SysTutorials Posts

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

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. Classes class discretization discretization of a 1-D stochastic process Public Member Functions 1-D stochastic process interface virtual Real x0 () const =0 returns the initial value of the state variable virtual Real drift (Time…

ql/stochasticprocess.hpp – stochastic processes Synopsis #include <ql/time/date.hpp> #include <ql/patterns/observable.hpp> #include <ql/math/matrix.hpp> Classes class StochasticProcess multi-dimensional stochastic process class. class discretization discretization of a stochastic process over a given time interval class StochasticProcess1D 1-dimensional stochastic process class discretization discretization of a 1-D stochastic process Detailed Description stochastic processes Author Generated automatically by Doxygen for QuantLib from…

QuantLib::StickyPayoff – Sticky payoff (single option). Synopsis #include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::DoubleStickyRatchetPayoff. Public Member Functions StickyPayoff (Real gearing1, Real gearing2, Real spread1, Real spread2, Real initialValue, Real accrualFactor) Payoff interface std::string name () const Detailed Description Sticky payoff (single option). Member Function Documentation std::string name () const [virtual] Warning This method is used for output and…

QuantLib::StickyMinPayoff – StickyMin payoff (double option). Synopsis #include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::DoubleStickyRatchetPayoff. Public Member Functions StickyMinPayoff (Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const Detailed Description StickyMin payoff (double option). Member Function Documentation std::string name () const [virtual] Warning This…

QuantLib::StickyMaxPayoff – StickyMax payoff (double option). Synopsis #include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::DoubleStickyRatchetPayoff. Public Member Functions StickyMaxPayoff (Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const Detailed Description StickyMax payoff (double option). Member Function Documentation std::string name () const [virtual] Warning This…

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::SteepestDescent – Multi-dimensional steepest-descent class. Synopsis #include <ql/math/optimization/steepestdescent.hpp> Inherits QuantLib::LineSearchBasedMethod. Public Member Functions SteepestDescent (const boost::shared_ptr< LineSearch > &lineSearch=boost::shared_ptr< LineSearch >()) virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria) minimize the optimization problem P Detailed Description Multi-dimensional steepest-descent class. User has to provide line-search method and optimization end criteria search direction $ = – f'(x)…

QuantLib::StatsHolder – Helper class for precomputed distributions. Synopsis #include <ql/math/statistics/gaussianstatistics.hpp> Public Types typedef Real value_type Public Member Functions StatsHolder (Real mean, Real standardDeviation) Real mean () const Real standardDeviation () const Detailed Description Helper class for precomputed distributions. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::EarlyExercisePathPricer – base class for early exercise path pricers Synopsis #include <ql/methods/montecarlo/earlyexercisepathpricer.hpp> Public Types typedef EarlyExerciseTraits< PathType >::StateType StateType Public Member Functions virtual ValueType operator() (const PathType &path, TimeType t) const =0 virtual StateType state (const PathType &path, TimeType t) const =0 virtual std::vector< boost::function1< ValueType, StateType > > basisSystem () const =0 Detailed Description…

ql/methods/finitedifferences/fdtypedefs.hpp – default choices for template instantiations Synopsis #include <ql/methods/finitedifferences/cranknicolson.hpp> #include <ql/methods/finitedifferences/parallelevolver.hpp> Typedefs typedef FiniteDifferenceModel< CrankNicolson< TridiagonalOperator > > StandardFiniteDifferenceModel default choice for finite-difference model typedef FiniteDifferenceModel< ParallelEvolver< CrankNicolson< TridiagonalOperator > > > StandardSystemFiniteDifferenceModel default choice for parallel finite-difference model typedef StepCondition< Array > StandardStepCondition default choice for step condition typedef CurveDependentStepCondition< Array > StandardCurveDependentStepCondition…

