Section 3: library functions
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…
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::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::Settings – global repository for run-time library settings Synopsis #include <ql/settings.hpp> Inherits Singleton< Settings >. Public Member Functions DateProxy & evaluationDate () the date at which pricing is to be performed. const DateProxy & evaluationDate () const bool & enforcesTodaysHistoricFixings () bool enforcesTodaysHistoricFixings () const Friends class Singleton< Settings > std::ostream & operator<< (std::ostream &,…
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::SeedGenerator – Random seed generator. Synopsis #include <ql/math/randomnumbers/seedgenerator.hpp> Inherits Singleton< SeedGenerator >. Public Member Functions unsigned long get () Friends class Singleton< SeedGenerator > Detailed Description Random seed generator. Random number generator used for automatic generation of initialization seeds. Tests correct initialization of the single instance is tested. Author Generated automatically by Doxygen for QuantLib…
QuantLib::Secant – Secant 1-D solver Synopsis #include <ql/math/solvers1d/secant.hpp> Inherits Solver1D< Secant >. Public Member Functions template<class F > Real solveImpl (const F &f, Real xAccuracy) const Detailed Description Secant 1-D solver Tests the correctness of the returned values is tested by checking them against known good results. Author Generated automatically by Doxygen for QuantLib from…
QuantLib::Schedule – Payment schedule. Synopsis #include <ql/time/schedule.hpp> Public Member Functions Schedule (const std::vector< Date > &, const Calendar &calendar=NullCalendar(), BusinessDayConvention convention=Unadjusted) Schedule (const Date &effectiveDate, const Date &terminationDate, const Period &tenor, const Calendar &calendar, BusinessDayConvention convention, BusinessDayConvention terminationDateConvention, DateGeneration::Rule rule, bool endOfMonth, const Date &firstDate=Date(), const Date &nextToLastDate=Date()) Date access Size size () const const…
QuantLib::SaudiArabia – Saudi Arabian calendar. Synopsis #include <ql/time/calendars/saudiarabia.hpp> Inherits QuantLib::Calendar. Public Types enum Market { Tadawul } Public Member Functions SaudiArabia (Market m=Tadawul) Detailed Description Saudi Arabian calendar. Holidays for the Tadawul financial market (data from <http://www.tadawul.com.sa>): * Thursdays * Fridays * National Day of Saudi Arabia, September 23rd Other holidays for which no rule…
QuantLib::SampledCurve – This class contains a sampled curve. Synopsis #include <ql/math/sampledcurve.hpp> Public Member Functions SampledCurve (Size gridSize=0) SampledCurve (const Array &grid) SampledCurve & operator= (const SampledCurve &) inspectors const Array & grid () const Array & grid () const Array & values () const Array & values () Real gridValue (Size i) const Real &…
QuantLib::Sample – weighted sample Synopsis #include <ql/methods/montecarlo/sample.hpp> Public Types typedef T value_type Public Member Functions Sample (const T &value, Real weight) Public Attributes T value Real weight Detailed Description template<class T> struct QuantLib::Sample< T > weighted sample Author Generated automatically by Doxygen for QuantLib from the source code.
QuantLib::SabrVolSurface – SABR volatility (smile) surface. Synopsis #include <ql/experimental/volatility/sabrvolsurface.hpp> Inherits QuantLib::InterestRateVolSurface. Public Member Functions SabrVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Handle< BlackAtmVolCurve > &, const std::vector< Period > &optionTenors, const std::vector< Spread > &atmRateSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads) const Handle< BlackAtmVolCurve > & atmCurve () const std::vector< Volatility >…
QuantLib::SVDDFwdRatePc – Synopsis #include <ql/models/marketmodels/evolvers/svddfwdratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member Functions SVDDFwdRatePc (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const boost::shared_ptr< MarketModelVolProcess > &volProcess, Size firstVolatilityFactor, Size volatilityFactorStep, const std::vector< Size > &numeraires, Size initialStep=0) MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath () Real advanceStep () Size currentStep () const…
QuantLib::SVD – Singular value decomposition. Synopsis #include <ql/math/matrixutilities/svd.hpp> Public Member Functions SVD (const Matrix &) const Matrix & U () const const Matrix & V () const const Array & singularValues () const Disposable< Matrix > S () const Real norm2 () Real cond () Integer rank () Disposable< Array > solveFor (const Array &)…
QuantLib::SMMDriftCalculator – Drift computation for coterminal swap market models. Synopsis #include <ql/models/marketmodels/driftcomputation/smmdriftcalculator.hpp> Public Member Functions SMMDriftCalculator (const Matrix &pseudo, const std::vector< Spread > &displacements, const std::vector< Time > &taus, Size numeraire, Size alive) void compute (const CoterminalSwapCurveState &cs, std::vector< Real > &drifts) const Computes the drifts. Detailed Description Drift computation for coterminal swap market models….
QuantLib::SEKLibor – SEK LIBOR rate Synopsis #include <ql/indexes/ibor/seklibor.hpp> Inherits QuantLib::Libor. Public Member Functions SEKLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description SEK LIBOR rate Sweden Krone LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. Author Generated automatically by Doxygen for QuantLib from the source code.
QuantLib::SABRInterpolation – SABR smile interpolation between discrete volatility points. Synopsis #include <ql/math/interpolations/sabrinterpolation.hpp> Inherits QuantLib::Interpolation. Public Member Functions template<class I1 , class I2 > SABRInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real alpha, Real beta, Real nu, Real rho, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool…
QuantLib::SABR – SABR interpolation factory and traits Synopsis #include <ql/math/interpolations/sabrinterpolation.hpp> Public Member Functions SABR (Time t, Real forward, Real alpha, Real beta, Real nu, Real rho, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool vegaWeighted=false, const boost::shared_ptr< EndCriteria > endCriteria=boost::shared_ptr< EndCriteria >(), const boost::shared_ptr< OptimizationMethod > optMethod=boost::shared_ptr< OptimizationMethod >()) template<class I1 , class I2…
QuantLib::Rounding – basic rounding class Synopsis #include <ql/math/rounding.hpp> Inherited by CeilingTruncation, ClosestRounding, DownRounding, FloorTruncation, and UpRounding. Public Types enum Type { None, Up, Down, Closest, Floor, Ceiling } rounding methods Public Member Functions Rounding () default constructor Rounding (Integer precision, Type type=Closest, Integer digit=5) Decimal operator() (Decimal value) const perform rounding Inspectors Integer precision ()…
QuantLib::RiskyAssetSwap – Risky asset-swap instrument. Synopsis #include <ql/experimental/credit/riskyassetswap.hpp> Inherits QuantLib::Instrument. Public Member Functions RiskyAssetSwap (bool fixedPayer, Real nominal, const Schedule &fixedSchedule, const Schedule &floatSchedule, const DayCounter &fixedDayCounter, const DayCounter &floatDayCounter, Rate spread, Rate recoveryRate_, const Handle< YieldTermStructure > &yieldTS, const Handle< DefaultProbabilityTermStructure > &defaultTS, Rate coupon=Null< Rate >()) Real fairSpread () Real floatAnnuity () const…