A free/open-source library for quantitative finance
Reference manual - version 1.6
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sampleAccumulator() :
McSimulation< MC, RNG, S >
samples() :
GeneralStatistics
,
IncrementalStatistics
Schedule() :
Schedule
searchDirection() :
LineSearch
seasonalityBaseDate() :
MultiplicativePriceSeasonality
seasonalityFactor() :
MultiplicativePriceSeasonality
secondDerivativeAtCenter() :
SampledCurve
semiDeviation() :
GenericRiskStatistics< S >
semiVariance() :
GenericRiskStatistics< S >
setConstraintType() :
ConstrainedEvolver
,
LogNormalFwdRateEulerConstrained
setHistory() :
IndexManager
setLossModel() :
Basket
setLowerBound() :
Solver1D< Impl >
setMaxEvaluations() :
Solver1D< Impl >
setPricingEngine() :
Instrument
setSeasonality() :
InflationTermStructure
setSingleRedemption() :
Bond
setTermStructure() :
BootstrapHelper< TS >
,
YearOnYearInflationSwapHelper
,
YoYOptionletHelper
,
ZeroCouponInflationSwapHelper
setThisConstraint() :
ConstrainedEvolver
,
LogNormalFwdRateEulerConstrained
setTime() :
BoundaryCondition< Operator >
,
DirichletBC
,
NeumannBC
settledLoss() :
Basket
settlementDays() :
DriftTermStructure
,
ForwardSpreadedTermStructure
,
ImpliedTermStructure
,
InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator >
,
QuantoTermStructure
,
SabrVolSurface
,
SwaptionVolatilityCube
,
TermStructure
,
ZeroSpreadedTermStructure
settlementValue() :
Bond
setupArguments() :
AssetSwap
,
BarrierOption
,
Bond
,
CallableBond
,
CallableFixedRateBond
,
CapFloor
,
CdsOption
,
CliquetOption
,
CompoundOption
,
ContinuousAveragingAsianOption
,
ContinuousFixedLookbackOption
,
ContinuousFloatingLookbackOption
,
ContinuousPartialFixedLookbackOption
,
ContinuousPartialFloatingLookbackOption
,
CPICapFloor
,
CPISwap
,
CreditDefaultSwap
,
DiscreteAveragingAsianOption
,
DividendBarrierOption
,
DividendVanillaOption
,
DoubleBarrierOption
,
EnergyCommodity
,
FloatFloatSwap
,
FloatFloatSwaption
,
ForwardVanillaOption
,
HimalayaOption
,
Instrument
,
IrregularSwap
,
IrregularSwaption
,
MargrabeOption
,
MultiAssetOption
,
NonstandardSwap
,
NonstandardSwaption
,
NthToDefault
,
Option
,
PagodaOption
,
PathMultiAssetOption
,
SimpleChooserOption
,
Swap
,
Swaption
,
SyntheticCDO
,
TwoAssetBarrierOption
,
VanillaStorageOption
,
VanillaSwap
,
VanillaSwingOption
,
VarianceOption
,
VarianceSwap
,
WriterExtensibleOption
,
YearOnYearInflationSwap
,
YoYInflationCapFloor
,
ZeroCouponInflationSwap
setupExpired() :
Bond
,
CreditDefaultSwap
,
Instrument
,
MultiAssetOption
,
OneAssetOption
,
PathMultiAssetOption
,
RiskyBond
,
Swap
,
VarianceSwap
setupModels() :
BaseCorrelationLossModel< BaseModel_T, Corr2DInt_T >
setUpperBound() :
Solver1D< Impl >
setValue() :
RecoveryRateQuote
,
SimpleQuote
shift() :
SwaptionVolatilityCube
,
SwaptionVolatilityMatrix
,
SwaptionVolatilityStructure
shortfall() :
GenericRiskStatistics< S >
shortRate() :
