Fully annotated reference manual - version 1.8.12
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This is the complete list of members for SpreadedCreditVolCurve, including all inherited members.
| atmStrike(const QuantLib::Date &expiry, const QuantLib::Period &term) const | CreditVolCurve | |
| atmStrike(const QuantLib::Date &expiry, const QuantLib::Real underlyingLength) const | CreditVolCurve | |
| atmStrikeCache_ | CreditVolCurve | mutableprotected |
| baseCurve_ | SpreadedCreditVolCurve | private |
| CreditVolCurve(QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc, const std::vector< QuantLib::Period > &terms, const std::vector< QuantLib::Handle< CreditCurve > > &termCurves, const Type &type) | CreditVolCurve | |
| CreditVolCurve(const QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc, const std::vector< QuantLib::Period > &terms, const std::vector< QuantLib::Handle< CreditCurve > > &termCurves, const Type &type) | CreditVolCurve | |
| CreditVolCurve(const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc, const std::vector< QuantLib::Period > &terms, const std::vector< QuantLib::Handle< CreditCurve > > &termCurves, const Type &type) | CreditVolCurve | |
| expiries_ | SpreadedCreditVolCurve | private |
| init() | CreditVolCurve | protected |
| interpolatedSpreads_ | SpreadedCreditVolCurve | mutableprivate |
| maxDate() const override | CreditVolCurve | |
| maxStrike() const override | CreditVolCurve | |
| minStrike() const override | CreditVolCurve | |
| moneyness(const QuantLib::Real strike, const QuantLib::Real atmStrike) const | CreditVolCurve | protected |
| performCalculations() const override | SpreadedCreditVolCurve | private |
| referenceDate() const override | SpreadedCreditVolCurve | |
| SpreadedCreditVolCurve(const QuantLib::Handle< CreditVolCurve > baseCurve, const std::vector< QuantLib::Date > expiries, const std::vector< QuantLib::Handle< QuantLib::Quote > > spreads, const bool stickyMoneyness, const std::vector< QuantLib::Period > &terms={}, const std::vector< QuantLib::Handle< CreditCurve > > &termCurves={}) | SpreadedCreditVolCurve | |
| spreads_ | SpreadedCreditVolCurve | private |
| spreadValues_ | SpreadedCreditVolCurve | mutableprivate |
| stickyMoneyness_ | SpreadedCreditVolCurve | private |
| strike(const QuantLib::Real moneyness, const QuantLib::Real atmStrike) const | CreditVolCurve | protected |
| termCurves() const | CreditVolCurve | virtual |
| termCurves_ | CreditVolCurve | protected |
| terms() const | CreditVolCurve | virtual |
| terms_ | CreditVolCurve | protected |
| times_ | SpreadedCreditVolCurve | mutableprivate |
| Type enum name | CreditVolCurve | |
| type() const | CreditVolCurve | |
| type_ | CreditVolCurve | protected |
| update() override | CreditVolCurve | protected |
| volatility(const QuantLib::Date &exerciseDate, const QuantLib::Real underlyingLength, const QuantLib::Real strike, const Type &targetType) const override | SpreadedCreditVolCurve | virtual |
| QuantExt::CreditVolCurve::volatility(const QuantLib::Date &exerciseDate, const QuantLib::Period &underlyingTerm, const QuantLib::Real strike, const Type &targetType) const | CreditVolCurve | |
| QuantExt::CreditVolCurve::volatility(const QuantLib::Real exerciseTime, const QuantLib::Real underlyingLength, const QuantLib::Real strike, const Type &targetType) const | CreditVolCurve |