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

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

accept(AcyclicVisitor &)LocalVolTermStructurevirtual
allowsExtrapolation() constExtrapolator
arguments_CalibratedModelprotected
bdc_VolatilityTermStructureprivate
businessDayConvention() constVolatilityTermStructurevirtual
calendar() constTermStructurevirtual
calendar_TermStructureprotected
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 >())CalibratedModelvirtual
CalibratedModel(Size nArguments)CalibratedModel
checkRange(const Date &d, bool extrapolate) constTermStructureprotected
checkRange(Time t, bool extrapolate) constTermStructureprotected
checkStrike(Rate strike, bool extrapolate) constVolatilityTermStructureprotected
constraint() constCalibratedModel
constraint_CalibratedModelprotected
dayCounter() constTermStructurevirtual
dayCounter_GridModelLocalVolSurfaceprotected
deepUpdate()Observervirtual
disableExtrapolation(bool b=true)Extrapolator
enableExtrapolation(bool b=true)Extrapolator
endCriteria() constCalibratedModel
extrapolate_Extrapolatorprivate
Extrapolation typedefGridModelLocalVolSurface
Extrapolator()=defaultExtrapolator
functionEvaluation() constCalibratedModel
functionEvaluation_CalibratedModelprotected
generateArguments() overrideGridModelLocalVolSurfaceprotectedvirtual
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 typedefObserver
localVol(const Date &d, Real underlyingLevel, bool extrapolate=false) constLocalVolTermStructure
localVol(Time t, Real underlyingLevel, bool extrapolate=false) constLocalVolTermStructure
localVol_GridModelLocalVolSurfaceprotected
localVolImpl(Time t, Real strike) const overrideGridModelLocalVolSurfaceprotectedvirtual
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_GridModelLocalVolSurfaceprotected
maxDate() const overrideGridModelLocalVolSurfacevirtual
maxStrike() const overrideGridModelLocalVolSurfacevirtual
maxTime() const overrideGridModelLocalVolSurfacevirtual
minStrike() const overrideGridModelLocalVolSurfacevirtual
moving_TermStructureprotected
notifyObservers()Observable
Observable()Observable
Observable(const Observable &)Observable
Observable(Observable &&)=deleteObservable
observables_Observerprivate
QuantLib::Observer()=defaultObserver
QuantLib::Observer(const Observer &)Observer
observers_Observableprivate
QuantLib::operator=(const Observer &)Observer
QuantLib::Observable::operator=(const Observable &)Observable
QuantLib::Observable::operator=(Observable &&)=deleteObservable
optionDateFromTenor(const Period &) constVolatilityTermStructure
params() constCalibratedModel
problemValues() constCalibratedModel
problemValues_CalibratedModelprotected
referenceDate() constTermStructurevirtual
referenceDate_GridModelLocalVolSurfaceprotected
registerObserver(Observer *)Observableprivate
registerWith(const ext::shared_ptr< Observable > &)Observer
registerWithObservables(const ext::shared_ptr< Observer > &)Observer
QuantLib::set_type typedefObserverprivate
setParams(const Array &params)CalibratedModelvirtual
settlementDays() constTermStructurevirtual
settlementDays_TermStructureprivate
shortRateEndCriteria_CalibratedModelprotected
strikes_GridModelLocalVolSurfaceprotected
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
times_GridModelLocalVolSurfaceprotected
unregisterObserver(Observer *)Observableprivate
unregisterWith(const ext::shared_ptr< Observable > &)Observer
unregisterWithAll()Observer
update() overrideGridModelLocalVolSurfacevirtual
updated_TermStructuremutableprotected
upperExtrapolation_GridModelLocalVolSurfaceprotected
value(const Array &params, 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()=defaultExtrapolatorvirtual
~LocalVolTermStructure() override=defaultLocalVolTermStructure
~Observable()=defaultObservablevirtual
~Observer()Observervirtual
~TermStructure() override=defaultTermStructure