Here is a list of all class members with links to the classes they belong to:

- s -

• s1_ : LognormalCmsSpreadPricer
• s2_ : LognormalCmsSpreadPricer
• S_ : AnalyticLgmSwaptionEngine
• S_m1 : AnalyticLgmSwaptionEngine
• SABR_Cum_Prob_Vec_ : KienitzLawsonSwayneSabrPdeDensity
• SABR_Prob_Vec_ : KienitzLawsonSwayneSabrPdeDensity
• SabrParametricVolatility() : SabrParametricVolatility
• sabrProb() : KienitzLawsonSwayneSabrPdeDensity
• SabrStrippedOptionletAdapter() : SabrStrippedOptionletAdapter< TimeInterpolator >
• SAibor() : SAibor
• salvage() : CovarianceSalvage, NoCovarianceSalvage, SpectralCovarianceSalvage
• salvaging_ : CrossAssetModel, CrossAssetStateProcess::ExactDiscretization, MCGaussianFormulaBasedCouponPricer
• salvagingAlgorithm() : CrossAssetModel
• samples_ : CommodityAveragePriceOptionMonteCarloEngine, CommoditySwaptionMonteCarloEngine, MCGaussianFormulaBasedCouponPricer, MonteCarloCBOEngine
• SavedObservableSettings() : SavedObservableSettings
• savedSettings : TopLevelFixture
• scalarmultprob() : MDD
• scalarmultx() : MDD
• scalarshiftx() : MDD
• ScaledCashFlow() : ScaledCashFlow
• ScaledCoupon() : ScaledCoupon
• scaling() : Lgm1fParametrization< TS >
• scaling_ : Lgm1fParametrization< TS >
• scenarioCashflow() : BondBasket
• scenarioFeeflow() : BondBasket
• scenarioInterestflow() : BondBasket
• scenarioLossflow() : BondBasket
• scenarioPrincipalflow() : BondBasket
• scenarioRemainingNotional() : BondBasket
• schedule : CBO::arguments
• schedule_ : AverageONLeg, CBO, CmbLeg, CommodityIndexedAverageLeg, CommodityIndexedLeg, CPILeg, DurationAdjustedCmsLeg, EquityLeg, EquityMarginLeg, FormulaBasedLeg, NonStandardYoYInflationLeg, OvernightLeg, SubPeriodsLeg1, yoyInflationLeg
• Scheme : GeneralisedReplicatingVarianceSwapEngine::VarSwapSettings
• scheme : GeneralisedReplicatingVarianceSwapEngine::VarSwapSettings
• scheme_ : LgmFdSolver
• scrambleSeed_ : MultiPathGeneratorBurley2020Sobol, MultiPathGeneratorBurley2020SobolBrownianBridge, MultiPathVariateGeneratorBurley2020Sobol, MultiPathVariateGeneratorBurley2020SobolBrownianBridge
• secondDerivative() : ConstantInterpolation::ConstantInterpolationImpl, LogInterpolationImpl< I1, I2, Interpolator >, QuadraticInterpolationImpl< I1, I2 >, FlatExtrapolation::FlatExtrapolationImpl
• secondMoment() : MomentMatchingResults
• section_ : ConstantSpreadSmileSection
• security : BondRepo::arguments, BondRepo
• security_ : BondRepo
• securityId_ : ConstantMaturityBondIndex
• securityMultiplier : BondRepo::arguments, BondRepo
• securityMultiplier_ : BondRepo
• securityName() : BondIndex
• securityName_ : BondIndex
• securitySpread() : BondIndex, DiscountingRiskyBondEngine, DiscountingRiskyBondEngineMultiState
• securitySpread_ : BlackBondOptionEngine, BondIndex, DiscountingRiskyBondEngine
• seed_ : CommodityAveragePriceOptionMonteCarloEngine, CommoditySwaptionMonteCarloEngine, MCGaussianFormulaBasedCouponPricer, MultiPathGeneratorBurley2020Sobol, MultiPathGeneratorMersenneTwister, MultiPathGeneratorSobol, MultiPathGeneratorSobolBrownianBridgeBase, MultiPathVariateGeneratorBurley2020Sobol, MultiPathVariateGeneratorMersenneTwister, MultiPathVariateGeneratorSobol, MultiPathVariateGeneratorSobolBrownianBridgeBase
• SEKCurrency() : SECPI
• SEKSior() : SEKSior
• SEKStibor() : SEKStibor
• SEKStina() : SEKStina
• selectContext() : ComputeEnvironment
• SEM : Mauritius
• seniorFee : CBO::arguments
• seniorFee_ : CBO
• 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
• setDiscountRelinkableHandle_ : TenorBasisSwapHelper
• 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
• settings_ : GeneralisedReplicatingVarianceSwapEngine
• settlDomDisc_ : BlackVolatilitySurfaceBFRR
• settledLoss() : Basket
