SysTutorials Posts

QuantLib::SMMDriftCalculator – Drift computation for coterminal swap market models. Synopsis#include <ql/models/marketmodels/driftcomputation/smmdriftcalculator.hpp> Public Member FunctionsSMMDriftCalculator (const Matrix &pseudo, const std::vector< Spread > &displacements, const std::vector< Time > &taus, Size numeraire, Size alive) void compute (const CoterminalSwapCurveState &cs, std::vector< Real > &drifts) const Computes the drifts. Detailed DescriptionDrift computation for coterminal swap market models. Returns the drift…

QuantLib::SEKLibor – SEK LIBOR rate Synopsis#include <ql/indexes/ibor/seklibor.hpp> Inherits QuantLib::Libor. Public Member FunctionsSEKLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionSEK LIBOR rate Sweden Krone LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::SABRInterpolation – SABR smile interpolation between discrete volatility points. Synopsis#include <ql/math/interpolations/sabrinterpolation.hpp> Inherits QuantLib::Interpolation. Public Member Functionstemplate<class I1 , class I2 > SABRInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real alpha, Real beta, Real nu, Real rho, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool vegaWeighted=false, const…

QuantLib::SABR – SABR interpolation factory and traits Synopsis#include <ql/math/interpolations/sabrinterpolation.hpp> Public Member FunctionsSABR (Time t, Real forward, Real alpha, Real beta, Real nu, Real rho, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool vegaWeighted=false, const boost::shared_ptr< EndCriteria > endCriteria=boost::shared_ptr< EndCriteria >(), const boost::shared_ptr< OptimizationMethod > optMethod=boost::shared_ptr< OptimizationMethod >()) template<class I1 , class I2 > Interpolation…

QuantLib::Rounding – basic rounding class Synopsis#include <ql/math/rounding.hpp> Inherited by CeilingTruncation, ClosestRounding, DownRounding, FloorTruncation, and UpRounding. Public Typesenum Type { None, Up, Down, Closest, Floor, Ceiling } rounding methods Public Member FunctionsRounding () default constructor Rounding (Integer precision, Type type=Closest, Integer digit=5) Decimal operator() (Decimal value) const perform rounding InspectorsInteger precision () const Type type ()…

QuantLib::RiskyAssetSwap – Risky asset-swap instrument. Synopsis#include <ql/experimental/credit/riskyassetswap.hpp> Inherits QuantLib::Instrument. Public Member FunctionsRiskyAssetSwap (bool fixedPayer, Real nominal, const Schedule &fixedSchedule, const Schedule &floatSchedule, const DayCounter &fixedDayCounter, const DayCounter &floatDayCounter, Rate spread, Rate recoveryRate_, const Handle< YieldTermStructure > &yieldTS, const Handle< DefaultProbabilityTermStructure > &defaultTS, Rate coupon=Null< Rate >()) Real fairSpread () Real floatAnnuity () const Real nominal…

QuantLib::Ridder – Ridder 1-D solver Synopsis#include <ql/math/solvers1d/ridder.hpp> Inherits Solver1D< Ridder >. Public Member Functionstemplate<class F > Real solveImpl (const F &f, Real xAcc) const Detailed DescriptionRidder 1-D solver Tests the correctness of the returned values is tested by checking them against known good results.AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Replication – Digital option replication strategy. Synopsis#include <ql/cashflows/replication.hpp> Public Typesenum Type { Sub, Central, Super } Related Functions(Note that these are not member functions.) std::ostream & operator<< (std::ostream &, Replication::Type) Detailed DescriptionDigital option replication strategy. Specification of replication strategies used to price the embedded digital option in a digital coupon. Friends And Related Function Documentationstd::ostream…

QuantLib::ReplicatingVarianceSwapEngine – Variance-swap pricing engine using replicating cost,. Synopsis#include <ql/pricingengines/forward/replicatingvarianceswapengine.hpp> Inherits QuantLib::VarianceSwap::engine. Public Typestypedef std::vector< std::pair< boost::shared_ptr< StrikedTypePayoff >, Real > > weights_type Public Member FunctionsReplicatingVarianceSwapEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real dk=5.0, const std::vector< Real > &callStrikes=std::vector< Real >(), const std::vector< Real > &putStrikes=std::vector< Real >()) void calculate () const Protected Member Functionsvoid computeOptionWeights…

