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QuantLib::SymmetricSchurDecomposition – symmetric threshold Jacobi algorithm. Synopsis#include <ql/math/matrixutilities/symmetricschurdecomposition.hpp> Public Member FunctionsSymmetricSchurDecomposition (const Matrix &s) const Array & eigenvalues () const const Matrix & eigenvectors () const Detailed Descriptionsymmetric threshold Jacobi algorithm. Given a real symmetric matrix S, the Schur decomposition finds the eigenvalues and eigenvectors of S. If D is the diagonal matrix formed by…

QuantLib::SwaptionVolatilityStructure – Swaption-volatility structure Synopsis#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by ConstantSwaptionVolatility, SpreadedSwaptionVolatility, and SwaptionVolatilityDiscrete. Public Member FunctionsTime swapLength (const Period &swapTenor) const implements the conversion between swap tenor and swap (time) length Time swapLength (const Date &start, const Date &end) const implements the conversion between swap dates and swap (time) length Constructors See the TermStructure…

QuantLib::SwaptionVolatilityMatrix – At-the-money swaption-volatility matrix. Synopsis#include <ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp> Inherits QuantLib::SwaptionVolatilityDiscrete, and boost::noncopyable. Public Member FunctionsSwaptionVolatilityMatrix (const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter) floating reference date, floating market data SwaptionVolatilityMatrix (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention…

QuantLib::SwaptionVolatilityCube – swaption-volatility cube Synopsis#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp> Inherits QuantLib::SwaptionVolatilityDiscrete. Inherited by SwaptionVolCube1, and SwaptionVolCube2. Public Member FunctionsSwaptionVolatilityCube (const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Spread > &strikeSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const boost::shared_ptr< SwapIndex > &swapIndexBase, const boost::shared_ptr< SwapIndex > &shortSwapIndexBase,…

QuantLib::G2 – Two-additive-factor gaussian model class. Synopsis#include <ql/models/shortrate/twofactormodels/g2.hpp> Inherits QuantLib::TwoFactorModel, QuantLib::AffineModel, and QuantLib::TermStructureConsistentModel. Classesclass FittingParameter Analytical term-structure fitting parameter $ ndle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01, Real b=0.1, Real eta=0.01, Real rho=-0.75)" Public Member FunctionsG2 (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01, Real b=0.1, Real eta=0.01, Real rho=-0.75) boost::shared_ptr< ShortRateDynamics >…

QuantLib::SwaptionHelper – calibration helper for ATM swaption Synopsis#include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp> Inherits QuantLib::CalibrationHelper. Public Member FunctionsSwaptionHelper (const Period &maturity, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) virtual void addTimesTo (std::list< Time > &times) const virtual…

QuantLib::Swaption – Swaption class Synopsis#include <ql/instruments/swaption.hpp> Inherits QuantLib::Option. Classesclass arguments Arguments for swaption calculation class engine base class for swaption engines Public Member FunctionsSwaption (const boost::shared_ptr< VanillaSwap > &swap, const boost::shared_ptr< Exercise > &exercise, Settlement::Type delivery=Settlement::Physical) Volatility impliedVolatility (Real price, const Handle< YieldTermStructure > &discountCurve, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0)…

QuantLib::SwapRateHelper – Rate helper for bootstrapping over swap rates. Synopsis#include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member FunctionsSwapRateHelper (const Handle< Quote > &rate, const boost::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days) SwapRateHelper (const Handle< Quote > &rate, const Period &tenor, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter…

QuantLib::SwapIndex – base class for swap-rate indexes Synopsis#include <ql/indexes/swapindex.hpp> Inherits QuantLib::InterestRateIndex. Inherited by ChfLiborSwapIsdaFix, EuriborSwapIfrFix, EuriborSwapIsdaFixA, EuriborSwapIsdaFixB, EurLiborSwapIfrFix, EurLiborSwapIsdaFixA, EurLiborSwapIsdaFixB, GbpLiborSwapIsdaFix, JpyLiborSwapIsdaFixAm, JpyLiborSwapIsdaFixPm, UsdLiborSwapIsdaFixAm, and UsdLiborSwapIsdaFixPm. Public Member FunctionsSwapIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, Currency currency, const Calendar &calendar, const Period &fixedLegTenor, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, const boost::shared_ptr< IborIndex > &iborIndex)…

QuantLib::Swap – Interest rate swap. Synopsis#include <ql/instruments/swap.hpp> Inherits QuantLib::Instrument. Inherited by AssetSwap, BMASwap, and VanillaSwap. Public Member FunctionsConstructors Swap (const Leg &firstLeg, const Leg &secondLeg) Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments (PricingEngine::arguments *) const void…

QuantLib::SuperSharePayoff – Binary supershare payoff. Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member FunctionsSuperSharePayoff (Real strike, Real secondStrike, Real cashPayoff) Real strike () const Real secondStrike () const Real cashPayoff () const Payoff interface std::string name () const std::string description () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Protected AttributesReal strike_ Real secondStrike_…

QuantLib::SuperFundPayoff – Binary supershare and superfund payoffs. Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member FunctionsSuperFundPayoff (Real strike, Real secondStrike) Real secondStrike () const Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Protected AttributesReal secondStrike_ Detailed DescriptionBinary supershare and superfund payoffs. Binary superfund payoff Superfund sometimes also called ‘supershare’,…

QuantLib::StulzEngine – Pricing engine for 2D European Baskets. Synopsis#include <ql/pricingengines/basket/stulzengine.hpp> Inherits QuantLib::BasketOption::engine. Public Member FunctionsStulzEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, Real correlation) void calculate () const Detailed DescriptionPricing engine for 2D European Baskets. This class implements formulae from ‘Options on the Minimum or the Maximum of Two Risky Assets’, Rene…

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

QuantLib::StrippedOptionletAdapter – Synopsis#include <ql/termstructures/volatility/optionlet/strippedoptionletadapter.hpp> Inherits QuantLib::OptionletVolatilityStructure, and QuantLib::LazyObject. Public Member FunctionsStrippedOptionletAdapter (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 the maximum…

QuantLib::StrippedOptionlet – Synopsis#include <ql/termstructures/volatility/optionlet/strippedoptionlet.hpp> Inherits QuantLib::StrippedOptionletBase. Public Member FunctionsStrippedOptionlet (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) const const…

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 FunctionsStrikedTypePayoff (Option::Type type, Real strike) Real strike () const Payoff interface std::string description () const Protected AttributesReal strike_ Detailed DescriptionIntermediate class for payoffs based on a fixed strike….

QuantLib::Stock – Simple stock class. Synopsis#include <ql/instruments/stock.hpp> Inherits QuantLib::Instrument. Public Member FunctionsStock (const Handle< Quote > &quote) bool isExpired () const returns whether the instrument is still tradable. Protected Member Functionsvoid performCalculations () const Detailed DescriptionSimple stock class. Member Function Documentationvoid performCalculations () const [protected, virtual]In case a pricing engine is not used, this method…

QuantLib::StochasticProcessArray – Array of correlated 1-D stochastic processes Synopsis#include <ql/processes/stochasticprocessarray.hpp> Inherits QuantLib::StochasticProcess. Public Member FunctionsStochasticProcessArray (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< Array >…

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. Classesclass discretization discretization of a 1-D stochastic process Public Member Functions1-D stochastic process interface virtual Real x0 () const =0 returns the initial value of the state variable virtual Real drift (Time t, Real x)…