ql/methods/finitedifferences/fdtypedefs.hpp – default choices for template instantiations Synopsis #include <ql/methods/finitedifferences/cranknicolson.hpp> #include <ql/methods/finitedifferences/parallelevolver.hpp> Typedefs typedef FiniteDifferenceModel< CrankNicolson< TridiagonalOperator > > StandardFiniteDifferenceModel default choice for finite-difference model typedef FiniteDifferenceModel< ParallelEvolver< CrankNicolson< TridiagonalOperator > > > StandardSystemFiniteDifferenceModel default choice for parallel finite-difference model typedef StepCondition< Array > StandardStepCondition default choice for step condition typedef CurveDependentStepCondition< Array > StandardCurveDependentStepCondition…

ql/methods/finitedifferences/fdtypedefs.hpp – default choices for template instantiations Synopsis #include <ql/methods/finitedifferences/cranknicolson.hpp> #include <ql/methods/finitedifferences/parallelevolver.hpp> Typedefs typedef FiniteDifferenceModel< CrankNicolson< TridiagonalOperator > > StandardFiniteDifferenceModel default choice for finite-difference model typedef FiniteDifferenceModel< ParallelEvolver< CrankNicolson< TridiagonalOperator > > > StandardSystemFiniteDifferenceModel default choice for parallel finite-difference model typedef StepCondition< Array > StandardStepCondition default choice for step condition typedef CurveDependentStepCondition< Array > StandardCurveDependentStepCondition…

ql/methods/finitedifferences/fdtypedefs.hpp – default choices for template instantiations Synopsis #include <ql/methods/finitedifferences/cranknicolson.hpp> #include <ql/methods/finitedifferences/parallelevolver.hpp> Typedefs typedef FiniteDifferenceModel< CrankNicolson< TridiagonalOperator > > StandardFiniteDifferenceModel default choice for finite-difference model typedef FiniteDifferenceModel< ParallelEvolver< CrankNicolson< TridiagonalOperator > > > StandardSystemFiniteDifferenceModel default choice for parallel finite-difference model typedef StepCondition< Array > StandardStepCondition default choice for step condition typedef CurveDependentStepCondition< Array > StandardCurveDependentStepCondition…

QuantLib::SquareRootProcess – Square-root process class. Synopsis #include <ql/processes/squarerootprocess.hpp> Inherits QuantLib::StochasticProcess1D. Public Member Functions SquareRootProcess (Real b, Real a, Volatility sigma, Real x0=0.0, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) StochasticProcess interface Real x0 () const returns the initial value of the state variable Real drift (Time t, Real x) const returns the drift part…

QuantLib::SquareRootAndersen – Synopsis #include <ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.hpp> Inherits QuantLib::MarketModelVolProcess. Public Member Functions SquareRootAndersen (Real meanLevel, Real reversionSpeed, Real volVar, Real v0, const std::vector< Real > &evolutionTimes, Size numberSubSteps_, Real w1, Real w2, Real cutPoint=1.5) virtual Size variatesPerStep () virtual Size numberSteps () virtual void nextPath () virtual Real nextstep (const std::vector< Real > &variates) virtual Real stepSd…

sqrt, sqrtf, sqrtl – square root function Synopsis #include <math.h> double sqrt(double x); float sqrtf(float x); long double sqrtl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): sqrtf(), sqrtl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE Description These functions return the nonnegative square root of x. Return Value…

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::FloatingRateCoupon – base floating-rate coupon class Synopsis void update () Inherits QuantLib::Coupon, and QuantLib::Observer. Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon. Public Member Functions void update () CashFlow interface Real amount () const returns the amount of the cash flow Coupon interface Rate rate () const accrued rate Real price (const Handle<…

ql/math/interpolations/multicubicspline.hpp – N-dimensional cubic spline interpolation between discrete points. Synopsis #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> #include <vector> Classes class MultiCubicSpline< i > N-dimensional cubic spline interpolation between discrete points. Typedefs typedef std::vector< std::vector< Real > > SplineGrid typedef DataTable< Real > base_data_table typedef Data< std::vector< Real >, EmptyArg > base_data typedef Point< Real, EmptyArg…