive word about this?</span>
<span class="comment">*/</span>
<span class="comment">// #include <float.h></span>
<span class="comment">// namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); }</span>
<span class="preprocessor">#endif</span>
<span class="preprocessor"></span>
<span class="preprocessor">#include <ql/quantlib.hpp></span>
<span class="preprocessor">#include <vector></span>
<span class="preprocessor">#include <cmath></span>
<span class="preprocessor">#include <iomanip></span>
<span class="preprocessor">#include <iostream></span>
<span class="preprocessor">#include <boost/timer.hpp></span>
<span class="keyword">using namespace </span>std;
<span class="keyword">using namespace </span>QuantLib;
<span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span>
<span class="preprocessor"></span><span class="keyword">namespace </span>QuantLib {
<a name="a0"></a><a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> sessionId() { <span class="keywordflow">return</span> 0; }
}
<span class="preprocessor">#endif</span>
<span class="preprocessor"></span>
boost::shared_ptr<YieldTermStructure>
flatRate(<span class="keyword">const</span> <a name="_a1"></a><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>& today,
<span class="keyword">const</span> boost::shared_ptr<Quote>& forward,
<span class="keyword">const</span> <a name="_a2"></a><a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a>& dc,
<span class="keyword">const</span> Compounding& compounding,
<span class="keyword">const</span> <a class="code" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a>& frequency) {
<span class="keywordflow">return</span> boost::shared_ptr<YieldTermStructure>(
<span class="keyword">new</span> <a name="_a3"></a><a class="code" href="class_quant_lib_1_1_flat_forward.html" title="Flat interest-rate curve.">FlatForward</a>(today,
<a name="_a4"></a><a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(forward),
dc,
compounding,
frequency));
}
boost::shared_ptr<YieldTermStructure>
flatRate(<span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>& today,
<a name="a5"></a><a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> forward,
<span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a>& dc,
<span class="keyword">const</span> Compounding &compounding,
<span class="keyword">const</span> <a class="code" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> &frequency) {
<span class="keywordflow">return</span> flatRate(today,
boost::shared_ptr<Quote>(<span class="keyword">new</span> <a name="_a6"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(forward)),
dc,
compounding,
frequency);
}
<span class="keywordtype">int</span> main(<span class="keywordtype">int</span>, <span class="keywordtype">char</span>* [])
{
<span class="keywordflow">try</span> {
boost::timer timer;
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> today = <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(16,October,2007);
Settings::instance().evaluationDate() = today;
cout << endl;
cout << <span class="stringliteral">"Pricing a callable fixed rate bond using"</span> << endl;
cout << <span class="stringliteral">"Hull White model w/ reversion parameter = 0.03"</span> << endl;
cout << <span class="stringliteral">"BAC4.65 09/15/12 ISIN: US06060WBJ36"</span> << endl;
cout << <span class="stringliteral">"roughly five year tenor, "</span>;
cout << <span class="stringliteral">"quarterly coupon and call dates"</span> << endl;
cout << <span class="stringliteral">"reference date is : "</span> << today << endl << endl;
<span class="comment">/* Bloomberg OAS1: "N" model (Hull White)</span>
<span class="comment"> varying volatility parameter</span>
<span class="comment"></span>
<span class="comment"> The curve entered into Bloomberg OAS1 is a flat curve,</span>
<span class="comment"> at constant yield = 5.5%, semiannual compounding.</span>
<span class="comment"> Assume here OAS1 curve uses an ACT/ACT day counter,</span>
<span class="comment"> as documented in PFC1 as a "default" in the latter case.</span>
<span class="comment"> */</span>
<span class="comment">// set up a flat curve corresponding to Bloomberg flat curve</span>
<a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> bbCurveRate = 0.055;
<a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> bbDayCounter = <a name="_a7"></a><a class="code" href="class_quant_lib_1_1_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::Bond);
<a name="_a8"></a><a class="code" href="class_quant_lib_1_1_interest_rate.html" title="Concrete interest rate class.">InterestRate</a> bbIR(bbCurveRate,bbDayCounter,Compounded,<a name="a9"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaad1a5868a1c314bb7f6ab68e2fa182b2d" title="twice a year">Semiannual</a>);
<a name="_a10"></a><a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> termStructure(flatRate(today,
bbIR.rate(),
bbIR.dayCounter(),
bbIR.compounding(),
bbIR.frequency()));
<span class="comment">// set up the call schedule</span>
CallabilitySchedule callSchedule;
<a name="a11"></a><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> callPrice = 100.;
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> numberOfCallDates = 24;
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> callDate = <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(15,September,2006);
