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QuantLib::StudentDistribution – Student t-distribution. Synopsis #include <ql/math/distributions/studenttdistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member Functions StudentDistribution (Integer n) Real operator() (Real x) const Detailed Description Student t-distribution. Probability density function for $ n $ degrees of freedom (see mathworld.wolfram.com or wikipedia.org): [ f(x) = ac {Gamma d automatically by Doxygen for QuantLib from the source code.

QuantLib::StrippedOptionletBase – Synopsis #include <ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp> Inherits QuantLib::LazyObject. Inherited by OptionletStripper, and StrippedOptionlet. Public Member Functions virtual const std::vector< Rate > & optionletStrikes (Size i) const =0 virtual const std::vector< Volatility > & optionletVolatilities (Size i) const =0 virtual const std::vector< Date > & optionletFixingDates () const =0 virtual const std::vector< Time > & optionletFixingTimes ()…

QuantLib::StrippedOptionletAdapter – Synopsis #include <ql/termstructures/volatility/optionlet/strippedoptionletadapter.hpp> Inherits QuantLib::OptionletVolatilityStructure, and QuantLib::LazyObject. Public Member Functions StrippedOptionletAdapter (const boost::shared_ptr< StrippedOptionletBase > &) TermStructure interface Date maxDate () const the latest date for which the curve can return values VolatilityTermStructure interface Rate minStrike () const the minimum strike for which the term structure can return vols Rate maxStrike () const…

QuantLib::StrippedOptionlet – Synopsis #include <ql/termstructures/volatility/optionlet/strippedoptionlet.hpp> Inherits QuantLib::StrippedOptionletBase. Public Member Functions StrippedOptionlet (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const boost::shared_ptr< IborIndex > &iborIndex, const std::vector< Date > &optionletDates, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc=Actual365Fixed()) StrippedOptionletBase interface const std::vector< Rate > & optionletStrikes (Size i)…

QuantLib::StrikedTypePayoff – Intermediate class for payoffs based on a fixed strike. Synopsis #include <ql/instruments/payoffs.hpp> Inherits QuantLib::TypePayoff. Inherited by AssetOrNothingPayoff, CashOrNothingPayoff, GapPayoff, PercentageStrikePayoff, PlainVanillaPayoff, SuperFundPayoff, and SuperSharePayoff. Public Member Functions StrikedTypePayoff (Option::Type type, Real strike) Real strike () const Payoff interface std::string description () const Protected Attributes Real strike_ Detailed Description Intermediate class for payoffs based…

QuantLib::Stock – Simple stock class. Synopsis #include <ql/instruments/stock.hpp> Inherits QuantLib::Instrument. Public Member Functions Stock (const Handle< Quote > &quote) bool isExpired () const returns whether the instrument is still tradable. Protected Member Functions void performCalculations () const Detailed Description Simple stock class. Member Function Documentation void performCalculations () const [protected, virtual] In case a pricing…

QuantLib::StochasticProcess::discretization – discretization of a stochastic process over a given time interval Synopsis #include <ql/stochasticprocess.hpp> Inherited by EndEulerDiscretization, and EulerDiscretization. Public Member Functions virtual Disposable< Array > drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0 virtual Disposable< Matrix > diffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt)…

QuantLib::StochasticProcessArray – Array of correlated 1-D stochastic processes Synopsis #include <ql/processes/stochasticprocessarray.hpp> Inherits QuantLib::StochasticProcess. Public Member Functions StochasticProcessArray (const std::vector< boost::shared_ptr< StochasticProcess1D > > &, const Matrix &correlation) Size size () const returns the number of dimensions of the stochastic process Disposable< Array > initialValues () const returns the initial values of the state variables Disposable<…

QuantLib::StochasticProcess1D::discretization – discretization of a 1-D stochastic process Synopsis #include <ql/stochasticprocess.hpp> Inherited by EndEulerDiscretization, and EulerDiscretization. Public Member Functions virtual Real drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const =0 virtual Real diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const =0 virtual Real variance (const StochasticProcess1D &, Time t0,…