• Settlement : Austria, Belgium, France, Israel, Luxembourg, Netherlands, Spain, Switzerland, Wmr
• settlement_ : McMultiLegBaseEngine::MultiLegBaseAmcCalculator
• settlementCalendar_ : CrossCcyBasisMtMResetSwapHelper, CrossCcyBasisSwapHelper
• settlementDate : ConvertibleBond::option::arguments, PairwiseVarianceSwap::arguments, PairwiseVarianceSwap
• settlementDate_ : CrossCcySwapEngine, DepositEngine, DiscountingCurrencySwapEngine, DiscountingEquityForwardEngine, DiscountingForwardBondEngine, DiscountingFxForwardEngine, DiscountingFxForwardEngineDeltaGamma, DiscountingSwapEngineMultiCurve, PairwiseVarianceSwap, PaymentDiscountingEngine
• settlementDates_ : BlackVolatilitySurfaceAbsolute, BlackVolatilitySurfaceBFRR
• settlementDays() : BlackInvertedVolTermStructure, BlackMonotoneVarVolTermStructure, BlackTriangulationATMVolTermStructure, BlackVolatilityConstantSpread, BlackVolatilitySurfaceProxy, BlackVolatilityWithATM, BondYieldShiftedCurveTermStructure, CommodityBasisPriceCurveWrapper, ConvertibleBond::option::arguments, DiscountRatioModifiedCurve, HazardSpreadedDefaultTermStructure, IborFallbackCurve, ImpliedDefaultTermStructure, InterpolatedDiscountCurve2, NegativeCorrelationTermStructure, OptionletStripper, OvernightFallbackCurve, SpreadedBlackVolatilityCurve, SpreadedBlackVolatilitySurfaceMoneyness, SpreadedCorrelationCurve, SpreadedDiscountCurve, SpreadedOptionletVolatility2, SpreadedPriceTermStructure, SpreadedSurvivalProbabilityTermStructure, SpreadedSwaptionVolatility, SpreadedYoYInflationCurve, SpreadedZeroInflationCurve, StaticallyCorrectedYieldTermStructure, StrippedYoYInflationOptionletVol, SwapConventions, SwaptionConventionsEUR, SwaptionVolatilityConstantSpread, SwaptionVolCubeWithATM, TermInterpolatedDefaultCurve
• settlementDays_ : CrossCcyBasisMtMResetSwapHelper, CrossCcyBasisSwapHelper, CrossCcyFixFloatMtMResetSwapHelper, CrossCcyFixFloatSwapHelper, MakeFixedBMASwap, MakeOISCapFloor, MakeSubPeriodsSwap, OICCBSHelper, OISRateHelper, StrippedYoYInflationOptionletVol, SwapConventions, YoYCapFloorHelper, YoYSwapHelper
• settlementDirty : ForwardBond::arguments
• settlementDirty_ : ForwardBond
• SettlementImpl() : RussiaModified::SettlementImpl
• settlementMethod : CommodityAveragePriceOption::arguments, CommodityAveragePriceOption, CommoditySpreadOption::arguments, GenericSwaption::arguments, GenericSwaption, MultiLegOption::arguments, MultiLegOption
• settlementMethod_ : BlackMultiLegOptionEngineBase, CommodityAveragePriceOption, CommoditySpreadOption, GenericSwaption, MultiLegOption, NumericLgmMultiLegOptionEngineBase
• settlementType : CommodityAveragePriceOption::arguments, CommodityAveragePriceOption, CommoditySpreadOption::arguments, GenericSwaption::arguments, GenericSwaption, IndexCdsOption::arguments, MultiLegOption::arguments, MultiLegOption
• settlementType_ : BlackMultiLegOptionEngineBase, CommodityAveragePriceOption, CommoditySpreadOption, GenericSwaption, IndexCdsOption, MultiLegOption, NumericLgmMultiLegOptionEngineBase
• settlesAccrual : CreditLinkedSwap::arguments, RiskParticipationAgreement::arguments, RiskParticipationAgreement, RiskParticipationAgreementTLock::arguments, RiskParticipationAgreementTLock, SyntheticCDO::arguments
• settlesAccrual_ : CreditLinkedSwap, MakeCreditDefaultSwap, RiskParticipationAgreement, RiskParticipationAgreementTLock, SyntheticCDO
• settlForDisc_ : BlackVolatilitySurfaceBFRR
• settlLag_ : BlackVolatilitySurfaceBFRR
• 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 >
• shift1_ : LognormalCmsSpreadPricer
• shift2_ : LognormalCmsSpreadPricer
• shift_ : CarrMadanMarginalProbability, CarrMadanMarginalProbabilitySafeStrikes, Lgm1fParametrization< TS >
• shift_1 : CapFloorVolatilityEUR
