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QuantLib: a free/open-source library for quantitative finance
Reference manual - version 1.40
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This is the complete list of members for XabrSwaptionVolatilityCube< Model >, including all inherited members.
| allowsExtrapolation() const | Extrapolator | |
| alwaysForward_ (defined in LazyObject) | LazyObject | protected |
| alwaysForwardNotifications() | LazyObject | |
| 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) | 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 |
| cachedReferenceDate_ (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | mutableprotected |
| calculate() const | LazyObject | protectedvirtual |
| calculated_ (defined in LazyObject) | LazyObject | mutableprotected |
| calendar() const override | 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 |
| createSparseSmiles() const (defined in XabrSwaptionVolatilityCube< Model >) | XabrSwaptionVolatilityCube< Model > | protected |
| dayCounter() const override | SwaptionVolatilityCube | virtual |
| deepUpdate() | Observer | virtual |
| denseSabrParameters() const (defined in XabrSwaptionVolatilityCube< Model >) | XabrSwaptionVolatilityCube< Model > | |
| disableExtrapolation(bool b=true) | Extrapolator | |
| enableExtrapolation(bool b=true) | Extrapolator | |
| Extrapolator()=default (defined in Extrapolator) | Extrapolator | |
| fillVolatilityCube() const (defined in XabrSwaptionVolatilityCube< Model >) | XabrSwaptionVolatilityCube< Model > | protected |
| forwardFirstNotificationOnly() | LazyObject | |
| freeze() | LazyObject | |
| frozen_ (defined in LazyObject) | LazyObject | protected |
| isCalculated() const | LazyObject | |
| iterator typedef (defined in Observer) | Observer | |
| LazyObject() (defined in LazyObject) | LazyObject | |
| localSmile_ (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | mutableprotected |
| localStrikes_ (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | mutableprotected |
| marketVolCube(Size i) const (defined in XabrSwaptionVolatilityCube< Model >) | XabrSwaptionVolatilityCube< Model > | |
| marketVolCube() const (defined in XabrSwaptionVolatilityCube< Model >) | XabrSwaptionVolatilityCube< Model > | |
| maxDate() const override | SwaptionVolatilityCube | virtual |
| maxStrike() const override | SwaptionVolatilityCube | virtual |
| maxSwapLength() const | SwaptionVolatilityStructure | |
| maxSwapTenor() const override | SwaptionVolatilityCube | virtual |
| maxTime() const override | SwaptionVolatilityCube | virtual |
| minStrike() const override | 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()=default (defined in Observable) | Observable | |
| Observable(const Observable &) (defined in Observable) | Observable | |
| Observable(Observable &&)=delete (defined in Observable) | Observable | |
| Observer()=default (defined in Observer) | Observer | |
| Observer(const Observer &) (defined in Observer) | Observer | |
| operator=(const Observer &) (defined in Observer) | Observer | |
| QuantLib::SwaptionVolatilityStructure::QuantLib::TermStructure::QuantLib::Observable::operator=(const Observable &) | Observable | |
| operator=(Observable &&)=delete (defined in Observable) | Observable | |
| optionDateFromTenor(const Period &) const | VolatilityTermStructure | |
| optionDateFromTime(Time optionTime) const (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | |
| optionDates() const (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | |
| optionDates_ (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | mutableprotected |
| optionDatesAsReal_ (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | mutableprotected |
| optionInterpolator_ (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | mutableprotected |
| optionInterpolatorDatesAsReal_ (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | mutableprotected |
| optionInterpolatorTimes_ (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | mutableprotected |
| optionTenors() const (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | |
| optionTenors_ (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | protected |
| optionTimes() const (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | |
| optionTimes_ (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | mutableprotected |
| performCalculations() const override | XabrSwaptionVolatilityCube< Model > | virtual |
| recalculate() | LazyObject | |
| recalibration(Real beta, const Period &swapTenor) (defined in XabrSwaptionVolatilityCube< Model >) | XabrSwaptionVolatilityCube< Model > | |
| recalibration(const std::vector< Real > &beta, const Period &swapTenor) (defined in XabrSwaptionVolatilityCube< Model >) | XabrSwaptionVolatilityCube< Model > | |
| recalibration(const std::vector< Period > &swapLengths, const std::vector< Real > &beta, const Period &swapTenor) (defined in XabrSwaptionVolatilityCube< Model >) | XabrSwaptionVolatilityCube< Model > | |
| referenceDate() const override | SwaptionVolatilityCube | virtual |
| registerWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer | |
| registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
| registerWithParametersGuess() (defined in XabrSwaptionVolatilityCube< Model >) | XabrSwaptionVolatilityCube< Model > | protected |
| registerWithVolatilitySpread() (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | protected |
| sabrCalibration(const Cube &marketVolCube) const (defined in XabrSwaptionVolatilityCube< Model >) | XabrSwaptionVolatilityCube< Model > | protected |
| sabrCalibrationSection(const Cube &marketVolCube, Cube ¶metersCube, const Period &swapTenor) const (defined in XabrSwaptionVolatilityCube< Model >) | XabrSwaptionVolatilityCube< Model > | |
| setParameterGuess() const (defined in XabrSwaptionVolatilityCube< Model >) | XabrSwaptionVolatilityCube< Model > | protected |
| settlementDays() const override | SwaptionVolatilityCube | virtual |
