QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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AndreasenHugeVolatilityInterpl Member List

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

alwaysForward_LazyObjectprotected
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_AndreasenHugeVolatilityInterplmutableprivate
buildCostFunction(Size iExpiry, Option::Type optionType, const Array &previousNPVs) constAndreasenHugeVolatilityInterplprivate
calculate() constLazyObjectprotectedvirtual
calculated_LazyObjectmutableprotected
calibrationError() constAndreasenHugeVolatilityInterpl
calibrationMatrix_AndreasenHugeVolatilityInterplprivate
calibrationResults_AndreasenHugeVolatilityInterplmutableprivate
CalibrationSet typedefAndreasenHugeVolatilityInterpl
calibrationSet_AndreasenHugeVolatilityInterplprivate
CalibrationType enum nameAndreasenHugeVolatilityInterpl
calibrationType_AndreasenHugeVolatilityInterplprivate
Call enum valueAndreasenHugeVolatilityInterpl
CallPut enum valueAndreasenHugeVolatilityInterpl
CubicSpline enum valueAndreasenHugeVolatilityInterpl
deepUpdate()Observervirtual
dT_AndreasenHugeVolatilityInterplprivate
endCriteria_AndreasenHugeVolatilityInterplprivate
expiries_AndreasenHugeVolatilityInterplprivate
expiryTimes_AndreasenHugeVolatilityInterplmutableprivate
forwardFirstNotificationOnly()LazyObject
freeze()LazyObject
frozen_LazyObjectprotected
fwd(Time t) constAndreasenHugeVolatilityInterpl
getCacheValue(Real strike, const TimeValueCacheType::const_iterator &f) constAndreasenHugeVolatilityInterplprivate
getExerciseTimeIdx(Time t) constAndreasenHugeVolatilityInterplprivate
getLocalVolSlice(Time t, Option::Type optionType) constAndreasenHugeVolatilityInterplprivate
getPriceSlice(Time t, Option::Type optionType) constAndreasenHugeVolatilityInterplprivate
gridInFwd_AndreasenHugeVolatilityInterplprivate
gridPoints_AndreasenHugeVolatilityInterplmutableprivate
InterpolationType enum nameAndreasenHugeVolatilityInterpl
interpolationType_AndreasenHugeVolatilityInterplprivate
isCalculated() constLazyObject
QuantLib::iterator typedefObservableprivate
QuantLib::Observer::iterator typedefObserver
LazyObject()LazyObject
Linear enum valueAndreasenHugeVolatilityInterpl
localVol(Time t, Real strike) constAndreasenHugeVolatilityInterpl
localVolCache_AndreasenHugeVolatilityInterplmutableprivate
maxDate() constAndreasenHugeVolatilityInterpl
maxError_AndreasenHugeVolatilityInterplprivate
maxStrike() constAndreasenHugeVolatilityInterpl
maxStrike_AndreasenHugeVolatilityInterplprivate
mesher_AndreasenHugeVolatilityInterplmutableprivate
minError_AndreasenHugeVolatilityInterplprivate
minStrike() constAndreasenHugeVolatilityInterpl
minStrike_AndreasenHugeVolatilityInterplprivate
nGridPoints_AndreasenHugeVolatilityInterplprivate
notifyObservers()Observable
Observable()Observable
Observable(const Observable &)Observable
Observable(Observable &&)=deleteObservable
observables_Observerprivate
Observer()=defaultObserver
QuantLib::Observer::Observer(const Observer &)Observer
observers_Observableprivate
QuantLib::operator=(const Observable &)Observable
QuantLib::operator=(Observable &&)=deleteObservable
QuantLib::Observer::operator=(const Observer &)Observer
optimizationMethod_AndreasenHugeVolatilityInterplprivate
optionPrice(Time t, Real strike, Option::Type optionType) constAndreasenHugeVolatilityInterpl
performCalculations() const overrideAndreasenHugeVolatilityInterplprotectedvirtual
PiecewiseConstant enum valueAndreasenHugeVolatilityInterpl
priceCache_AndreasenHugeVolatilityInterplprivate
Put enum valueAndreasenHugeVolatilityInterpl
qTS_AndreasenHugeVolatilityInterplprivate
recalculate()LazyObject
registerObserver(Observer *)Observableprivate
registerWith(const ext::shared_ptr< Observable > &)Observer
registerWithObservables(const ext::shared_ptr< Observer > &)Observer
riskFreeRate() constAndreasenHugeVolatilityInterpl
rTS_AndreasenHugeVolatilityInterplprivate
QuantLib::set_type typedefObservableprivate
spot_AndreasenHugeVolatilityInterplprivate
strikes_AndreasenHugeVolatilityInterplprivate
TimeValueCacheType typedefAndreasenHugeVolatilityInterplprivate
unfreeze()LazyObject
unregisterObserver(Observer *)Observableprivate
unregisterWith(const ext::shared_ptr< Observable > &)Observer
unregisterWithAll()Observer
update() overrideLazyObjectvirtual
updating_LazyObjectprivate
~LazyObject() override=defaultLazyObject
~Observable()=defaultObservablevirtual
~Observer()Observervirtual