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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 ExtendedBlackVarianceCurve, including all inherited members.
| accept(AcyclicVisitor &) override | ExtendedBlackVarianceCurve | virtual |
| allowsExtrapolation() const | Extrapolator | |
| bdc_ | VolatilityTermStructure | private |
| blackForwardVariance(const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const | BlackVolTermStructure | |
| blackForwardVariance(Time time1, Time time2, Real strike, bool extrapolate=false) const | BlackVolTermStructure | |
| blackForwardVol(const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const | BlackVolTermStructure | |
| blackForwardVol(Time time1, Time time2, Real strike, bool extrapolate=false) const | BlackVolTermStructure | |
| blackVariance(const Date &maturity, Real strike, bool extrapolate=false) const | BlackVolTermStructure | |
| blackVariance(Time maturity, Real strike, bool extrapolate=false) const | BlackVolTermStructure | |
| blackVarianceImpl(Time t, Real) const override | ExtendedBlackVarianceCurve | privatevirtual |
| BlackVarianceTermStructure(BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackVarianceTermStructure | |
| BlackVarianceTermStructure(const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackVarianceTermStructure | |
| BlackVarianceTermStructure(Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackVarianceTermStructure | |
| blackVol(const Date &maturity, Real strike, bool extrapolate=false) const | BlackVolTermStructure | |
| blackVol(Time maturity, Real strike, bool extrapolate=false) const | BlackVolTermStructure | |
| blackVolImpl(Time t, Real strike) const override | BlackVarianceTermStructure | protectedvirtual |
| BlackVolTermStructure(BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackVolTermStructure | |
| BlackVolTermStructure(const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackVolTermStructure | |
| BlackVolTermStructure(Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackVolTermStructure | |
| 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 |
| dayCounter() const override | ExtendedBlackVarianceCurve | virtual |
| dayCounter_ | ExtendedBlackVarianceCurve | private |
| deepUpdate() | Observer | virtual |
| disableExtrapolation(bool b=true) | Extrapolator | |
| enableExtrapolation(bool b=true) | Extrapolator | |
| ExtendedBlackVarianceCurve(const Date &referenceDate, const std::vector< Date > &dates, std::vector< Handle< Quote > > volatilities, DayCounter dayCounter, bool forceMonotoneVariance=true) | ExtendedBlackVarianceCurve | |
| extrapolate_ | Extrapolator | private |
| Extrapolator()=default | Extrapolator | |
| forceMonotoneVariance_ | ExtendedBlackVarianceCurve | private |
| QuantLib::iterator typedef | Observer | |
| maxDate() const override | ExtendedBlackVarianceCurve | virtual |
| maxDate_ | ExtendedBlackVarianceCurve | private |
| maxStrike() const override | ExtendedBlackVarianceCurve | virtual |
| maxTime() const | TermStructure | virtual |
| minStrike() const override | ExtendedBlackVarianceCurve | 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 |
| setInterpolation(const Interpolator &i=Interpolator()) | ExtendedBlackVarianceCurve | |
| settlementDays() const | TermStructure | virtual |
| settlementDays_ | TermStructure | private |
| setVariances() | ExtendedBlackVarianceCurve | private |
| 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 | |
| times_ | ExtendedBlackVarianceCurve | private |
| unregisterObserver(Observer *) | Observable | private |
| unregisterWith(const ext::shared_ptr< Observable > &) | Observer | |
| unregisterWithAll() | Observer | |
| update() override | ExtendedBlackVarianceCurve | virtual |
| updated_ | TermStructure | mutableprotected |
| varianceCurve_ | ExtendedBlackVarianceCurve | private |
| variances_ | ExtendedBlackVarianceCurve | private |
| volatilities_ | ExtendedBlackVarianceCurve | private |
| 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 | |
| ~BlackVolTermStructure() override=default | BlackVolTermStructure | |
| ~Extrapolator()=default | Extrapolator | virtual |
| ~Observable()=default | Observable | virtual |
| ~Observer() | Observer | virtual |
| ~TermStructure() override=default | TermStructure |
