QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
This is the complete list of members for SwaptionVolatilityCube, including all inherited members.
allowsExtrapolation() const | Extrapolator | |
alwaysForward_ | LazyObject | protected |
alwaysForwardNotifications() | LazyObject | |
atmStrike(const Date &optionDate, const Period &swapTenor) const | SwaptionVolatilityCube | |
atmStrike(const Period &optionTenor, const Period &swapTenor) const | SwaptionVolatilityCube | |
atmVol() const | SwaptionVolatilityCube | |
atmVol_ | SwaptionVolatilityCube | protected |
bdc_ | VolatilityTermStructure | private |
blackVariance(const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
blackVariance(const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
blackVariance(Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
blackVariance(const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
blackVariance(const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
blackVariance(Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
businessDayConvention() const | VolatilityTermStructure | virtual |
cachedReferenceDate_ | SwaptionVolatilityDiscrete | mutableprotected |
calculate() const | LazyObject | protectedvirtual |
calculated_ | LazyObject | mutableprotected |
calendar() const override | SwaptionVolatilityCube | virtual |
calendar_ | TermStructure | protected |
checkOptionDates(const Date &reference) const | SwaptionVolatilityDiscrete | private |
checkOptionTenors() const | SwaptionVolatilityDiscrete | private |
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 |
checkSwapTenor(const Period &swapTenor, bool extrapolate) const | SwaptionVolatilityStructure | protected |
checkSwapTenor(Time swapLength, bool extrapolate) const | SwaptionVolatilityStructure | protected |
checkSwapTenors() const | SwaptionVolatilityDiscrete | private |
dayCounter() const override | SwaptionVolatilityCube | virtual |
dayCounter_ | TermStructure | private |
deepUpdate() | Observer | virtual |
disableExtrapolation(bool b=true) | Extrapolator | |
enableExtrapolation(bool b=true) | Extrapolator | |
extrapolate_ | Extrapolator | private |
Extrapolator()=default | Extrapolator | |
forwardFirstNotificationOnly() | LazyObject | |
freeze() | LazyObject | |
frozen_ | LazyObject | protected |
initializeOptionDatesAndTimes() const | SwaptionVolatilityDiscrete | private |
initializeOptionTimes() const | SwaptionVolatilityDiscrete | private |
initializeSwapLengths() const | SwaptionVolatilityDiscrete | private |
isCalculated() const | LazyObject | |
QuantLib::iterator typedef | Observable | private |
QuantLib::Observer::iterator typedef | Observer | |
LazyObject() | LazyObject | |
localSmile_ | SwaptionVolatilityCube | mutableprotected |
localStrikes_ | SwaptionVolatilityCube | mutableprotected |
maxDate() const override | SwaptionVolatilityCube | virtual |
maxStrike() const override | SwaptionVolatilityCube | virtual |
maxSwapLength() const | SwaptionVolatilityStructure | |
maxSwapTenor() const override | SwaptionVolatilityCube | virtual |
maxTime() const override | SwaptionVolatilityCube | virtual |
minStrike() const override | SwaptionVolatilityCube | virtual |
moving_ | TermStructure | protected |
nOptionTenors_ | SwaptionVolatilityDiscrete | protected |
notifyObservers() | Observable | |
nStrikes_ | SwaptionVolatilityCube | protected |
nSwapTenors_ | SwaptionVolatilityDiscrete | protected |
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 | |
optionDateFromTenor(const Period &) const | VolatilityTermStructure | |
optionDateFromTime(Time optionTime) const | SwaptionVolatilityDiscrete | |
optionDates() const | SwaptionVolatilityDiscrete | |
optionDates_ | SwaptionVolatilityDiscrete | mutableprotected |
optionDatesAsReal_ | SwaptionVolatilityDiscrete | mutableprotected |
optionInterpolator_ | SwaptionVolatilityDiscrete | mutableprotected |
optionInterpolatorDatesAsReal_ | SwaptionVolatilityDiscrete | mutableprotected |
optionInterpolatorTimes_ | SwaptionVolatilityDiscrete | mutableprotected |
optionTenors() const | SwaptionVolatilityDiscrete | |
optionTenors_ | SwaptionVolatilityDiscrete | protected |
optionTimes() const | SwaptionVolatilityDiscrete | |
optionTimes_ | SwaptionVolatilityDiscrete | mutableprotected |
performCalculations() const override | SwaptionVolatilityCube | virtual |
recalculate() | LazyObject | |
referenceDate() const override | SwaptionVolatilityCube | virtual |
referenceDate_ | TermStructure | mutableprivate |
registerObserver(Observer *) | Observable | private |
registerWith(const ext::shared_ptr< Observable > &) | Observer | |
registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