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i< numberOfCallDates; i++) {
<a name="_a12"></a><a class="code" href="class_quant_lib_1_1_calendar.html" title="calendar class">Calendar</a> nullCalendar = <a name="_a13"></a><a class="code" href="class_quant_lib_1_1_null_calendar.html" title="Calendar for reproducing theoretical calculations.">NullCalendar</a>();
<a name="_a14"></a><a class="code" href="class_quant_lib_1_1_callability_1_1_price.html" title="amount to be paid upon callability">Callability::Price</a> myPrice(callPrice,
Callability::Price::Clean);
callSchedule.push_back(
boost::shared_ptr<Callability>(
<span class="keyword">new</span> <a name="_a15"></a><a class="code" href="class_quant_lib_1_1_callability.html" title="instrument callability">Callability</a>(myPrice,
Callability::Call,
callDate )));
callDate = nullCalendar.<a name="a16"></a><a class="code" href="class_quant_lib_1_1_calendar.html#ac47bb82bf7b147cfacf373991c2905ea">advance</a>(callDate, 3, Months);
}
<span class="comment">// set up the callable bond</span>
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> dated = <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(16,September,2004);
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> issue = dated;
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> maturity = <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(15,September,2012);
<a name="a17"></a><a class="code" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a" title="positive integer">Natural</a> settlementDays = 3; <span class="comment">// Bloomberg OAS1 settle is Oct 19, 2007</span>
<a class="code" href="class_quant_lib_1_1_calendar.html" title="calendar class">Calendar</a> bondCalendar = <a name="_a18"></a><a class="code" href="class_quant_lib_1_1_united_states.html" title="United States calendars.">UnitedStates</a>(UnitedStates::GovernmentBond);
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> coupon = .0465;
<a class="code" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> frequency = <a name="a19"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>;
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> redemption = 100.0;
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> faceAmount = 100.0;
<span class="comment">/* The 30/360 day counter Bloomberg uses for this bond cannot</span>
<span class="comment"> reproduce the US Bond/ISMA (constant) cashflows used in PFC1.</span>
<span class="comment"> Therefore use ActAct(Bond)</span>
<span class="comment"> */</span>
<a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> bondDayCounter = <a class="code" href="class_quant_lib_1_1_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::Bond);
<span class="comment">// PFC1 shows no indication dates are being adjusted</span>
<span class="comment">// for weekends/holidays for vanilla bonds</span>
<a class="code" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> accrualConvention = <a name="a20"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>;
<a class="code" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> paymentConvention = <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>;
<a name="_a21"></a><a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> sch(dated, maturity, <a name="_a22"></a><a class="code" href="class_quant_lib_1_1_period.html">Period</a>(frequency), bondCalendar,
accrualConvention, accrualConvention,
DateGeneration::Backward, <span class="keyword">false</span>);
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> maxIterations = 1000;
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> accuracy = 1e-8;
<a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> gridIntervals = 40;
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> reversionParameter = .03;
<span class="comment">// output price/yield results for varying volatility parameter</span>
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> sigma = <a name="a23"></a><a class="code" href="group__limit_macros.html#ga4f2e6bcf6b19224bce1a5a6234286c17">QL_EPSILON</a>; <span class="comment">// core dumps if zero on Cygwin</span>
boost::shared_ptr<ShortRateModel> hw0(
<span class="keyword">new</span> <a name="_a24"></a><a class="code" href="class_quant_lib_1_1_hull_white.html" title="Single-factor Hull-White (extended Vasicek) model class.">HullWhite</a>(termStructure,reversionParameter,sigma));
boost::shared_ptr<PricingEngine> engine0(
<span class="keyword">new</span> <a name="_a25"></a><a class="code" href="class_quant_lib_1_1_tree_callable_fixed_rate_bond_engine.html" title="Numerical lattice engine for callable fixed rate bonds.">TreeCallableFixedRateBondEngine</a>(hw0,gridIntervals));
<a name="_a26"></a><a class="code" href="class_quant_lib_1_1_callable_fixed_rate_bond.html" title="callable/puttable fixed rate bond">CallableFixedRateBond</a> callableBond(settlementDays, faceAmount, sch,
vector<Rate>(1, coupon),
bondDayCounter, paymentConvention,
redemption, issue, callSchedule);
callableBond.setPricingEngine(engine0);
cout << setprecision(2)
<< showpoint
<< fixed
<< <span class="stringliteral">"sigma/vol (%) = "</span>
<< 100.*sigma
<< endl;
cout << <span class="stringliteral">"QuantLib price/yld (%) "</span>;
cout << callableBond.cleanPrice() << <span class="stringliteral">" / "</span>
<< 100. * callableBond.yield(bondDayCounter,
Compounded,
frequency,
accuracy,