• shift_2 : CapFloorVolatilityEUR
• shifted() : CirppParametrization< TS >
• shifted_ : CirppParametrization< TS >
• shiftImpl() : DynamicSwaptionVolatilityMatrix, SpreadedSwaptionVolatility, SwaptionVolCubeWithATM
• shifts_1 : SwaptionVolatilityEUR
• shifts_2 : SwaptionVolatilityEUR
• shortAssetFlow : CommoditySpreadOption::arguments
• shortAssetFlow_ : CommoditySpreadOption
• shortAssetFxIndex : CommoditySpreadOption::arguments, CommoditySpreadOption
• shortAssetFxIndex_ : CommoditySpreadOption
• shortAssetLastPricingDate : CommoditySpreadOption::arguments
• shortConventions_ : SwaptionVolatilityConverter
• shortConventionsTenor_ : SwaptionVolatilityConverter
• shortDiscount_ : SwaptionVolatilityConverter
• shortFixedConvention_ : BasisTwoSwapHelper
• shortFixedDayCount_ : BasisTwoSwapHelper
• shortFixedFrequency_ : BasisTwoSwapHelper
• shortIndex_ : BasisTwoSwapHelper
• shortRate() : HwModel, IrModel, LinearGaussMarkovModel
• shortSwap() : BasisTwoSwapHelper
• shortSwap_ : BasisTwoSwapHelper
• shortSwapIndex : SwaptionConventionsEUR
• si_ : OptionletStripperWithAtm< TimeInterpolator, SmileInterpolator >, StrippedOptionletAdapter< TimeInterpolator, SmileInterpolator >
• side : SyntheticCDO::arguments
• side_ : MakeCreditDefaultSwap, SyntheticCDO
• sigma() : CirppConstantParametrization< TS >, CirppConstantWithFellerParametrization< TS >, CirppParametrization< TS >, MomentMatchingResults, CommoditySchwartzParametrization, CommoditySpreadOptionAnalyticalEngine::PricingParameter, DefaultableEquityJumpDiffusionModel, EqBsConstantParametrization, EqBsParametrization, EqBsPiecewiseConstantParametrization, FxBsConstantParametrization, FxBsParametrization, FxBsPiecewiseConstantParametrization
• sigma_ : CirppConstantParametrization< TS >, CirppConstantWithFellerParametrization< TS >, CommoditySchwartzParametrization, DefaultableEquityJumpDiffusionModel, EqBsConstantParametrization, FxBsConstantParametrization, HwConstantParametrization< TS >
• sigma_x() : HwConstantParametrization< TS >, HwParametrization< TS >
• sigmaParameter() : CommoditySchwartzParametrization
• simple : AnalyticLgmSwaptionEngine
• Simple : McMultiLegBaseEngine
• simpleCashFlowNpv_ : NpvDeltaGammaCalculator
• simpleDeltaFromStrike() : SimpleDeltaInterpolatedSmile
• SimpleDeltaInterpolatedSmile() : SimpleDeltaInterpolatedSmile
• simulatedAtmLevel_ : SpreadedSmileSection2
• simulatedShortSwapIndexBase_ : SpreadedSwaptionVolatility
• simulatedSwapIndexBase_ : SpreadedSwaptionVolatility
• simulatePath() : AmcCalculator, McMultiLegBaseEngine::MultiLegBaseAmcCalculator
• simulationDates_ : McMultiLegBaseEngine
• simulationTimes : McMultiLegBaseEngine::CashflowInfo
• sin : RandomVariable
• singleSwaptionThreshold_ : NumericLgmFlexiSwapEngineBase
• SIX : Switzerland
• size() : Basket, CashflowTable, ComputationGraph, CrCirppStateProcess, CrossAssetStateProcess, DiscreteDistribution, FdmBlackScholesOp, FdmDefaultableEquityJumpDiffusionFokkerPlanckOp, FdmDefaultableEquityJumpDiffusionOp, FdmLgmOp, Filter, IrHwStateProcess, RandomVariable, RandomVariableLsmBasisSystem, StabilisedGLLS
• skip_ : LogQuadratic, Quadratic
• SKKBribor() : SKKBribor
• slice_ : KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >
• slnAtmVols_1 : CapFloorVolatilityEUR
• slnAtmVols_2 : CapFloorVolatilityEUR
• slnVols_1 : CapFloorVolatilityEUR, SwaptionVolatilityEUR
• slnVols_2 : CapFloorVolatilityEUR, SwaptionVolatilityEUR
• slnVolSpreads : SwaptionVolatilityEUR
• slope_ : KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >
• Smile : InterpolatingCreditVolCurve
• smileErrorMessage() : BlackVolatilitySurfaceBFRR
• smileErrorMessage_ : BlackVolatilitySurfaceBFRR
• smileExpiries_ : InterpolatingCreditVolCurve
