- s -

• SabrParametricVolatility() : SabrParametricVolatility
• sabrProb() : KienitzLawsonSwayneSabrPdeDensity
• SabrStrippedOptionletAdapter() : SabrStrippedOptionletAdapter< TimeInterpolator >
• SAibor() : SAibor
• salvage() : CovarianceSalvage, NoCovarianceSalvage, SpectralCovarianceSalvage
• salvagingAlgorithm() : CrossAssetModel
• SavedObservableSettings() : SavedObservableSettings
• scalarmultprob() : MDD
• scalarmultx() : MDD
• scalarshiftx() : MDD
• ScaledCashFlow() : ScaledCashFlow
• ScaledCoupon() : ScaledCoupon
• scaling() : Lgm1fParametrization< TS >
• scenarioCashflow() : BondBasket
• scenarioFeeflow() : BondBasket
• scenarioInterestflow() : BondBasket
• scenarioLossflow() : BondBasket
• scenarioPrincipalflow() : BondBasket
• scenarioRemainingNotional() : BondBasket
• secondDerivative() : ConstantInterpolation::ConstantInterpolationImpl, LogInterpolationImpl< I1, I2, Interpolator >, QuadraticInterpolationImpl< I1, I2 >, FlatExtrapolation::FlatExtrapolationImpl
• secondMoment() : MomentMatchingResults
• security() : BondRepo
• securityMultiplier() : BondRepo
• securityName() : BondIndex
• securitySpread() : BondIndex, DiscountingRiskyBondEngine, DiscountingRiskyBondEngineMultiState
• SEKCurrency() : SECPI
• SEKSior() : SEKSior
• SEKStibor() : SEKStibor
• SEKStina() : SEKStina
• selectContext() : ComputeEnvironment
• set() : Filter, RandomVariable
• setAll() : Filter, RandomVariable
• setBasket() : DefaultLossModel
• setCalibrationInfo() : LinearGaussMarkovModel
• setCapletVolatility() : NonStandardYoYInflationCouponPricer
• setCommon() : CappedFlooredCPICashFlow, CappedFlooredCPICoupon, NonStandardCappedFlooredYoYInflationCoupon
• setConversionRatio() : FdmDefaultableEquityJumpDiffusionOp
• setCorrelation() : CrossAssetModel
• setCorrelationCurve() : CmsSpreadCouponPricer2
• setCurrentValue() : Problem_MT
• setFixing() : InflationIndexObserver
• setFixingDates() : NonStandardYoYInflationCoupon
• setFixingStartDate() : BondTRSCashFlow
• setFunctionValue() : Problem_MT
• setGradientNormValue() : Problem_MT
• setGrid() : BondBasket
• setHistory() : DividendManager
• setIntegrationPolicy() : CrossAssetModel
• setLossModel() : Basket
• setMaturities() : InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >
• setMonotoneVar() : BlackMonotoneVarVolTermStructure
• setONIndexedCouponPricer() : AverageOIS
• setParam() : LinkableCalibratedModel
• setParams() : LinkableCalibratedModel
• setPeriodQuantity() : CommodityIndexedCashFlow
• setPricer() : CappedFlooredCPICashFlow, CmbCoupon, EquityCoupon, EquityMarginCoupon, FloatingRateFXLinkedNotionalCoupon, NonStandardCappedFlooredYoYInflationCoupon, StrippedCappedFlooredYoYInflationCoupon
• setPricingEngine() : YoYCapFloorHelper, YoYSwapHelper
• setSeasonality() : PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >
