SysTutorials Posts

TAILQ_CONCAT, TAILQ_EMPTY, TAILQ_ENTRY, TAILQ_FIRST, TAILQ_FOREACH, TAILQ_FOREACH_REVERSE, TAILQ_HEAD, TAILQ_HEAD_INITIALIZER, TAILQ_INIT, TAILQ_INSERT_AFTER, TAILQ_INSERT_BEFORE, TAILQ_INSERT_HEAD, TAILQ_INSERT_TAIL, TAILQ_LAST, TAILQ_NEXT, TAILQ_PREV, TAILQ_REMOVE – implementation of a doubly linked tail queue Synopsis #include <sys/queue.h> void TAILQ_CONCAT(TAILQ_HEAD *head1, TAILQ_HEAD *head2, TAILQ_ENTRY NAME); int TAILQ_EMPTY(TAILQ_HEAD *head); TAILQ_ENTRY(TYPE); struct TYPE *TAILQ_FIRST(TAILQ_HEAD *head); TAILQ_FOREACH(struct TYPE *var, TAILQ_HEAD *head, TAILQ_ENTRY NAME); TAILQ_FOREACH_REVERSE(struct TYPE *var, TAILQ_HEAD *head,…

ql/experimental/credit/syntheticcdo.hpp – Synthetic Collateralized Debt Obligation and pricing engines. Synopsis #include <ql/issuer.hpp> #include <ql/instrument.hpp> #include <ql/time/schedule.hpp> #include <ql/termstructures/yieldtermstructure.hpp> #include <ql/termstructures/defaulttermstructure.hpp> #include <ql/experimental/credit/basket.hpp> #include <ql/experimental/credit/lossdistribution.hpp> #include <ql/experimental/credit/onefactorcopula.hpp> Classes class SyntheticCDO Synthetic Collateralized Debt Obligation. Detailed Description Synthetic Collateralized Debt Obligation and pricing engines. Author Generated automatically by Doxygen for QuantLib from the source code.

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

QuantLib::SwaptionVolatilityStructure – Swaption-volatility structure Synopsis #include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by ConstantSwaptionVolatility, SpreadedSwaptionVolatility, and SwaptionVolatilityDiscrete. Public Member Functions Time 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…

QuantLib::SwaptionVolatilityMatrix – At-the-money swaption-volatility matrix. Synopsis #include <ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp> Inherits QuantLib::SwaptionVolatilityDiscrete, and boost::noncopyable. Public Member Functions SwaptionVolatilityMatrix (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…

QuantLib::SwaptionVolatilityCube – swaption-volatility cube Synopsis #include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp> Inherits QuantLib::SwaptionVolatilityDiscrete. Inherited by SwaptionVolCube1, and SwaptionVolCube2. Public Member Functions SwaptionVolatilityCube (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…

QuantLib::G2 – Two-additive-factor gaussian model class. Synopsis #include <ql/models/shortrate/twofactormodels/g2.hpp> Inherits QuantLib::TwoFactorModel, QuantLib::AffineModel, and QuantLib::TermStructureConsistentModel. Classes class 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 Functions G2 (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01, Real b=0.1, Real eta=0.01, Real rho=-0.75)…

QuantLib::SwaptionHelper – calibration helper for ATM swaption Synopsis #include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp> Inherits QuantLib::CalibrationHelper. Public Member Functions SwaptionHelper (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)…

ql/instruments/swaption.hpp – Swaption class. Synopsis struct Settlement settlement information class Swaption Swaption class class arguments Arguments for swaption calculation class engine base class for swaption engines Functions Classes struct Settlement settlement information class Swaption Swaption class class arguments Arguments for swaption calculation class engine base class for swaption engines Functions std::ostream & operator<< (std::ostream &out,…

QuantLib::SwapRateHelper – Rate helper for bootstrapping over swap rates. Synopsis #include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member Functions SwapRateHelper (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,…

QuantLib::CmsCoupon – CMS coupon class. Synopsis const boost::shared_ptr< SwapIndex > & swapIndex () const Inherits QuantLib::FloatingRateCoupon. Public Member Functions const boost::shared_ptr< SwapIndex > & swapIndex () const Inspectors const boost::shared_ptr< SwapIndex > & swapIndex () const Visitability virtual void accept (AcyclicVisitor &) Detailed Description CMS coupon class. Warning This class does not perform any date…

QuantLib::Swap – Interest rate swap. Synopsis #include <ql/instruments/swap.hpp> Inherits QuantLib::Instrument. Inherited by AssetSwap, BMASwap, and VanillaSwap. Public Member Functions Constructors 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 *)…

QuantLib::SuperSharePayoff – Binary supershare payoff. Synopsis #include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member Functions SuperSharePayoff (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 Attributes Real…

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

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

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.

ql/termstructures/volatility/optionlet/strippedoptionletadapter.hpp – StrippedOptionlet Adapter. Synopsis #include <ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp> #include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp> #include <ql/math/interpolation.hpp> #include <ql/math/interpolations/sabrinterpolation.hpp> Classes class StrippedOptionletAdapter Detailed Description StrippedOptionlet Adapter. Author Generated automatically by Doxygen for QuantLib from the source code.

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…