• smileExpiryTimes_ : InterpolatingCreditVolCurve
• smileHasError() : BlackVolatilitySurfaceBFRR
• smileHasError_ : BlackVolatilitySurfaceBFRR
• SmileInterpolation : BlackVolatilitySurfaceAbsolute
• smileInterpolation() : BlackVolatilitySurfaceAbsolute
• SmileInterpolation : BlackVolatilitySurfaceBFRR
• smileInterpolation() : BlackVolatilitySurfaceBFRR
• smileInterpolation_ : BlackVolatilitySurfaceAbsolute, BlackVolatilitySurfaceBFRR, SimpleDeltaInterpolatedSmile
• smileIsArbitrageFree_ : CarrMadanMarginalProbability, CarrMadanMarginalProbabilitySafeStrikes
• smiles_ : BlackVolatilitySurfaceBFRR, InterpolatingCreditVolCurve
• smileSection_ : DurationAdjustedCmsCouponTsrPricer
• smileSectionImpl() : DatedStrippedOptionletAdapter, DynamicOptionletVolatilityStructure, DynamicSwaptionVolatilityMatrix, InterpolatedOptionletCurve< Interpolator >, PiecewiseAtmOptionletCurve< Interpolator, Bootstrap >, ProxyOptionletVolatility, ProxySwaptionVolatility, SabrStrippedOptionletAdapter< TimeInterpolator >, SpreadedOptionletVolatility2, SpreadedOptionletVolatility, SpreadedSwaptionVolatility, StrippedOptionletAdapter2, StrippedOptionletAdapter< TimeInterpolator, SmileInterpolator >, SwaptionSabrCube, SwaptionVolatilityConstantSpread, SwaptionVolCube2, SwaptionVolCubeWithATM
• smileTermLengths_ : InterpolatingCreditVolCurve
• smileTerms_ : InterpolatingCreditVolCurve
• SofrTerm() : SofrTerm
• SoftCallability() : SoftCallability
• softTriggerRatio : ConvertibleBond2::CallabilityData, FdConvertibleBondEvents::CallData
• solve_splitting() : FdmBlackScholesOp, FdmDefaultableEquityJumpDiffusionFokkerPlanckOp, FdmDefaultableEquityJumpDiffusionOp, FdmLgmOp
• solver_ : IterativeBootstrap< Curve >, LgmFdSolver, NumericLgmMultiLegOptionEngineBase, OptionSurfaceStripper
• solverOptions_ : OptionSurfaceStripper
• solverTolerance : CPIPriceVolatilitySurfaceDefaultValues, StrippedCPIVolSurfaceDefaultValues
• solverTolerance_ : CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime >, StrippedCPIVolatilitySurface< Interpolator2D >
• solveTimeStep_LS() : KienitzLawsonSwayneSabrPdeDensity
• SoniaTerm() : SoniaTerm
• Sora() : Sora
• source() : CompoEquityIndex
• source_ : AdjustedDefaultCurve, CompoEquityIndex, DynamicBlackVolTermStructure< mode >, DynamicCPIVolatilitySurface, DynamicOptionletVolatilityStructure, DynamicSwaptionVolatilityMatrix, DynamicYoYOptionletVolatilitySurface, HazardSpreadedDefaultTermStructure, ProxyCreditVolCurve, StaticallyCorrectedYieldTermStructure, ZeroInflationIndexWrapper
• sourceCurrency() : FxIndex
• sourceCurrency_ : FxIndex
• sourceCurve() : FxIndex
• sourceCurves_ : MultiSectionDefaultCurve
• sourceYts_ : FxIndex, FxRateQuote, FxSpotQuote
• Spain() : Spain
• SpainRegion() : ESCPI, SpainRegion
• splicemezz() : MDD
• splitESFLevel() : DefaultLossModel
• splitVaRLevel() : Basket, DefaultLossModel
• spot() : BlackVolatilitySurfaceAbsolute, BlackVolatilitySurfaceBFRR, BlackVolatilityWithATM, CarrMadanSurface
• spot_ : BlackVarianceSurfaceMoneyness, BlackVolatilitySurfaceAbsolute, BlackVolatilitySurfaceBFRR, BlackVolatilitySurfaceDelta, BlackVolatilityWithATM, CarrMadanSurface, SimpleDeltaInterpolatedSmile, DynamicBlackVolTermStructure< mode >, FxEqOptionHelper, FxSmileSection
• spotAveragingPricingDates() : CommodityIndexedCashFlow
• spotAveragingPricingDates_ : CommodityIndexedCashFlow
• spotCalendar() : PriceTermStructureAdapter
• spotCalendar_ : BlackVolatilitySurfaceAbsolute, BlackVolatilitySurfaceBFRR, PriceTermStructureAdapter
• spotDays() : PriceTermStructureAdapter
• spotDays_ : BlackVolatilitySurfaceAbsolute, BlackVolatilitySurfaceBFRR, CmsCapHelper, PriceTermStructureAdapter
• spotFloatLegFactor() : CommoditySwaptionMonteCarloEngine