• setTermStructure() : AverageFuturePriceHelper, AverageOffPeakPowerHelper, AverageOISRateHelper, AverageSpotPriceHelper, BasisTwoSwapHelper, BRLCdiRateHelper, CapFloorHelper, CrossCcyBasisMtMResetSwapHelper, CrossCcyBasisSwapHelper, CrossCcyFixFloatMtMResetSwapHelper, CrossCcyFixFloatSwapHelper, DatedBRLCdiRateHelper, DatedOISRateHelper, ImmFraRateHelper, OICCBSHelper, OISCapFloorHelper, OISRateHelper, SubPeriodsSwapHelper, TenorBasisSwapHelper
• setTime() : FdmBlackScholesOp, FdmDefaultableEquityJumpDiffusionFokkerPlanckOp, FdmDefaultableEquityJumpDiffusionOp, FdmLgmOp, RandomVariable
• Settings() : ComputeContext::Settings
• settledLoss() : Basket
• settlementDate() : PairwiseVarianceSwap
• settlementDays() : BlackInvertedVolTermStructure, BlackMonotoneVarVolTermStructure, BlackTriangulationATMVolTermStructure, BlackVolatilityConstantSpread, BlackVolatilitySurfaceProxy, BlackVolatilityWithATM, BondYieldShiftedCurveTermStructure, CommodityBasisPriceCurveWrapper, DiscountRatioModifiedCurve, HazardSpreadedDefaultTermStructure, IborFallbackCurve, ImpliedDefaultTermStructure, InterpolatedDiscountCurve2, NegativeCorrelationTermStructure, OptionletStripper, OvernightFallbackCurve, SpreadedBlackVolatilityCurve, SpreadedBlackVolatilitySurfaceMoneyness, SpreadedCorrelationCurve, SpreadedDiscountCurve, SpreadedOptionletVolatility2, SpreadedPriceTermStructure, SpreadedSurvivalProbabilityTermStructure, SpreadedSwaptionVolatility, SpreadedYoYInflationCurve, SpreadedZeroInflationCurve, StaticallyCorrectedYieldTermStructure, StrippedYoYInflationOptionletVol, SwapConventions, SwaptionVolatilityConstantSpread, SwaptionVolCubeWithATM, TermInterpolatedDefaultCurve
• SettlementImpl() : RussiaModified::SettlementImpl
• settlementMethod() : CommodityAveragePriceOption, GenericSwaption, MultiLegOption
• settlementType() : CommodityAveragePriceOption, GenericSwaption, MultiLegOption
• settlesAccrual() : RiskParticipationAgreement, RiskParticipationAgreementTLock
• setup() : IterativeBootstrap< Curve >
• setupArguments() : Ascot::arguments, Ascot, BalanceGuaranteedSwap, BondOption, BondRepo, BondTRS, CashSettledEuropeanOption, CBO, CdsOption, CliquetOption, CommodityAveragePriceOption, CommodityForward, CommoditySpreadOption, ConvertibleBond2, ConvertibleBond::option, CreditLinkedSwap, CrossCcyBasisMtMResetSwap, CrossCcyBasisSwap, CrossCcyFixFloatMtMResetSwap, CrossCcyFixFloatSwap, CrossCcySwap, CurrencySwap, Deposit, EquityForward, FlexiSwap, ForwardBond, FxForward, GenericSwaption, IndexCdsOption, IndexCreditDefaultSwap, MultiLegOption, OutperformanceOption, OvernightIndexedCrossCcyBasisSwap, PairwiseVarianceSwap, Payment, RiskParticipationAgreement, RiskParticipationAgreementTLock, SyntheticCDO, VanillaForwardOption, VarianceSwap2
• setupExpired() : BalanceGuaranteedSwap, BondRepo, CBO, CdsOption, CrossCcyBasisMtMResetSwap, CrossCcyBasisSwap, CrossCcyFixFloatMtMResetSwap, CrossCcyFixFloatSwap, CrossCcySwap, CurrencySwap, Deposit, FlexiSwap, FxForward, IndexCdsOption, OutperformanceOption, PairwiseVarianceSwap, Payment, RiskParticipationAgreement, RiskParticipationAgreementTLock, SyntheticCDO, TenorBasisSwap
