QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ZabrSmileSection< Evaluation > Member List

This is the complete list of members for ZabrSmileSection< Evaluation >, including all inherited members.

a_ZabrSmileSection< Evaluation >private
atmLevel() const overrideZabrSmileSection< Evaluation >virtual
b_ZabrSmileSection< Evaluation >private
callPriceFct_ZabrSmileSection< Evaluation >private
callPrices_ZabrSmileSection< Evaluation >private
dayCounter() constSmileSectionvirtual
dc_SmileSectionprivate
deepUpdate()Observervirtual
density(Rate strike, Real discount=1.0, Real gap=1.0E-4) constSmileSectionvirtual
digitalOptionPrice(Rate strike, Option::Type type=Option::Call, Real discount=1.0, Real gap=1.0e-5) constSmileSectionvirtual
evaluation_ZabrSmileSection< Evaluation >private
exerciseDate() constSmileSectionvirtual
exerciseDate_SmileSectionprivate
exerciseTime() constSmileSectionvirtual
exerciseTime_SmileSectionmutableprivate
fdRefinement_ZabrSmileSection< Evaluation >private
forward_ZabrSmileSection< Evaluation >private
init(const std::vector< Real > &moneyness)ZabrSmileSection< Evaluation >private
init(const std::vector< Real > &moneyness, ZabrShortMaturityLognormal)ZabrSmileSection< Evaluation >private
init(const std::vector< Real > &moneyness, ZabrShortMaturityNormal)ZabrSmileSection< Evaluation >private
init(const std::vector< Real > &moneyness, ZabrLocalVolatility)ZabrSmileSection< Evaluation >private
init(const std::vector< Real > &moneyness, ZabrFullFd)ZabrSmileSection< Evaluation >private
init2(ZabrShortMaturityLognormal)ZabrSmileSection< Evaluation >private
init2(ZabrShortMaturityNormal)ZabrSmileSection< Evaluation >private
init2(ZabrLocalVolatility)ZabrSmileSection< Evaluation >private
init2(ZabrFullFd)ZabrSmileSection< Evaluation >private
init3(ZabrShortMaturityLognormal)ZabrSmileSection< Evaluation >private
init3(ZabrShortMaturityNormal)ZabrSmileSection< Evaluation >private
init3(ZabrLocalVolatility)ZabrSmileSection< Evaluation >private
init3(ZabrFullFd)ZabrSmileSection< Evaluation >private
initializeExerciseTime() constSmileSectionprotectedvirtual
isFloating_SmileSectionprivate
QuantLib::iterator typedefObservableprivate
QuantLib::Observer::iterator typedefObserver
maxStrike() const overrideZabrSmileSection< Evaluation >virtual
minStrike() const overrideZabrSmileSection< Evaluation >virtual
model()ZabrSmileSection< Evaluation >
model_ZabrSmileSection< Evaluation >private
notifyObservers()Observable
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
optionPrice(Rate strike, Option::Type type=Option::Call, Real discount=1.0) const overrideZabrSmileSection< Evaluation >virtual
optionPrice(Rate strike, Option::Type type, Real discount, ZabrShortMaturityLognormal) constZabrSmileSection< Evaluation >private
optionPrice(Rate strike, Option::Type type, Real discount, ZabrShortMaturityNormal) constZabrSmileSection< Evaluation >private
optionPrice(Rate strike, Option::Type type, Real discount, ZabrLocalVolatility) constZabrSmileSection< Evaluation >private
optionPrice(Rate strike, Option::Type type, Real discount, ZabrFullFd) constZabrSmileSection< Evaluation >private
params_ZabrSmileSection< Evaluation >private
referenceDate() constSmileSectionvirtual
referenceDate_SmileSectionmutableprivate
registerObserver(Observer *)Observableprivate
registerWith(const ext::shared_ptr< Observable > &)Observer
registerWithObservables(const ext::shared_ptr< Observer > &)Observer
QuantLib::set_type typedefObservableprivate
shift() constSmileSectionvirtual
shift_SmileSectionprivate
SmileSection(const Date &d, DayCounter dc=DayCounter(), const Date &referenceDate=Date(), VolatilityType type=ShiftedLognormal, Rate shift=0.0)SmileSection
SmileSection(Time exerciseTime, DayCounter dc=DayCounter(), VolatilityType type=ShiftedLognormal, Rate shift=0.0)SmileSection
SmileSection()=defaultSmileSection
strikes_ZabrSmileSection< Evaluation >private
unregisterObserver(Observer *)Observableprivate
unregisterWith(const ext::shared_ptr< Observable > &)Observer
unregisterWithAll()Observer
update() overrideSmileSectionvirtual
variance(Rate strike) constSmileSection
varianceImpl(Rate strike) constSmileSectionprotectedvirtual
vega(Rate strike, Real discount=1.0) constSmileSectionvirtual
volatility(Rate strike) constSmileSection
volatility(Rate strike, VolatilityType type, Real shift=0.0) constSmileSection
volatilityImpl(Rate strike) const overrideZabrSmileSection< Evaluation >protectedvirtual
volatilityImpl(Rate strike, ZabrShortMaturityLognormal) constZabrSmileSection< Evaluation >private
volatilityImpl(Rate strike, ZabrShortMaturityNormal) constZabrSmileSection< Evaluation >private
volatilityImpl(Rate strike, ZabrLocalVolatility) constZabrSmileSection< Evaluation >private
volatilityImpl(Rate strike, ZabrFullFd) constZabrSmileSection< Evaluation >private
volatilityType() constSmileSectionvirtual
volatilityType_SmileSectionprivate
ZabrSmileSection(Time timeToExpiry, Rate forward, std::vector< Real > zabrParameters, const std::vector< Real > &moneyness=std::vector< Real >(), Size fdRefinement=5)ZabrSmileSection< Evaluation >
ZabrSmileSection(const Date &d, Rate forward, std::vector< Real > zabrParameters, const DayCounter &dc=Actual365Fixed(), const std::vector< Real > &moneyness=std::vector< Real >(), Size fdRefinement=5)ZabrSmileSection< Evaluation >
~Observable()=defaultObservablevirtual
~Observer()Observervirtual
~SmileSection() override=defaultSmileSection
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