QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > Member List

This is the complete list of members for PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >, including all inherited members.

accuracy_PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >private
allowsExtrapolation() constExtrapolator
alwaysForward_LazyObjectprotected
alwaysForwardNotifications()LazyObject
base_curve typedefPiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >private
baseDate() const overridePiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >virtual
baseLevel() constYoYOptionletVolatilitySurfacevirtual
baseLevel_YoYOptionletVolatilitySurfacemutableprotected
bdc_VolatilityTermStructureprivate
Bootstrap< this_curve >PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >friend
bootstrap_PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >private
BootstrapError< this_curve >PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >friend
businessDayConvention() constVolatilityTermStructurevirtual
calculate() constLazyObjectprotectedvirtual
calculated_LazyObjectmutableprotected
calendar() constTermStructurevirtual
calendar_TermStructureprotected
checkRange(const Date &, Rate strike, bool extrapolate) constYoYOptionletVolatilitySurfaceprotectedvirtual
checkRange(Time, Rate strike, bool extrapolate) constYoYOptionletVolatilitySurfaceprotectedvirtual
QuantLib::VolatilityTermStructure::checkRange(const Date &d, bool extrapolate) constTermStructureprotected
QuantLib::VolatilityTermStructure::checkRange(Time t, bool extrapolate) constTermStructureprotected
checkStrike(Rate strike, bool extrapolate) constVolatilityTermStructureprotected
data() const overridePiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >virtual
data_InterpolatedCurve< Interpolator >mutableprotected
dates() const overridePiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >virtual
dates_InterpolatedYoYOptionletVolatilityCurve< Interpolator >mutableprotected
dayCounter() constTermStructurevirtual
dayCounter_TermStructureprivate
deepUpdate()Observervirtual
disableExtrapolation(bool b=true)Extrapolator
displacement() constYoYOptionletVolatilitySurfacevirtual
displacement_YoYOptionletVolatilitySurfaceprotected
enableExtrapolation(bool b=true)Extrapolator
extrapolate_Extrapolatorprivate
Extrapolator()=defaultExtrapolator
forwardFirstNotificationOnly()LazyObject
freeze()LazyObject
frequency() constYoYOptionletVolatilitySurfacevirtual
frequency_YoYOptionletVolatilitySurfaceprotected
frozen_LazyObjectprotected
indexIsInterpolated() constYoYOptionletVolatilitySurfacevirtual
indexIsInterpolated_YoYOptionletVolatilitySurfaceprotected
instruments_PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >private
InterpolatedCurve(std::vector< Time > times, std::vector< Real > data, const Interpolator &i=Interpolator())InterpolatedCurve< Interpolator >protected
InterpolatedCurve(std::vector< Time > times, const Interpolator &i=Interpolator())InterpolatedCurve< Interpolator >protected
InterpolatedCurve(Size n, const Interpolator &i=Interpolator())InterpolatedCurve< Interpolator >protected
InterpolatedCurve(const Interpolator &i=Interpolator())InterpolatedCurve< Interpolator >protected
InterpolatedCurve(const InterpolatedCurve &c)InterpolatedCurve< Interpolator >protected
InterpolatedCurve(InterpolatedCurve &&c) noexceptInterpolatedCurve< Interpolator >protected
InterpolatedYoYOptionletVolatilityCurve(Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, const std::vector< Date > &d, const std::vector< Volatility > &v, Rate minStrike, Rate maxStrike, const Interpolator &i=Interpolator())InterpolatedYoYOptionletVolatilityCurve< Interpolator >
InterpolatedYoYOptionletVolatilityCurve(Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate minStrike, Rate maxStrike, Volatility baseYoYVolatility, const Interpolator &i=Interpolator())InterpolatedYoYOptionletVolatilityCurve< Interpolator >protected
interpolation_InterpolatedCurve< Interpolator >mutableprotected
interpolator_InterpolatedCurve< Interpolator >protected
interpolator_type typedefPiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >
isCalculated() constLazyObject
InterpolatedYoYOptionletVolatilityCurve< Interpolator >::QuantLib::iterator typedefObserver
LazyObject()LazyObject
maxDate() const overridePiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >virtual
maxDate_InterpolatedCurve< Interpolator >protected
maxStrike() const overrideInterpolatedYoYOptionletVolatilityCurve< Interpolator >virtual
maxStrike_InterpolatedYoYOptionletVolatilityCurve< Interpolator >protected
maxTime() constTermStructurevirtual
minStrike() const overrideInterpolatedYoYOptionletVolatilityCurve< Interpolator >virtual
minStrike_InterpolatedYoYOptionletVolatilityCurve< Interpolator >protected