• setupFuture() : CommodityAveragePriceOptionMonteCarloEngine
• setUpSolver() : OptionSurfaceStripper
• setVariable() : ComputationGraph
• setVolatility() : CPICapFloorEngine, YoYInflationCapFloorEngine
• SGDSibor() : SGDSibor
• SGDSor() : SGDSor
• shift() : AtmAdjustedSmileSection, CarrMadanMarginalProbability, CarrMadanMarginalProbabilitySafeStrikes, Lgm1fParametrization< TS >
• shifted() : CirppParametrization< TS >
• shiftImpl() : DynamicSwaptionVolatilityMatrix, SpreadedSwaptionVolatility, SwaptionVolCubeWithATM
• shortAssetFxIndex() : CommoditySpreadOption
• shortRate() : HwModel, IrModel, LinearGaussMarkovModel
• shortSwap() : BasisTwoSwapHelper
• sigma() : CirppConstantParametrization< TS >, CirppConstantWithFellerParametrization< TS >, CirppParametrization< TS >, CommoditySchwartzParametrization, DefaultableEquityJumpDiffusionModel, EqBsConstantParametrization, EqBsParametrization, EqBsPiecewiseConstantParametrization, FxBsConstantParametrization, FxBsParametrization, FxBsPiecewiseConstantParametrization
• sigma_x() : HwConstantParametrization< TS >, HwParametrization< TS >
• sigmaParameter() : CommoditySchwartzParametrization
• simpleDeltaFromStrike() : SimpleDeltaInterpolatedSmile
• SimpleDeltaInterpolatedSmile() : SimpleDeltaInterpolatedSmile
• simulatePath() : AmcCalculator, McMultiLegBaseEngine::MultiLegBaseAmcCalculator
• size() : Basket, CashflowTable, ComputationGraph, CrCirppStateProcess, CrossAssetStateProcess, DiscreteDistribution, FdmBlackScholesOp, FdmDefaultableEquityJumpDiffusionFokkerPlanckOp, FdmDefaultableEquityJumpDiffusionOp, FdmLgmOp, Filter, IrHwStateProcess, RandomVariable, RandomVariableLsmBasisSystem, StabilisedGLLS
• SKKBribor() : SKKBribor
• smileErrorMessage() : BlackVolatilitySurfaceBFRR
• smileHasError() : BlackVolatilitySurfaceBFRR
• smileInterpolation() : BlackVolatilitySurfaceAbsolute, BlackVolatilitySurfaceBFRR
• smileSectionImpl() : DatedStrippedOptionletAdapter, DynamicOptionletVolatilityStructure, DynamicSwaptionVolatilityMatrix, InterpolatedOptionletCurve< Interpolator >, PiecewiseAtmOptionletCurve< Interpolator, Bootstrap >, ProxyOptionletVolatility, ProxySwaptionVolatility, SabrStrippedOptionletAdapter< TimeInterpolator >, SpreadedOptionletVolatility2, SpreadedOptionletVolatility, SpreadedSwaptionVolatility, StrippedOptionletAdapter2, StrippedOptionletAdapter< TimeInterpolator, SmileInterpolator >, SwaptionSabrCube, SwaptionVolatilityConstantSpread, SwaptionVolCube2, SwaptionVolCubeWithATM
• SofrTerm() : SofrTerm
• SoftCallability() : SoftCallability
• solve_splitting() : FdmBlackScholesOp, FdmDefaultableEquityJumpDiffusionFokkerPlanckOp, FdmDefaultableEquityJumpDiffusionOp, FdmLgmOp
• solveTimeStep_LS() : KienitzLawsonSwayneSabrPdeDensity
• SoniaTerm() : SoniaTerm
• Sora() : Sora
• source() : CompoEquityIndex
• sourceCurrency() : FxIndex
• sourceCurve() : FxIndex
• Spain() : Spain