• spotFX() : CrossCcySwapEngine, DiscountingFxForwardEngine
• spotFx() : DiscountingFxForwardEngineDeltaGamma
• spotFX() : PaymentDiscountingEngine
• spotFX_ : CrossCcyBasisMtMResetSwapHelper, CrossCcyBasisSwapHelper
• spotFx_ : CrossCcyFixFloatMtMResetSwapHelper, CrossCcyFixFloatSwapHelper
• spotFX_ : CrossCcySwapEngine, DiscountingFxForwardEngine
• spotFx_ : DiscountingFxForwardEngineDeltaGamma
• spotFX_ : PaymentDiscountingEngine
• spotFXSettleCalendarVec_ : CrossCcyBasisSwapHelper
• spotFXSettleDate_ : CrossCcySwapEngine
• spotFXSettleDateVec_ : DiscountingCurrencySwapEngine
• spotFXSettleDaysVec_ : CrossCcyBasisSwapHelper
• spotIndex() : CommodityIndexedCashFlow
• spotIndex_ : CommodityIndexedCashFlow
• spotLagCalendar_ : MakeAverageOIS
• spotLagTenor_ : AverageOISRateHelper, MakeAverageOIS
• spotQuote_ : EquityIndex2, FxRateQuote, PriceTermStructureAdapter
• spotVols : MomentMatchingResults
• spread() : BalanceGuaranteedSwap, CashflowRow
• Spread : CdsOption
• spread() : CommodityCashFlow, CrossCcyFixFloatMtMResetSwap::arguments, CrossCcyFixFloatSwap::arguments, FallbackIborIndex, FallbackOvernightIndex, FlexiSwap, FloatingAnnuityCoupon, IborFallbackCurve, NonStandardYoYInflationCoupon, OvernightFallbackCurve, SubPeriodsCoupon1
• spread_ : AverageONIndexedCouponPricer, BalanceGuaranteedSwap, CashflowRow, CmbCouponPricer, CommodityCashFlow, CrossCcyFixFloatMtMResetSwapHelper, CrossCcyFixFloatSwapHelper, FallbackIborIndex, FallbackOvernightIndex, FlexiSwap, FloatingAnnuityCoupon, HazardSpreadedDefaultTermStructure, IborFallbackCurve, LognormalCmsSpreadPricer, NonStandardYoYInflationCoupon, NonStandardYoYInflationCouponPricer, OvernightFallbackCurve, SubPeriodsCouponPricer1
• spreadAdjustedRate() : DiscretizedConvertible
• spreadAdjustedRate_ : DiscretizedConvertible
• spreadCalendar_ : CrossCcyBasisSwapHelper
• spreadDiscountCurve_ : CrossCcyBasisSwapHelper
• spreadDiscountRLH_ : CrossCcyBasisSwapHelper
• 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
• spreadGearing_ : CrossCcyBasisSwapHelper
• spreadIndex_ : CrossCcyBasisSwapHelper
• spreadLegCurrency_ : CrossCcyBasisSwapHelper
• spreadLegValue_ : LognormalCmsSpreadPricer
• spreadNpv() : CashFlows
• spreadOnFlatLeg_ : CrossCcyBasisSwapHelper
• spreadOnForeignCcy_ : CrossCcyBasisMtMResetSwapHelper
• spreadOnRec() : TenorBasisSwap
• spreadOnRec_ : TenorBasisSwap, TenorBasisSwapHelper
• spreadQuote_ : OptionletStripper2::ObjectiveFunction, OptionletStripperWithAtm< TimeInterpolator, SmileInterpolator >::ObjectiveFunction, OptionletStripperWithAtm< TimeInterpolator, SmileInterpolator >::ObjectiveFunctionOIS
• spreadQuoteOnPayLeg_ : OICCBSHelper
• spreads_ : AverageONLeg, CmbLeg, CommodityIndexedAverageLeg, CommodityIndexedLeg, DurationAdjustedCmsLeg, NonStandardYoYInflationLeg, OvernightLeg, SpreadedCreditVolCurve, SpreadedSurvivalProbabilityTermStructure, SubPeriodsLeg1, yoyInflationLeg
• spreadStrikeCalculate() : BlackIndexCdsOptionEngine
• spreadsVol() : OptionletStripper2
• spreadsVolImplied() : OptionletStripper2
• spreadsVolImplied_ : OptionletStripper2
• spreadTenor_ : CrossCcyBasisSwapHelper
• spreadValues_ : SpreadedCreditVolCurve
• sqrt : RandomVariable
• Sqrt : RandomVariableOpCode
• sqrt1minuscorrel_ : GaussianLHPLossModel
• sqrtCorrelation_ : CrossAssetStateProcess
• squaredNorm_ : Problem_MT
• ss() : ss
• StabilisedGLLS() : StabilisedGLLS
• standardDeviation() : NadarayaWatsonImpl< I1, I2, Kernel >, RegressionImpl, NadarayaWatson, OutperformanceOption::results
• standardErrors_ : StabilisedGLLS
• startDate() : BaseCorrelationTermStructure, CashflowRow, CommodityIndexedAverageCashFlow, ConvertibleBond2::arguments, ConvertibleBond2::DividendProtectionData, CreditCurve::RefData, CurrencySwap, Deposit
