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Fully annotated reference manual - version 1.8.12
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EquityOptionSurfaceStripper Member List

This is the complete list of members for EquityOptionSurfaceStripper, including all inherited members.

brent_OptionSurfaceStripperprivate
calendar_OptionSurfaceStripperprotected
callSurface_OptionSurfaceStripperprotected
dayCounter_OptionSurfaceStripperprotected
equityIndex_EquityOptionSurfaceStripperprivate
EquityOptionSurfaceStripper(const QuantLib::Handle< QuantExt::EquityIndex2 > &equityIndex, const QuantLib::ext::shared_ptr< OptionInterpolatorBase > &callSurface, const QuantLib::ext::shared_ptr< OptionInterpolatorBase > &putSurface, const QuantLib::Calendar &calendar, const QuantLib::DayCounter &dayCounter, QuantLib::Exercise::Type type=QuantLib::Exercise::European, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, bool timeFlatExtrapolation=false, bool preferOutOfTheMoney=false, Solver1DOptions solverOptions={})EquityOptionSurfaceStripper
forward(const QuantLib::Date &date) const overrideEquityOptionSurfaceStripperprotectedvirtual
havePrices_OptionSurfaceStripperprivate
implyVol(QuantLib::Date expiry, QuantLib::Real strike, QuantLib::Option::Type type, QuantLib::ext::shared_ptr< QuantLib::PricingEngine > engine, QuantLib::SimpleQuote &volQuote) constOptionSurfaceStripperprivate
lowerStrikeConstExtrap_OptionSurfaceStripperprotected
OptionSurfaceStripper(const QuantLib::ext::shared_ptr< OptionInterpolatorBase > &callSurface, const QuantLib::ext::shared_ptr< OptionInterpolatorBase > &putSurface, const QuantLib::Calendar &calendar, const QuantLib::DayCounter &dayCounter, QuantLib::Exercise::Type type=QuantLib::Exercise::European, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, bool timeFlatExtrapolation=false, bool preferOutOfTheMoney=false, Solver1DOptions solverOptions={})OptionSurfaceStripper
performCalculations() const overrideOptionSurfaceStripper
preferOutOfTheMoney_OptionSurfaceStripperprotected
process(const QuantLib::ext::shared_ptr< QuantLib::SimpleQuote > &volatilityQuote) const overrideEquityOptionSurfaceStripperprotectedvirtual
putSurface_OptionSurfaceStripperprotected
setUpSolver()OptionSurfaceStripperprivate
solver_OptionSurfaceStripperprivate
solverOptions_OptionSurfaceStripperprivate
strikes(const QuantLib::Date &expiry, bool isCall) constOptionSurfaceStripperprivate
timeFlatExtrapolation_OptionSurfaceStripperprotected
type_OptionSurfaceStripperprotected
upperStrikeConstExtrap_OptionSurfaceStripperprotected
volSurface()OptionSurfaceStripper
volSurface_OptionSurfaceStrippermutableprivate