Section 3: library functions
QuantLib::SphereCylinderOptimizer – Synopsis #include <ql/math/optimization/spherecylinder.hpp> Public Member Functions SphereCylinderOptimizer (Real r, Real s, Real alpha, Real z1, Real z2, Real z3, Real zweight=1.0) bool isIntersectionNonEmpty () const void findClosest (Size maxIterations, Real tolerance, Real &y1, Real &y2, Real &y3) const bool findByProjection (Real &y1, Real &y2, Real &y3) const Detailed Description * we are in…
QuantLib::SouthKorea – South Korean calendars. Synopsis #include <ql/time/calendars/southkorea.hpp> Inherits QuantLib::Calendar. Public Types enum Market { Settlement, KRX } Public Member Functions SouthKorea (Market m=KRX) Detailed Description South Korean calendars. Public holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Independence Day, March 1st * Arbour Day, April 5th (until 2005) * Labour…
QuantLib::SouthAfrica – South-African calendar. Synopsis #include <ql/time/calendars/southafrica.hpp> Inherits QuantLib::Calendar. Detailed Description South-African calendar. Holidays: * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday) * Good Friday * Family Day, Easter Monday * Human Rights Day, March 21st (possibly moved to Monday) * Freedom Day, April 27th (possibly moved to Monday)…
QuantLib::Solver1D – Base class for 1-D solvers. Synopsis #include <ql/math/solver1d.hpp> Inherits CuriouslyRecurringTemplate< Impl >. Public Member Functions Modifiers template<class F > Real solve (const F &f, Real accuracy, Real guess, Real step) const template<class F > Real solve (const F &f, Real accuracy, Real guess, Real xMin, Real xMax) const void setMaxEvaluations (Size evaluations) void…
QuantLib::SoftCallability – callability leaving to the holder the possibility to convert Synopsis #include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::Callability. Public Member Functions SoftCallability (const Price &price, const Date &date, Real trigger) Real trigger () const Detailed Description callability leaving to the holder the possibility to convert Examples: ConvertibleBonds.cpp. Author Generated automatically by Doxygen for QuantLib from the source…
QuantLib::SobolRsg – Sobol low-discrepancy sequence generator. Synopsis #include <ql/math/randomnumbers/sobolrsg.hpp> Public Types enum DirectionIntegers { Unit, Jaeckel, SobolLevitan, SobolLevitanLemieux, JoeKuoD5, JoeKuoD6, JoeKuoD7, Kuo, Kuo2, Kuo3 } typedef Sample< std::vector< Real > > sample_type Public Member Functions SobolRsg (Size dimensionality, unsigned long seed=0, DirectionIntegers directionIntegers=Jaeckel) void skipTo (unsigned long n) const std::vector< unsigned long > & nextInt32Sequence…
QuantLib::SobolBrownianGenerator – Sobol Brownian generator for market-model simulations. Synopsis #include <ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp> Inherits QuantLib::BrownianGenerator. Public Types enum Ordering { Factors, Steps, Diagonal } Public Member Functions SobolBrownianGenerator (Size factors, Size steps, Ordering ordering, unsigned long seed=0, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::Jaeckel) Real nextPath () Real nextStep (std::vector< Real > &) Size numberOfFactors () const Size numberOfSteps () const Detailed…
QuantLib::SmileSection – interest rate volatility smile section Synopsis #include <ql/termstructures/volatility/smilesection.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Inherited by FlatSmileSection, InterpolatedSmileSection< Interpolator >, SabrInterpolatedSmileSection, SabrSmileSection, and SpreadedSmileSection. Public Member Functions SmileSection (const Date &d, const DayCounter &dc=DayCounter(), const Date &referenceDate=Date()) SmileSection (Time exerciseTime, const DayCounter &dc=DayCounter()) virtual void update () virtual Real minStrike () const =0 virtual Real…
QuantLib::Slovakia – Slovak calendars. Synopsis #include <ql/time/calendars/slovakia.hpp> Inherits QuantLib::Calendar. Public Types enum Market { BSSE } Public Member Functions Slovakia (Market m=BSSE) Detailed Description Slovak 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…
QuantLib::Singleton – Basic support for the singleton pattern. Synopsis #include <ql/patterns/singleton.hpp> Inherits boost::noncopyable. Static Public Member Functions static T & instance () access to the unique instance Detailed Description template<class T> class QuantLib::Singleton< T > Basic support for the singleton pattern. The typical use of this class is: class Foo : public Singleton<Foo> { friend…
QuantLib::SingleVariate – default Monte Carlo traits for single-variate models Synopsis #include <ql/methods/montecarlo/mctraits.hpp> Public Types enum { allowsErrorEstimate = RNG::allowsErrorEstimate } typedef RNG rng_traits typedef Path path_type typedef PathPricer< path_type > path_pricer_type typedef RNG::rsg_type rsg_type typedef PathGenerator< rsg_type > path_generator_type Detailed Description template<class RNG = PseudoRandom> struct QuantLib::SingleVariate< RNG > default Monte Carlo traits for single-variate…
QuantLib::SingleProductComposite – Composition of one or more market-model products. Synopsis #include <ql/models/marketmodels/products/singleproductcomposite.hpp> Inherits QuantLib::MarketModelComposite. Public Member Functions MarketModelMultiProduct interface Size numberOfProducts () const Size maxNumberOfCashFlowsPerProductPerStep () const bool nextTimeStep (const CurveState ¤tState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated) return value indicates whether path is finished, TRUE means done std::auto_ptr< MarketModelMultiProduct >…
QuantLib::SingleAssetOption – Black-Scholes-Merton option. Synopsis #include <ql/legacy/pricers/singleassetoption.hpp> Inherited by DiscreteGeometricASO. Public Member Functions SingleAssetOption (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…
QuantLib::Singapore – Singapore calendars Synopsis #include <ql/time/calendars/singapore.hpp> Inherits QuantLib::Calendar. Public Types enum Market { SGX } Public Member Functions Singapore (Market m=SGX) Detailed Description Singapore 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,…
QuantLib::SimpsonIntegral – Integral of a one-dimensional function. Synopsis #include <ql/math/integrals/simpsonintegral.hpp> Inherits TrapezoidIntegral< Default >. Public Member Functions SimpsonIntegral (Real accuracy, Size maxIterations) Protected Member Functions Real integrate (const boost::function< Real(Real)> &f, Real a, Real b) const Detailed Description Integral of a one-dimensional function. Tests the correctness of the result is tested by checking it against…
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 > "eSeries) 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::SimpleDayCounter – Simple day counter for reproducing theoretical calculations. Synopsis #include <ql/time/daycounters/simpledaycounter.hpp> Inherits QuantLib::DayCounter. Detailed Description Simple day counter for reproducing theoretical calculations. This day counter tries to ensure that whole-month distances are returned as a simple fraction, i.e., 1 year = 1.0, 6 months = 0.5, 3 months = 0.25 and so forth. Warning…