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QuantLib::Simplex – Multi-dimensional simplex class. Synopsis #include <ql/math/optimization/simplex.hpp> Inherits QuantLib::OptimizationMethod. Public Member Functions Simplex (Real lambda) virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria) minimize the optimization problem P Detailed Description Multi-dimensional simplex class. Constructor & Destructor Documentation Simplex (Real lambda) Constructor taking as input the characteristic length Author Generated automatically by Doxygen for QuantLib…

QuantLib::SimpleQuote – market element returning a stored value Synopsis #include <ql/quotes/simplequote.hpp> Inherits QuantLib::Quote. Public Member Functions SimpleQuote (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…

QuantLib::SimplePolynomialFitting – Simple polynomial fitting method. Synopsis #include <ql/termstructures/yield/nonlinearfittingmethods.hpp> Inherits QuantLib::FittedBondDiscountCurve::FittingMethod. Public Member Functions SimplePolynomialFitting (Natural degree, bool constrainAtZero=true) std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const clone of the current object Detailed Description Simple polynomial fitting method. Examples: FittedBondCurve.cpp. Author Generated 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 Functions SimpleLocalEstimator (Real y) TimeSeries< Volatility > calculate (const TimeSeries< Real > &quoteSeries) Detailed Description Local-estimator volatility model. Volatilities are assumed to be expressed on an annual basis. Author Generated 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 Functions SimpleCashFlow (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 Description Predetermined cash flow. This cash flow pays a predetermined…

NAME 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 Functions ShoutCondition (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 Description Shout option condition. A shout option is an option where the holder has the…

QuantLib::OneFactorModel::ShortRateTree – Recombining trinomial tree discretizing the state variable. Synopsis #include <ql/models/shortrate/onefactormodel.hpp> Inherits TreeLattice1D< OneFactorModel::ShortRateTree >. Public Member Functions ShortRateTree (const boost::shared_ptr< TrinomialTree > &tree, const boost::shared_ptr< ShortRateDynamics > &dynamics, const TimeGrid &timeGrid) Plain tree build-up from short-rate dynamics. ShortRateTree (const boost::shared_ptr< TrinomialTree > &tree, const boost::shared_ptr< ShortRateDynamics > &dynamics, const boost::shared_ptr< TermStructureFittingParameter::NumericalImpl > &phi,…

QuantLib::ShortRateModel – Abstract short-rate model class. Synopsis #include <ql/models/model.hpp> Inherits QuantLib::CalibratedModel. Inherited by OneFactorModel, and TwoFactorModel. Public Member Functions ShortRateModel (Size nArguments) virtual boost::shared_ptr< Lattice > tree (const TimeGrid &) const =0 Detailed Description Abstract short-rate model class. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::OneFactorModel::ShortRateDynamics – Base class describing the short-rate dynamics. Synopsis #include <ql/models/shortrate/onefactormodel.hpp> Inherited by Dynamics, Dynamics, Dynamics, and Dynamics. Public Member Functions ShortRateDynamics (const boost::shared_ptr< StochasticProcess1D > &process) virtual Real variable (Time t, Rate r) const =0 Compute state variable from short rate. virtual Rate shortRate (Time t, Real variable) const =0 Compute short rate from…

Shell — The Shell widget class Synopsis #include <Xm/Xm.h> #include <X11/Shell.h> Description Shell is a top-level widget (with only one managed child) that encapsulates the interaction with the window manager. At the time the shell’s child is managed, the child’s width is used for both widgets if the shell is unrealized and no width has…

QuantLib::Brazil – Brazilian calendar. Synopsis #include <ql/time/calendars/brazil.hpp> Inherits QuantLib::Calendar. Public Types enum Market { Settlement, Exchange } Brazilian calendars. Public Member Functions Brazil (Market market=Settlement) Detailed Description Brazilian calendar. Banking holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Tiradentes’s Day, April 21th * Labour Day, May 1st * Independence Day, September…

