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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 ConstantSwaptionVolatility, including all inherited members.
| allowsExtrapolation() const | Extrapolator | |
| 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 |
| calendar() const | TermStructure | virtual |
| calendar_ | TermStructure | protected |
| 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 |
| ConstantSwaptionVolatility(Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, Handle< Quote > volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real shift=0.0) | ConstantSwaptionVolatility | |
| ConstantSwaptionVolatility(const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, Handle< Quote > volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real shift=0.0) | ConstantSwaptionVolatility | |
| ConstantSwaptionVolatility(Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real shift=0.0) | ConstantSwaptionVolatility | |
| ConstantSwaptionVolatility(const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real shift=0.0) | ConstantSwaptionVolatility | |
| 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 | |
| QuantLib::iterator typedef | Observer | |
| maxDate() const override | ConstantSwaptionVolatility | virtual |
| maxStrike() const override | ConstantSwaptionVolatility | virtual |
| maxSwapLength() const | SwaptionVolatilityStructure | |
| maxSwapTenor() const override | ConstantSwaptionVolatility | virtual |
| maxSwapTenor_ | ConstantSwaptionVolatility | private |
| maxTime() const | TermStructure | virtual |
| minStrike() const override | ConstantSwaptionVolatility | 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 | VolatilityTermStructure | |
| referenceDate() const | TermStructure | virtual |
| referenceDate_ | TermStructure | mutableprivate |
| registerObserver(Observer *) | Observable | private |
| registerWith(const ext::shared_ptr< Observable > &) | Observer | |
| registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
| QuantLib::set_type typedef | Observer | 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 | |
| shift_ | ConstantSwaptionVolatility | private |
| shiftImpl(Time optionTime, Time swapLength) const override | ConstantSwaptionVolatility | protectedvirtual |
| QuantLib::SwaptionVolatilityStructure::shiftImpl(const Date &optionDate, const Period &swapTenor) const | SwaptionVolatilityStructure | protectedvirtual |
| 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(const Date &, const Period &) const override | ConstantSwaptionVolatility | protectedvirtual |
| smileSectionImpl(Time, Time) const override | ConstantSwaptionVolatility | protectedvirtual |
| swapLength(const Period &swapTenor) const | SwaptionVolatilityStructure | |
| swapLength(const Date &start, const Date &end) const | SwaptionVolatilityStructure | |
| 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 | |
| unregisterObserver(Observer *) | Observable | private |
| unregisterWith(const ext::shared_ptr< Observable > &) | Observer | |
| unregisterWithAll() | Observer | |
| update() override | TermStructure | virtual |
| updated_ | TermStructure | mutableprotected |
| 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 | |
| volatility_ | ConstantSwaptionVolatility | private |
| volatilityImpl(const Date &, const Period &, Rate) const override | ConstantSwaptionVolatility | protectedvirtual |
| volatilityImpl(Time, Time, Rate) const override | ConstantSwaptionVolatility | 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 | ConstantSwaptionVolatility | virtual |
| volatilityType_ | ConstantSwaptionVolatility | private |
| ~Extrapolator()=default | Extrapolator | virtual |
| ~Observable()=default | Observable | virtual |
| ~Observer() | Observer | virtual |
| ~SwaptionVolatilityStructure() override=default | SwaptionVolatilityStructure | |
| ~TermStructure() override=default | TermStructure |