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::IndexManager – global repository for past index fixings Synopsis #include <ql/indexes/indexmanager.hpp> Inherits Singleton< IndexManager >. Public Member Functions bool hasHistory (const std::string &name) const returns whether historical fixings were stored for the index const TimeSeries< Real > & getHistory (const std::string &name) const returns the (possibly empty) history of the index fixings void setHistory (const…
QuantLib::ExchangeRateManager – exchange-rate repository Synopsis #include <ql/currencies/exchangeratemanager.hpp> Inherits Singleton< ExchangeRateManager >. Public Member Functions void add (const ExchangeRate &, const Date &startDate=Date::minDate(), const Date &endDate=Date::maxDate()) Add an exchange rate. ExchangeRate lookup (const Currency &source, const Currency &target, Date date=Date(), ExchangeRate::Type type=ExchangeRate::Derived) const void clear () remove the added exchange rates Friends class Singleton< ExchangeRateManager >…
QuantLib::SingleAssetOption – Black-Scholes-Merton option. Synopsis #include <ql/legacy/pricers/singleassetoption.hpp> Inherited by DiscreteGeometricASO. Public Member Functions SingleAssetOption (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…
QuantLib::Singapore – Singapore calendars Synopsis #include <ql/time/calendars/singapore.hpp> Inherits QuantLib::Calendar. Public Types enum Market { SGX } Public Member Functions Singapore (Market m=SGX) Detailed Description Singapore 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,…
QuantLib::SimpsonIntegral – Integral of a one-dimensional function. Synopsis #include <ql/math/integrals/simpsonintegral.hpp> Inherits TrapezoidIntegral< Default >. Public Member Functions SimpsonIntegral (Real accuracy, Size maxIterations) Protected Member Functions Real integrate (const boost::function< Real(Real)> &f, Real a, Real b) const Detailed Description Integral of a one-dimensional function. Tests the correctness of the result is tested by checking it against…
QuantLib::Simplex – Multi-dimensional simplex class. Synopsis #include <ql/math/optimization/simplex.hpp> Inherits QuantLib::OptimizationMethod. Public Member Functions Simplex (Real lambda) virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria) minimize the optimization problem P Detailed Description Multi-dimensional simplex class. Constructor & Destructor Documentation Simplex (Real lambda) Constructor taking as input the characteristic length Author Generated automatically by Doxygen for QuantLib…
QuantLib::SimpleQuote – market element returning a stored value Synopsis #include <ql/quotes/simplequote.hpp> Inherits QuantLib::Quote. Public Member Functions SimpleQuote (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…
QuantLib::SimplePolynomialFitting – Simple polynomial fitting method. Synopsis #include <ql/termstructures/yield/nonlinearfittingmethods.hpp> Inherits QuantLib::FittedBondDiscountCurve::FittingMethod. Public Member Functions SimplePolynomialFitting (Natural degree, bool constrainAtZero=true) std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const clone of the current object Detailed Description Simple polynomial fitting method. Examples: FittedBondCurve.cpp. Author Generated 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 Functions SimpleLocalEstimator (Real y) TimeSeries< Volatility > calculate (const TimeSeries< Real > "eSeries) Detailed Description Local-estimator volatility model. Volatilities are assumed to be expressed on an annual basis. Author Generated automatically by Doxygen for QuantLib from the source code.
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…
NAME QuantLib::NthToDefault – N-th to default swap. SYNOPSIS #include <ql/experimental/credit/nthtodefault.hpp> Inherits QuantLib::Instrument. Public Member Functions NthToDefault (Size n, const std::vector< Issuer > &basket, const Handle< OneFactorCopula > &copula, Protection::Side side, Real nominal, const Schedule &premiumSchedule, Rate premiumRate, const DayCounter &dayCounter, bool settlePremiumAccrual, const Handle< YieldTermStructure > &yieldTS, const Period &integrationStepSize, boost::shared_ptr< Claim > claim=boost::shared_ptr< Claim…
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::OneFactorModel::ShortRateTree – Recombining trinomial tree discretizing the state variable. Synopsis #include <ql/models/shortrate/onefactormodel.hpp> Inherits TreeLattice1D< OneFactorModel::ShortRateTree >. Public Member Functions ShortRateTree (const boost::shared_ptr< TrinomialTree > &tree, const boost::shared_ptr< ShortRateDynamics > &dynamics, const TimeGrid &timeGrid) Plain tree build-up from short-rate dynamics. ShortRateTree (const boost::shared_ptr< TrinomialTree > &tree, const boost::shared_ptr< ShortRateDynamics > &dynamics, const boost::shared_ptr< TermStructureFittingParameter::NumericalImpl > &phi,…
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::OneFactorModel::ShortRateDynamics – Base class describing the short-rate dynamics. Synopsis #include <ql/models/shortrate/onefactormodel.hpp> Inherited by Dynamics, Dynamics, Dynamics, and Dynamics. Public Member Functions ShortRateDynamics (const boost::shared_ptr< StochasticProcess1D > &process) virtual Real variable (Time t, Rate r) const =0 Compute state variable from short rate. virtual Rate shortRate (Time t, Real variable) const =0 Compute short rate from…
Shell — The Shell widget class Synopsis #include <Xm/Xm.h> #include <X11/Shell.h> Description Shell is a top-level widget (with only one managed child) that encapsulates the interaction with the window manager. At the time the shell’s child is managed, the child’s width is used for both widgets if the shell is unrealized and no width has…
QuantLib::Brazil – Brazilian calendar. Synopsis #include <ql/time/calendars/brazil.hpp> Inherits QuantLib::Calendar. Public Types enum Market { Settlement, Exchange } Brazilian calendars. Public Member Functions Brazil (Market market=Settlement) Detailed Description Brazilian calendar. Banking holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Tiradentes’s Day, April 21th * Labour Day, May 1st * Independence Day, September…
AllPlanes, BlackPixel, WhitePixel, ConnectionNumber, DefaultColormap, DefaultDepth, XListDepths, DefaultGC, DefaultRootWindow, DefaultScreenOfDisplay, DefaultScreen, DefaultVisual, DisplayCells, DisplayPlanes, DisplayString, XMaxRequestSize, XExtendedMaxRequestSize, LastKnownRequestProcessed, NextRequest, ProtocolVersion, ProtocolRevision, QLength, RootWindow, ScreenCount, ScreenOfDisplay, ServerVendor, VendorRelease – Display macros and functions Syntax unsigned long AllPlanes; unsigned long BlackPixel(Display *display, int screen_number); unsigned long WhitePixel(Display *display, int screen_number); int ConnectionNumber(Display *display); Colormap DefaultColormap(Display *display, int…
ql/math/statistics/sequencestatistics.hpp – Statistics tools for sequence (vector, list, array) samples. Synopsis #include <ql/math/statistics/statistics.hpp> #include <ql/math/statistics/incrementalstatistics.hpp> #include <ql/math/matrix.hpp> Classes class GenericSequenceStatistics< StatisticsType > Statistics analysis of N-dimensional (sequence) data. Defines #define DEFINE_SEQUENCE_STAT_CONST_METHOD_VOID(METHOD) #define DEFINE_SEQUENCE_STAT_CONST_METHOD_DOUBLE(METHOD) Typedefs typedef GenericSequenceStatistics< Statistics > SequenceStatistics default multi-dimensional statistics tool typedef GenericSequenceStatistics< IncrementalStatistics > SequenceStatisticsInc Detailed Description Statistics tools for sequence (vector,…