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 GridModelLocalVolSurface, including all inherited members.
accept(AcyclicVisitor &) | LocalVolTermStructure | virtual |
allowsExtrapolation() const | Extrapolator | |
arguments_ | CalibratedModel | protected |
bdc_ | VolatilityTermStructure | private |
businessDayConvention() const | VolatilityTermStructure | virtual |
calendar() const | TermStructure | virtual |
calendar_ | TermStructure | protected |
calibrate(const std::vector< ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >()) | CalibratedModel | virtual |
CalibratedModel(Size nArguments) | CalibratedModel | |
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 |
constraint() const | CalibratedModel | |
constraint_ | CalibratedModel | protected |
dayCounter() const | TermStructure | virtual |
dayCounter_ | GridModelLocalVolSurface | protected |
deepUpdate() | Observer | virtual |
disableExtrapolation(bool b=true) | Extrapolator | |
enableExtrapolation(bool b=true) | Extrapolator | |
endCriteria() const | CalibratedModel | |
extrapolate_ | Extrapolator | private |
Extrapolation typedef | GridModelLocalVolSurface | |
Extrapolator()=default | Extrapolator | |
functionEvaluation() const | CalibratedModel | |
functionEvaluation_ | CalibratedModel | protected |
generateArguments() override | GridModelLocalVolSurface | protectedvirtual |
GridModelLocalVolSurface(const Date &referenceDate, const std::vector< Date > &dates, const std::vector< ext::shared_ptr< std::vector< Real > > > &strikes, const DayCounter &dayCounter, Extrapolation lowerExtrapolation=FixedLocalVolSurface::ConstantExtrapolation, Extrapolation upperExtrapolation=FixedLocalVolSurface::ConstantExtrapolation) | GridModelLocalVolSurface | |
QuantLib::iterator typedef | Observer | |
localVol(const Date &d, Real underlyingLevel, bool extrapolate=false) const | LocalVolTermStructure | |
localVol(Time t, Real underlyingLevel, bool extrapolate=false) const | LocalVolTermStructure | |
localVol_ | GridModelLocalVolSurface | protected |
localVolImpl(Time t, Real strike) const override | GridModelLocalVolSurface | protectedvirtual |
LocalVolTermStructure(BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | LocalVolTermStructure | |
LocalVolTermStructure(const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | LocalVolTermStructure | |
LocalVolTermStructure(Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | LocalVolTermStructure | |
lowerExtrapolation_ | GridModelLocalVolSurface | protected |
maxDate() const override | GridModelLocalVolSurface | virtual |
maxStrike() const override | GridModelLocalVolSurface | virtual |
maxTime() const override | GridModelLocalVolSurface | virtual |
minStrike() const override | GridModelLocalVolSurface | 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 | |
params() const | CalibratedModel | |
problemValues() const | CalibratedModel | |
problemValues_ | CalibratedModel | protected |
referenceDate() const | TermStructure | virtual |
referenceDate_ | GridModelLocalVolSurface | protected |
registerObserver(Observer *) | Observable | private |
registerWith(const ext::shared_ptr< Observable > &) | Observer | |
registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
QuantLib::set_type typedef | Observer | private |
setParams(const Array ¶ms) | CalibratedModel | virtual |
settlementDays() const | TermStructure | virtual |
settlementDays_ | TermStructure | private |
shortRateEndCriteria_ | CalibratedModel | protected |
strikes_ | GridModelLocalVolSurface | protected |
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_ | GridModelLocalVolSurface | protected |
unregisterObserver(Observer *) | Observable | private |
unregisterWith(const ext::shared_ptr< Observable > &) | Observer | |
unregisterWithAll() | Observer | |
update() override | GridModelLocalVolSurface | virtual |
updated_ | TermStructure | mutableprotected |
upperExtrapolation_ | GridModelLocalVolSurface | protected |
value(const Array ¶ms, const std::vector< ext::shared_ptr< CalibrationHelper > > &) | CalibratedModel | |
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 | |
~Extrapolator()=default | Extrapolator | virtual |
~LocalVolTermStructure() override=default | LocalVolTermStructure | |
~Observable()=default | Observable | virtual |
~Observer() | Observer | virtual |
~TermStructure() override=default | TermStructure |