Section 3: library functions
Smokeping::matchers::CheckLoss – Edge triggered alert to check loss is under a value for x number of samples DescriptionCall the matcher with the following sequence: type = matcher edgetrigger = yes pattern = CheckLoss(l=>loss to check against,x=>num samples required for a match)This will create a matcher which checks for “l” loss or greater over “x” samples…
Smokeping::matchers::CheckLatency – Edge triggered alert to check latency is under a value for x number of samples DescriptionCall the matcher with the following sequence: type = matcher edgetrigger = yes pattern = CheckLatency(l=>latency to check against,x=>num samples required for a match)This will create a matcher which checks for “l” latency or greater over “x” samples…
Smokeping::matchers::Avgratio – detect changes in average median latency OverviewThe Avgratio matcher establishes a historic average median latency over several measurement rounds. It compares this average, against a second average latency value again build over several rounds of measurement. DescriptionCall the matcher with the following sequence: type = matcher pattern = Avgratio(historic=>a,current=>b,comparator=>o,percentage=>p)historic The number of median…
ql/termstructures/volatility/smilesection.hpp – Smile section base class. Synopsis #include <ql/patterns/observable.hpp> #include <ql/time/date.hpp> #include <ql/time/daycounters/actual365fixed.hpp> #include <ql/utilities/null.hpp> #include <vector> Classes class SmileSection interest rate volatility smile section Detailed Description Smile section base class. Author Generated automatically by Doxygen for QuantLib from the source code.
Small_Page – Brief Introduction to Small This section describes the basics of Small, as compiled and interpreted with Embryo. For the full documentation, of which this is a summary, see This summary assumes that you are familar with C. For a full list of differences between C and Small, again, see the full documentation. VariablesTypesThere…
QuantLib::Slovakia – Slovak calendars. Synopsis#include <ql/time/calendars/slovakia.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { BSSE } Public Member FunctionsSlovakia (Market m=BSSE) Detailed DescriptionSlovak calendars. Holidays for the Bratislava stock exchange (data from <http://www.bsse.sk/>): * Saturdays * Sundays * New Year’s Day, January 1st * Epiphany, January 6th * Good Friday * Easter Monday * May Day, May…
QuantLib::Basket – Synopsis #include <ql/experimental/credit/basket.hpp> Public Member Functions Basket (const std::vector< std::string > &names, const std::vector< Real > ¬ionals, const boost::shared_ptr< Pool > pool, Real attachmentRatio=0.0, Real detachmentRatio=1.0) Size size () const const std::vector< std::string > & names () const const std::vector< Real > & notionals () const Real notional () boost::shared_ptr< Pool > pool…
QuantLib::Settings – global repository for run-time library settings Synopsis#include <ql/settings.hpp> Inherits Singleton< Settings >. Public Member FunctionsDateProxy & evaluationDate () the date at which pricing is to be performed. const DateProxy & evaluationDate () const bool & enforcesTodaysHistoricFixings () bool enforcesTodaysHistoricFixings () const Friendsclass Singleton< Settings > std::ostream & operator<< (std::ostream &, const DateProxy &)…
QuantLib::IndexManager – global repository for past index fixings Synopsis#include <ql/indexes/indexmanager.hpp> Inherits Singleton< IndexManager >. Public Member Functionsbool hasHistory (const std::string &name) const returns whether historical fixings were stored for the index const TimeSeries< Real > & getHistory (const std::string &name) const returns the (possibly empty) history of the index fixings void setHistory (const std::string &name,…
QuantLib::ExchangeRateManager – exchange-rate repository Synopsis#include <ql/currencies/exchangeratemanager.hpp> Inherits Singleton< ExchangeRateManager >. Public Member Functionsvoid add (const ExchangeRate &, const Date &startDate=Date::minDate(), const Date &endDate=Date::maxDate()) Add an exchange rate. ExchangeRate lookup (const Currency &source, const Currency &target, Date date=Date(), ExchangeRate::Type type=ExchangeRate::Derived) const void clear () remove the added exchange rates Friendsclass Singleton< ExchangeRateManager > Detailed Descriptionexchange-rate repository…