• startDate_ : BaseCorrelationTermStructure, BRLCdiSwap, CappedFlooredCPICashFlow, CappedFlooredCPICoupon, CashflowRow, CommodityIndexedAverageCashFlow, CPILeg, Deposit, StrippedCPIVolatilitySurface< Interpolator2D >::ObjectiveFunction
• startDiscounts : CurrencySwap::results, CurrencySwap
• startDiscounts_ : CurrencySwap
• startFixing : EquityCouponPricer::AdditionalResultCache
• startFixingTotal : EquityCouponPricer::AdditionalResultCache
• startFxFixing : EquityCouponPricer::AdditionalResultCache
• startNotional() : CashflowRow
• startNotional_ : CashflowRow
• startRedBlock() : ComputationGraph
• state() : CirppImpliedDefaultTermStructure, CrossAssetModelImpliedEqVolTermStructure, CrossAssetModelImpliedFxVolTermStructure, LgmImpliedDefaultTermStructure, LgmImpliedYieldTermStructure, ModelImpliedPriceTermStructure, ModelImpliedYieldTermStructure, YoYInflationModelTermStructure, ZeroInflationModelTermStructure
• state_ : LgmImpliedYieldTermStructure, ModelImpliedPriceTermStructure, ModelImpliedYieldTermStructure, YoYInflationModelTermStructure, ZeroInflationModelTermStructure
• stateGrid() : LgmBackwardSolver, LgmConvolutionSolver2, LgmConvolutionSolver, LgmFdSolver
• stateGridPoints_ : DefaultableEquityJumpDiffusionModelBuilder, FdDefaultableEquityJumpDiffusionConvertibleBondEngine, LgmFdSolver
• stateProcess() : CommodityModel, CommoditySchwartzModel, CrCirpp, CrossAssetModel, HwModel, IrModel, LinearGaussMarkovModel
• stateProcess_ : CommoditySchwartzModel, CrCirpp, CrossAssetModel, HwModel, LinearGaussMarkovModel
• stateProcessProjection_ : ProjectedBufferedMultiPathGenerator, ProjectedBufferedMultiPathGeneratorFactory, ProjectedVariateMultiPathGenerator, ProjectedVariatePathGeneratorFactory
• stateVariables() : CrossAssetModel
• stateVariables_ : CrossAssetModel
• StaticallyCorrectedYieldTermStructure() : StaticallyCorrectedYieldTermStructure
• staticMesher_ : DefaultableEquityJumpDiffusionModelBuilder, FdDefaultableEquityJumpDiffusionConvertibleBondEngine
• staticTodaysSpot_ : GeneralisedReplicatingVarianceSwapEngine
• staticVol2_ : BlackTriangulationATMVolTermStructure
• staticVolCache_ : BlackTriangulationATMVolTermStructure
• Stats() : Stats
• std() : Stats
• std_ : Stats
• stdDev() : MomentMatchingResults, SwaptionData
• stdDeviation() : EqBsParametrization, FxBsParametrization, IrLgm1fStateProcess
• stdev() : MDD
• step : Solver1DOptions
• stepback() : TsiveriotisFernandesLattice< T >
• steps : GeneralisedReplicatingVarianceSwapEngine::VarSwapSettings
• stepTimes() : DefaultableEquityJumpDiffusionModel
• stepTimes_ : DefaultableEquityJumpDiffusionModel, DefaultableEquityJumpDiffusionModelBuilder
• stickyAbsMoney_ : SpreadedSmileSection2, SpreadedSwaptionVolatility
• stickyDividendTs_ : SpreadedBlackVolatilitySurfaceMoneyness
• stickyMoneyness_ : SpreadedCreditVolCurve
• stickyness_ : DynamicBlackVolTermStructure< mode >
• stickyRiskFreeTs_ : SpreadedBlackVolatilitySurfaceMoneyness
• stickySpot_ : SpreadedBlackVolatilitySurfaceMoneyness
• stickyStrike_ : BlackVarianceSurfaceMoneyness, SpreadedBlackVolatilitySurfaceMoneyness
• stochasticConversionRatio_ : FdConvertibleBondEvents
• stockPrices : ConvertibleBond2::MakeWholeData::CrIncreaseData
• stoppingTimes_ : DiscretizedConvertible
• Strategy : DifferentialEvolution_MT
• strike : CdsOption::arguments, CommodityForward::arguments, CommodityForward, CommoditySwaptionBaseEngine, CreditVolCurve, EquityForward::arguments, EquityForward, ForwardBondTypePayoff, FutureOptionHelper, FxEqOptionHelper, IndexCdsOption::arguments, SwaptionData
• strike1 : PairwiseVarianceSwap::arguments, PairwiseVarianceSwap
• strike1_ : PairwiseVarianceSwap
• strike2 : PairwiseVarianceSwap::arguments, PairwiseVarianceSwap
