SysTutorials Posts

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::StrippedOptionletBase – Synopsis#include <ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp> Inherits QuantLib::LazyObject. Inherited by OptionletStripper, and StrippedOptionlet. Public Member Functionsvirtual const std::vector< Rate > & optionletStrikes (Size i) const =0 virtual const std::vector< Volatility > & optionletVolatilities (Size i) const =0 virtual const std::vector< Date > & optionletFixingDates () const =0 virtual const std::vector< Time > & optionletFixingTimes () const =0…

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::StochasticProcess::discretization – discretization of a stochastic process over a given time interval Synopsis#include <ql/stochasticprocess.hpp> Inherited by EndEulerDiscretization, and EulerDiscretization. Public Member Functionsvirtual Disposable< Array > drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0 virtual Disposable< Matrix > diffusion (const StochasticProcess &, Time t0, const Array &x0, Time dt) const =0…

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::discretization – discretization of a 1-D stochastic process Synopsis#include <ql/stochasticprocess.hpp> Inherited by EndEulerDiscretization, and EulerDiscretization. Public Member Functionsvirtual Real drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const =0 virtual Real diffusion (const StochasticProcess1D &, Time t0, Real x0, Time dt) const =0 virtual Real variance (const StochasticProcess1D &, Time t0, Real x0,…

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)…

QuantLib::StochasticProcess – multi-dimensional stochastic process class. Synopsis#include <ql/stochasticprocess.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by ForwardMeasureProcess, G2Process, GJRGARCHProcess, HestonProcess, JointStochasticProcess, LiborForwardModelProcess, StochasticProcess1D, and StochasticProcessArray. Classesclass discretization discretization of a stochastic process over a given time interval Public Member FunctionsStochastic process interface virtual Size size () const =0 returns the number of dimensions of the stochastic process…

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

QuantLib::StickyMinPayoff – StickyMin payoff (double option). Synopsis#include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::DoubleStickyRatchetPayoff. Public Member FunctionsStickyMinPayoff (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 DescriptionStickyMin payoff (double option). Member Function Documentationstd::string name () const [virtual]Warning This method is used for output…

QuantLib::StickyMaxPayoff – StickyMax payoff (double option). Synopsis#include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::DoubleStickyRatchetPayoff. Public Member FunctionsStickyMaxPayoff (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 DescriptionStickyMax payoff (double option). Member Function Documentationstd::string name () const [virtual]Warning This method is used for output…