QuantLib::SingleAssetOption – Black-Scholes-Merton option. Synopsis#include <ql/legacy/pricers/singleassetoption.hpp> Inherited by DiscreteGeometricASO. Public Member FunctionsSingleAssetOption (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility) virtual void setVolatility (Volatility newVolatility) virtual void setRiskFreeRate (Rate newRate) virtual void setDividendYield (Rate newDividendYield) virtual Real value () const =0 virtual Real delta () const =0 virtual Real…
QuantLib::Singapore – Singapore calendars Synopsis#include <ql/time/calendars/singapore.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { SGX } Public Member FunctionsSingapore (Market m=SGX) Detailed DescriptionSingapore calendars Holidays for the Singapore exchange (data from <http://www.ses.com.sg>): * Saturdays * Sundays * New Year’s day, January 1st * Good Friday * Labour Day, May 1st * National Day, August 9th * Christmas,…
QuantLib::SimpsonIntegral – Integral of a one-dimensional function. Synopsis#include <ql/math/integrals/simpsonintegral.hpp> Inherits TrapezoidIntegral< Default >. Public Member FunctionsSimpsonIntegral (Real accuracy, Size maxIterations) Protected Member FunctionsReal integrate (const boost::function< Real(Real)> &f, Real a, Real b) const Detailed DescriptionIntegral of a one-dimensional function. Tests the correctness of the result is tested by checking it against known good values.AuthorGenerated automatically…
QuantLib::Simplex – Multi-dimensional simplex class. Synopsis#include <ql/math/optimization/simplex.hpp> Inherits QuantLib::OptimizationMethod. Public Member FunctionsSimplex (Real lambda) virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria) minimize the optimization problem P Detailed DescriptionMulti-dimensional simplex class. Constructor & Destructor DocumentationSimplex (Real lambda)Constructor taking as input the characteristic length AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::SimpleQuote – market element returning a stored value Synopsis#include <ql/quotes/simplequote.hpp> Inherits QuantLib::Quote. Public Member FunctionsSimpleQuote (Real value=Null< Real >()) Quote interface Real value () const returns the current value bool isValid () const returns true if the Quote holds a valid value Modifiers Real setValue (Real value=Null< Real >()) returns the difference between the new…
QuantLib::SimplePolynomialFitting – Simple polynomial fitting method. Synopsis#include <ql/termstructures/yield/nonlinearfittingmethods.hpp> Inherits QuantLib::FittedBondDiscountCurve::FittingMethod. Public Member FunctionsSimplePolynomialFitting (Natural degree, bool constrainAtZero=true) std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const clone of the current object Detailed DescriptionSimple polynomial fitting method. Examples: FittedBondCurve.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::SimpleLocalEstimator – Local-estimator volatility model. Synopsis#include <ql/models/volatility/simplelocalestimator.hpp> Inherits QuantLib::LocalVolatilityEstimator<Real>. Public Member FunctionsSimpleLocalEstimator (Real y) TimeSeries< Volatility > calculate (const TimeSeries< Real > "eSeries) Detailed DescriptionLocal-estimator volatility model. Volatilities are assumed to be expressed on an annual basis. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::SimpleCashFlow – Predetermined cash flow. Synopsis#include <ql/cashflows/simplecashflow.hpp> Inherits QuantLib::CashFlow. Public Member FunctionsSimpleCashFlow (Real amount, const Date &date) Event interface Date date () const CashFlow interface Real amount () const returns the amount of the cash flow Visitability virtual void accept (AcyclicVisitor &) Detailed DescriptionPredetermined cash flow. This cash flow pays a predetermined amount at a…
QuantLib::NthToDefault – N-th to default swap. Synopsis #include <ql/experimental/credit/nthtodefault.hpp> Inherits QuantLib::Instrument. Public Member Functions NthToDefault (Size n, const std::vector< Issuer > &basket, const Handle< OneFactorCopula > &copula, Protection::Side side, Real nominal, const Schedule &premiumSchedule, Rate premiumRate, const DayCounter &dayCounter, bool settlePremiumAccrual, const Handle< YieldTermStructure > &yieldTS, const Period &integrationStepSize, boost::shared_ptr< Claim > claim=boost::shared_ptr< Claim >())…
QuantLib::ShoutCondition – Shout option condition. Synopsis#include <ql/methods/finitedifferences/shoutcondition.hpp> Inherits QuantLib::CurveDependentStepCondition< Array >. Public Member FunctionsShoutCondition (Option::Type type, Real strike, Time resTime, Rate rate) ShoutCondition (const Array &intrinsicValues, Time resTime, Rate rate) void applyTo (Array &a, Time t) const Detailed DescriptionShout option condition. A shout option is an option where the holder has the right to lock…