Linux Manuals

QuantLib::SingleProductComposite – Composition of one or more market-model products. Synopsis#include <ql/models/marketmodels/products/singleproductcomposite.hpp> Inherits QuantLib::MarketModelComposite. Public Member FunctionsMarketModelMultiProduct interface Size numberOfProducts () const Size maxNumberOfCashFlowsPerProductPerStep () const bool nextTimeStep (const CurveState &currentState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated) return value indicates whether path is finished, TRUE means done std::auto_ptr< MarketModelMultiProduct > clone ()…

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 > &quoteSeries) 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::SimpleDayCounter – Simple day counter for reproducing theoretical calculations. Synopsis#include <ql/time/daycounters/simpledaycounter.hpp> Inherits QuantLib::DayCounter. Detailed DescriptionSimple 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 this day…

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::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…

QuantLib::ShortRateModel – Abstract short-rate model class. Synopsis#include <ql/models/model.hpp> Inherits QuantLib::CalibratedModel. Inherited by OneFactorModel, and TwoFactorModel. Public Member FunctionsShortRateModel (Size nArguments) virtual boost::shared_ptr< Lattice > tree (const TimeGrid &) const =0 Detailed DescriptionAbstract short-rate model class. AuthorGenerated 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 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::SegmentIntegral – Integral of a one-dimensional function. Synopsis#include <ql/math/integrals/segmentintegral.hpp> Inherits QuantLib::Integrator. Public Member FunctionsSegmentIntegral (Size intervals) Protected Member Functionsvirtual Real integrate (const boost::function< Real(Real)> &f, Real a, Real b) const Detailed DescriptionIntegral of a one-dimensional function. Given a number $ N $ of intervals, the integral of a function $ f $ between $ a…

QuantLib::SeedGenerator – Random seed generator. Synopsis#include <ql/math/randomnumbers/seedgenerator.hpp> Inherits Singleton< SeedGenerator >. Public Member Functionsunsigned long get () Friendsclass Singleton< SeedGenerator > Detailed DescriptionRandom seed generator. Random number generator used for automatic generation of initialization seeds. Tests correct initialization of the single instance is tested.AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Secant – Secant 1-D solver Synopsis#include <ql/math/solvers1d/secant.hpp> Inherits Solver1D< Secant >. Public Member Functionstemplate<class F > Real solveImpl (const F &f, Real xAccuracy) const Detailed DescriptionSecant 1-D solver Tests the correctness of the returned values is tested by checking them against known good results.AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Schedule – Payment schedule. Synopsis#include <ql/time/schedule.hpp> Public Member FunctionsSchedule (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 Date &…

QuantLib::SaudiArabia – Saudi Arabian calendar. Synopsis#include <ql/time/calendars/saudiarabia.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { Tadawul } Public Member FunctionsSaudiArabia (Market m=Tadawul) Detailed DescriptionSaudi 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 is given (data available…

QuantLib::SampledCurve – This class contains a sampled curve. Synopsis#include <ql/math/sampledcurve.hpp> Public Member FunctionsSampledCurve (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 & gridValue (Size…

QuantLib::Sample – weighted sample Synopsis#include <ql/methods/montecarlo/sample.hpp> Public Typestypedef T value_type Public Member FunctionsSample (const T &value, Real weight) Public AttributesT value Real weight Detailed Descriptiontemplate<class T> struct QuantLib::Sample< T >weighted sample AuthorGenerated automatically by Doxygen for QuantLib from the source code.