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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 SwaptionVolatilityMatrix, including all inherited members.
| allowsExtrapolation() const | Extrapolator | |
| alwaysForward_ | LazyObject | protected |
| alwaysForwardNotifications() | LazyObject | |
| bdc_ | VolatilityTermStructure | private |
| blackVariance(const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| blackVariance(const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| blackVariance(Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| blackVariance(const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| blackVariance(const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| blackVariance(Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| businessDayConvention() const | VolatilityTermStructure | virtual |
| cachedReferenceDate_ | SwaptionVolatilityDiscrete | mutableprotected |
| calculate() const | LazyObject | protectedvirtual |
| calculated_ | LazyObject | mutableprotected |
| calendar() const | TermStructure | virtual |
| calendar_ | TermStructure | protected |
| checkInputs(Size volRows, Size volsColumns, Size shiftRows, Size shiftsColumns) const | SwaptionVolatilityMatrix | private |
| checkOptionDates(const Date &reference) const | SwaptionVolatilityDiscrete | private |
| checkOptionTenors() const | SwaptionVolatilityDiscrete | 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 |
| checkSwapTenor(const Period &swapTenor, bool extrapolate) const | SwaptionVolatilityStructure | protected |
| checkSwapTenor(Time swapLength, bool extrapolate) const | SwaptionVolatilityStructure | protected |
| checkSwapTenors() const | SwaptionVolatilityDiscrete | private |
| dayCounter() const | TermStructure | virtual |
| dayCounter_ | TermStructure | private |
| deepUpdate() | Observer | virtual |
| disableExtrapolation(bool b=true) | Extrapolator | |
| enableExtrapolation(bool b=true) | Extrapolator | |
| extrapolate_ | Extrapolator | private |
| Extrapolator()=default | Extrapolator | |
| forwardFirstNotificationOnly() | LazyObject | |
| freeze() | LazyObject | |
| frozen_ | LazyObject | protected |
| initializeOptionDatesAndTimes() const | SwaptionVolatilityDiscrete | private |
| initializeOptionTimes() const | SwaptionVolatilityDiscrete | private |
| initializeSwapLengths() const | SwaptionVolatilityDiscrete | private |
| interpolation_ | SwaptionVolatilityMatrix | private |
| interpolationShifts_ | SwaptionVolatilityMatrix | private |
| isCalculated() const | LazyObject | |
| QuantLib::iterator typedef | Observable | private |
| QuantLib::Observer::iterator typedef | Observer | |
| LazyObject() | LazyObject | |
| locate(const Date &optionDate, const Period &swapTenor) const | SwaptionVolatilityMatrix | |
| locate(Time optionTime, Time swapLength) const | SwaptionVolatilityMatrix | |
| maxDate() const override | SwaptionVolatilityMatrix | virtual |
| maxStrike() const override | SwaptionVolatilityMatrix | virtual |
| maxSwapLength() const | SwaptionVolatilityStructure | |
| maxSwapTenor() const override | SwaptionVolatilityMatrix | virtual |
| maxTime() const | TermStructure | virtual |
| minStrike() const override | SwaptionVolatilityMatrix | virtual |
| moving_ | TermStructure | protected |
| nOptionTenors_ | SwaptionVolatilityDiscrete | protected |
| notifyObservers() | Observable | |
| nSwapTenors_ | SwaptionVolatilityDiscrete | protected |
| 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 |
| operator=(SwaptionVolatilityMatrix &&)=delete | SwaptionVolatilityMatrix | |
| operator=(const SwaptionVolatilityMatrix &)=delete | SwaptionVolatilityMatrix | |
| QuantLib::SwaptionVolatilityDiscrete::operator=(const Observable &) | Observable | |
| QuantLib::SwaptionVolatilityDiscrete::operator=(Observable &&)=delete | Observable | |
| QuantLib::SwaptionVolatilityDiscrete::operator=(const Observer &) | Observer | |
| optionDateFromTenor(const Period &) const | VolatilityTermStructure | |
| optionDateFromTime(Time optionTime) const | SwaptionVolatilityDiscrete | |
| optionDates() const | SwaptionVolatilityDiscrete | |
| optionDates_ | SwaptionVolatilityDiscrete | mutableprotected |
| optionDatesAsReal_ | SwaptionVolatilityDiscrete | mutableprotected |
| optionInterpolator_ | SwaptionVolatilityDiscrete | mutableprotected |
| optionInterpolatorDatesAsReal_ | SwaptionVolatilityDiscrete | mutableprotected |
| optionInterpolatorTimes_ | SwaptionVolatilityDiscrete | mutableprotected |
| optionTenors() const | SwaptionVolatilityDiscrete | |
| optionTenors_ | SwaptionVolatilityDiscrete | protected |
| optionTimes() const | SwaptionVolatilityDiscrete | |
| optionTimes_ | SwaptionVolatilityDiscrete | mutableprotected |
| performCalculations() const override | SwaptionVolatilityMatrix | virtual |
| recalculate() | LazyObject | |
| referenceDate() const | TermStructure | virtual |
| referenceDate_ | TermStructure | mutableprivate |
| registerObserver(Observer *) | Observable | private |
| registerWith(const ext::shared_ptr< Observable > &) | Observer | |
| registerWithMarketData() | SwaptionVolatilityMatrix | private |
| registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
| QuantLib::set_type typedef | Observable | private |
| settlementDays() const | TermStructure | virtual |
| settlementDays_ | TermStructure | private |
| shift(const Period &optionTenor, const Period &swapTenor, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| shift(const Date &optionDate, const Period &swapTenor, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| shift(Time optionTime, const Period &swapTenor, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| shift(const Period &optionTenor, Time swapLength, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| shift(const Date &optionDate, Time swapLength, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| shift(Time optionTime, Time swapLength, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| shiftImpl(Time optionTime, Time swapLength) const override | SwaptionVolatilityMatrix | protectedvirtual |
