QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <optionletstripper.hpp>
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
virtual const std::vector< Rate > & | optionletStrikes (Size i) const =0 |
virtual const std::vector< Volatility > & | optionletVolatilities (Size i) const =0 |
virtual const std::vector< Date > & | optionletFixingDates () const =0 |
virtual const std::vector< Time > & | optionletFixingTimes () const =0 |
virtual Size | optionletMaturities () const =0 |
virtual const std::vector< Rate > & | atmOptionletRates () const =0 |
virtual DayCounter | dayCounter () const =0 |
virtual Calendar | calendar () const =0 |
virtual Natural | settlementDays () const =0 |
virtual BusinessDayConvention | businessDayConvention () const =0 |
virtual VolatilityType | volatilityType () const =0 |
virtual Real | displacement () const =0 |
Public Member Functions inherited from LazyObject | |
LazyObject () | |
~LazyObject () override=default | |
void | update () override |
bool | isCalculated () const |
void | forwardFirstNotificationOnly () |
void | alwaysForwardNotifications () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
Public Member Functions inherited from Observable | |
Observable () | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
Observable (Observable &&)=delete | |
Observable & | operator= (Observable &&)=delete |
virtual | ~Observable ()=default |
void | notifyObservers () |
Public Member Functions inherited from Observer | |
Observer ()=default | |
Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
virtual | ~Observer () |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | update ()=0 |
virtual void | deepUpdate () |
Protected Member Functions inherited from LazyObject | |
virtual void | calculate () const |
virtual void | performCalculations () const =0 |
Protected Attributes inherited from LazyObject | |
bool | calculated_ = false |
bool | frozen_ = false |
bool | alwaysForward_ |
StrippedOptionletBase specialization. It's up to derived classes to implement LazyObject::performCalculations
Definition at line 41 of file optionletstripper.hpp.
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protected |
Implements StrippedOptionletBase.
Definition at line 79 of file optionletstripper.cpp.
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overridevirtual |
Implements StrippedOptionletBase.
Definition at line 89 of file optionletstripper.cpp.
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overridevirtual |
Implements StrippedOptionletBase.
Definition at line 102 of file optionletstripper.cpp.
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overridevirtual |
Implements StrippedOptionletBase.
Definition at line 107 of file optionletstripper.cpp.
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overridevirtual |
Implements StrippedOptionletBase.
Definition at line 112 of file optionletstripper.cpp.
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overridevirtual |
Implements StrippedOptionletBase.
Definition at line 126 of file optionletstripper.cpp.
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overridevirtual |
Implements StrippedOptionletBase.
Definition at line 132 of file optionletstripper.cpp.
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overridevirtual |
Implements StrippedOptionletBase.
Definition at line 136 of file optionletstripper.cpp.
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overridevirtual |
Implements StrippedOptionletBase.
Definition at line 140 of file optionletstripper.cpp.
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overridevirtual |
Implements StrippedOptionletBase.
Definition at line 144 of file optionletstripper.cpp.
const vector< Period > & optionletFixingTenors | ( | ) | const |
Definition at line 98 of file optionletstripper.cpp.
const vector< Date > & optionletPaymentDates | ( | ) | const |
const vector< Time > & optionletAccrualPeriods | ( | ) | const |
ext::shared_ptr< CapFloorTermVolSurface > termVolSurface | ( | ) | const |
ext::shared_ptr< IborIndex > iborIndex | ( | ) | const |
Definition at line 153 of file optionletstripper.cpp.
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overridevirtual |
Implements StrippedOptionletBase.
Definition at line 157 of file optionletstripper.cpp.
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overridevirtual |
Implements StrippedOptionletBase.
Definition at line 161 of file optionletstripper.cpp.
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protected |
Definition at line 74 of file optionletstripper.hpp.
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protected |
Definition at line 75 of file optionletstripper.hpp.
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protected |
Definition at line 76 of file optionletstripper.hpp.
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protected |
Definition at line 77 of file optionletstripper.hpp.
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protected |
Definition at line 78 of file optionletstripper.hpp.
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mutableprotected |
Definition at line 80 of file optionletstripper.hpp.
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mutableprotected |
Definition at line 81 of file optionletstripper.hpp.
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mutableprotected |
Definition at line 83 of file optionletstripper.hpp.
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mutableprotected |
Definition at line 84 of file optionletstripper.hpp.
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protected |
Definition at line 85 of file optionletstripper.hpp.
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mutableprotected |
Definition at line 86 of file optionletstripper.hpp.
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mutableprotected |
Definition at line 87 of file optionletstripper.hpp.
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mutableprotected |
Definition at line 88 of file optionletstripper.hpp.
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protected |
Definition at line 90 of file optionletstripper.hpp.
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protected |
Definition at line 91 of file optionletstripper.hpp.
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protected |
Definition at line 92 of file optionletstripper.hpp.