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

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

accept(AcyclicVisitor &) (defined in SabrVolSurface)SabrVolSurfacevirtual
allowsExtrapolation() const Extrapolator
atmCurve() const (defined in SabrVolSurface)SabrVolSurface
atmVariance(const Period &optionTenor, bool extrapolate=false) const BlackAtmVolCurve
atmVariance(const Date &maturity, bool extrapolate=false) const BlackAtmVolCurve
atmVariance(Time maturity, bool extrapolate=false) const BlackAtmVolCurve
atmVarianceImpl(Time t) const BlackVolSurfaceprotectedvirtual
atmVol(const Period &optionTenor, bool extrapolate=false) const BlackAtmVolCurve
atmVol(const Date &maturity, bool extrapolate=false) const BlackAtmVolCurve
atmVol(Time maturity, bool extrapolate=false) const BlackAtmVolCurve
atmVolImpl(Time t) const BlackVolSurfaceprotectedvirtual
BlackAtmVolCurve(BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())BlackAtmVolCurve
BlackAtmVolCurve(const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())BlackAtmVolCurve
BlackAtmVolCurve(Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())BlackAtmVolCurve
BlackVolSurface(BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())BlackVolSurface
BlackVolSurface(const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())BlackVolSurface
BlackVolSurface(Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())BlackVolSurface
businessDayConvention() const VolatilityTermStructurevirtual
calendar() const SabrVolSurfacevirtual
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
dayCounter() const SabrVolSurfacevirtual
disableExtrapolation(bool b=true)Extrapolator
enableExtrapolation(bool b=true)Extrapolator
Extrapolator() (defined in Extrapolator)Extrapolator
index() const (defined in InterestRateVolSurface)InterestRateVolSurface
index_ (defined in InterestRateVolSurface)InterestRateVolSurfaceprotected
InterestRateVolSurface(const boost::shared_ptr< InterestRateIndex > &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())InterestRateVolSurface
InterestRateVolSurface(const boost::shared_ptr< InterestRateIndex > &, const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())InterestRateVolSurface
InterestRateVolSurface(const boost::shared_ptr< InterestRateIndex > &, Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())InterestRateVolSurface
maxDate() const SabrVolSurfacevirtual
maxStrike() const SabrVolSurfacevirtual
maxTime() const SabrVolSurfacevirtual
minStrike() const SabrVolSurfacevirtual
moving_ (defined in TermStructure)TermStructureprotected
notifyObservers()Observable
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 InterestRateVolSurface
performCalculations() const (defined in SabrVolSurface)SabrVolSurfaceprotected
referenceDate() const SabrVolSurfacevirtual
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
sabrGuesses(const Date &) const (defined in SabrVolSurface)SabrVolSurfaceprotected
SabrVolSurface(const boost::shared_ptr< InterestRateIndex > &, const Handle< BlackAtmVolCurve > &, const std::vector< Period > &optionTenors, const std::vector< Spread > &atmRateSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads) (defined in SabrVolSurface)SabrVolSurface
settlementDays() const SabrVolSurfacevirtual
smileSection(const Period &, bool extrapolate) const BlackVolSurface
smileSection(const Date &, bool extrapolate) const BlackVolSurface
smileSection(Time, bool extrapolate) const BlackVolSurface
smileSectionImpl(Time) const (defined in SabrVolSurface)SabrVolSurfacevirtual
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
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()SabrVolSurfaceprotectedvirtual
updated_ (defined in TermStructure)TermStructuremutableprotected
volatilitySpreads(const Period &) const (defined in SabrVolSurface)SabrVolSurface
volatilitySpreads(const Date &) const (defined in SabrVolSurface)SabrVolSurface
VolatilityTermStructure(const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())VolatilityTermStructure
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
~BlackAtmVolCurve() (defined in BlackAtmVolCurve)BlackAtmVolCurvevirtual
~Extrapolator() (defined in Extrapolator)Extrapolatorvirtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~TermStructure() (defined in TermStructure)TermStructurevirtual