SysTutorials Posts

QuantLib::StepConditionSet – Parallel evolver for multiple arrays. Synopsis#include <ql/methods/finitedifferences/parallelevolver.hpp> Public Member Functionsvoid applyTo (std::vector< array_type > &a, Time t) const void push_back (const itemType &a) Detailed Descriptiontemplate<typename array_type> class QuantLib::StepConditionSet< array_type >Parallel evolver for multiple arrays. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::StepCondition – condition to be applied at every time step Synopsis#include <ql/methods/finitedifferences/stepcondition.hpp> Public Member Functionsvirtual void applyTo (array_type &a, Time t) const =0 Detailed Descriptiontemplate<class array_type> class QuantLib::StepCondition< array_type >condition to be applied at every time step AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::SteepestDescent – Multi-dimensional steepest-descent class. Synopsis#include <ql/math/optimization/steepestdescent.hpp> Inherits QuantLib::LineSearchBasedMethod. Public Member FunctionsSteepestDescent (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 DescriptionMulti-dimensional steepest-descent class. User has to provide line-search method and optimization end criteria search direction $ = – f'(x) $ AuthorGenerated automatically…

QuantLib::StatsHolder – Helper class for precomputed distributions. Synopsis#include <ql/math/statistics/gaussianstatistics.hpp> Public Typestypedef Real value_type Public Member FunctionsStatsHolder (Real mean, Real standardDeviation) Real mean () const Real standardDeviation () const Detailed DescriptionHelper class for precomputed distributions. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::SquareRootProcess – Square-root process class. Synopsis#include <ql/processes/squarerootprocess.hpp> Inherits QuantLib::StochasticProcess1D. Public Member FunctionsSquareRootProcess (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 of the…

QuantLib::SquareRootAndersen – Synopsis#include <ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.hpp> Inherits QuantLib::MarketModelVolProcess. Public Member FunctionsSquareRootAndersen (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 () const…

QuantLib::SphereCylinderOptimizer – Synopsis#include <ql/math/optimization/spherecylinder.hpp> Public Member FunctionsSphereCylinderOptimizer (Real r, Real s, Real alpha, Real z1, Real z2, Real z3, Real zweight=1.0) bool isIntersectionNonEmpty () const void findClosest (Size maxIterations, Real tolerance, Real &y1, Real &y2, Real &y3) const bool findByProjection (Real &y1, Real &y2, Real &y3) const Detailed Description* we are in r^3 sphere centred…

QuantLib::SouthKorea – South Korean calendars. Synopsis#include <ql/time/calendars/southkorea.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { Settlement, KRX } Public Member FunctionsSouthKorea (Market m=KRX) Detailed DescriptionSouth Korean calendars. Public holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Independence Day, March 1st * Arbour Day, April 5th (until 2005) * Labour Day, May 1st *…

QuantLib::SouthAfrica – South-African calendar. Synopsis#include <ql/time/calendars/southafrica.hpp> Inherits QuantLib::Calendar. Detailed DescriptionSouth-African calendar. Holidays: * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday) * Good Friday * Family Day, Easter Monday * Human Rights Day, March 21st (possibly moved to Monday) * Freedom Day, April 27th (possibly moved to Monday) * Workers…

QuantLib::Solver1D – Base class for 1-D solvers. Synopsis#include <ql/math/solver1d.hpp> Inherits CuriouslyRecurringTemplate< Impl >. Public Member FunctionsModifiers template<class F > Real solve (const F &f, Real accuracy, Real guess, Real step) const template<class F > Real solve (const F &f, Real accuracy, Real guess, Real xMin, Real xMax) const void setMaxEvaluations (Size evaluations) void setLowerBound (Real…

QuantLib::SoftCallability – callability leaving to the holder the possibility to convert Synopsis#include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::Callability. Public Member FunctionsSoftCallability (const Price &price, const Date &date, Real trigger) Real trigger () const Detailed Descriptioncallability leaving to the holder the possibility to convert Examples: ConvertibleBonds.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::SobolRsg – Sobol low-discrepancy sequence generator. Synopsis#include <ql/math/randomnumbers/sobolrsg.hpp> Public Typesenum DirectionIntegers { Unit, Jaeckel, SobolLevitan, SobolLevitanLemieux, JoeKuoD5, JoeKuoD6, JoeKuoD7, Kuo, Kuo2, Kuo3 } typedef Sample< std::vector< Real > > sample_type Public Member FunctionsSobolRsg (Size dimensionality, unsigned long seed=0, DirectionIntegers directionIntegers=Jaeckel) void skipTo (unsigned long n) const std::vector< unsigned long > & nextInt32Sequence () const const…

QuantLib::SobolBrownianGenerator – Sobol Brownian generator for market-model simulations. Synopsis#include <ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp> Inherits QuantLib::BrownianGenerator. Public Typesenum Ordering { Factors, Steps, Diagonal } Public Member FunctionsSobolBrownianGenerator (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 DescriptionSobol Brownian generator…

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 FunctionsSmileSection (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 maxStrike ()…

QuantLib::Slovakia – Slovak calendars. Synopsis#include <ql/time/calendars/slovakia.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { BSSE } Public Member FunctionsSlovakia (Market m=BSSE) Detailed DescriptionSlovak calendars. Holidays for the Bratislava stock exchange (data from <http://www.bsse.sk/>): * Saturdays * Sundays * New Year’s Day, January 1st * Epiphany, January 6th * Good Friday * Easter Monday * May Day, May…

QuantLib::Singleton – Basic support for the singleton pattern. Synopsis#include <ql/patterns/singleton.hpp> Inherits boost::noncopyable. Static Public Member Functionsstatic T & instance () access to the unique instance Detailed Descriptiontemplate<class T> class QuantLib::Singleton< T >Basic support for the singleton pattern. The typical use of this class is: class Foo : public Singleton<Foo> { friend class Singleton<Foo>; private: Foo()…

QuantLib::SingleVariate – default Monte Carlo traits for single-variate models Synopsis#include <ql/methods/montecarlo/mctraits.hpp> Public Typesenum { allowsErrorEstimate = RNG::allowsErrorEstimate } typedef RNG rng_traits typedef Path path_type typedef PathPricer< path_type > path_pricer_type typedef RNG::rsg_type rsg_type typedef PathGenerator< rsg_type > path_generator_type Detailed Descriptiontemplate<class RNG = PseudoRandom> struct QuantLib::SingleVariate< RNG >default Monte Carlo traits for single-variate models AuthorGenerated automatically by…

QuantLib::SingleProductComposite – Composition of one or more market-model products. Synopsis#include <ql/models/marketmodels/products/singleproductcomposite.hpp> Inherits QuantLib::MarketModelComposite. Public Member FunctionsMarketModelMultiProduct interface Size numberOfProducts () const Size maxNumberOfCashFlowsPerProductPerStep () const bool nextTimeStep (const CurveState &currentState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated) return value indicates whether path is finished, TRUE means done std::auto_ptr< MarketModelMultiProduct > clone ()…

QuantLib::SingleAssetOption – Black-Scholes-Merton option. Synopsis#include <ql/legacy/pricers/singleassetoption.hpp> Inherited by DiscreteGeometricASO. Public Member FunctionsSingleAssetOption (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 virtual Real…

QuantLib::Singapore – Singapore calendars Synopsis#include <ql/time/calendars/singapore.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { SGX } Public Member FunctionsSingapore (Market m=SGX) Detailed DescriptionSingapore 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, August 9th * Christmas,…