• SpainRegion() : ESCPI, SpainRegion
• splicemezz() : MDD
• splitESFLevel() : DefaultLossModel
• splitVaRLevel() : Basket, DefaultLossModel
• spot() : BlackVolatilitySurfaceAbsolute, BlackVolatilitySurfaceBFRR, BlackVolatilityWithATM, CarrMadanSurface
• spotAveragingPricingDates() : CommodityIndexedCashFlow
• spotCalendar() : PriceTermStructureAdapter
• spotDays() : PriceTermStructureAdapter
• spotFloatLegFactor() : CommoditySwaptionMonteCarloEngine
• spotFX() : CrossCcySwapEngine, DiscountingFxForwardEngine
• spotFx() : DiscountingFxForwardEngineDeltaGamma
• spotFX() : PaymentDiscountingEngine
• spotIndex() : CommodityIndexedCashFlow
• spread() : BalanceGuaranteedSwap, CashflowRow, CommodityCashFlow, FallbackIborIndex, FallbackOvernightIndex, FlexiSwap, FloatingAnnuityCoupon, IborFallbackCurve, NonStandardYoYInflationCoupon, OvernightFallbackCurve, SubPeriodsCoupon1
• spreadAdjustedRate() : DiscretizedConvertible
• SpreadedBaseCorrelationCurve() : SpreadedBaseCorrelationCurve
• SpreadedBlackVolatilityCurve() : SpreadedBlackVolatilityCurve
• SpreadedBlackVolatilitySurfaceMoneyness() : SpreadedBlackVolatilitySurfaceLogMoneynessForward, SpreadedBlackVolatilitySurfaceLogMoneynessSpot, SpreadedBlackVolatilitySurfaceMoneyness, SpreadedBlackVolatilitySurfaceMoneynessForward, SpreadedBlackVolatilitySurfaceMoneynessForwardAbsolute, SpreadedBlackVolatilitySurfaceMoneynessSpot, SpreadedBlackVolatilitySurfaceMoneynessSpotAbsolute, SpreadedBlackVolatilitySurfaceStdDevs
• SpreadedCorrelationCurve() : SpreadedCorrelationCurve
• SpreadedCPIVolatilitySurface() : SpreadedCPIVolatilitySurface
• SpreadedCreditVolCurve() : SpreadedCreditVolCurve
• SpreadedDiscountCurve() : SpreadedDiscountCurve
• SpreadedOptionletVolatility() : SpreadedOptionletVolatility
• SpreadedOptionletVolatility2() : SpreadedOptionletVolatility2
• SpreadedPriceTermStructure() : SpreadedPriceTermStructure
• SpreadedSmileSection() : SpreadedSmileSection
• SpreadedSmileSection2() : SpreadedSmileSection2
• SpreadedSurvivalProbabilityTermStructure() : SpreadedSurvivalProbabilityTermStructure
• SpreadedSwaptionVolatility() : SpreadedSwaptionVolatility
• SpreadedYoYInflationCurve() : SpreadedYoYInflationCurve
• SpreadedYoYVolatilitySurface() : SpreadedYoYVolatilitySurface
• SpreadedZeroInflationCurve() : SpreadedZeroInflationCurve
• spreadNpv() : CashFlows
• spreadOnRec() : TenorBasisSwap
• spreadStrikeCalculate() : BlackIndexCdsOptionEngine
• spreadsVol() : OptionletStripper2
• spreadsVolImplied() : OptionletStripper2
• ss() : ss
• StabilisedGLLS() : StabilisedGLLS
• standardDeviation() : NadarayaWatsonImpl< I1, I2, Kernel >, RegressionImpl, NadarayaWatson
• startDate() : BaseCorrelationTermStructure, CashflowRow, CommodityIndexedAverageCashFlow, CurrencySwap, Deposit
• startDiscounts() : CurrencySwap
• startNotional() : CashflowRow
• startRedBlock() : ComputationGraph