| shift(const Period &optionTenor, const Period &swapTenor, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| shift(const Date &optionDate, const Period &swapTenor, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| shift(Time optionTime, const Period &swapTenor, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| shift(const Period &optionTenor, Time swapLength, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| shift(const Date &optionDate, Time swapLength, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| shift(Time optionTime, Time swapLength, bool extrapolate=false) const | SwaptionVolatilityStructure | |
| shiftImpl(Time optionTime, Time swapLength) const override (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | protectedvirtual |
| shiftImpl(const Date &optionDate, const Period &swapTenor) const (defined in SwaptionVolatilityStructure) | SwaptionVolatilityStructure | protectedvirtual |
| shortSwapIndexBase() const (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | |
| shortSwapIndexBase_ (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | protected |
| smileSection(Time optionTime, Time swapLength, const Cube &sabrParametersCube) const (defined in XabrSwaptionVolatilityCube< Model >) | XabrSwaptionVolatilityCube< Model > | protected |
| QuantLib::SwaptionVolatilityCube::smileSection(const Period &optionTenor, const Period &swapTenor, bool extr=false) const | SwaptionVolatilityStructure | |
| QuantLib::SwaptionVolatilityCube::smileSection(const Date &optionDate, const Period &swapTenor, bool extr=false) const | SwaptionVolatilityStructure | |
| QuantLib::SwaptionVolatilityCube::smileSection(Time optionTime, const Period &swapTenor, bool extr=false) const | SwaptionVolatilityStructure | |
| QuantLib::SwaptionVolatilityCube::smileSection(const Period &optionTenor, Time swapLength, bool extr=false) const | SwaptionVolatilityStructure | |
| QuantLib::SwaptionVolatilityCube::smileSection(const Date &optionDate, Time swapLength, bool extr=false) const | SwaptionVolatilityStructure | |
| QuantLib::SwaptionVolatilityCube::smileSection(Time optionTime, Time swapLength, bool extr=false) const | SwaptionVolatilityStructure | |
| smileSectionImpl(Time optionTime, Time swapLength) const override (defined in XabrSwaptionVolatilityCube< Model >) | XabrSwaptionVolatilityCube< Model > | virtual |
| smileSectionImpl(const Date &optionDate, const Period &swapTenor) const (defined in SwaptionVolatilityStructure) | SwaptionVolatilityStructure | protectedvirtual |
| sparseSabrParameters() const (defined in XabrSwaptionVolatilityCube< Model >) | XabrSwaptionVolatilityCube< Model > | |
| spreadVolInterpolation(const Date &atmOptionDate, const Period &atmSwapTenor) const (defined in XabrSwaptionVolatilityCube< Model >) | XabrSwaptionVolatilityCube< Model > | protected |
| strikeSpreads() const (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | |
| strikeSpreads_ (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | protected |
| swapIndexBase() const (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | |
| 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 | mutableprotected |
| 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, std::vector< std::vector< Handle< Quote > > > volSpreads, ext::shared_ptr< SwapIndex > swapIndexBase, ext::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(DayCounter dc=DayCounter()) | TermStructure | explicit |
| TermStructure(const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter()) | TermStructure | explicit |
| TermStructure(Natural settlementDays, Calendar, DayCounter dc=DayCounter()) | TermStructure | |
| timeFromReference(const Date &date) const | TermStructure | |
| unfreeze() | LazyObject | |
| unregisterWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer | |
| unregisterWithAll() (defined in Observer) | Observer | |
| update() override (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete | |
| updateAfterRecalibration() (defined in XabrSwaptionVolatilityCube< Model >) | XabrSwaptionVolatilityCube< Model > | |
| updated_ (defined in TermStructure) | TermStructure | mutableprotected |
| vegaWeightedSmileFit() const (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | |
| 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 override (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | protectedvirtual |
| volatilityImpl(const Date &optionDate, const Period &swapTenor, Rate strike) const override (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | protectedvirtual |
| 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 | |
| volatilityType() const override | SwaptionVolatilityCube | virtual |
| volCubeAtmCalibrated() const (defined in XabrSwaptionVolatilityCube< Model >) | XabrSwaptionVolatilityCube< Model > | |
| volSpreads() const (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | |
| volSpreads_ (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | protected |
| XabrSwaptionVolatilityCube(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 ext::shared_ptr< SwapIndex > &swapIndexBase, const ext::shared_ptr< SwapIndex > &shortSwapIndexBase, bool vegaWeightedSmileFit, std::vector< std::vector< Handle< Quote > > > parametersGuess, std::vector< bool > isParameterFixed, bool isAtmCalibrated, ext::shared_ptr< EndCriteria > endCriteria=ext::shared_ptr< EndCriteria >(), Real maxErrorTolerance=Null< Real >(), ext::shared_ptr< OptimizationMethod > optMethod=ext::shared_ptr< OptimizationMethod >(), Real errorAccept=Null< Real >(), bool useMaxError=false, Size maxGuesses=50, bool backwardFlat=false, Real cutoffStrike=0.0001) (defined in XabrSwaptionVolatilityCube< Model >) | XabrSwaptionVolatilityCube< Model > | |
| ~Extrapolator()=default (defined in Extrapolator) | Extrapolator | virtual |
| ~LazyObject() override=default (defined in LazyObject) | LazyObject | |
| ~Observable()=default (defined in Observable) | Observable | virtual |
| ~Observer() (defined in Observer) | Observer | virtual |
| ~SwaptionVolatilityStructure() override=default (defined in SwaptionVolatilityStructure) | SwaptionVolatilityStructure | |
| ~TermStructure() override=default (defined in TermStructure) | TermStructure |