QuantLib::StochasticProcess1D – 1-dimensional stochastic process Synopsis #include <ql/stochasticprocess.hpp> Inherits QuantLib::StochasticProcess. Inherited by HelperProcess, ForwardMeasureProcess1D, GeneralizedBlackScholesProcess, GeometricBrownianMotionProcess, HullWhiteProcess, Merton76Process, OrnsteinUhlenbeckProcess, and SquareRootProcess. Classes class discretization discretization of a 1-D stochastic process Public Member Functions 1-D stochastic process interface virtual Real x0 () const =0 returns the initial value of the state variable virtual Real drift (Time…

QuantLib::StochasticProcess – multi-dimensional stochastic process class. Synopsis #include <ql/stochasticprocess.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by ForwardMeasureProcess, G2Process, GJRGARCHProcess, HestonProcess, JointStochasticProcess, LiborForwardModelProcess, StochasticProcess1D, and StochasticProcessArray. Classes class discretization discretization of a stochastic process over a given time interval Public Member Functions Stochastic process interface virtual Size size () const =0 returns the number of dimensions of…

QuantLib::StickyPayoff – Sticky payoff (single option). Synopsis #include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::DoubleStickyRatchetPayoff. Public Member Functions StickyPayoff (Real gearing1, Real gearing2, Real spread1, Real spread2, Real initialValue, Real accrualFactor) Payoff interface std::string name () const Detailed Description Sticky payoff (single option). Member Function Documentation std::string name () const [virtual] Warning This method is used for output and…

QuantLib::StickyMinPayoff – StickyMin payoff (double option). Synopsis #include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::DoubleStickyRatchetPayoff. Public Member Functions StickyMinPayoff (Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const Detailed Description StickyMin payoff (double option). Member Function Documentation std::string name () const [virtual] Warning This…

QuantLib::StickyMaxPayoff – StickyMax payoff (double option). Synopsis #include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::DoubleStickyRatchetPayoff. Public Member Functions StickyMaxPayoff (Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const Detailed Description StickyMax payoff (double option). Member Function Documentation std::string name () const [virtual] Warning This…

QuantLib::StepConditionSet – Parallel evolver for multiple arrays. Synopsis #include <ql/methods/finitedifferences/parallelevolver.hpp> Public Member Functions void applyTo (std::vector< array_type > &a, Time t) const void push_back (const itemType &a) Detailed Description template<typename array_type> class QuantLib::StepConditionSet< array_type > Parallel evolver for multiple arrays. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::StepCondition – condition to be applied at every time step Synopsis #include <ql/methods/finitedifferences/stepcondition.hpp> Public Member Functions virtual void applyTo (array_type &a, Time t) const =0 Detailed Description template<class array_type> class QuantLib::StepCondition< array_type > condition to be applied at every time step Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::SteepestDescent – Multi-dimensional steepest-descent class. Synopsis #include <ql/math/optimization/steepestdescent.hpp> Inherits QuantLib::LineSearchBasedMethod. Public Member Functions SteepestDescent (const boost::shared_ptr< LineSearch > &lineSearch=boost::shared_ptr< LineSearch >()) virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria) minimize the optimization problem P Detailed Description Multi-dimensional steepest-descent class. User has to provide line-search method and optimization end criteria search direction $ = – f'(x)…

QuantLib::StatsHolder – Helper class for precomputed distributions. Synopsis #include <ql/math/statistics/gaussianstatistics.hpp> Public Types typedef Real value_type Public Member Functions StatsHolder (Real mean, Real standardDeviation) Real mean () const Real standardDeviation () const Detailed Description Helper class for precomputed distributions. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::SquareRootProcess – Square-root process class. Synopsis #include <ql/processes/squarerootprocess.hpp> Inherits QuantLib::StochasticProcess1D. Public Member Functions SquareRootProcess (Real b, Real a, Volatility sigma, Real x0=0.0, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) StochasticProcess interface Real x0 () const returns the initial value of the state variable Real drift (Time t, Real x) const returns the drift part…

QuantLib::SquareRootAndersen – Synopsis #include <ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.hpp> Inherits QuantLib::MarketModelVolProcess. Public Member Functions SquareRootAndersen (Real meanLevel, Real reversionSpeed, Real volVar, Real v0, const std::vector< Real > &evolutionTimes, Size numberSubSteps_, Real w1, Real w2, Real cutPoint=1.5) virtual Size variatesPerStep () virtual Size numberSteps () virtual void nextPath () virtual Real nextstep (const std::vector< Real > &variates) virtual Real stepSd…