maxIterations)
<< endl;
cout << <span class="stringliteral">"Bloomberg price/yld (%) "</span>;
cout << <span class="stringliteral">"96.50 / 5.47"</span>
<< endl
<< endl;
sigma = .01;
cout << <span class="stringliteral">"sigma/vol (%) = "</span> << 100.*sigma << endl;
boost::shared_ptr<ShortRateModel> hw1(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_hull_white.html" title="Single-factor Hull-White (extended Vasicek) model class.">HullWhite</a>(termStructure,reversionParameter,sigma));
boost::shared_ptr<PricingEngine> engine1(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_callable_fixed_rate_bond_engine.html" title="Numerical lattice engine for callable fixed rate bonds.">TreeCallableFixedRateBondEngine</a>(hw1,gridIntervals));
callableBond.setPricingEngine(engine1);
cout << <span class="stringliteral">"QuantLib price/yld (%) "</span>;
cout << callableBond.cleanPrice() << <span class="stringliteral">" / "</span>
<< 100.* callableBond.yield(bondDayCounter,
Compounded,
frequency,
accuracy,
maxIterations)
<< endl;
cout << <span class="stringliteral">"Bloomberg price/yld (%) "</span>;
cout << <span class="stringliteral">"95.68 / 5.66"</span>
<< endl
<< endl;
sigma = .03;
boost::shared_ptr<ShortRateModel> hw2(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_hull_white.html" title="Single-factor Hull-White (extended Vasicek) model class.">HullWhite</a>(termStructure, reversionParameter, sigma));
boost::shared_ptr<PricingEngine> engine2(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_callable_fixed_rate_bond_engine.html" title="Numerical lattice engine for callable fixed rate bonds.">TreeCallableFixedRateBondEngine</a>(hw2,gridIntervals));
callableBond.setPricingEngine(engine2);
cout << <span class="stringliteral">"sigma/vol (%) = "</span>
<< 100.*sigma
<< endl;
cout << <span class="stringliteral">"QuantLib price/yld (%) "</span>;
cout << callableBond.cleanPrice() << <span class="stringliteral">" / "</span>
<< 100. * callableBond.yield(bondDayCounter,
Compounded,
frequency,
accuracy,
maxIterations)
<< endl;
cout << <span class="stringliteral">"Bloomberg price/yld (%) "</span>;
cout << <span class="stringliteral">"92.34 / 6.49"</span>
<< endl
<< endl;
sigma = .06;
boost::shared_ptr<ShortRateModel> hw3(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_hull_white.html" title="Single-factor Hull-White (extended Vasicek) model class.">HullWhite</a>(termStructure, reversionParameter, sigma));
boost::shared_ptr<PricingEngine> engine3(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_callable_fixed_rate_bond_engine.html" title="Numerical lattice engine for callable fixed rate bonds.">TreeCallableFixedRateBondEngine</a>(hw3,gridIntervals));
callableBond.setPricingEngine(engine3);
cout << <span class="stringliteral">"sigma/vol (%) = "</span>
<< 100.*sigma
<< endl;
cout << <span class="stringliteral">"QuantLib price/yld (%) "</span>;
cout << callableBond.cleanPrice() << <span class="stringliteral">" / "</span>
<< 100. * callableBond.yield(bondDayCounter,
Compounded,
frequency,
accuracy,
maxIterations)
<< endl;
cout << <span class="stringliteral">"Bloomberg price/yld (%) "</span>;
cout << <span class="stringliteral">"87.16 / 7.83"</span>
<< endl
<< endl;
sigma = .12;
boost::shared_ptr<ShortRateModel> hw4(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_hull_white.html" title="Single-factor Hull-White (extended Vasicek) model class.">HullWhite</a>(termStructure, reversionParameter, sigma));
boost::shared_ptr<PricingEngine> engine4(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_callable_fixed_rate_bond_engine.html" title="Numerical lattice engine for callable fixed rate bonds.">TreeCallableFixedRateBondEngine</a>(hw4,gridIntervals));
callableBond.setPricingEngine(engine4);
cout << <span class="stringliteral">"sigma/vol (%) = "</span>
<< 100.*sigma
<< endl;
cout << <span class="stringliteral">"QuantLib price/yld (%) "</span>;
cout << callableBond.cleanPrice() << <span class="stringliteral">" / "</span>
<< 100.* callableBond.yield(bondDayCounter,
Compounded,
frequency,
accuracy,
maxIterations)
<< endl;
cout << <span class="stringliteral">"Bloomberg price/yld (%) "</span>;
cout << <span class="stringliteral">"77.31 / 10.65"</span>
<< endl
<< endl;
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> seconds = timer.elapsed();
<a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> hours = int(seconds/3600);
seconds -= hours * 3600;
<a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> minutes = int(seconds/60);
seconds -= minutes * 60;
cout << <span class="stringliteral">" \nRun completed in "</span>;
<span class="keywordflow">if</span> (hours > 0)
cout << hours << <span class="stringliteral">" h "</span>;
<span class="keywordflow">if</span> (hours > 0 || minutes > 0)
cout << minutes << <span class="stringliteral">" m "</span>;
cout << fixed << setprecision(0)
<< seconds << <span class="stringliteral">" s\n"</span> << endl;
<span class="keywordflow">return</span> 0;
} <span class="keywordflow">catch</span> (std::exception& e) {
std::cerr << e.what() << std::endl;
<span class="keywordflow">return</span> 1;
} <span class="keywordflow">catch</span> (...) {
std::cerr << <span class="stringliteral">"unknown error"</span> << std::endl;
<span class="keywordflow">return</span> 1;
}
}
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