• strike2_ : PairwiseVarianceSwap
• strike_ : CapFloorHelper, CdsOption, CommodityForward, CorrelationValue, EquityForward, FdmBlackScholesOp, ForwardBondTypePayoff, FutureOptionHelper, FxEqOptionHelper, IndexCdsOption, MakeOISCapFloor, OISCapFloorHelper, StrippedCPIVolatilitySurface< Interpolator2D >::ObjectiveFunction, YoYCapFloorHelper
• strikeCurves_ : PiecewiseOptionletStripper< Interpolator, Bootstrap >
• strikeFromDelta() : SimpleDeltaInterpolatedSmile
• strikeFromMoneyness() : SpreadedBlackVolatilitySurfaceLogMoneynessForward, SpreadedBlackVolatilitySurfaceLogMoneynessSpot, SpreadedBlackVolatilitySurfaceMoneyness, SpreadedBlackVolatilitySurfaceMoneynessForward, SpreadedBlackVolatilitySurfaceMoneynessForwardAbsolute, SpreadedBlackVolatilitySurfaceMoneynessSpot, SpreadedBlackVolatilitySurfaceMoneynessSpotAbsolute, SpreadedBlackVolatilitySurfaceStdDevs
• strikeInterpolations_ : DatedStrippedOptionletAdapter, StrippedOptionletAdapter2
• strikePrice : CommodityAveragePriceOption::arguments, CommoditySpreadOption::arguments
• strikePrice_ : CommodityAveragePriceOption, CommoditySpreadOption
• strikeQuotes() : BlackVolatilitySurfaceAbsolute
• strikeQuotes_ : BlackVolatilitySurfaceAbsolute
• strikeReturn : OutperformanceOption::arguments, OutperformanceOption
• strikeReturn_ : OutperformanceOption
• strikes() : BlackVolatilitySurfaceAbsolute, CapFloorTermVolSurface, CapFloorVolatilityEUR, CarrMadanMarginalProbability, CarrMadanMarginalProbabilitySafeStrikes, CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime >, InterpolatedCPIVolatilitySurface< Interpolator2D >, InterpolatedSmileSection, OptionInterpolator2d< InterpolatorStrike, InterpolatorExpiry >, OptionInterpolatorBase, OptionSurfaceStripper, ParametricVolatility::MarketSmile, StrippedCPIVolatilitySurface< Interpolator2D >
• strikes_ : BlackVolatilitySurfaceAbsolute, CapFloorTermVolSurface, CarrMadanMarginalProbability, CarrMadanMarginalProbabilitySafeStrikes, CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime >, InterpolatedCPIVolatilitySurface< Interpolator2D >, InterpolatedSmileSection, InterpolatingCreditVolCurve, OptionInterpolatorBase, SpreadedCPIVolatilitySurface, SpreadedOptionletVolatility2, SpreadedSmileSection2, SpreadedYoYVolatilitySurface, StrippedCPIVolatilitySurface< Interpolator2D >
• strikeSections_ : StrippedOptionletAdapter< TimeInterpolator, SmileInterpolator >
• strikeSpreads : SwaptionVolatilityEUR
• strikeSpreads_ : SpreadedSwaptionVolatility
• strikesRelativeToAtm_ : SpreadedSmileSection2
• strikeType : CdsOption::arguments
• StrikeType : CdsOption
• strikeType : IndexCdsOption::arguments
• strikeType_ : CdsOption, IndexCdsOption
• stripOptionlets() : OptionletStripper1
• StrippedCappedFlooredCPICashFlow() : StrippedCappedFlooredCPICashFlow
• StrippedCappedFlooredCPICoupon() : StrippedCappedFlooredCPICoupon
• StrippedCappedFlooredCPICouponLeg() : StrippedCappedFlooredCPICouponLeg
• StrippedCappedFlooredYoYInflationCoupon() : StrippedCappedFlooredYoYInflationCoupon
• StrippedCappedFlooredYoYInflationCouponLeg() : StrippedCappedFlooredYoYInflationCouponLeg
• StrippedCPIVolatilitySurface() : StrippedCPIVolatilitySurface< Interpolator2D >
• StrippedOptionletAdapter() : StrippedOptionletAdapter< TimeInterpolator, SmileInterpolator >
• StrippedOptionletAdapter2() : StrippedOptionletAdapter2
• StrippedYoYInflationOptionletVol() : StrippedYoYInflationOptionletVol
• stripper_ : OptionletStripper2
• subCouponsType_ : MakeSubPeriodsSwap
• subfeeValue : CBO::results, CBO
• subfeeValue_ : CBO
• subfeeValueStd : CBO::results, CBO
• subfeeValueStd_ : CBO
• subordinatedFee : CBO::arguments
• subordinatedFee_ : CBO
• SubPeriodsCoupon1() : SubPeriodsCoupon1