• state() : CirppImpliedDefaultTermStructure, CrossAssetModelImpliedEqVolTermStructure, CrossAssetModelImpliedFxVolTermStructure, LgmImpliedDefaultTermStructure, LgmImpliedYieldTermStructure, ModelImpliedPriceTermStructure, ModelImpliedYieldTermStructure, YoYInflationModelTermStructure, ZeroInflationModelTermStructure
• stateGrid() : LgmBackwardSolver, LgmConvolutionSolver2, LgmConvolutionSolver, LgmFdSolver
• stateProcess() : CommodityModel, CommoditySchwartzModel, CrCirpp, CrossAssetModel, HwModel, IrModel, LinearGaussMarkovModel
• stateVariables() : CrossAssetModel
• StaticallyCorrectedYieldTermStructure() : StaticallyCorrectedYieldTermStructure
• Stats() : Stats
• std() : Stats
• stdDev() : MomentMatchingResults
• stdDeviation() : EqBsParametrization, FxBsParametrization, IrLgm1fStateProcess
• stdev() : MDD
• stepback() : TsiveriotisFernandesLattice< T >
• stepTimes() : DefaultableEquityJumpDiffusionModel
• strike() : CommodityForward, CommoditySwaptionBaseEngine, CreditVolCurve, EquityForward, ForwardBondTypePayoff, FutureOptionHelper, FxEqOptionHelper
• strike1() : PairwiseVarianceSwap
• strike2() : PairwiseVarianceSwap
• strikeFromDelta() : SimpleDeltaInterpolatedSmile
• strikeFromMoneyness() : SpreadedBlackVolatilitySurfaceLogMoneynessForward, SpreadedBlackVolatilitySurfaceLogMoneynessSpot, SpreadedBlackVolatilitySurfaceMoneyness, SpreadedBlackVolatilitySurfaceMoneynessForward, SpreadedBlackVolatilitySurfaceMoneynessForwardAbsolute, SpreadedBlackVolatilitySurfaceMoneynessSpot, SpreadedBlackVolatilitySurfaceMoneynessSpotAbsolute, SpreadedBlackVolatilitySurfaceStdDevs
• strikeQuotes() : BlackVolatilitySurfaceAbsolute
• strikeReturn() : OutperformanceOption
• strikes() : BlackVolatilitySurfaceAbsolute, CapFloorTermVolSurface, CarrMadanMarginalProbability, CarrMadanMarginalProbabilitySafeStrikes, CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime >, InterpolatedCPIVolatilitySurface< Interpolator2D >, InterpolatedSmileSection, OptionInterpolator2d< InterpolatorStrike, InterpolatorExpiry >, OptionInterpolatorBase, OptionSurfaceStripper, StrippedCPIVolatilitySurface< Interpolator2D >
• stripOptionlets() : OptionletStripper1
• StrippedCappedFlooredCPICashFlow() : StrippedCappedFlooredCPICashFlow
• StrippedCappedFlooredCPICoupon() : StrippedCappedFlooredCPICoupon
• StrippedCappedFlooredCPICouponLeg() : StrippedCappedFlooredCPICouponLeg
• StrippedCappedFlooredYoYInflationCoupon() : StrippedCappedFlooredYoYInflationCoupon
• StrippedCappedFlooredYoYInflationCouponLeg() : StrippedCappedFlooredYoYInflationCouponLeg
• StrippedCPIVolatilitySurface() : StrippedCPIVolatilitySurface< Interpolator2D >
• StrippedOptionletAdapter() : StrippedOptionletAdapter< TimeInterpolator, SmileInterpolator >
• StrippedOptionletAdapter2() : StrippedOptionletAdapter2
• StrippedYoYInflationOptionletVol() : StrippedYoYInflationOptionletVol
• subfeeValue() : CBO
• subfeeValueStd() : CBO
• SubPeriodsCoupon1() : SubPeriodsCoupon1
• SubPeriodsCouponPricer1() : SubPeriodsCouponPricer1
