Fully annotated reference manual - version 1.8.12
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This is the complete list of members for SabrParametricVolatility, including all inherited members.
| alpha() const | SabrParametricVolatility | |
| alpha_ | SabrParametricVolatility | mutableprivate |
| alphaInterpolation_ | SabrParametricVolatility | mutableprivate |
| beta() const | SabrParametricVolatility | |
| beta_ | SabrParametricVolatility | private |
| betaInterpolation_ | SabrParametricVolatility | private |
| calculate() | SabrParametricVolatility | private |
| calibratedSabrParams_ | SabrParametricVolatility | mutableprivate |
| calibrateModelParameters(const MarketSmile &marketSmile, const std::vector< std::pair< Real, bool > > ¶ms) const | SabrParametricVolatility | private |
| calibrationError() const | SabrParametricVolatility | |
| calibrationError_ | SabrParametricVolatility | private |
| calibrationErrors_ | SabrParametricVolatility | mutableprivate |
| convert(const Real inputQuote, const MarketQuoteType inputMarketQuoteType, const QuantLib::Real inputLognormalShift, const boost::optional< QuantLib::Option::Type > inputOptionType, const QuantLib::Real timeToExpiry, const QuantLib::Real strike, const QuantLib::Real forward, const MarketQuoteType outputMarketQuoteType, const QuantLib::Real outputLognormalShift, const boost::optional< QuantLib::Option::Type > outputOptionType=boost::none) const | ParametricVolatility | |
| defaultModelParameters() const | SabrParametricVolatility | private |
| direct(const std::vector< Real > &x, const Real forward, const Real lognormalShift) const | SabrParametricVolatility | private |
| discountCurve_ | ParametricVolatility | protected |
| eps1 | SabrParametricVolatility | privatestatic |
| eps2 | SabrParametricVolatility | privatestatic |
| evaluate(const QuantLib::Real timeToExpiry, const QuantLib::Real underlyingLength, const QuantLib::Real strike, const QuantLib::Real forward, const MarketQuoteType outputMarketQuoteType, const QuantLib::Real outputLognormalShift=QuantLib::Null< QuantLib::Real >(), const boost::optional< QuantLib::Option::Type > outputOptionType=boost::none) const override | SabrParametricVolatility | virtual |
| evaluateSabr(const std::vector< Real > ¶ms, const Real forward, const Real timeToExpiry, const Real lognormalShift, const std::vector< Real > &strikes) const | SabrParametricVolatility | private |
| exitEarlyErrorThreshold_ | SabrParametricVolatility | private |
| getGuess(const std::vector< std::pair< Real, bool > > ¶ms, const std::vector< Real > &randomSeq, const Real forward, const Real lognormalShift) const | SabrParametricVolatility | private |
| inputMarketQuoteType_ | ParametricVolatility | protected |
| inverse(const std::vector< Real > &y, const Real forward, const Real lognormalShift) const | SabrParametricVolatility | private |
| isInterpolated() const | SabrParametricVolatility | |
| isInterpolated_ | SabrParametricVolatility | private |
| lognormalShift() const | SabrParametricVolatility | |
| lognormalShift_ | SabrParametricVolatility | private |
| lognormalShiftInterpolation_ | SabrParametricVolatility | private |
| lognormalShifts_ | SabrParametricVolatility | mutableprivate |
| MarketModelType enum name | ParametricVolatility | |
| marketModelType_ | ParametricVolatility | protected |
| MarketQuoteType enum name | ParametricVolatility | |
| marketSmiles_ | ParametricVolatility | protected |
| max_nu | SabrParametricVolatility | privatestatic |
| max_nvol_equiv | SabrParametricVolatility | privatestatic |
| maxAcceptableError_ | SabrParametricVolatility | private |
| maxCalibrationAttempts_ | SabrParametricVolatility | private |
| modelParameters_ | SabrParametricVolatility | private |
| ModelVariant enum name | SabrParametricVolatility | |
| modelVariant_ | SabrParametricVolatility | private |
| noOfAttempts_ | SabrParametricVolatility | mutableprivate |
| nu() const | SabrParametricVolatility | |
| nu_ | SabrParametricVolatility | private |
| nuInterpolation_ | SabrParametricVolatility | private |
| numberOfCalibrationAttempts() const | SabrParametricVolatility | |
| numberOfCalibrationAttempts_ | SabrParametricVolatility | private |
| ParametricVolatility(const std::vector< MarketSmile > marketSmiles, const MarketModelType marketModelType, const MarketQuoteType inputMarketQuoteType, const QuantLib::Handle< QuantLib::YieldTermStructure > discountCurve) | ParametricVolatility | |
| preferredOutputQuoteType() const | SabrParametricVolatility | private |
| rho() const | SabrParametricVolatility | |
| rho_ | SabrParametricVolatility | private |
| rhoInterpolation_ | SabrParametricVolatility | private |
| SabrParametricVolatility(const ModelVariant modelVariant, const std::vector< MarketSmile > marketSmiles, const MarketModelType marketModelType, const MarketQuoteType inputMarketQuoteType, const QuantLib::Handle< QuantLib::YieldTermStructure > discountCurve, const std::map< std::pair< QuantLib::Real, QuantLib::Real >, std::vector< std::pair< Real, bool > > > modelParameters={}, const QuantLib::Size maxCalibrationAttempts=10, const QuantLib::Real exitEarlyErrorThreshold=0.005, const QuantLib::Real maxAcceptableError=0.05) | SabrParametricVolatility | |
| timeToEpiries() const | SabrParametricVolatility | |
| timeToExpiries_ | SabrParametricVolatility | private |
| timeToExpiriesForInterpolation_ | SabrParametricVolatility | private |
| underlyingLenghts() const | SabrParametricVolatility | |
| underlyingLengths_ | SabrParametricVolatility | mutableprivate |
| underlyingLengthsForInterpolation_ | SabrParametricVolatility | mutableprivate |
| ~ParametricVolatility() | ParametricVolatility | virtual |