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

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

allowsExtrapolation() constExtrapolator
alwaysForward_LazyObjectprotected
alwaysForwardNotifications()LazyObject
atmStrike(const Date &optionDate, const Period &swapTenor) constSwaptionVolatilityCube
atmStrike(const Period &optionTenor, const Period &swapTenor) constSwaptionVolatilityCube
atmVol() constSwaptionVolatilityCube
atmVol_SwaptionVolatilityCubeprotected
bdc_VolatilityTermStructureprivate
blackVariance(const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
blackVariance(const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
blackVariance(Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
blackVariance(const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
blackVariance(const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
blackVariance(Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
businessDayConvention() constVolatilityTermStructurevirtual
cachedReferenceDate_SwaptionVolatilityDiscretemutableprotected
calculate() constLazyObjectprotectedvirtual
calculated_LazyObjectmutableprotected
calendar() const overrideSwaptionVolatilityCubevirtual
calendar_TermStructureprotected
checkOptionDates(const Date &reference) constSwaptionVolatilityDiscreteprivate
checkOptionTenors() constSwaptionVolatilityDiscreteprivate
checkRange(const Date &d, bool extrapolate) constTermStructureprotected
checkRange(Time t, bool extrapolate) constTermStructureprotected
checkStrike(Rate strike, bool extrapolate) constVolatilityTermStructureprotected
checkSwapTenor(const Period &swapTenor, bool extrapolate) constSwaptionVolatilityStructureprotected
checkSwapTenor(Time swapLength, bool extrapolate) constSwaptionVolatilityStructureprotected
checkSwapTenors() constSwaptionVolatilityDiscreteprivate
dayCounter() const overrideSwaptionVolatilityCubevirtual
dayCounter_TermStructureprivate
deepUpdate()Observervirtual
disableExtrapolation(bool b=true)Extrapolator
enableExtrapolation(bool b=true)Extrapolator
extrapolate_Extrapolatorprivate
Extrapolator()=defaultExtrapolator
forwardFirstNotificationOnly()LazyObject
freeze()LazyObject
frozen_LazyObjectprotected
initializeOptionDatesAndTimes() constSwaptionVolatilityDiscreteprivate
initializeOptionTimes() constSwaptionVolatilityDiscreteprivate
initializeSwapLengths() constSwaptionVolatilityDiscreteprivate
isCalculated() constLazyObject
QuantLib::iterator typedefObservableprivate
QuantLib::Observer::iterator typedefObserver
LazyObject()LazyObject
localSmile_SwaptionVolatilityCubemutableprotected
localStrikes_SwaptionVolatilityCubemutableprotected
maxDate() const overrideSwaptionVolatilityCubevirtual
maxStrike() const overrideSwaptionVolatilityCubevirtual
maxSwapLength() constSwaptionVolatilityStructure
maxSwapTenor() const overrideSwaptionVolatilityCubevirtual
maxTime() const overrideSwaptionVolatilityCubevirtual
minStrike() const overrideSwaptionVolatilityCubevirtual
moving_TermStructureprotected
nOptionTenors_SwaptionVolatilityDiscreteprotected
notifyObservers()Observable
nStrikes_SwaptionVolatilityCubeprotected
nSwapTenors_SwaptionVolatilityDiscreteprotected
Observable()Observable
Observable(const Observable &)Observable
Observable(Observable &&)=deleteObservable
observables_Observerprivate
Observer()=defaultObserver
QuantLib::Observer::Observer(const Observer &)Observer
observers_Observableprivate
QuantLib::operator=(const Observable &)Observable
QuantLib::operator=(Observable &&)=deleteObservable
QuantLib::Observer::operator=(const Observer &)Observer
optionDateFromTenor(const Period &) constVolatilityTermStructure
optionDateFromTime(Time optionTime) constSwaptionVolatilityDiscrete
optionDates() constSwaptionVolatilityDiscrete
optionDates_SwaptionVolatilityDiscretemutableprotected
optionDatesAsReal_SwaptionVolatilityDiscretemutableprotected
optionInterpolator_SwaptionVolatilityDiscretemutableprotected
optionInterpolatorDatesAsReal_SwaptionVolatilityDiscretemutableprotected
optionInterpolatorTimes_SwaptionVolatilityDiscretemutableprotected
optionTenors() constSwaptionVolatilityDiscrete
optionTenors_SwaptionVolatilityDiscreteprotected
optionTimes() constSwaptionVolatilityDiscrete
optionTimes_SwaptionVolatilityDiscretemutableprotected
performCalculations() const overrideSwaptionVolatilityCubevirtual
recalculate()LazyObject
referenceDate() const overrideSwaptionVolatilityCubevirtual
referenceDate_TermStructuremutableprivate
registerObserver(Observer *)Observableprivate
registerWith(const ext::shared_ptr< Observable > &)Observer
registerWithObservables(const ext::shared_ptr< Observer > &)Observer
registerWithVolatilitySpread()SwaptionVolatilityCubeprotected
requiredNumberOfStrikes() constSwaptionVolatilityCubeprotectedvirtual