• SubPeriodsCouponPricer1() : SubPeriodsCouponPricer1
• SubPeriodsLeg1() : SubPeriodsLeg1
• subPeriodsRate() : LgmVectorised
• SubPeriodsSwap() : SubPeriodsSwap
• SubPeriodsSwapHelper() : SubPeriodsSwapHelper
• subtract() : MultiCcyCompositeInstrument
• Subtract : RandomVariableOpCode
• subtractInflationNominal_ : CPICoupon, CPILeg
• subtractInflationNominalAllCoupons_ : CPILeg
• subtractInflationNotional() : CPICoupon
• subtractNotional_ : ZeroFixedCoupon
• sum() : MDD
• sumCashflows() : CashFlows
• sumspecial() : MDD
• sumspecialright() : MDD
• sumspecialunsorted() : MDD
• supportsDoublePrecision() : ComputeContext
• supportsDoublePrecision_ : OpenClFramework
• surface() : BlackVolatilityWithATM
• surface_ : BlackVolatilityConstantSpread, BlackVolatilityWithATM
• surfaceIsArbitrageFree_ : CarrMadanSurface
• 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
• svsIn_ : SwaptionVolatilityConverter
• swap() : BRLCdiRateHelper, CdsOption::arguments, CrossCcyBasisMtMResetSwapHelper, CrossCcyBasisSwapHelper, CrossCcyFixFloatMtMResetSwapHelper, CrossCcyFixFloatSwapHelper, DatedBRLCdiRateHelper, GenericSwaption::arguments, IndexCdsOption::arguments, OICCBSHelper, OISRateHelper, SubPeriodsSwapHelper, TenorBasisSwapHelper
• swap_ : BRLCdiRateHelper, CdsOption, CrossCcyBasisMtMResetSwapHelper, CrossCcyBasisSwapHelper, CrossCcyFixFloatMtMResetSwapHelper, CrossCcyFixFloatSwapHelper, DatedBRLCdiRateHelper, DatedOISRateHelper, GenericSwaption, IndexCdsOption, OICCBSHelper, OISRateHelper, SubPeriodsSwapHelper, TenorBasisSwapHelper
• SwapConventions() : SwapConventions
• swapIndex() : DurationAdjustedCmsCoupon, SwaptionConventionsEUR
• swapIndex_ : DurationAdjustedCmsCoupon, DurationAdjustedCmsLeg
• swapIndexBase_ : RepresentativeSwaptionMatcher
• swapIndexBaseFinal_ : RepresentativeSwaptionMatcher
• swapLength : SwaptionData
• swapLength_ : ConstantSpreadSmileSection, ParametricVolatilitySmileSection
• 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
• swapletRate_ : BlackAverageBMACouponPricer, BlackAverageONIndexedCouponPricer, BlackOvernightIndexedCouponPricer, OvernightIndexedCouponPricer
• swapRate1_ : LognormalCmsSpreadPricer
• swapRate2_ : LognormalCmsSpreadPricer
• swapRate_ : DurationAdjustedCmsCouponTsrPricer
• swapTenor_ : AverageOISRateHelper, BasisTwoSwapHelper, BRLCdiRateHelper, CrossCcyBasisMtMResetSwapHelper, CrossCcyBasisSwapHelper, MakeAverageOIS, MakeFixedBMASwap, MakeSubPeriodsSwap, OISRateHelper, SubPeriodsSwapHelper, TenorBasisSwapHelper
• swapTenors : SwaptionVolatilityEUR
• SwaptionConventionsEUR() : SwaptionConventionsEUR
• swaptionData : LgmCalibrationInfo
• SwaptionSabrCube() : SwaptionSabrCube
• SwaptionVolatilityConstantSpread() : SwaptionVolatilityConstantSpread
• SwaptionVolatilityConverter() : SwaptionVolatilityConverter
• SwaptionVolatilityEUR() : SwaptionVolatilityEUR
• SwaptionVolCube2() : SwaptionVolCube2
• SwaptionVolCubeWithATM() : SwaptionVolCubeWithATM
• SwapTradeUK : ICE
• SwapTradeUS : ICE
• SwedenRegion() : SECPI, SwedenRegion
• switchDate() : FallbackIborIndex, FallbackOvernightIndex, IborFallbackCurve, OvernightFallbackCurve
• switchDate_ : FallbackIborIndex, FallbackOvernightIndex, IborFallbackCurve, OvernightFallbackCurve
• switchDates_ : MultiSectionDefaultCurve
• switchStrike() : OptionletStripper1
• switchStrike_ : OptionletStripper1
• switchTenor() : BlackVolatilitySurfaceAbsolute, BlackVolatilitySurfaceBFRR
• switchTenor_ : BlackVolatilitySurfaceAbsolute, BlackVolatilitySurfaceBFRR, BlackVolatilitySurfaceDelta, FxBlackVolatilitySurface
• switchTime_ : BlackVolatilitySurfaceBFRR, BlackVolatilitySurfaceDelta
• switchTimes_ : MultiSectionDefaultCurve
• Switzerland() : Switzerland
• sx() : sx
• sy() : sy
• SyntheticCDO() : SyntheticCDO