AllPlanes, BlackPixel, WhitePixel, ConnectionNumber, DefaultColormap, DefaultDepth, XListDepths, DefaultGC, DefaultRootWindow, DefaultScreenOfDisplay, DefaultScreen, DefaultVisual, DisplayCells, DisplayPlanes, DisplayString, XMaxRequestSize, XExtendedMaxRequestSize, LastKnownRequestProcessed, NextRequest, ProtocolVersion, ProtocolRevision, QLength, RootWindow, ScreenCount, ScreenOfDisplay, ServerVendor, VendorRelease – Display macros and functions Syntax unsigned long AllPlanes; unsigned long BlackPixel(Display *display, int screen_number); unsigned long WhitePixel(Display *display, int screen_number); int ConnectionNumber(Display *display); Colormap DefaultColormap(Display *display, int…

ql/math/statistics/sequencestatistics.hpp – Statistics tools for sequence (vector, list, array) samples. Synopsis #include <ql/math/statistics/statistics.hpp> #include <ql/math/statistics/incrementalstatistics.hpp> #include <ql/math/matrix.hpp> Classes class GenericSequenceStatistics< StatisticsType > Statistics analysis of N-dimensional (sequence) data. Defines #define DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID(METHOD) #define DEFINE_SEQUENCE_STAT_CONST_METHOD_DOUBLE(METHOD) Typedefs typedef GenericSequenceStatistics< Statistics > SequenceStatistics default multi-dimensional statistics tool typedef GenericSequenceStatistics< IncrementalStatistics > SequenceStatisticsInc Detailed Description Statistics tools for sequence (vector,…

Date and time calculations – Classes class DateInterval Date interval described by a number of a given time unit. class PricingPeriod Time pricingperiod described by a number of a given time unit. class Calendar calendar class class Date Concrete date class. struct DateGeneration Date-generation rule. class DayCounter day counter class class Period Modules Calendars Day…

QuantLib::SegmentIntegral – Integral of a one-dimensional function. Synopsis #include <ql/math/integrals/segmentintegral.hpp> Inherits QuantLib::Integrator. Public Member Functions SegmentIntegral (Size intervals) Protected Member Functions virtual Real integrate (const boost::function< Real(Real)> &f, Real a, Real b) const Detailed Description Integral of a one-dimensional function. Given a number $ N $ of intervals, the integral of a function $ f…

QuantLib::Commodity – Commodity base class. Synopsis Commodity (const boost::shared_ptr< SecondaryCosts > &secondaryCosts) const boost::shared_ptr< SecondaryCosts > & secondaryCosts () const const SecondaryCostAmounts & secondaryCostAmounts () const const PricingErrors & pricingErrors () const void addPricingError (PricingError::Level errorLevel, const std::string &error, const std::string &detail=”) const Protected Attributes Inherits QuantLib::Instrument. Inherited by EnergyCommodity. Public Member Functions Commodity (const…

QuantLib::Commodity – Commodity base class. Synopsis Commodity (const boost::shared_ptr< SecondaryCosts > &secondaryCosts) const boost::shared_ptr< SecondaryCosts > & secondaryCosts () const const SecondaryCostAmounts & secondaryCostAmounts () const const PricingErrors & pricingErrors () const void addPricingError (PricingError::Level errorLevel, const std::string &error, const std::string &detail=”) const Protected Attributes Inherits QuantLib::Instrument. Inherited by EnergyCommodity. Public Member Functions Commodity (const…

QuantLib::Interpolation – base class for 1-D interpolations. Synopsis bool empty () const Real operator() (Real x, bool allowExtrapolation=false) const Real primitive (Real x, bool allowExtrapolation=false) const Real derivative (Real x, bool allowExtrapolation=false) const Real secondDerivative (Real x, bool allowExtrapolation=false) const Real xMin () const Real xMax () const bool isInRange (Real x) const void update…

DisplayOfCCC, VisualOfCCC, ScreenNumberOfCCC, ScreenWhitePointOfCCC, ClientWhitePointOfCCC – Color Conversion Context macros Syntax Display *DisplayOfCCC(XcmsCCC ccc); Visual *VisualOfCCC(XcmsCCC ccc); int ScreenNumberOfCCC(XcmsCCC ccc); XcmsColor *ScreenWhitePointOfCCC(XcmsCCC ccc); XcmsColor *ClientWhitePointOfCCC(XcmsCCC ccc); Arguments ccc Specifies the CCC. Description The DisplayOfCCC macro returns the display associated with the specified CCC. The VisualOfCCC macro returns the visual associated with the specified CCC. The…