QuantLib::set_type typedefObservableprivate
settlementDays() const overrideSwaptionVolatilityCubevirtual
settlementDays_TermStructureprivate
shift(const Period &optionTenor, const Period &swapTenor, bool extrapolate=false) constSwaptionVolatilityStructure
shift(const Date &optionDate, const Period &swapTenor, bool extrapolate=false) constSwaptionVolatilityStructure
shift(Time optionTime, const Period &swapTenor, bool extrapolate=false) constSwaptionVolatilityStructure
shift(const Period &optionTenor, Time swapLength, bool extrapolate=false) constSwaptionVolatilityStructure
shift(const Date &optionDate, Time swapLength, bool extrapolate=false) constSwaptionVolatilityStructure
shift(Time optionTime, Time swapLength, bool extrapolate=false) constSwaptionVolatilityStructure
shiftImpl(Time optionTime, Time swapLength) const overrideSwaptionVolatilityCubeprotectedvirtual
QuantLib::SwaptionVolatilityDiscrete::shiftImpl(const Date &optionDate, const Period &swapTenor) constSwaptionVolatilityStructureprotectedvirtual
shortSwapIndexBase() constSwaptionVolatilityCube
shortSwapIndexBase_SwaptionVolatilityCubeprotected
smileSection(const Period &optionTenor, const Period &swapTenor, bool extr=false) constSwaptionVolatilityStructure
smileSection(const Date &optionDate, const Period &swapTenor, bool extr=false) constSwaptionVolatilityStructure
smileSection(Time optionTime, const Period &swapTenor, bool extr=false) constSwaptionVolatilityStructure
smileSection(const Period &optionTenor, Time swapLength, bool extr=false) constSwaptionVolatilityStructure
smileSection(const Date &optionDate, Time swapLength, bool extr=false) constSwaptionVolatilityStructure
smileSection(Time optionTime, Time swapLength, bool extr=false) constSwaptionVolatilityStructure
smileSectionImpl(const Date &optionDate, const Period &swapTenor) constSwaptionVolatilityStructureprotectedvirtual
smileSectionImpl(Time optionTime, Time swapLength) const =0SwaptionVolatilityStructureprotectedpure virtual
strikeSpreads() constSwaptionVolatilityCube
strikeSpreads_SwaptionVolatilityCubeprotected
swapIndexBase() constSwaptionVolatilityCube
swapIndexBase_SwaptionVolatilityCubeprotected
swapLength(const Period &swapTenor) constSwaptionVolatilityStructure
swapLength(const Date &start, const Date &end) constSwaptionVolatilityStructure
swapLengths() constSwaptionVolatilityDiscrete
swapLengths_SwaptionVolatilityDiscretemutableprotected
swapTenors() constSwaptionVolatilityDiscrete
swapTenors_SwaptionVolatilityDiscreteprotected
SwaptionVolatilityCube(const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Spread > &strikeSpreads, std::vector< std::vector< Handle< Quote > > > volSpreads, ext::shared_ptr< SwapIndex > swapIndexBase, ext::shared_ptr< SwapIndex > shortSwapIndexBase, bool vegaWeightedSmileFit)SwaptionVolatilityCube
SwaptionVolatilityDiscrete(const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc)SwaptionVolatilityDiscrete
SwaptionVolatilityDiscrete(const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc)SwaptionVolatilityDiscrete
SwaptionVolatilityDiscrete(const std::vector< Date > &optionDates, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc)SwaptionVolatilityDiscrete
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())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
unfreeze()LazyObject
unregisterObserver(Observer *)Observableprivate
unregisterWith(const ext::shared_ptr< Observable > &)Observer
unregisterWithAll()Observer
update() overrideSwaptionVolatilityDiscretevirtual
updated_TermStructuremutableprotected
updating_LazyObjectprivate
vegaWeightedSmileFit() constSwaptionVolatilityCube
vegaWeightedSmileFit_SwaptionVolatilityCubeprotected
volatility(const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
volatility(const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
volatility(Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
volatility(const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
volatility(const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
volatility(Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
volatilityImpl(Time optionTime, Time swapLength, Rate strike) const overrideSwaptionVolatilityCubeprotectedvirtual
volatilityImpl(const Date &optionDate, const Period &swapTenor, Rate strike) const overrideSwaptionVolatilityCubeprotectedvirtual
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 overrideSwaptionVolatilityCubevirtual
volSpreads() constSwaptionVolatilityCube
volSpreads_SwaptionVolatilityCubeprotected
~Extrapolator()=defaultExtrapolatorvirtual
~LazyObject() override=defaultLazyObject
~Observable()=defaultObservablevirtual
~Observer()Observervirtual
~SwaptionVolatilityStructure() override=defaultSwaptionVolatilityStructure
~TermStructure() override=defaultTermStructure