Fully annotated reference manual - version 1.8.12
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This is the complete list of members for CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime >, including all inherited members.
| atmGrowth(QuantLib::Period &tenor) const | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | protected |
| atmGrowth(const QuantLib::Date &date) const | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | protected |
| atmStrike(const QuantLib::Date &maturity, const QuantLib::Period &obsLag=QuantLib::Period(-1, QuantLib::Days)) const override | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | protectedvirtual |
| baseCPI() const | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | protected |
| baseDate() const override | CPIVolatilitySurface | |
| capFloorStartDate() const | CPIVolatilitySurface | |
| capFloorStartDate_ | CPIVolatilitySurface | private |
| capPrice(double strike, size_t tenorIdx, double atm, double strikeGrowth, double df) const | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| capPrices_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| capStrikes_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| chooseFloor(QuantLib::Real strike, QuantLib::Real atmRate) const | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| CPIPriceVolatilitySurface(PriceQuotePreference type, const QuantLib::Period &observationLag, const QuantLib::Calendar &cal, const QuantLib::BusinessDayConvention &bdc, const QuantLib::DayCounter &dc, const QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > index, QuantLib::Handle< QuantLib::YieldTermStructure > yts, const std::vector< QuantLib::Rate > &cStrikes, const std::vector< QuantLib::Rate > &fStrikes, const std::vector< QuantLib::Period > &cfMaturities, const QuantLib::Matrix &cPrice, const QuantLib::Matrix &fPrice, const QuantLib::ext::shared_ptr< QuantExt::CPICapFloorEngine > &engine, const bool quotedInstrumentsAreInterpolated=false, const QuantLib::Date &capFloorStartDate=QuantLib::Date(), bool ignoreMissingPrices=false, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const QuantLib::VolatilityType &volType=QuantLib::ShiftedLognormal, const double displacement=0.0, const QuantLib::Real &upperVolBound=CPIPriceVolatilitySurfaceDefaultValues::upperVolBound, const QuantLib::Real &lowerVolBound=CPIPriceVolatilitySurfaceDefaultValues::lowerVolBound, const QuantLib::Real &solverTolerance=CPIPriceVolatilitySurfaceDefaultValues::solverTolerance) | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | |
| CPIPriceVolatilitySurface(PriceQuotePreference type, const QuantLib::Period &observationLag, const QuantLib::Calendar &cal, const QuantLib::BusinessDayConvention &bdc, const QuantLib::DayCounter &dc, const QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > index, QuantLib::Handle< QuantLib::YieldTermStructure > yts, const std::vector< QuantLib::Rate > &cStrikes, const std::vector< QuantLib::Rate > &fStrikes, const std::vector< QuantLib::Period > &cfMaturities, const QuantLib::Matrix &cPrice, const QuantLib::Matrix &fPrice, const QuantLib::ext::shared_ptr< QuantExt::CPICapFloorEngine > &engine, const QuantLib::Date &capFloorStartDate=QuantLib::Date(), bool ignoreMissingPrices=false, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const QuantLib::VolatilityType &volType=QuantLib::ShiftedLognormal, const double displacement=0.0, const QuantLib::Real &upperVolBound=CPIPriceVolatilitySurfaceDefaultValues::upperVolBound, const QuantLib::Real &lowerVolBound=CPIPriceVolatilitySurfaceDefaultValues::lowerVolBound, const QuantLib::Real &solverTolerance=CPIPriceVolatilitySurfaceDefaultValues::solverTolerance) | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | |
| CPIVolatilitySurface(QuantLib::Natural settlementDays, const QuantLib::Calendar &, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc, const QuantLib::Period &observationLag, QuantLib::Frequency frequency, bool indexIsInterpolated, const QuantLib::Date &capFloorStartDate=QuantLib::Date(), QuantLib::VolatilityType volType=QuantLib::ShiftedLognormal, double displacement=0.0) | CPIVolatilitySurface | |
| displacement() const | CPIVolatilitySurface | |
| displacement_ | CPIVolatilitySurface | protected |
| engine_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| expiries_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| failedPrices_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | mutableprivate |
| fixingDates_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | mutableprivate |
| fixingTime(const QuantLib::Date &maturityDate) const | CPIVolatilitySurface | protectedvirtual |
| floorPrice(double strike, size_t tenorIdx, double atm, double strikeGrowth, double df) const | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| floorPrices_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| floorStrikes_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| ignoreMissingPrices_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| implyVol(double strike, const QuantLib::Date &maturity, double price, bool isFloor) const | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| index_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| initializeStrikes() const | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | privatevirtual |
| isLogNormal() const | CPIVolatilitySurface | |
| lowerStrikeConstExtrap_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| lowerVolBound_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| maturities() | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | |
| maxDate() const override | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | |
| maxStrike() const override | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | |
| minStrike() const override | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | |
| missingPrices_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | mutableprivate |
| missingValues() const | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | |
| optionDateFromTenor(const QuantLib::Period &tenor) const override | CPIVolatilitySurface | |
| performCalculations() const override | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | |
| preference_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| priceFromPutCallParity(double price, bool isCapPrice, double atm, double strikeGrowth, double df) const | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| pricesFailedToConvert() const | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | |
| solverTolerance_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| strikes() | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | |
| strikes_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | mutableprivate |
| update() override | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | |
| upperStrikeConstExtrap_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| upperVolBound_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| validateInputParameters() const | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | privatevirtual |
| volatility(const QuantLib::Date &maturityDate, QuantLib::Rate strike, const QuantLib::Period &obsLag=QuantLib::Period(-1, QuantLib::Days), bool extrapolate=false) const override | CPIVolatilitySurface | |
| volatilityImpl(QuantLib::Time length, QuantLib::Rate strike) const override | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |
| volatilityType() const | CPIVolatilitySurface | |
| volData() const | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | |
| volData_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | mutableprivate |
| volSurface_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | mutableprivate |
| volType_ | CPIVolatilitySurface | protected |
| yts_ | CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > | private |