QuantLib: Member List

A free/open-source library for quantitative finance Reference manual - version 1.12

SabrVolSurface Member List

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

accept(AcyclicVisitor &) (defined in SabrVolSurface) | SabrVolSurface | virtual
allowsExtrapolation() const | Extrapolator |
atmCurve() const (defined in SabrVolSurface) | SabrVolSurface |
atmVariance(const Period &optionTenor, bool extrapolate=false) const | BlackAtmVolCurve |
atmVariance(const Date &maturity, bool extrapolate=false) const | BlackAtmVolCurve |
atmVariance(Time maturity, bool extrapolate=false) const | BlackAtmVolCurve |
atmVarianceImpl(Time t) const | BlackVolSurface | protectedvirtual
atmVol(const Period &optionTenor, bool extrapolate=false) const | BlackAtmVolCurve |
atmVol(const Date &maturity, bool extrapolate=false) const | BlackAtmVolCurve |
atmVol(Time maturity, bool extrapolate=false) const | BlackAtmVolCurve |
atmVolImpl(Time t) const | BlackVolSurface | protectedvirtual
BlackAtmVolCurve(BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackAtmVolCurve |
BlackAtmVolCurve(const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackAtmVolCurve |
BlackAtmVolCurve(Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackAtmVolCurve |
BlackVolSurface(BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackVolSurface |
BlackVolSurface(const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackVolSurface |
BlackVolSurface(Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackVolSurface |
businessDayConvention() const | VolatilityTermStructure | virtual
calendar() const | SabrVolSurface | virtual
calendar_ (defined in TermStructure) | TermStructure | protected
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
dayCounter() const | SabrVolSurface | virtual
deepUpdate() | Observer | virtual
disableExtrapolation(bool b=true) | Extrapolator |
enableExtrapolation(bool b=true) | Extrapolator |
Extrapolator() (defined in Extrapolator) | Extrapolator |
index() const (defined in InterestRateVolSurface) | InterestRateVolSurface |
index_ (defined in InterestRateVolSurface) | InterestRateVolSurface | protected
InterestRateVolSurface(const boost::shared_ptr< InterestRateIndex > &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | InterestRateVolSurface |
InterestRateVolSurface(const boost::shared_ptr< InterestRateIndex > &, const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | InterestRateVolSurface |
InterestRateVolSurface(const boost::shared_ptr< InterestRateIndex > &, Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | InterestRateVolSurface |
iterator typedef (defined in Observer) | Observer |
maxDate() const | SabrVolSurface | virtual
maxStrike() const | SabrVolSurface | virtual
maxTime() const | SabrVolSurface | virtual
minStrike() const | SabrVolSurface | virtual
moving_ (defined in TermStructure) | TermStructure | protected
notifyObservers() | Observable |
Observable() (defined in Observable) | Observable |
Observable(const Observable &) (defined in Observable) | Observable |
Observer() (defined in Observer) | Observer |
Observer(const Observer &) (defined in Observer) | Observer |
operator=(const Observer &) (defined in Observer) | Observer |
QuantLib::Observable::operator=(const Observable &) | Observable |
optionDateFromTenor(const Period &) const | InterestRateVolSurface |
performCalculations() const (defined in SabrVolSurface) | SabrVolSurface | protected
referenceDate() const | SabrVolSurface | virtual
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer |
registerWithObservables(const boost::shared_ptr< Observer > &) | Observer |
sabrGuesses(const Date &) const (defined in SabrVolSurface) | SabrVolSurface | protected
SabrVolSurface(const boost::shared_ptr< InterestRateIndex > &, const Handle< BlackAtmVolCurve > &, const std::vector< Period > &optionTenors, const std::vector< Spread > &atmRateSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads) (defined in SabrVolSurface) | SabrVolSurface |
set_type typedef (defined in Observer) | Observer |
settlementDays() const | SabrVolSurface | virtual
smileSection(const Period &, bool extrapolate) const | BlackVolSurface |
smileSection(const Date &, bool extrapolate) const | BlackVolSurface |
smileSection(Time, bool extrapolate) const | BlackVolSurface |
smileSectionImpl(Time) const (defined in SabrVolSurface) | SabrVolSurface | virtual
TermStructure(const DayCounter &dc=DayCounter()) | TermStructure | explicit
TermStructure(const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter()) | TermStructure | explicit
TermStructure(Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter()) | TermStructure |
timeFromReference(const Date &date) const | TermStructure |
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer |
unregisterWithAll() (defined in Observer) | Observer |
update() | SabrVolSurface | protectedvirtual
updated_ (defined in TermStructure) | TermStructure | mutableprotected
volatilitySpreads(const Period &) const (defined in SabrVolSurface) | SabrVolSurface |
volatilitySpreads(const Date &) const (defined in SabrVolSurface) | SabrVolSurface |
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 |
~BlackAtmVolCurve() (defined in BlackAtmVolCurve) | BlackAtmVolCurve | virtual
~Extrapolator() (defined in Extrapolator) | Extrapolator | virtual
~Observable() (defined in Observable) | Observable | virtual
~Observer() (defined in Observer) | Observer | virtual
~TermStructure() (defined in TermStructure) | TermStructure | virtual