registerWithVolatilitySpread() | SwaptionVolatilityCube | protected |
requiredNumberOfStrikes() const | SwaptionVolatilityCube | protectedvirtual |
QuantLib::set_type typedef | Observable | private |
settlementDays() const override | SwaptionVolatilityCube | virtual |
settlementDays_ | TermStructure | private |
shift(const Period &optionTenor, const Period &swapTenor, bool extrapolate=false) const | SwaptionVolatilityStructure | |
shift(const Date &optionDate, const Period &swapTenor, bool extrapolate=false) const | SwaptionVolatilityStructure | |
shift(Time optionTime, const Period &swapTenor, bool extrapolate=false) const | SwaptionVolatilityStructure | |
shift(const Period &optionTenor, Time swapLength, bool extrapolate=false) const | SwaptionVolatilityStructure | |
shift(const Date &optionDate, Time swapLength, bool extrapolate=false) const | SwaptionVolatilityStructure | |
shift(Time optionTime, Time swapLength, bool extrapolate=false) const | SwaptionVolatilityStructure | |
shiftImpl(Time optionTime, Time swapLength) const override | SwaptionVolatilityCube | protectedvirtual |
QuantLib::SwaptionVolatilityDiscrete::shiftImpl(const Date &optionDate, const Period &swapTenor) const | SwaptionVolatilityStructure | protectedvirtual |
shortSwapIndexBase() const | SwaptionVolatilityCube | |
shortSwapIndexBase_ | SwaptionVolatilityCube | protected |
smileSection(const Period &optionTenor, const Period &swapTenor, bool extr=false) const | SwaptionVolatilityStructure | |
smileSection(const Date &optionDate, const Period &swapTenor, bool extr=false) const | SwaptionVolatilityStructure | |
smileSection(Time optionTime, const Period &swapTenor, bool extr=false) const | SwaptionVolatilityStructure | |
smileSection(const Period &optionTenor, Time swapLength, bool extr=false) const | SwaptionVolatilityStructure | |
smileSection(const Date &optionDate, Time swapLength, bool extr=false) const | SwaptionVolatilityStructure | |
smileSection(Time optionTime, Time swapLength, bool extr=false) const | SwaptionVolatilityStructure | |
smileSectionImpl(const Date &optionDate, const Period &swapTenor) const | SwaptionVolatilityStructure | protectedvirtual |
smileSectionImpl(Time optionTime, Time swapLength) const =0 | SwaptionVolatilityStructure | protectedpure virtual |
strikeSpreads() const | SwaptionVolatilityCube | |
strikeSpreads_ | SwaptionVolatilityCube | protected |
swapIndexBase() const | SwaptionVolatilityCube | |
swapIndexBase_ | SwaptionVolatilityCube | protected |
swapLength(const Period &swapTenor) const | SwaptionVolatilityStructure | |
swapLength(const Date &start, const Date &end) const | SwaptionVolatilityStructure | |
swapLengths() const | SwaptionVolatilityDiscrete | |
swapLengths_ | SwaptionVolatilityDiscrete | mutableprotected |
swapTenors() const | SwaptionVolatilityDiscrete | |
swapTenors_ | SwaptionVolatilityDiscrete | protected |
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()) | 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 | |
unfreeze() | LazyObject | |
unregisterObserver(Observer *) | Observable | private |
unregisterWith(const ext::shared_ptr< Observable > &) | Observer | |
unregisterWithAll() | Observer | |
update() override | SwaptionVolatilityDiscrete | virtual |
updated_ | TermStructure | mutableprotected |
updating_ | LazyObject | private |
vegaWeightedSmileFit() const | SwaptionVolatilityCube | |
vegaWeightedSmileFit_ | SwaptionVolatilityCube | protected |
volatility(const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
volatility(const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
volatility(Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
volatility(const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
volatility(const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
volatility(Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
volatilityImpl(Time optionTime, Time swapLength, Rate strike) const override | SwaptionVolatilityCube | protectedvirtual |
volatilityImpl(const Date &optionDate, const Period &swapTenor, Rate strike) const override | SwaptionVolatilityCube | 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() const override | SwaptionVolatilityCube | virtual |
volSpreads() const | SwaptionVolatilityCube | |
volSpreads_ | SwaptionVolatilityCube | protected |
~Extrapolator()=default | Extrapolator | virtual |
~LazyObject() override=default | LazyObject | |
~Observable()=default | Observable | virtual |
~Observer() | Observer | virtual |
~SwaptionVolatilityStructure() override=default | SwaptionVolatilityStructure | |
~TermStructure() override=default | TermStructure |