QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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This is the complete list of members for NoArbSabrSmileSection, including all inherited members.
atmLevel() const override | NoArbSabrSmileSection | virtual |
dayCounter() const | SmileSection | virtual |
dc_ | SmileSection | private |
deepUpdate() | Observer | virtual |
density(Rate strike, Real discount=1.0, Real gap=1.0E-4) const override | NoArbSabrSmileSection | virtual |
digitalOptionPrice(Rate strike, Option::Type type=Option::Call, Real discount=1.0, Real gap=1.0e-5) const override | NoArbSabrSmileSection | virtual |
exerciseDate() const | SmileSection | virtual |
exerciseDate_ | SmileSection | private |
exerciseTime() const | SmileSection | virtual |
exerciseTime_ | SmileSection | mutableprivate |
forward_ | NoArbSabrSmileSection | private |
init() | NoArbSabrSmileSection | private |
initializeExerciseTime() const | SmileSection | protectedvirtual |
isFloating_ | SmileSection | private |
QuantLib::iterator typedef | Observable | private |
QuantLib::Observer::iterator typedef | Observer | |
maxStrike() const override | NoArbSabrSmileSection | virtual |
minStrike() const override | NoArbSabrSmileSection | virtual |
model() | NoArbSabrSmileSection | |
model_ | NoArbSabrSmileSection | private |
NoArbSabrSmileSection(Time timeToExpiry, Rate forward, std::vector< Real > sabrParameters, Real shift=0.0, VolatilityType volatilityType=VolatilityType::ShiftedLognormal) | NoArbSabrSmileSection | |
NoArbSabrSmileSection(const Date &d, Rate forward, std::vector< Real > sabrParameters, const DayCounter &dc=Actual365Fixed(), Real shift=0.0, VolatilityType volatilityType=VolatilityType::ShiftedLognormal) | NoArbSabrSmileSection | |
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 | |
optionPrice(Rate strike, Option::Type type=Option::Call, Real discount=1.0) const override | NoArbSabrSmileSection | virtual |
params_ | NoArbSabrSmileSection | private |
referenceDate() const | SmileSection | virtual |
referenceDate_ | SmileSection | mutableprivate |
registerObserver(Observer *) | Observable | private |
registerWith(const ext::shared_ptr< Observable > &) | Observer | |
registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
QuantLib::set_type typedef | Observable | private |
shift() const | SmileSection | virtual |
shift_ | NoArbSabrSmileSection | private |
SmileSection(const Date &d, DayCounter dc=DayCounter(), const Date &referenceDate=Date(), VolatilityType type=ShiftedLognormal, Rate shift=0.0) | SmileSection | |
SmileSection(Time exerciseTime, DayCounter dc=DayCounter(), VolatilityType type=ShiftedLognormal, Rate shift=0.0) | SmileSection | |
SmileSection()=default | SmileSection | |
unregisterObserver(Observer *) | Observable | private |
unregisterWith(const ext::shared_ptr< Observable > &) | Observer | |
unregisterWithAll() | Observer | |
update() override | SmileSection | virtual |
variance(Rate strike) const | SmileSection | |
varianceImpl(Rate strike) const | SmileSection | protectedvirtual |
vega(Rate strike, Real discount=1.0) const | SmileSection | virtual |
volatility(Rate strike) const | SmileSection | |
volatility(Rate strike, VolatilityType type, Real shift=0.0) const | SmileSection | |
volatilityImpl(Rate strike) const override | NoArbSabrSmileSection | protectedvirtual |
volatilityType() const | SmileSection | virtual |
volatilityType_ | SmileSection | private |
~Observable()=default | Observable | virtual |
~Observer() | Observer | virtual |
~SmileSection() override=default | SmileSection |