QuantLib: Member List

A free/open-source library for quantitative finance Reference manual - version 1.20

SwaptionVolatilityCube Member List

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

allowsExtrapolation() const | Extrapolator |
alwaysForward_ (defined in LazyObject) | LazyObject | protected
alwaysForwardNotifications() | LazyObject |
atmStrike(const Date &optionDate, const Period &swapTenor) const (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube |
atmStrike(const Period &optionTenor, const Period &swapTenor) const (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube |
atmVol() const (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube |
atmVol_ (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | protected
blackVariance(const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure |
blackVariance(const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure |
blackVariance(Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure |
blackVariance(const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure |
blackVariance(const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure |
blackVariance(Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure |
businessDayConvention() const | VolatilityTermStructure | virtual
calculate() const | LazyObject | protectedvirtual
calculated_ (defined in LazyObject) | LazyObject | mutableprotected
calendar() const | SwaptionVolatilityCube | 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
checkSwapTenor(const Period &swapTenor, bool extrapolate) const (defined in SwaptionVolatilityStructure) | SwaptionVolatilityStructure | protected
checkSwapTenor(Time swapLength, bool extrapolate) const (defined in SwaptionVolatilityStructure) | SwaptionVolatilityStructure | protected
dayCounter() const | SwaptionVolatilityCube | virtual
deepUpdate() | Observer | virtual
disableExtrapolation(bool b=true) | Extrapolator |
enableExtrapolation(bool b=true) | Extrapolator |
evaluationDate_ (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | mutableprotected
Extrapolator() (defined in Extrapolator) | Extrapolator |
freeze() | LazyObject |
frozen_ (defined in LazyObject) | LazyObject | protected
iterator typedef (defined in Observer) | Observer |
LazyObject() (defined in LazyObject) | LazyObject |
localSmile_ (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | mutableprotected
localStrikes_ (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | mutableprotected
maxDate() const | SwaptionVolatilityCube | virtual
maxStrike() const | SwaptionVolatilityCube | virtual
maxSwapLength() const | SwaptionVolatilityStructure |
maxSwapTenor() const | SwaptionVolatilityCube | virtual
maxTime() const | SwaptionVolatilityCube | virtual
minStrike() const | SwaptionVolatilityCube | virtual
moving_ (defined in TermStructure) | TermStructure | protected
nOptionTenors_ (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | protected
notifyObservers() | Observable |
nStrikes_ (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | protected
nSwapTenors_ (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | protected
Observable() (defined in Observable) | Observable |
Observable(const Observable &) (defined in Observable) | Observable |
Observer() (defined in Observer) | Observer |
Observer(const Observer &) (defined in Observer) | Observer |
QuantLib::operator=(const Observable &) | Observable |
operator=(const Observer &) (defined in Observer) | Observer |
optionDateFromTenor(const Period &) const | VolatilityTermStructure |
optionDateFromTime(Time optionTime) const (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete |
optionDates() const (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete |
optionDates_ (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | mutableprotected
optionDatesAsReal_ (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | mutableprotected
optionInterpolator_ (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | mutableprotected
optionTenors() const (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete |
optionTenors_ (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | protected
optionTimes() const (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete |
optionTimes_ (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | mutableprotected
performCalculations() const | SwaptionVolatilityCube | virtual
recalculate() | LazyObject |
referenceDate() const | SwaptionVolatilityCube | virtual
registerWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer |
registerWithObservables(const ext::shared_ptr< Observer > &) | Observer |
registerWithVolatilitySpread() (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | protected
requiredNumberOfStrikes() const (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | protectedvirtual
set_type typedef (defined in Observer) | Observer |
settlementDays() const | SwaptionVolatilityCube | virtual
shift(const Period &optionTenor, const Period &swapTenor, bool extrapolate=false) const | SwaptionVolatilityStructure |
shift(const Date &optionDate, const Period &swapTenor, bool extrapolate=false) const | SwaptionVolatilityStructure |
shift(Time optionTime, const Period &swapTenor, bool extrapolate=false) const | SwaptionVolatilityStructure |
shift(const Period &optionTenor, Time swapLength, bool extrapolate=false) const | SwaptionVolatilityStructure |
shift(const Date &optionDate, Time swapLength, bool extrapolate=false) const | SwaptionVolatilityStructure |
