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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 SabrSmileSection, including all inherited members.
| alpha() const | SabrSmileSection | |
| alpha_ | SabrSmileSection | private |
| atmLevel() const override | SabrSmileSection | virtual |
| beta() const | SabrSmileSection | |
| beta_ | SabrSmileSection | private |
| 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 |
| exerciseDate() const | SmileSection | virtual |
| exerciseDate_ | SmileSection | private |
| exerciseTime() const | SmileSection | virtual |
| exerciseTime_ | SmileSection | mutableprivate |
| forward_ | SabrSmileSection | private |
| initialise(const std::vector< Real > &sabrParameters) | SabrSmileSection | private |
| initializeExerciseTime() const | SmileSection | protectedvirtual |
| isFloating_ | SmileSection | private |
| QuantLib::iterator typedef | Observable | private |
| QuantLib::Observer::iterator typedef | Observer | |
| maxStrike() const override | SabrSmileSection | virtual |
| minStrike() const override | SabrSmileSection | virtual |
| notifyObservers() | Observable | |
| nu() const | SabrSmileSection | |
| nu_ | SabrSmileSection | private |
| 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 |
| 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 | SabrSmileSection | |
| rho_ | SabrSmileSection | private |
| SabrSmileSection(Time timeToExpiry, Rate forward, const std::vector< Real > &sabrParameters, Real shift=0.0, VolatilityType volatilityType=VolatilityType::ShiftedLognormal) | SabrSmileSection | |
| SabrSmileSection(const Date &d, Rate forward, const std::vector< Real > &sabrParameters, const Date &referenceDate=Date(), const DayCounter &dc=Actual365Fixed(), Real shift=0.0, VolatilityType volatilityType=VolatilityType::ShiftedLognormal) | SabrSmileSection | |
| QuantLib::set_type typedef | Observable | private |
| shift() const | SmileSection | virtual |
| shift_ | SabrSmileSection | 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 override | SabrSmileSection | 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 | SabrSmileSection | protectedvirtual |
| volatilityType() const | SmileSection | virtual |
| volatilityType_ | SmileSection | private |
| ~Observable()=default | Observable | virtual |
| ~Observer() | Observer | virtual |
| ~SmileSection() override=default | SmileSection |