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QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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This is the complete list of members for SabrVolSurface, including all inherited members.
| accept(AcyclicVisitor &) override | SabrVolSurface | virtual |
| allowsExtrapolation() const | Extrapolator | |
| atmCurve() const | SabrVolSurface | |
| atmCurve_ | SabrVolSurface | private |
| atmRateSpreads_ | SabrVolSurface | private |
| atmVariance(const Period &optionTenor, bool extrapolate=false) const | BlackAtmVolCurve | |
| atmVariance(const Date &maturity, bool extrapolate=false) const | BlackAtmVolCurve | |
| atmVariance(Time maturity, bool extrapolate=false) const | BlackAtmVolCurve | |
| atmVarianceImpl(Time t) const override | BlackVolSurface | protectedvirtual |
| atmVol(const Period &optionTenor, bool extrapolate=false) const | BlackAtmVolCurve | |
| atmVol(const Date &maturity, bool extrapolate=false) const | BlackAtmVolCurve | |
| atmVol(Time maturity, bool extrapolate=false) const | BlackAtmVolCurve | |
| atmVolImpl(Time t) const override | BlackVolSurface | protectedvirtual |
| bdc_ | VolatilityTermStructure | private |
| BlackAtmVolCurve(BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackAtmVolCurve | |
| BlackAtmVolCurve(const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackAtmVolCurve | |
| BlackAtmVolCurve(Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackAtmVolCurve | |
| BlackVolSurface(BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackVolSurface | |
| BlackVolSurface(const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackVolSurface | |
| BlackVolSurface(Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackVolSurface | |
| businessDayConvention() const | VolatilityTermStructure | virtual |
| calendar() const override | SabrVolSurface | virtual |
| calendar_ | TermStructure | protected |
| checkInputs() const | SabrVolSurface | private |
| checkRange(const Date &d, bool extrapolate) const | TermStructure | protected |
| checkRange(Time t, bool extrapolate) const | TermStructure | protected |
| checkStrike(Rate strike, bool extrapolate) const | VolatilityTermStructure | protected |
| dayCounter() const override | SabrVolSurface | virtual |
| dayCounter_ | TermStructure | private |
| deepUpdate() | Observer | virtual |
| disableExtrapolation(bool b=true) | Extrapolator | |
| enableExtrapolation(bool b=true) | Extrapolator | |
| extrapolate_ | Extrapolator | private |
| Extrapolator()=default | Extrapolator | |
| index() const | InterestRateVolSurface | |
| index_ | InterestRateVolSurface | protected |
| InterestRateVolSurface(ext::shared_ptr< InterestRateIndex >, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | InterestRateVolSurface | explicit |
| InterestRateVolSurface(ext::shared_ptr< InterestRateIndex >, const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | InterestRateVolSurface | |
| InterestRateVolSurface(ext::shared_ptr< InterestRateIndex >, Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | InterestRateVolSurface | |
| isAlphaFixed_ | SabrVolSurface | private |
| isBetaFixed_ | SabrVolSurface | private |
| isNuFixed_ | SabrVolSurface | private |
| isRhoFixed_ | SabrVolSurface | private |
| QuantLib::iterator typedef | Observer | |
| maxDate() const override | SabrVolSurface | virtual |
| maxStrike() const override | SabrVolSurface | virtual |
| maxTime() const override | SabrVolSurface | virtual |
| minStrike() const override | SabrVolSurface | virtual |
| moving_ | TermStructure | protected |
| notifyObservers() | Observable | |
| Observable() | Observable | |
| Observable(const Observable &) | Observable | |
| Observable(Observable &&)=delete | Observable | |
| observables_ | Observer | private |
| QuantLib::Observer()=default | Observer | |
| QuantLib::Observer(const Observer &) | Observer | |
| observers_ | Observable | private |
| QuantLib::operator=(const Observer &) | Observer | |
| QuantLib::Observable::operator=(const Observable &) | Observable | |
| QuantLib::Observable::operator=(Observable &&)=delete | Observable | |
| optionDateFromTenor(const Period &) const | InterestRateVolSurface | |
| optionDates_ | SabrVolSurface | private |
| optionTenors_ | SabrVolSurface | private |
| optionTimes_ | SabrVolSurface | private |
| performCalculations() const | SabrVolSurface | protected |
| referenceDate() const override | SabrVolSurface | virtual |
| referenceDate_ | TermStructure | mutableprivate |
| registerObserver(Observer *) | Observable | private |
| registerWith(const ext::shared_ptr< Observable > &) | Observer | |
| registerWithMarketData() | SabrVolSurface | private |
| registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
| sabrGuesses(const Date &) const | SabrVolSurface | protected |
| sabrGuesses_ | SabrVolSurface | mutableprivate |
| SabrVolSurface(const ext::shared_ptr< InterestRateIndex > &, Handle< BlackAtmVolCurve >, const std::vector< Period > &optionTenors, std::vector< Spread > atmRateSpreads, std::vector< std::vector< Handle< Quote > > > volSpreads) | SabrVolSurface | |
| QuantLib::set_type typedef | Observer | private |
| settlementDays() const override | SabrVolSurface | virtual |
| settlementDays_ | TermStructure | private |
| smileSection(const Period &, bool extrapolate) const | BlackVolSurface | |
| smileSection(const Date &, bool extrapolate) const | BlackVolSurface | |
| smileSection(Time, bool extrapolate) const | BlackVolSurface | |
| smileSectionImpl(Time) const override | SabrVolSurface | virtual |
| TermStructure(DayCounter dc=DayCounter()) | TermStructure | explicit |
| TermStructure(const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter()) | TermStructure | explicit |
| TermStructure(Natural settlementDays, Calendar, DayCounter dc=DayCounter()) | TermStructure | |
| timeFromReference(const Date &date) const | TermStructure | |
| unregisterObserver(Observer *) | Observable | private |
| unregisterWith(const ext::shared_ptr< Observable > &) | Observer | |
| unregisterWithAll() | Observer | |
| update() override | SabrVolSurface | protectedvirtual |
| updated_ | TermStructure | mutableprotected |
| updateSabrGuesses(const Date &d, std::array< Real, 4 > newGuesses) const | SabrVolSurface | private |
| vegaWeighted_ | SabrVolSurface | private |
| volatilitySpreads(const Period &) const | SabrVolSurface | |
| volatilitySpreads(const Date &) const | SabrVolSurface | |
| VolatilityTermStructure(BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | VolatilityTermStructure | |
| VolatilityTermStructure(const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | VolatilityTermStructure | |
| VolatilityTermStructure(Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | VolatilityTermStructure | |
| volSpreads_ | SabrVolSurface | private |
| ~BlackAtmVolCurve() override=default | BlackAtmVolCurve | |
| ~Extrapolator()=default | Extrapolator | virtual |
| ~Observable()=default | Observable | virtual |
| ~Observer() | Observer | virtual |
| ~TermStructure() override=default | TermStructure |