SwaptionVolatilityCube Member List

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

allowsExtrapolation() constExtrapolator
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_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
blackVariance(Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
blackVariance(const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
blackVariance(const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
businessDayConvention() constSwaptionVolatilityStructure [virtual]
calculate() constLazyObject [protected, virtual]
calculated_ (defined in LazyObject)LazyObject [mutable, protected]
calendar() constSwaptionVolatilityCube [virtual]
checkOptionDates() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [protected]
checkOptionTenors() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [protected]
checkRange(Time, Time, Rate strike, bool extrapolate) const (defined in SwaptionVolatilityStructure)SwaptionVolatilityStructure [protected]
checkRange(const Date &optionDate, const Period &swapTenor, 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]
checkSwapTenors() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [protected]
convertDates(const Date &optionDate, const Period &swapTenor) constSwaptionVolatilityCube [protected, virtual]
dayCounter() constSwaptionVolatilityCube [virtual]
disableExtrapolation(bool b=true)Extrapolator
enableExtrapolation(bool b=true)Extrapolator
Extrapolator() (defined in Extrapolator)Extrapolator
freeze()LazyObject
frozen_ (defined in LazyObject)LazyObject [mutable, protected]
initializeOptionDatesAndTimes() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [protected]
initializeOptionTimes() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [protected]
LazyObject() (defined in LazyObject)LazyObject
localSmile_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [mutable, protected]
localStrikes_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [mutable, protected]
maxDate() constSwaptionVolatilityCube [virtual]
maxStrike() constSwaptionVolatilityCube [virtual]
maxSwapLength() constSwaptionVolatilityCube [virtual]
maxSwapTenor() constSwaptionVolatilityCube [virtual]
maxTime() constSwaptionVolatilityCube [virtual]
minStrike() constSwaptionVolatilityCube [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
operator=(const Observer &) (defined in Observer)Observer
QuantLib::Observable::operator=(const Observable &)Observable
optionDateFromTenor(const Period &optionTenor) constSwaptionVolatilityStructure
optionDates() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
optionDates_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [mutable, protected]
optionDatesAsReal_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [mutable, protected]
optionInterpolator_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [protected]
optionTenors() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
optionTenors_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [protected]
optionTimes() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
optionTimes_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [mutable, protected]
performCalculations() const=0LazyObject [protected, pure virtual]
recalculate()LazyObject
referenceDate() constSwaptionVolatilityCube [virtual]
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithVolatilitySpread() (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
smileSection(const Date &optionDate, const Period &swapTenor) const (defined in SwaptionVolatilityStructure)SwaptionVolatilityStructure [virtual]
smileSection(const Period &optionTenor, const Period &swapTenor) const (defined in SwaptionVolatilityStructure)SwaptionVolatilityStructure
smileSectionImpl(Time optionTime, Time swapLength) const=0SwaptionVolatilityStructure [protected, pure virtual]
strikeSpreads_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
swapIndexBase_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
swapLengths() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
swapLengths_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [mutable, protected]
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 boost::shared_ptr< SwapIndex > &swapIndexBase, bool vegaWeightedSmileFit) (defined in SwaptionVolatilityCube)SwaptionVolatilityCube
SwaptionVolatilityDiscrete(const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, Natural settlementDays, const Calendar &cal, const DayCounter &dc, BusinessDayConvention bdc=Following) (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
SwaptionVolatilityDiscrete(const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, const DayCounter &dc, BusinessDayConvention bdc=Following) (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
SwaptionVolatilityDiscrete(const std::vector< Date > &optionDates, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, const DayCounter &dc, BusinessDayConvention bdc=Following) (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
SwaptionVolatilityStructure(const DayCounter &dc=Actual365Fixed(), BusinessDayConvention bdc=Following)SwaptionVolatilityStructure
SwaptionVolatilityStructure(const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=Actual365Fixed(), BusinessDayConvention bdc=Following)SwaptionVolatilityStructure
SwaptionVolatilityStructure(Natural settlementDays, const Calendar &, const DayCounter &dc=Actual365Fixed(), BusinessDayConvention bdc=Following)SwaptionVolatilityStructure
TermStructure(const DayCounter &dc=Actual365Fixed())TermStructure
TermStructure(const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=Actual365Fixed())TermStructure
TermStructure(Natural settlementDays, const Calendar &, const DayCounter &dc=Actual365Fixed())TermStructure
timeFromReference(const Date &date) constTermStructure [protected]
unfreeze()LazyObject
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
update()SwaptionVolatilityCube [virtual]
vegaWeightedSmileFit_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
volatility(Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
volatility(const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
volatility(const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) constSwaptionVolatilityStructure
volatilityImpl(Time optionTime, Time swapLength, Rate strike) constSwaptionVolatilityCube [protected, virtual]
volatilityImpl(const Date &optionDate, const Period &swapTenor, Rate strike) const (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected, virtual]
volatilityImpl(const Period &optionTenor, const Period &swapTenor, Rate strike) const (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
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]