| QuantLib::SwaptionVolatilityDiscrete::shiftImpl(const Date &optionDate, const Period &swapTenor) const | SwaptionVolatilityStructure | protectedvirtual |
| shifts_ | SwaptionVolatilityMatrix | private |
| shiftValues_ | SwaptionVolatilityMatrix | private |
| smileSection(const Period &optionTenor, const Period &swapTenor, bool extr=false) const | SwaptionVolatilityStructure | |
| smileSection(const Date &optionDate, const Period &swapTenor, bool extr=false) const | SwaptionVolatilityStructure | |
| smileSection(Time optionTime, const Period &swapTenor, bool extr=false) const | SwaptionVolatilityStructure | |
| smileSection(const Period &optionTenor, Time swapLength, bool extr=false) const | SwaptionVolatilityStructure | |
| smileSection(const Date &optionDate, Time swapLength, bool extr=false) const | SwaptionVolatilityStructure | |
| smileSection(Time optionTime, Time swapLength, bool extr=false) const | SwaptionVolatilityStructure | |
| smileSectionImpl(Time, Time) const override | SwaptionVolatilityMatrix | protectedvirtual |
| QuantLib::SwaptionVolatilityDiscrete::smileSectionImpl(const Date &optionDate, const Period &swapTenor) const | SwaptionVolatilityStructure | protectedvirtual |
| swapLength(const Period &swapTenor) const | SwaptionVolatilityStructure | |
| swapLength(const Date &start, const Date &end) const | SwaptionVolatilityStructure | |
| swapLengths() const | SwaptionVolatilityDiscrete | |
| swapLengths_ | SwaptionVolatilityDiscrete | mutableprotected |
| swapTenors() const | SwaptionVolatilityDiscrete | |
| swapTenors_ | SwaptionVolatilityDiscrete | protected |
| SwaptionVolatilityDiscrete(const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc) | SwaptionVolatilityDiscrete | |
| SwaptionVolatilityDiscrete(const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc) | SwaptionVolatilityDiscrete | |
| SwaptionVolatilityDiscrete(const std::vector< Date > &optionDates, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc) | SwaptionVolatilityDiscrete | |
| SwaptionVolatilityMatrix(const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter, bool flatExtrapolation=false, VolatilityType type=ShiftedLognormal, const std::vector< std::vector< Real > > &shifts=std::vector< std::vector< Real > >()) | SwaptionVolatilityMatrix | |
| SwaptionVolatilityMatrix(const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter, bool flatExtrapolation=false, VolatilityType type=ShiftedLognormal, const std::vector< std::vector< Real > > &shifts=std::vector< std::vector< Real > >()) | SwaptionVolatilityMatrix | |
| SwaptionVolatilityMatrix(const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter, bool flatExtrapolation=false, VolatilityType type=ShiftedLognormal, const Matrix &shifts=Matrix()) | SwaptionVolatilityMatrix | |
| SwaptionVolatilityMatrix(const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter, bool flatExtrapolation=false, VolatilityType type=ShiftedLognormal, const Matrix &shifts=Matrix()) | SwaptionVolatilityMatrix | |
| SwaptionVolatilityMatrix(const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Date > &optionDates, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter, bool flatExtrapolation=false, VolatilityType type=ShiftedLognormal, const Matrix &shifts=Matrix()) | SwaptionVolatilityMatrix | |
| SwaptionVolatilityMatrix(SwaptionVolatilityMatrix &&)=delete | SwaptionVolatilityMatrix | |
| SwaptionVolatilityMatrix(const SwaptionVolatilityMatrix &)=delete | SwaptionVolatilityMatrix | |
| SwaptionVolatilityStructure(BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | SwaptionVolatilityStructure | |
| SwaptionVolatilityStructure(const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | SwaptionVolatilityStructure | |
| SwaptionVolatilityStructure(Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | SwaptionVolatilityStructure | |
| 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 | |
| unfreeze() | LazyObject | |
| unregisterObserver(Observer *) | Observable | private |
| unregisterWith(const ext::shared_ptr< Observable > &) | Observer | |
| unregisterWithAll() | Observer | |
| update() override | SwaptionVolatilityDiscrete | virtual |
| updated_ | TermStructure | mutableprotected |
| updating_ | LazyObject | private |
| volatilities_ | SwaptionVolatilityMatrix | mutableprivate |
| volatility(const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| volatility(const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| volatility(Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| volatility(const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| volatility(const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| volatility(Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| volatilityImpl(Time optionTime, Time swapLength, Rate strike) const override | SwaptionVolatilityMatrix | protectedvirtual |
| QuantLib::SwaptionVolatilityDiscrete::volatilityImpl(const Date &optionDate, const Period &swapTenor, Rate strike) const | SwaptionVolatilityStructure | protectedvirtual |
| 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 | |
| volatilityType() const override | SwaptionVolatilityMatrix | virtual |
| volatilityType_ | SwaptionVolatilityMatrix | private |
| volHandles_ | SwaptionVolatilityMatrix | private |
| ~Extrapolator()=default | Extrapolator | virtual |
| ~LazyObject() override=default | LazyObject | |
| ~Observable()=default | Observable | virtual |
| ~Observer() | Observer | virtual |
| ~SwaptionVolatilityMatrix() override=default | SwaptionVolatilityMatrix | |
| ~SwaptionVolatilityStructure() override=default | SwaptionVolatilityStructure | |
| ~TermStructure() override=default | TermStructure |