QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
SABRInterpolation Member List

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

allowsExtrapolation() const Extrapolator
alpha() const (defined in SABRInterpolation)SABRInterpolation
argument_type typedef (defined in Interpolation)Interpolation
beta() const (defined in SABRInterpolation)SABRInterpolation
checkRange(Real x, bool extrapolate) const (defined in Interpolation)Interpolationprotected
derivative(Real x, bool allowExtrapolation=false) const (defined in Interpolation)Interpolation
disableExtrapolation(bool b=true)Extrapolator
empty() const (defined in Interpolation)Interpolation
enableExtrapolation(bool b=true)Extrapolator
endCriteria() (defined in SABRInterpolation)SABRInterpolation
expiry() const (defined in SABRInterpolation)SABRInterpolation
Extrapolator() (defined in Extrapolator)Extrapolator
forward() const (defined in SABRInterpolation)SABRInterpolation
impl_ (defined in Interpolation)Interpolationprotected
Interpolation() (defined in Interpolation)Interpolation
interpolationWeights() const (defined in SABRInterpolation)SABRInterpolation
isInRange(Real x) const (defined in Interpolation)Interpolation
maxError() const (defined in SABRInterpolation)SABRInterpolation
nu() const (defined in SABRInterpolation)SABRInterpolation
operator()(Real x, bool allowExtrapolation=false) const (defined in Interpolation)Interpolation
primitive(Real x, bool allowExtrapolation=false) const (defined in Interpolation)Interpolation
result_type typedef (defined in Interpolation)Interpolation
rho() const (defined in SABRInterpolation)SABRInterpolation
rmsError() const (defined in SABRInterpolation)SABRInterpolation
SABRInterpolation(const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real alpha, Real beta, Real nu, Real rho, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool vegaWeighted=true, const boost::shared_ptr< EndCriteria > &endCriteria=boost::shared_ptr< EndCriteria >(), const boost::shared_ptr< OptimizationMethod > &optMethod=boost::shared_ptr< OptimizationMethod >(), const Real errorAccept=0.0020, const bool useMaxError=false, const Size maxGuesses=50) (defined in SABRInterpolation)SABRInterpolation
secondDerivative(Real x, bool allowExtrapolation=false) const (defined in Interpolation)Interpolation
update() (defined in Interpolation)Interpolation
xMax() const (defined in Interpolation)Interpolation
xMin() const (defined in Interpolation)Interpolation
~Extrapolator() (defined in Extrapolator)Extrapolatorvirtual
~Interpolation() (defined in Interpolation)Interpolationvirtual