, including all inherited members.
allowsExtrapolation() const | Extrapolator | |
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) const | SwaptionVolatilityStructure | |
blackVariance(Time exerciseTime, Time length, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
calendar() const | TermStructure | [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) const | TermStructure | [protected] |
QuantLib::TermStructure::checkRange(Time, bool extrapolate) const | TermStructure | [protected] |
convertDates(const Date &exerciseDate, const Period &length) const | SwaptionVolatilityCube | [protected, virtual] |
createSparseSmiles() (defined in SwaptionVolatilityCubeBySabr) | SwaptionVolatilityCubeBySabr | [protected] |
dayCounter() const | SwaptionVolatilityCube | [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() const | SwaptionVolatilityStructure | [virtual] |
maxLength() const | SwaptionVolatilityCube | [virtual] |
maxStartDate() const | SwaptionVolatilityCube | [virtual] |
maxStartTime() const | SwaptionVolatilityCube | [virtual] |
maxStrike() const | SwaptionVolatilityCube | [virtual] |
maxTime() const | SwaptionVolatilityStructure | [virtual] |
maxTimeLength() const | SwaptionVolatilityCube | [virtual] |
minStrike() const | SwaptionVolatilityCube | [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() const | SwaptionVolatilityCube | [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) const | SwaptionVolatilityCubeBySabr | [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 ¶metersGuess, 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) const | TermStructure | [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) const | SwaptionVolatilityStructure | |
volatility(const Date &exerciseDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
volatility(Time exerciseTime, Time length, Rate strike, bool extrapolate=false) const | SwaptionVolatilityStructure | |
volatilityImpl(Time start, Time length, Rate strike) const | SwaptionVolatilityCubeBySabr | [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] |