SwaptionVolatilityCube Member List

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

allowsExtrapolation() const Extrapolator
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(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 [protected, virtual]
calculated_ (defined in LazyObject)LazyObject [mutable, protected]
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]
disableExtrapolation(bool b=true)Extrapolator
enableExtrapolation(bool b=true)Extrapolator
evaluationDate_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [protected]
Extrapolator() (defined in Extrapolator)Extrapolator
freeze()LazyObject
frozen_ (defined in LazyObject)LazyObject [mutable, protected]
LazyObject() (defined in LazyObject)LazyObject
localSmile_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [mutable, protected]
localStrikes_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [mutable, protected]
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
operator=(const Observer &) (defined in Observer)Observer
QuantLib::Observable::operator=(const Observable &)Observable
optionDateFromTenor(const Period &) const VolatilityTermStructure
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 (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
recalculate()LazyObject
referenceDate() const SwaptionVolatilityCube [virtual]
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithVolatilitySpread() (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
settlementDays() const SwaptionVolatilityCube [virtual]
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 [protected, virtual]
smileSectionImpl(Time optionTime, Time swapLength) const =0 (defined in SwaptionVolatilityStructure)SwaptionVolatilityStructure [protected, pure virtual]
strikeSpreads_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected]
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 [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, const boost::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(const Calendar &calendar, 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
TermStructure(const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter())TermStructure
TermStructure(Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter())TermStructure
timeFromReference(const Date &date) const TermStructure
unfreeze()LazyObject
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
update() (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
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 [protected, virtual]
volatilityImpl(const Date &optionDate, const Period &swapTenor, Rate strike) const (defined in SwaptionVolatilityCube)SwaptionVolatilityCube [protected, virtual]
VolatilityTermStructure(const Calendar &cal, 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
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]
~VolatilityTermStructure() (defined in VolatilityTermStructure)VolatilityTermStructure [virtual]