shift(Time optionTime, Time swapLength, bool extrapolate=false) const | SwaptionVolatilityStructure |
shiftImpl(Time optionTime, Time swapLength) const (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | protectedvirtual
shiftImpl(const Date &optionDate, const Period &swapTenor) const (defined in SwaptionVolatilityStructure) | SwaptionVolatilityStructure | protectedvirtual
shortSwapIndexBase() const (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube |
shortSwapIndexBase_ (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | protected
smileSection(const Period &optionTenor, const Period &swapTenor, bool extr=false) const | SwaptionVolatilityStructure |
smileSection(const Date &optionDate, const Period &swapTenor, bool extr=false) const | SwaptionVolatilityStructure |
smileSection(Time optionTime, const Period &swapTenor, bool extr=false) const | SwaptionVolatilityStructure |
smileSection(const Period &optionTenor, Time swapLength, bool extr=false) const | SwaptionVolatilityStructure |
smileSection(const Date &optionDate, Time swapLength, bool extr=false) const | SwaptionVolatilityStructure |
smileSection(Time optionTime, Time swapLength, bool extr=false) const | SwaptionVolatilityStructure |
smileSectionImpl(const Date &optionDate, const Period &swapTenor) const (defined in SwaptionVolatilityStructure) | SwaptionVolatilityStructure | protectedvirtual
smileSectionImpl(Time optionTime, Time swapLength) const =0 (defined in SwaptionVolatilityStructure) | SwaptionVolatilityStructure | protectedpure virtual
strikeSpreads() const (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube |
strikeSpreads_ (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | protected
swapIndexBase() const (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube |
swapIndexBase_ (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | protected
swapLength(const Period &swapTenor) const | SwaptionVolatilityStructure |
swapLength(const Date &start, const Date &end) const | SwaptionVolatilityStructure |
swapLengths() const (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete |
swapLengths_ (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | mutableprotected
swapTenors() const (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete |
swapTenors_ (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | protected
SwaptionVolatilityCube(const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Spread > &strikeSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const ext::shared_ptr< SwapIndex > &swapIndexBase, const ext::shared_ptr< SwapIndex > &shortSwapIndexBase, bool vegaWeightedSmileFit) (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube |
SwaptionVolatilityDiscrete(const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc) (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete |
SwaptionVolatilityDiscrete(const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc) (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete |
SwaptionVolatilityDiscrete(const std::vector< Date > &optionDates, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc) (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete |
SwaptionVolatilityStructure(BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | SwaptionVolatilityStructure |
SwaptionVolatilityStructure(const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | SwaptionVolatilityStructure |
SwaptionVolatilityStructure(Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | SwaptionVolatilityStructure |
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 |
unfreeze() | LazyObject |
unregisterWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer |
unregisterWithAll() (defined in Observer) | Observer |
update() (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete |
updated_ (defined in TermStructure) | TermStructure | mutableprotected
vegaWeightedSmileFit() const (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube |
vegaWeightedSmileFit_ (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | protected
volatility(const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure |
volatility(const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure |
volatility(Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure |
volatility(const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure |
volatility(const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure |
volatility(Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure |
volatilityImpl(Time optionTime, Time swapLength, Rate strike) const (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | protectedvirtual
volatilityImpl(const Date &optionDate, const Period &swapTenor, Rate strike) const (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | protectedvirtual
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 |
volatilityType() const | SwaptionVolatilityCube | virtual
volSpreads() const (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube |
volSpreads_ (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | protected
~Extrapolator() (defined in Extrapolator) | Extrapolator | virtual
~LazyObject() (defined in LazyObject) | LazyObject | virtual
~Observable() (defined in Observable) | Observable | virtual
~Observer() (defined in Observer) | Observer | virtual
~SwaptionVolatilityStructure() (defined in SwaptionVolatilityStructure) | SwaptionVolatilityStructure | virtual
~TermStructure() (defined in TermStructure) | TermStructure | virtual