FxBlackVannaVolgaVolatilitySurface Member List

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

accept(AcyclicVisitor &) override	FxBlackVolatilitySurface	virtual
atmCurve_	FxBlackVolatilitySurface	protected
atmType_	FxBlackVolatilitySurface	protected
bf_	FxBlackVolatilitySurface	protected
bfCurve_	FxBlackVolatilitySurface	protected
blackVolImpl(Time t, Real strike) const override	FxBlackVolatilitySurface	protectedvirtual
blackVolSmile(Time t) const	FxBlackVolatilitySurface
blackVolSmileImpl(Real spot, Real rd, Real rf, Time t, Volatility atm, Volatility rr, Volatility bf) const override	FxBlackVannaVolgaVolatilitySurface	protectedvirtual
dayCounter() const override	FxBlackVolatilitySurface
dayCounter_	FxBlackVolatilitySurface	protected
delta_	FxBlackVolatilitySurface	protected
deltaType_	FxBlackVolatilitySurface	protected
domesticTS_	FxBlackVolatilitySurface	protected
firstApprox_	FxBlackVannaVolgaVolatilitySurface	protected
foreignTS_	FxBlackVolatilitySurface	protected
FxBlackVannaVolgaVolatilitySurface(const Date &refDate, const std::vector< Date > &dates, const std::vector< Volatility > &atmVols, const std::vector< Volatility > &rr, const std::vector< Volatility > &bf, const DayCounter &dc, const Calendar &cal, const Handle< Quote > &fx, const Handle< YieldTermStructure > &dom, const Handle< YieldTermStructure > &fore, bool requireMonotoneVariance=true, const bool firstApprox=false, const DeltaVolQuote::AtmType atmType=DeltaVolQuote::AtmType::AtmDeltaNeutral, const DeltaVolQuote::DeltaType deltaType=DeltaVolQuote::DeltaType::Spot, const Real delta=0.25, const Period &switchTenor=0 *Days, const DeltaVolQuote::AtmType longTermAtmType=DeltaVolQuote::AtmType::AtmDeltaNeutral, const DeltaVolQuote::DeltaType longTermDeltaType=DeltaVolQuote::DeltaType::Spot)	FxBlackVannaVolgaVolatilitySurface
FxBlackVolatilitySurface(const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &atmVols, const std::vector< Volatility > &rr, const std::vector< Volatility > &bf, const DayCounter &dayCounter, const Calendar &cal, const Handle< Quote > &fxSpot, const Handle< YieldTermStructure > &domesticTS, const Handle< YieldTermStructure > &foreignTS, bool requireMonotoneVariance=true, const DeltaVolQuote::AtmType atmType=DeltaVolQuote::AtmType::AtmDeltaNeutral, const DeltaVolQuote::DeltaType deltaType=DeltaVolQuote::DeltaType::Spot, const Real delta=0.25, const Period &switchTenor=0 *Days, const DeltaVolQuote::AtmType longTermAtmType=DeltaVolQuote::AtmType::AtmDeltaNeutral, const DeltaVolQuote::DeltaType longTermDeltaType=DeltaVolQuote::DeltaType::Spot)	FxBlackVolatilitySurface
fxSpot_	FxBlackVolatilitySurface	protected
longTermAtmType_	FxBlackVolatilitySurface	protected
longTermDeltaType_	FxBlackVolatilitySurface	protected
maxDate() const override	FxBlackVolatilitySurface
maxDate_	FxBlackVolatilitySurface	protected
maxStrike() const override	FxBlackVolatilitySurface
minStrike() const override	FxBlackVolatilitySurface
rr_	FxBlackVolatilitySurface	protected
rrCurve_	FxBlackVolatilitySurface	protected
switchTenor_	FxBlackVolatilitySurface	protected
times_	FxBlackVolatilitySurface	protected