QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
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() const (defined in SwaptionVolatilityCube)SwaptionVolatilityCube
atmVol_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCubeprotected
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 VolatilityTermStructurevirtual
calculate() const LazyObjectprotectedvirtual
calculated_ (defined in LazyObject)LazyObjectmutableprotected
calendar() const SwaptionVolatilityCubevirtual
calendar_ (defined in TermStructure)TermStructureprotected
checkRange(const Date &d, bool extrapolate) const TermStructureprotected
checkRange(Time t, bool extrapolate) const TermStructureprotected
checkStrike(Rate strike, bool extrapolate) const VolatilityTermStructureprotected
checkSwapTenor(const Period &swapTenor, bool extrapolate) const (defined in SwaptionVolatilityStructure)SwaptionVolatilityStructureprotected
checkSwapTenor(Time swapLength, bool extrapolate) const (defined in SwaptionVolatilityStructure)SwaptionVolatilityStructureprotected
dayCounter() const SwaptionVolatilityCubevirtual
disableExtrapolation(bool b=true)Extrapolator
enableExtrapolation(bool b=true)Extrapolator
evaluationDate_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscretemutableprotected
Extrapolator() (defined in Extrapolator)Extrapolator
freeze()LazyObject
frozen_ (defined in LazyObject)LazyObjectmutableprotected
LazyObject() (defined in LazyObject)LazyObject
localSmile_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCubemutableprotected
localStrikes_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCubemutableprotected
maxDate() const SwaptionVolatilityCubevirtual
maxStrike() const SwaptionVolatilityCubevirtual
maxSwapLength() const SwaptionVolatilityStructure
maxSwapTenor() const SwaptionVolatilityCubevirtual
maxTime() const SwaptionVolatilityCubevirtual
minStrike() const SwaptionVolatilityCubevirtual
moving_ (defined in TermStructure)TermStructureprotected
nOptionTenors_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscreteprotected
notifyObservers()Observable
nStrikes_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCubeprotected
nSwapTenors_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscreteprotected
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
optionDates() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
optionDates_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscretemutableprotected
optionDatesAsReal_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscretemutableprotected
optionInterpolator_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscretemutableprotected
optionTenors() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
optionTenors_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscreteprotected
optionTimes() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
optionTimes_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscretemutableprotected
performCalculations() const SwaptionVolatilityCubevirtual
recalculate()LazyObject
referenceDate() const SwaptionVolatilityCubevirtual
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const boost::shared_ptr< Observer > &)Observer
registerWithVolatilitySpread() (defined in SwaptionVolatilityCube)SwaptionVolatilityCubeprotected
requiredNumberOfStrikes() const (defined in SwaptionVolatilityCube)SwaptionVolatilityCubeprotectedvirtual
settlementDays() const SwaptionVolatilityCubevirtual
shift(Time optionTime, Time swapLength) const SwaptionVolatilityCubevirtual
shortSwapIndexBase() const (defined in SwaptionVolatilityCube)SwaptionVolatilityCube
shortSwapIndexBase_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCubeprotected
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)SwaptionVolatilityStructureprotectedvirtual
smileSectionImpl(Time optionTime, Time swapLength) const =0 (defined in SwaptionVolatilityStructure)SwaptionVolatilityStructureprotectedpure virtual
strikeSpreads() const (defined in SwaptionVolatilityCube)SwaptionVolatilityCube
strikeSpreads_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCubeprotected
swapIndexBase() const (defined in SwaptionVolatilityCube)SwaptionVolatilityCube
swapIndexBase_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCubeprotected
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)SwaptionVolatilityDiscretemutableprotected
swapTenors() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
swapTenors_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscreteprotected
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(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
unregisterWithAll() (defined in Observer)Observer
update() (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
updated_ (defined in TermStructure)TermStructuremutableprotected
vegaWeightedSmileFit() const (defined in SwaptionVolatilityCube)SwaptionVolatilityCube
vegaWeightedSmileFit_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCubeprotected
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)SwaptionVolatilityCubeprotectedvirtual
volatilityImpl(const Date &optionDate, const Period &swapTenor, Rate strike) const (defined in SwaptionVolatilityCube)SwaptionVolatilityCubeprotectedvirtual
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
volSpreads() const (defined in SwaptionVolatilityCube)SwaptionVolatilityCube
volSpreads_ (defined in SwaptionVolatilityCube)SwaptionVolatilityCubeprotected
~Extrapolator() (defined in Extrapolator)Extrapolatorvirtual
~LazyObject() (defined in LazyObject)LazyObjectvirtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~SwaptionVolatilityStructure() (defined in SwaptionVolatilityStructure)SwaptionVolatilityStructurevirtual
~TermStructure() (defined in TermStructure)TermStructurevirtual