QuantLib::RelinkableHandle – Relinkable handle to an observable. Synopsis#include <ql/handle.hpp> Inherits Handle< T >. Public Member FunctionsRelinkableHandle (const boost::shared_ptr< T > &h=boost::shared_ptr< T >(), bool registerAsObserver=true) void linkTo (const boost::shared_ptr< T > &, bool registerAsObserver=true) Detailed Descriptiontemplate<class T> class QuantLib::RelinkableHandle< T >Relinkable handle to an observable. An instance of this class can be relinked so that…

QuantLib::RelativeDateRateHelper – Rate helper with date schedule relative to the global evaluation date. Synopsis#include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::BootstrapHelper< YieldTermStructure >. Inherited by BMASwapRateHelper, DepositRateHelper, FraRateHelper, and SwapRateHelper. Public Member FunctionsRelativeDateRateHelper (const Handle< Quote > &quote) RelativeDateRateHelper (Real quote) Observer interface void update () Protected Member Functionsvirtual void initializeDates ()=0 Protected AttributesDate evaluationDate_ Detailed DescriptionRate helper with…

QuantLib::Region – Region class, used for inflation applicability. Synopsis#include <ql/indexes/region.hpp> Inherited by AustraliaRegion, EURegion, FranceRegion, and UKRegion. Public Member FunctionsInspectors const std::string & name () const const std::string & code () const Protected Attributesboost::shared_ptr< Data > data_ Related Functions(Note that these are not member functions.) bool operator== (const Region &, const Region &) bool operator!=…

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

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

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

QuantLib::RangeAccrualLeg – helper class building a sequence of range-accrual floating-rate coupons Synopsis#include <ql/cashflows/rangeaccrual.hpp> Public Member FunctionsRangeAccrualLeg (const Schedule &schedule, const boost::shared_ptr< IborIndex > &index) RangeAccrualLeg & withNotionals (Real notional) RangeAccrualLeg & withNotionals (const std::vector< Real > &notionals) RangeAccrualLeg & withPaymentDayCounter (const DayCounter &) RangeAccrualLeg & withPaymentAdjustment (BusinessDayConvention) RangeAccrualLeg & withFixingDays (Natural fixingDays) RangeAccrualLeg & withFixingDays…

QuantLib::RandomizedLDS – Randomized (random shift) low-discrepancy sequence. Synopsis#include <ql/math/randomnumbers/randomizedlds.hpp> Public Typestypedef Sample< std::vector< Real > > sample_type Public Member FunctionsRandomizedLDS (const LDS &ldsg, const PRS &prsg) RandomizedLDS (const LDS &ldsg) RandomizedLDS (Size dimensionality, BigNatural ldsSeed=0, BigNatural prsSeed=0) const sample_type & nextSequence () const returns next sample using a given randomizing vector const sample_type & lastSequence…

QuantLib::RandomSequenceGenerator – Random sequence generator based on a pseudo-random number generator. Synopsis#include <ql/math/randomnumbers/randomsequencegenerator.hpp> Public Typestypedef Sample< std::vector< Real > > sample_type Public Member FunctionsRandomSequenceGenerator (Size dimensionality, const RNG &rng) RandomSequenceGenerator (Size dimensionality, BigNatural seed=0) const sample_type & nextSequence () const std::vector< BigNatural > nextInt32Sequence () const const sample_type & lastSequence () const Size dimension ()…

QuantLib::RandomDefaultModel – Base class for random default models. Synopsis#include <ql/experimental/credit/randomdefaultmodel.hpp> Inherited by GaussianRandomDefaultModel. Public Member FunctionsRandomDefaultModel (boost::shared_ptr< Pool > pool) virtual void nextSequence (Real tmax=QL_MAX_REAL)=0 Protected Attributesboost::shared_ptr< Pool > pool_ Detailed DescriptionBase class for random default models. Provides sequences of random default times for each name in the pool. Member Function Documentationvirtual void nextSequence (Real…

QuantLib::Quote – purely virtual base class for market observables Synopsis#include <ql/quote.hpp> Inherits QuantLib::Observable. Inherited by CompositeQuote< BinaryFunction >, DerivedQuote< UnaryFunction >, EurodollarFuturesImpliedStdDevQuote, ForwardSwapQuote, ForwardValueQuote, FuturesConvAdjustmentQuote, ImpliedStdDevQuote, LastFixingQuote, and SimpleQuote. Public Member Functionsvirtual Real value () const =0 returns the current value virtual bool isValid () const =0 returns true if the Quote holds a valid…