alwaysForward_ | LazyObject | protected |
alwaysForwardNotifications() | LazyObject | |
AndreasenHugeVolatilityInterpl(const CalibrationSet &calibrationSet, Handle< Quote > spot, Handle< YieldTermStructure > rTS, Handle< YieldTermStructure > qTS, InterpolationType interpolationType=CubicSpline, CalibrationType calibrationType=Call, Size nGridPoints=500, Real minStrike=Null< Real >(), Real maxStrike=Null< Real >(), ext::shared_ptr< OptimizationMethod > optimizationMethod=ext::shared_ptr< OptimizationMethod >(new LevenbergMarquardt), const EndCriteria &endCriteria=EndCriteria(500, 100, 1e-12, 1e-10, 1e-10)) | AndreasenHugeVolatilityInterpl | |
avgError_ | AndreasenHugeVolatilityInterpl | mutableprivate |
buildCostFunction(Size iExpiry, Option::Type optionType, const Array &previousNPVs) const | AndreasenHugeVolatilityInterpl | private |
calculate() const | LazyObject | protectedvirtual |
calculated_ | LazyObject | mutableprotected |
calibrationError() const | AndreasenHugeVolatilityInterpl | |
calibrationMatrix_ | AndreasenHugeVolatilityInterpl | private |
calibrationResults_ | AndreasenHugeVolatilityInterpl | mutableprivate |
CalibrationSet typedef | AndreasenHugeVolatilityInterpl | |
calibrationSet_ | AndreasenHugeVolatilityInterpl | private |
CalibrationType enum name | AndreasenHugeVolatilityInterpl | |
calibrationType_ | AndreasenHugeVolatilityInterpl | private |
Call enum value | AndreasenHugeVolatilityInterpl | |
CallPut enum value | AndreasenHugeVolatilityInterpl | |
CubicSpline enum value | AndreasenHugeVolatilityInterpl | |
deepUpdate() | Observer | virtual |
dT_ | AndreasenHugeVolatilityInterpl | private |
endCriteria_ | AndreasenHugeVolatilityInterpl | private |
expiries_ | AndreasenHugeVolatilityInterpl | private |
expiryTimes_ | AndreasenHugeVolatilityInterpl | mutableprivate |
forwardFirstNotificationOnly() | LazyObject | |
freeze() | LazyObject | |
frozen_ | LazyObject | protected |
fwd(Time t) const | AndreasenHugeVolatilityInterpl | |
getCacheValue(Real strike, const TimeValueCacheType::const_iterator &f) const | AndreasenHugeVolatilityInterpl | private |
getExerciseTimeIdx(Time t) const | AndreasenHugeVolatilityInterpl | private |
getLocalVolSlice(Time t, Option::Type optionType) const | AndreasenHugeVolatilityInterpl | private |
getPriceSlice(Time t, Option::Type optionType) const | AndreasenHugeVolatilityInterpl | private |
gridInFwd_ | AndreasenHugeVolatilityInterpl | private |
gridPoints_ | AndreasenHugeVolatilityInterpl | mutableprivate |
InterpolationType enum name | AndreasenHugeVolatilityInterpl | |
interpolationType_ | AndreasenHugeVolatilityInterpl | private |
isCalculated() const | LazyObject | |
QuantLib::iterator typedef | Observable | private |
QuantLib::Observer::iterator typedef | Observer | |
LazyObject() | LazyObject | |
Linear enum value | AndreasenHugeVolatilityInterpl | |
localVol(Time t, Real strike) const | AndreasenHugeVolatilityInterpl | |
localVolCache_ | AndreasenHugeVolatilityInterpl | mutableprivate |
maxDate() const | AndreasenHugeVolatilityInterpl | |
maxError_ | AndreasenHugeVolatilityInterpl | private |
maxStrike() const | AndreasenHugeVolatilityInterpl | |
maxStrike_ | AndreasenHugeVolatilityInterpl | private |
mesher_ | AndreasenHugeVolatilityInterpl | mutableprivate |
minError_ | AndreasenHugeVolatilityInterpl | private |
minStrike() const | AndreasenHugeVolatilityInterpl | |
minStrike_ | AndreasenHugeVolatilityInterpl | private |
nGridPoints_ | AndreasenHugeVolatilityInterpl | private |
notifyObservers() | Observable | |
Observable() | Observable | |
Observable(const Observable &) | Observable | |
Observable(Observable &&)=delete | Observable | |
observables_ | Observer | private |
Observer()=default | Observer | |
QuantLib::Observer::Observer(const Observer &) | Observer | |
observers_ | Observable | private |
QuantLib::operator=(const Observable &) | Observable | |
QuantLib::operator=(Observable &&)=delete | Observable | |
QuantLib::Observer::operator=(const Observer &) | Observer | |
optimizationMethod_ | AndreasenHugeVolatilityInterpl | private |
optionPrice(Time t, Real strike, Option::Type optionType) const | AndreasenHugeVolatilityInterpl | |
performCalculations() const override | AndreasenHugeVolatilityInterpl | protectedvirtual |
PiecewiseConstant enum value | AndreasenHugeVolatilityInterpl | |
priceCache_ | AndreasenHugeVolatilityInterpl | private |
Put enum value | AndreasenHugeVolatilityInterpl | |
qTS_ | AndreasenHugeVolatilityInterpl | private |
recalculate() | LazyObject | |
registerObserver(Observer *) | Observable | private |
registerWith(const ext::shared_ptr< Observable > &) | Observer | |
registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
riskFreeRate() const | AndreasenHugeVolatilityInterpl | |
rTS_ | AndreasenHugeVolatilityInterpl | private |
QuantLib::set_type typedef | Observable | private |
spot_ | AndreasenHugeVolatilityInterpl | private |
strikes_ | AndreasenHugeVolatilityInterpl | private |
TimeValueCacheType typedef | AndreasenHugeVolatilityInterpl | private |
unfreeze() | LazyObject | |
unregisterObserver(Observer *) | Observable | private |
unregisterWith(const ext::shared_ptr< Observable > &) | Observer | |
unregisterWithAll() | Observer | |
update() override | LazyObject | virtual |
updating_ | LazyObject | private |
~LazyObject() override=default | LazyObject | |
~Observable()=default | Observable | virtual |
~Observer() | Observer | virtual |