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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 SviInterpolatedSmileSection, including all inherited members.
| a() const | SviInterpolatedSmileSection | |
| a_ | SviInterpolatedSmileSection | protected |
| actualStrikes_ | SviInterpolatedSmileSection | mutableprotected |
| alwaysForward_ | LazyObject | protected |
| alwaysForwardNotifications() | LazyObject | |
| atmLevel() const override | SviInterpolatedSmileSection | virtual |
| atmVolatility_ | SviInterpolatedSmileSection | protected |
| b() const | SviInterpolatedSmileSection | |
| b_ | SviInterpolatedSmileSection | protected |
| calculate() const | LazyObject | protectedvirtual |
| calculated_ | LazyObject | mutableprotected |
| createInterpolation() const | SviInterpolatedSmileSection | protected |
| dayCounter() const | SmileSection | virtual |
| dc_ | SmileSection | private |
| deepUpdate() | Observer | virtual |
| density(Rate strike, Real discount=1.0, Real gap=1.0E-4) const | SmileSection | virtual |
| digitalOptionPrice(Rate strike, Option::Type type=Option::Call, Real discount=1.0, Real gap=1.0e-5) const | SmileSection | virtual |
| endCriteria() const | SviInterpolatedSmileSection | |
| endCriteria_ | SviInterpolatedSmileSection | protected |
| exerciseDate() const | SmileSection | virtual |
| exerciseDate_ | SmileSection | private |
| exerciseTime() const | SmileSection | virtual |
| exerciseTime_ | SmileSection | mutableprivate |
| forward_ | SviInterpolatedSmileSection | protected |
| forwardFirstNotificationOnly() | LazyObject | |
| forwardValue_ | SviInterpolatedSmileSection | mutableprotected |
| freeze() | LazyObject | |
| frozen_ | LazyObject | protected |
| hasFloatingStrikes_ | SviInterpolatedSmileSection | protected |
| initializeExerciseTime() const | SmileSection | protectedvirtual |
| isAFixed_ | SviInterpolatedSmileSection | protected |
| isBFixed_ | SviInterpolatedSmileSection | protected |
| isCalculated() const | LazyObject | |
| isFloating_ | SmileSection | private |
| isMFixed_ | SviInterpolatedSmileSection | protected |
| isRhoFixed_ | SviInterpolatedSmileSection | protected |
| isSigmaFixed_ | SviInterpolatedSmileSection | protected |
| QuantLib::iterator typedef | Observable | private |
| QuantLib::Observer::iterator typedef | Observer | |
| LazyObject() | LazyObject | |
| m() const | SviInterpolatedSmileSection | |
| m_ | SviInterpolatedSmileSection | protected |
| maxError() const | SviInterpolatedSmileSection | |
| maxStrike() const override | SviInterpolatedSmileSection | virtual |
| method_ | SviInterpolatedSmileSection | protected |
| minStrike() const override | SviInterpolatedSmileSection | virtual |
| 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 | SmileSection | virtual |
| performCalculations() const override | SviInterpolatedSmileSection | virtual |
| recalculate() | LazyObject | |
| 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 | |
| rho() const | SviInterpolatedSmileSection | |
| rho_ | SviInterpolatedSmileSection | protected |
| rmsError() const | SviInterpolatedSmileSection | |
| QuantLib::set_type typedef | Observable | private |
| shift() const | SmileSection | virtual |
| shift_ | SmileSection | private |
| sigma() const | SviInterpolatedSmileSection | |
| sigma_ | SviInterpolatedSmileSection | protected |
| 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 | |
| strikes_ | SviInterpolatedSmileSection | mutableprotected |
| SviInterpolatedSmileSection(const Date &optionDate, Handle< Quote > forward, const std::vector< Rate > &strikes, bool hasFloatingStrikes, Handle< Quote > atmVolatility, const std::vector< Handle< Quote > > &volHandles, Real a, Real b, Real sigma, Real rho, Real m, bool aIsFixed, bool bIsFixed, bool sigmaIsFixed, bool rhoIsFixed, bool mIsFixed, bool vegaWeighted=true, ext::shared_ptr< EndCriteria > endCriteria=ext::shared_ptr< EndCriteria >(), ext::shared_ptr< OptimizationMethod > method=ext::shared_ptr< OptimizationMethod >(), const DayCounter &dc=Actual365Fixed()) | SviInterpolatedSmileSection | |
| SviInterpolatedSmileSection(const Date &optionDate, const Rate &forward, const std::vector< Rate > &strikes, bool hasFloatingStrikes, const Volatility &atmVolatility, const std::vector< Volatility > &vols, Real a, Real b, Real sigma, Real rho, Real m, bool isAFixed, bool isBFixed, bool isSigmaFixed, bool isRhoFixed, bool isMFixed, bool vegaWeighted=true, ext::shared_ptr< EndCriteria > endCriteria=ext::shared_ptr< EndCriteria >(), ext::shared_ptr< OptimizationMethod > method=ext::shared_ptr< OptimizationMethod >(), const DayCounter &dc=Actual365Fixed()) | SviInterpolatedSmileSection | |
| sviInterpolation_ | SviInterpolatedSmileSection | mutableprotected |
| unfreeze() | LazyObject | |
| unregisterObserver(Observer *) | Observable | private |
| unregisterWith(const ext::shared_ptr< Observable > &) | Observer | |
| unregisterWithAll() | Observer | |
| update() override | SviInterpolatedSmileSection | virtual |
| updating_ | LazyObject | private |
| variance(Rate strike) const | SmileSection | |
| varianceImpl(Rate strike) const override | SviInterpolatedSmileSection | virtual |
| vega(Rate strike, Real discount=1.0) const | SmileSection | virtual |
| vegaWeighted_ | SviInterpolatedSmileSection | protected |
| volatility(Rate strike) const | SmileSection | |
| volatility(Rate strike, VolatilityType type, Real shift=0.0) const | SmileSection | |
| volatilityImpl(Rate strike) const override | SviInterpolatedSmileSection | virtual |
| volatilityType() const | SmileSection | virtual |
| volatilityType_ | SmileSection | private |
| volHandles_ | SviInterpolatedSmileSection | protected |
| vols_ | SviInterpolatedSmileSection | mutableprotected |
| ~LazyObject() override=default | LazyObject | |
| ~Observable()=default | Observable | virtual |
| ~Observer() | Observer | virtual |
| ~SmileSection() override=default | SmileSection |