moving_TermStructureprotected
nodes() const overridePiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >virtual
nodes_InterpolatedYoYOptionletVolatilityCurve< Interpolator >protected
notifyObservers()Observable
Observable()Observable
Observable(const Observable &)Observable
Observable(Observable &&)=deleteObservable
observables_Observerprivate
observationLag() constYoYOptionletVolatilitySurfacevirtual
observationLag_YoYOptionletVolatilitySurfaceprotected
QuantLib::Observer()=defaultObserver
QuantLib::Observer(const Observer &)Observer
observers_Observableprivate
InterpolatedYoYOptionletVolatilityCurve< Interpolator >::QuantLib::operator=(const Observer &)Observer
QuantLib::Observable::operator=(const Observable &)Observable
QuantLib::Observable::operator=(Observable &&)=deleteObservable
QuantLib::InterpolatedCurve::operator=(const InterpolatedCurve &c)InterpolatedCurve< Interpolator >protected
QuantLib::InterpolatedCurve::operator=(InterpolatedCurve &&c) noexceptInterpolatedCurve< Interpolator >protected
optionDateFromTenor(const Period &) constVolatilityTermStructure
performCalculations() const overridePiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >privatevirtual
PiecewiseYoYOptionletVolatilityCurve(Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate minStrike, Rate maxStrike, Volatility baseYoYVolatility, std::vector< ext::shared_ptr< typename Traits::helper > > instruments, Real accuracy=1.0e-12, const Interpolator &interpolator=Interpolator())PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >
recalculate()LazyObject
referenceDate() constTermStructurevirtual
referenceDate_TermStructuremutableprivate
registerObserver(Observer *)Observableprivate
registerWith(const ext::shared_ptr< Observable > &)Observer
registerWithObservables(const ext::shared_ptr< Observer > &)Observer
InterpolatedYoYOptionletVolatilityCurve< Interpolator >::QuantLib::set_type typedefObserverprivate
setBaseLevel(Volatility v)YoYOptionletVolatilitySurfaceprotectedvirtual
settlementDays() constTermStructurevirtual
settlementDays_TermStructureprivate
setupInterpolation()InterpolatedCurve< Interpolator >protected
setupTimes(const std::vector< Date > &dates, Date referenceDate, const DayCounter &dayCounter)InterpolatedCurve< Interpolator >protected
TermStructure(DayCounter dc=DayCounter())TermStructureexplicit
TermStructure(const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())TermStructureexplicit
TermStructure(Natural settlementDays, Calendar, DayCounter dc=DayCounter())TermStructure
this_curve typedefPiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >private
timeFromBase(const Date &date, const Period &obsLag=Period(-1, Days)) constYoYOptionletVolatilitySurfacevirtual
timeFromReference(const Date &date) constTermStructure
times() const overridePiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >virtual
times_InterpolatedCurve< Interpolator >mutableprotected
totalVariance(const Date &exerciseDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) constYoYOptionletVolatilitySurfacevirtual
totalVariance(const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) constYoYOptionletVolatilitySurfacevirtual
traits_type typedefPiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >
unfreeze()LazyObject
unregisterObserver(Observer *)Observableprivate
unregisterWith(const ext::shared_ptr< Observable > &)Observer
unregisterWithAll()Observer
update() overridePiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >virtual
updated_TermStructuremutableprotected
updating_LazyObjectprivate
volatility(const Date &maturityDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) constYoYOptionletVolatilitySurface
volatility(const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) constYoYOptionletVolatilitySurface
volatility(Time time, Rate strike) constYoYOptionletVolatilitySurface
volatilityImpl(Time length, Rate strike) const overrideInterpolatedYoYOptionletVolatilityCurve< Interpolator >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() constYoYOptionletVolatilitySurfacevirtual
volType_YoYOptionletVolatilitySurfaceprotected
YoYOptionletVolatilitySurface(Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, VolatilityType volType=ShiftedLognormal, Real displacement=0.0)YoYOptionletVolatilitySurface
~Extrapolator()=defaultExtrapolatorvirtual
~InterpolatedCurve()=defaultInterpolatedCurve< Interpolator >protected
~InterpolatedYoYOptionletVolatilityCurve() override=defaultInterpolatedYoYOptionletVolatilityCurve< Interpolator >
~LazyObject() override=defaultLazyObject
~Observable()=defaultObservablevirtual
~Observer()Observervirtual
~TermStructure() override=defaultTermStructure
~YoYOptionletVolatilitySurface() override=defaultYoYOptionletVolatilitySurface