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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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CapletVarianceCurve Member List

This is the complete list of members for CapletVarianceCurve, including all inherited members.

allowsExtrapolation() constExtrapolator
bdc_VolatilityTermStructureprivate
blackCurve_CapletVarianceCurveprivate
blackVariance(const Period &optionTenor, Rate strike, bool extrapolate=false) constOptionletVolatilityStructure
blackVariance(const Date &optionDate, Rate strike, bool extrapolate=false) constOptionletVolatilityStructure
blackVariance(Time optionTime, Rate strike, bool extrapolate=false) constOptionletVolatilityStructure
businessDayConvention() constVolatilityTermStructurevirtual
calendar() constTermStructurevirtual
calendar_TermStructureprotected
CapletVarianceCurve(const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &capletVolCurve, const DayCounter &dayCounter, VolatilityType type=ShiftedLognormal, Real displacement=0.0)CapletVarianceCurve
checkRange(const Date &d, bool extrapolate) constTermStructureprotected
checkRange(Time t, bool extrapolate) constTermStructureprotected
checkStrike(Rate strike, bool extrapolate) constVolatilityTermStructureprotected
dayCounter() const overrideCapletVarianceCurvevirtual
dayCounter_TermStructureprivate
deepUpdate()Observervirtual
disableExtrapolation(bool b=true)Extrapolator
displacement() const overrideCapletVarianceCurvevirtual
displacement_CapletVarianceCurveprivate
enableExtrapolation(bool b=true)Extrapolator
extrapolate_Extrapolatorprivate
Extrapolator()=defaultExtrapolator
QuantLib::iterator typedefObserver
maxDate() const overrideCapletVarianceCurvevirtual
maxStrike() const overrideCapletVarianceCurvevirtual
maxTime() constTermStructurevirtual
minStrike() const overrideCapletVarianceCurvevirtual
moving_TermStructureprotected
notifyObservers()Observable
Observable()Observable
Observable(const Observable &)Observable
Observable(Observable &&)=deleteObservable
observables_Observerprivate
QuantLib::Observer()=defaultObserver
QuantLib::Observer(const Observer &)Observer
observers_Observableprivate
QuantLib::operator=(const Observer &)Observer
QuantLib::Observable::operator=(const Observable &)Observable
QuantLib::Observable::operator=(Observable &&)=deleteObservable
optionDateFromTenor(const Period &) constVolatilityTermStructure
OptionletVolatilityStructure(BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())OptionletVolatilityStructure
OptionletVolatilityStructure(const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())OptionletVolatilityStructure
OptionletVolatilityStructure(Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())OptionletVolatilityStructure
referenceDate() constTermStructurevirtual
referenceDate_TermStructuremutableprivate
registerObserver(Observer *)Observableprivate
registerWith(const ext::shared_ptr< Observable > &)Observer
registerWithObservables(const ext::shared_ptr< Observer > &)Observer
QuantLib::set_type typedefObserverprivate
settlementDays() constTermStructurevirtual
settlementDays_TermStructureprivate
smileSection(const Period &optionTenor, bool extr=false) constOptionletVolatilityStructure
smileSection(const Date &optionDate, bool extr=false) constOptionletVolatilityStructure
smileSection(Time optionTime, bool extr=false) constOptionletVolatilityStructure
smileSectionImpl(Time t) const overrideCapletVarianceCurveprotectedvirtual
QuantLib::OptionletVolatilityStructure::smileSectionImpl(const Date &optionDate) constOptionletVolatilityStructureprotectedvirtual
TermStructure(DayCounter dc=DayCounter())TermStructureexplicit
TermStructure(const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())TermStructureexplicit
TermStructure(Natural settlementDays, Calendar, DayCounter dc=DayCounter())TermStructure
timeFromReference(const Date &date) constTermStructure
type_CapletVarianceCurveprivate
unregisterObserver(Observer *)Observableprivate
unregisterWith(const ext::shared_ptr< Observable > &)Observer
unregisterWithAll()Observer
update() overrideTermStructurevirtual
updated_TermStructuremutableprotected
volatility(const Period &optionTenor, Rate strike, bool extrapolate=false) constOptionletVolatilityStructure
volatility(const Date &optionDate, Rate strike, bool extrapolate=false) constOptionletVolatilityStructure
volatility(Time optionTime, Rate strike, bool extrapolate=false) constOptionletVolatilityStructure
volatilityImpl(Time t, Rate) const overrideCapletVarianceCurveprotectedvirtual
QuantLib::OptionletVolatilityStructure::volatilityImpl(const Date &optionDate, Rate strike) constOptionletVolatilityStructureprotectedvirtual
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 overrideCapletVarianceCurvevirtual
~Extrapolator()=defaultExtrapolatorvirtual
~Observable()=defaultObservablevirtual
~Observer()Observervirtual
~OptionletVolatilityStructure() override=defaultOptionletVolatilityStructure
~TermStructure() override=defaultTermStructure
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