• SubPeriodsLeg1() : SubPeriodsLeg1
• subPeriodsRate() : LgmVectorised
• SubPeriodsSwap() : SubPeriodsSwap
• SubPeriodsSwapHelper() : SubPeriodsSwapHelper
• subtract() : MultiCcyCompositeInstrument
• subtractInflationNotional() : CPICoupon
• sum() : MDD
• sumCashflows() : CashFlows
• sumspecial() : MDD
• sumspecialright() : MDD
• sumspecialunsorted() : MDD
• supportsDoublePrecision() : ComputeContext
• surface() : BlackVolatilityWithATM
• survivalProbabilities() : InterpolatedSurvivalProbabilityCurve< Interpolator >, SurvivalProbabilityCurve< Interpolator >
• survivalProbability() : CrCirpp, MidPointIndexCdsEngine
• SurvivalProbabilityCurve() : SurvivalProbabilityCurve< Interpolator >
• survivalProbabilityImpl() : AdjustedDefaultCurve, CirppImpliedDefaultTermStructure, GeneratorDefaultProbabilityTermStructure, HazardSpreadedDefaultTermStructure, ImpliedDefaultTermStructure, InterpolatedHazardRateCurve< Interpolator >, InterpolatedSurvivalProbabilityCurve< Interpolator >, LgmImpliedDefaultTermStructure, MultiSectionDefaultCurve, SpreadedSurvivalProbabilityTermStructure, SurvivalProbabilityCurve< Interpolator >, TermInterpolatedDefaultCurve
• swap() : BRLCdiRateHelper, CrossCcyBasisMtMResetSwapHelper, CrossCcyBasisSwapHelper, CrossCcyFixFloatMtMResetSwapHelper, CrossCcyFixFloatSwapHelper, DatedBRLCdiRateHelper, OICCBSHelper, OISRateHelper, SubPeriodsSwapHelper, TenorBasisSwapHelper
• SwapConventions() : SwapConventions
• swapIndex() : DurationAdjustedCmsCoupon
• swapletPrice() : AverageONIndexedCouponPricer, BlackAverageBMACouponPricer, BlackAverageONIndexedCouponPricer, BlackOvernightIndexedCouponPricer, BRLCdiCouponPricer, CmbCouponPricer, DurationAdjustedCmsCouponTsrPricer, LognormalCmsSpreadPricer, MCGaussianFormulaBasedCouponPricer, NonStandardYoYInflationCouponPricer, OvernightIndexedCouponPricer, SubPeriodsCouponPricer1
• swapletRate() : AverageONIndexedCouponPricer, BlackAverageBMACouponPricer, BlackAverageONIndexedCouponPricer, BlackOvernightIndexedCouponPricer, BRLCdiCouponPricer, CmbCouponPricer, DurationAdjustedCmsCouponTsrPricer, EquityCouponPricer, LognormalCmsSpreadPricer, MCGaussianFormulaBasedCouponPricer, NonStandardYoYInflationCouponPricer, OvernightIndexedCouponPricer, SubPeriodsCouponPricer1
• SwaptionConventionsEUR() : SwaptionConventionsEUR
• SwaptionSabrCube() : SwaptionSabrCube
• SwaptionVolatilityConstantSpread() : SwaptionVolatilityConstantSpread
• SwaptionVolatilityConverter() : SwaptionVolatilityConverter
• SwaptionVolatilityEUR() : SwaptionVolatilityEUR
• SwaptionVolCube2() : SwaptionVolCube2
• SwaptionVolCubeWithATM() : SwaptionVolCubeWithATM
• SwedenRegion() : SECPI, SwedenRegion
• switchDate() : FallbackIborIndex, FallbackOvernightIndex, IborFallbackCurve, OvernightFallbackCurve
• switchStrike() : OptionletStripper1
• switchTenor() : BlackVolatilitySurfaceAbsolute, BlackVolatilitySurfaceBFRR
• Switzerland() : Switzerland
• sx() : sx
• sy() : sy
• SyntheticCDO() : SyntheticCDO