QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.38
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SabrInterpolatedSmileSection Member List

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

actualStrikes_SabrInterpolatedSmileSectionmutableprotected
alpha() constSabrInterpolatedSmileSection
alpha_SabrInterpolatedSmileSectionprotected
alwaysForward_LazyObjectprotected
alwaysForwardNotifications()LazyObject
atmLevel() const overrideSabrInterpolatedSmileSectionvirtual
atmVolatility_SabrInterpolatedSmileSectionprotected
beta() constSabrInterpolatedSmileSection
beta_SabrInterpolatedSmileSectionprotected
calculate() constLazyObjectprotectedvirtual
calculated_LazyObjectmutableprotected
createInterpolation() constSabrInterpolatedSmileSectionprotected
dayCounter() constSmileSectionvirtual
dc_SmileSectionprivate
deepUpdate()Observervirtual
density(Rate strike, Real discount=1.0, Real gap=1.0E-4) constSmileSectionvirtual
digitalOptionPrice(Rate strike, Option::Type type=Option::Call, Real discount=1.0, Real gap=1.0e-5) constSmileSectionvirtual
endCriteria() constSabrInterpolatedSmileSection
endCriteria_SabrInterpolatedSmileSectionprotected
evaluationDate_SabrInterpolatedSmileSectionmutableprotected
exerciseDate() constSmileSectionvirtual
exerciseDate_SmileSectionprivate
exerciseTime() constSmileSectionvirtual
exerciseTime_SmileSectionmutableprivate
forward_SabrInterpolatedSmileSectionprotected
forwardFirstNotificationOnly()LazyObject
forwardValue_SabrInterpolatedSmileSectionmutableprotected
freeze()LazyObject
frozen_LazyObjectprotected
hasFloatingStrikes_SabrInterpolatedSmileSectionprotected
initializeExerciseTime() constSmileSectionprotectedvirtual
isAlphaFixed_SabrInterpolatedSmileSectionprotected
isBetaFixed_SabrInterpolatedSmileSectionprotected
isCalculated() constLazyObject
isFloating_SmileSectionprivate
isNuFixed_SabrInterpolatedSmileSectionprotected
isRhoFixed_SabrInterpolatedSmileSectionprotected
QuantLib::iterator typedefObservableprivate
QuantLib::Observer::iterator typedefObserver
LazyObject()LazyObject
maxError() constSabrInterpolatedSmileSection
maxStrike() const overrideSabrInterpolatedSmileSectionvirtual
method_SabrInterpolatedSmileSectionprotected
minStrike() const overrideSabrInterpolatedSmileSectionvirtual
notifyObservers()Observable
nu() constSabrInterpolatedSmileSection
nu_SabrInterpolatedSmileSectionprotected
Observable()=defaultObservable
Observable(const Observable &)Observable
Observable(Observable &&)=deleteObservable
observables_Observerprivate
Observer()=defaultObserver
QuantLib::Observer::Observer(const Observer &)Observer
observers_Observableprivate
QuantLib::operator=(const Observable &)Observable
QuantLib::operator=(Observable &&)=deleteObservable
QuantLib::Observer::operator=(const Observer &)Observer
optionPrice(Rate strike, Option::Type type=Option::Call, Real discount=1.0) constSmileSectionvirtual
performCalculations() const overrideSabrInterpolatedSmileSectionvirtual
recalculate()LazyObject
referenceDate() constSmileSectionvirtual
referenceDate_SmileSectionmutableprivate
registerObserver(Observer *)Observableprivate
registerWith(const ext::shared_ptr< Observable > &)Observer
registerWithObservables(const ext::shared_ptr< Observer > &)Observer
rho() constSabrInterpolatedSmileSection
rho_SabrInterpolatedSmileSectionprotected
rmsError() constSabrInterpolatedSmileSection
SabrInterpolatedSmileSection(const Date &optionDate, Handle< Quote > forward, const std::vector< Rate > &strikes, bool hasFloatingStrikes, Handle< Quote > atmVolatility, const std::vector< Handle< Quote > > &volHandles, Real alpha, Real beta, Real nu, Real rho, bool isAlphaFixed=false, bool isBetaFixed=false, bool isNuFixed=false, bool isRhoFixed=false, bool vegaWeighted=true, ext::shared_ptr< EndCriteria > endCriteria=ext::shared_ptr< EndCriteria >(), ext::shared_ptr< OptimizationMethod > method=ext::shared_ptr< OptimizationMethod >(), const DayCounter &dc=Actual365Fixed(), Real shift=0.0)SabrInterpolatedSmileSection
SabrInterpolatedSmileSection(const Date &optionDate, const Rate &forward, const std::vector< Rate > &strikes, bool hasFloatingStrikes, const Volatility &atmVolatility, const std::vector< Volatility > &vols, Real alpha, Real beta, Real nu, Real rho, bool isAlphaFixed=false, bool isBetaFixed=false, bool isNuFixed=false, bool isRhoFixed=false, bool vegaWeighted=true, ext::shared_ptr< EndCriteria > endCriteria=ext::shared_ptr< EndCriteria >(), ext::shared_ptr< OptimizationMethod > method=ext::shared_ptr< OptimizationMethod >(), const DayCounter &dc=Actual365Fixed(), Real shift=0.0)SabrInterpolatedSmileSection
sabrInterpolation_SabrInterpolatedSmileSectionmutableprotected
QuantLib::set_type typedefObservableprivate
shift() constSmileSectionvirtual
shift_SmileSectionprivate
SmileSection(const Date &d, DayCounter dc=DayCounter(), const Date &referenceDate=Date(), VolatilityType type=ShiftedLognormal, Rate shift=0.0)SmileSection
SmileSection(Time exerciseTime, DayCounter dc=DayCounter(), VolatilityType type=ShiftedLognormal, Rate shift=0.0)SmileSection
SmileSection()=defaultSmileSection
strikes_SabrInterpolatedSmileSectionmutableprotected
unfreeze()LazyObject
unregisterObserver(Observer *)Observableprivate
unregisterWith(const ext::shared_ptr< Observable > &)Observer
unregisterWithAll()Observer
update() overrideSabrInterpolatedSmileSectionvirtual
updating_LazyObjectprivate
variance(Rate strike) constSmileSection
varianceImpl(Rate strike) const overrideSabrInterpolatedSmileSectionvirtual
vega(Rate strike, Real discount=1.0) constSmileSectionvirtual
vegaWeighted_SabrInterpolatedSmileSectionprotected
volatility(Rate strike) constSmileSection
volatility(Rate strike, VolatilityType type, Real shift=0.0) constSmileSection
volatilityImpl(Rate strike) const overrideSabrInterpolatedSmileSectionvirtual
volatilityType() constSmileSectionvirtual
volatilityType_SmileSectionprivate
volHandles_SabrInterpolatedSmileSectionprotected
vols_SabrInterpolatedSmileSectionmutableprotected
~LazyObject() override=defaultLazyObject
~Observable()=defaultObservablevirtual
~Observer()Observervirtual
~SmileSection() override=defaultSmileSection
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