SwaptionVolatilityCubeBySabr Member List

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

allowsExtrapolation() constExtrapolator
atmStrike(const Period &optionTenor, const Period &swapTenor) const (defined in SwaptionVolatilityCube)SwaptionVolatilityCube
atmStrike(const Date &optionDate, const Period &swapTenor) const (defined in SwaptionVolatilityCube)SwaptionVolatilityCube
atmVolStructure_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
blackVariance(const Date &exerciseDate, const Period &swapTenor, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
blackVariance(Time exerciseTime, Time length, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
calendar() constTermStructure [virtual]
checkRange(Time, Time, Rate strike, bool extrapolate) const (defined in SwaptionVolatilityStructure)SwaptionVolatilityStructure [protected]
checkRange(const Date &exerciseDate, const Period &length, Rate strike, bool extrapolate) const (defined in SwaptionVolatilityStructure)SwaptionVolatilityStructure [protected]
QuantLib::TermStructure::checkRange(const Date &, bool extrapolate) constTermStructure [protected]
QuantLib::TermStructure::checkRange(Time, bool extrapolate) constTermStructure [protected]
convertDates(const Date &exerciseDate, const Period &length) constSwaptionVolatilityCube [protected, virtual]
createSparseSmiles() (defined in SwaptionVolatilityCubeBySabr)SwaptionVolatilityCubeBySabr [protected]
dayCounter() constSwaptionVolatilityCube [virtual]
denseSabrParameters() const (defined in SwaptionVolatilityCubeBySabr)SwaptionVolatilityCubeBySabr
disableExtrapolation(bool b=true)Extrapolator
enableExtrapolation(bool b=true)Extrapolator
exerciseDates_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
exerciseDatesAsReal_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
exerciseInterpolator_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
exerciseTimes_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
Extrapolator() (defined in Extrapolator)Extrapolator
fillVolatilityCube() (defined in SwaptionVolatilityCubeBySabr)SwaptionVolatilityCubeBySabr [protected]
fixedLegConvention_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
fixedLegDayCounter_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
fixedLegFrequency_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
iborIndex_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
iborIndexShortTenor_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
lengths_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
localSmile_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [mutable, protected]
localStrikes_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [mutable, protected]
marketVolCube(Size i) const (defined in SwaptionVolatilityCubeBySabr)SwaptionVolatilityCubeBySabr
marketVolCube() const (defined in SwaptionVolatilityCubeBySabr)SwaptionVolatilityCubeBySabr
maxDate() constSwaptionVolatilityStructure [virtual]
maxLength() constSwaptionVolatilityCube [virtual]
maxStartDate() constSwaptionVolatilityCube [virtual]
maxStartTime() constSwaptionVolatilityCube [virtual]
maxStrike() constSwaptionVolatilityCube [virtual]
maxTime() constSwaptionVolatilityStructure [virtual]
maxTimeLength() constSwaptionVolatilityCube [virtual]
minStrike() constSwaptionVolatilityCube [virtual]
nExercise_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
nlengths_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
notifyObservers()Observable
nStrikes_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [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
operator=(const Observer &) (defined in Observer)Observer
QuantLib::Observable::operator=(const Observable &)Observable
recalibration(Real beta) (defined in SwaptionVolatilityCubeBySabr)SwaptionVolatilityCubeBySabr
referenceDate() constSwaptionVolatilityCube [virtual]
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
sabrCalibration(const Cube &marketVolCube) const (defined in SwaptionVolatilityCubeBySabr)SwaptionVolatilityCubeBySabr [protected]
shortTenor_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
smileSection(const Date &exerciseDate, const Period &length) const (defined in SwaptionVolatilityCubeBySabr)SwaptionVolatilityCubeBySabr [virtual]
smileSection(Time start, Time length) constSwaptionVolatilityCubeBySabr [virtual]
smileSection(Time start, Time length, const Cube &sabrParametersCube) const (defined in SwaptionVolatilityCubeBySabr)SwaptionVolatilityCubeBySabr [protected]
sparseSabrParameters() const (defined in SwaptionVolatilityCubeBySabr)SwaptionVolatilityCubeBySabr
spreadVolInterpolation(const Date &atmExerciseDate, const Period &atmSwapTenor) (defined in SwaptionVolatilityCubeBySabr)SwaptionVolatilityCubeBySabr [protected]
strikeSpreads_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
swapSettlementDays_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
SwaptionVolatilityCube(const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &expiries, const std::vector< Period > &lengths, const std::vector< Spread > &strikeSpreads, const Calendar &calendar, Integer swapSettlementDays, Frequency fixedLegFrequency, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, const boost::shared_ptr< Xibor > &iborIndex, Time shortTenor=2, const boost::shared_ptr< Xibor > &iborIndexShortTenor=boost::shared_ptr< Xibor >()) (defined in SwaptionVolatilityCube)SwaptionVolatilityCube
SwaptionVolatilityCubeBySabr(const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &expiries, const std::vector< Period > &lengths, const std::vector< Spread > &strikeSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const Calendar &calendar, Integer swapSettlementDays, Frequency fixedLegFrequency, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, const boost::shared_ptr< Xibor > &iborIndex, Time shortTenor, const boost::shared_ptr< Xibor > &iborIndexShortTenor, const Matrix &parametersGuess, std::vector< bool > isParameterFixed, bool isAtmCalibrated) (defined in SwaptionVolatilityCubeBySabr)SwaptionVolatilityCubeBySabr
SwaptionVolatilityStructure()SwaptionVolatilityStructure
SwaptionVolatilityStructure(const Date &referenceDate)SwaptionVolatilityStructure
SwaptionVolatilityStructure(Integer settlementDays, const Calendar &)SwaptionVolatilityStructure
TermStructure()TermStructure
TermStructure(const Date &referenceDate)TermStructure
TermStructure(Integer settlementDays, const Calendar &)TermStructure
timeFromReference(const Date &date) constTermStructure [protected]
timeLengths_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
update()TermStructure [virtual]
volatility(const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
volatility(const Date &exerciseDate, const Period &swapTenor, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
volatility(Time exerciseTime, Time length, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
volatilityImpl(Time start, Time length, Rate strike) constSwaptionVolatilityCubeBySabr [protected, virtual]
volatilityImpl(const Date &exerciseDate, const Period &length, Rate strike) const (defined in SwaptionVolatilityCubeBySabr)SwaptionVolatilityCubeBySabr [protected, virtual]
volCubeAtmCalibrated() const (defined in SwaptionVolatilityCubeBySabr)SwaptionVolatilityCubeBySabr
~Extrapolator() (defined in Extrapolator)Extrapolator [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]