BlackKarasinski::Dynamics
,
CoxIngersollRoss::Dynamics
,
ExtendedCoxIngersollRoss::Dynamics
,
HullWhite::Dynamics
,
OneFactorModel::ShortRateDynamics
,
Vasicek::Dynamics
ShortRateTree() :
OneFactorModel::ShortRateTree
,
TwoFactorModel::ShortRateTree
shortTermVolatility() :
AbcdFunction
Simplex() :
Simplex
SimulatedAnnealing() :
SimulatedAnnealing< RNG >
size() :
Array
,
Basket
,
ExtOUWithJumpsProcess
,
FittedBondDiscountCurve::FittingMethod
,
G2ForwardProcess
,
G2Process
,
GJRGARCHProcess
,
HestonProcess
,
HybridHestonHullWhiteProcess
,
KlugeExtOUProcess
,
LeastSquareProblem
,
LiborForwardModelProcess
,
StochasticProcess
,
StochasticProcessArray
,
TimeSeries< T, Container >
skewness() :
GeneralStatistics
,
IncrementalStatistics
skipTo() :
SobolRsg
smileSection() :
BlackVolSurface
,
OptionletVolatilityStructure
,
SwaptionVolatilityStructure
smileSectionImpl() :
CallableBondConstantVolatility
,
CallableBondVolatilityStructure
,
ConstantOptionletVolatility
,
OptionletVolatilityStructure
,
StrippedOptionletAdapter
SobolRsg() :
SobolRsg
solution() :
FittedBondDiscountCurve::FittingMethod
solve() :
Solver1D< Impl >
solveFor() :
TridiagonalOperator
SOR() :
TridiagonalOperator
sort() :
GeneralStatistics
source() :
ExchangeRate
splitESFLevel() :
DefaultLossModel
splitVaRAndError() :
RandomLM< derivedRandomLM, copulaPolicy, USNG >
splitVaRLevel() :
DefaultLossModel
,
RandomLM< derivedRandomLM, copulaPolicy, USNG >
,
SaddlePointLossModel< CP >
spotIncome() :
FixedRateBondForward
,
Forward
spotValue() :
FixedRateBondForward
,
Forward
spread() :
CPICoupon
,
FloatingRateCoupon
,
YoYInflationCoupon
Sqrt() :
Array
standardDeviation() :
GeneralStatistics
,
IncrementalStatistics
standardDeviations() :
CovarianceDecomposition
standardErrors() :
GeneralLinearLeastSquares
stdDeviation() :
ExtendedOrnsteinUhlenbeckProcess
,
G2ForwardProcess
,
G2Process
,
GemanRoncoroniProcess
,
GeneralizedOrnsteinUhlenbeckProcess
,
GsrProcess
,
HullWhiteForwardProcess
,
HullWhiteProcess
,
MfStateProcess
,
OrnsteinUhlenbeckProcess
,
StochasticProcess1D
,
StochasticProcess
,
StochasticProcessArray
strike() :
CPICapFloor
strikeSensitivity() :
BlackCalculator
subtract() :
CompositeInstrument
survivalProbability() :
DefaultProbabilityTermStructure
survivalProbabilityImpl() :
DefaultDensityStructure
,
DefaultProbabilityTermStructure
,
HazardRateStructure
,
InterpolatedDefaultDensityCurve< Interpolator >
,
InterpolatedHazardRateCurve< Interpolator >
,
InterpolatedSurvivalProbabilityCurve< Interpolator >
swap() :
Array
,
Clone< T >
,
Matrix
Swap() :
Swap
swapLength() :
SwaptionVolatilityStructure
SwaptionVolatilityMatrix() :
SwaptionVolatilityMatrix
SwaptionVolatilityStructure() :
SwaptionVolatilityStructure
symbol() :
Currency
SymmetricSchurDecomposition() :
SymmetricSchurDecomposition
SyntheticCDO() :
SyntheticCDO
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