SwaptionVolatilityMatrix Member List

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

allowsExtrapolation() const Extrapolator
blackVariance(Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const SwaptionVolatilityStructure
blackVariance(const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const SwaptionVolatilityStructure
blackVariance(const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const SwaptionVolatilityStructure
businessDayConvention() const VolatilityTermStructure
calculate() const LazyObject [protected, virtual]
calculated_ (defined in LazyObject)LazyObject [mutable, protected]
calendar() const TermStructure [virtual]
calendar_ (defined in TermStructure)TermStructure [protected]
checkOptionDates() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [protected]
checkOptionTenors() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [protected]
checkRange(Time, Time, Rate strike, bool extrapolate) const (defined in SwaptionVolatilityStructure)SwaptionVolatilityStructure [protected]
checkRange(const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate) const (defined in SwaptionVolatilityStructure)SwaptionVolatilityStructure [protected]
QuantLib::VolatilityTermStructure::checkRange(const Date &, bool extrapolate) const TermStructure [protected]
QuantLib::VolatilityTermStructure::checkRange(Time t, bool extrapolate) const TermStructure [protected]
checkSwapTenors() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [protected]
convertDates(const Date &optionDates, const Period &swapTenor) const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
dayCounter() const TermStructure [virtual]
disableExtrapolation(bool b=true)Extrapolator
enableExtrapolation(bool b=true)Extrapolator
evaluationDate_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [protected]
Extrapolator() (defined in Extrapolator)Extrapolator
freeze()LazyObject
frozen_ (defined in LazyObject)LazyObject [mutable, protected]
initializeOptionDatesAndTimes() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [protected]
initializeOptionTimes() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [protected]
LazyObject() (defined in LazyObject)LazyObject
locate(const Date &optionDates, const Period &swapTenor) const SwaptionVolatilityMatrix
locate(Time optionTime, Time swapLength) const SwaptionVolatilityMatrix
maxDate() const SwaptionVolatilityMatrix [virtual]
maxStrike() const SwaptionVolatilityMatrix [virtual]
maxSwapLength() const SwaptionVolatilityMatrix [virtual]
maxSwapTenor() const SwaptionVolatilityMatrix [virtual]
maxTime() const TermStructure [virtual]
minStrike() const SwaptionVolatilityMatrix [virtual]
moving_ (defined in TermStructure)TermStructure [protected]
nOptionTenors_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [protected]
notifyObservers()Observable
nSwapTenors_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [protected]
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 VolatilityTermStructure
optionDates() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
optionDates_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [mutable, protected]
optionDatesAsReal_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [mutable, protected]
optionInterpolator_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [protected]
optionTenors() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
optionTenors_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [protected]
optionTimes() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
optionTimes_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [mutable, protected]
performCalculations() const SwaptionVolatilityMatrix [virtual]
recalculate()LazyObject
referenceDate() const TermStructure [virtual]
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
settlementDays() const TermStructure [virtual]
smileSection(Time optionTime, Time swapLength) const SwaptionVolatilityStructure
smileSection(const Date &optionDate, const Period &swapTenor) const SwaptionVolatilityStructure
smileSection(const Period &optionTenor, const Period &swapTenor) const SwaptionVolatilityStructure
smileSectionImpl(Time optionTime, Time swapLength) const SwaptionVolatilityMatrix [virtual]
smileSectionImpl(const Date &optionDate, const Period &swapTenor) const (defined in SwaptionVolatilityStructure)SwaptionVolatilityStructure [protected, virtual]
swapLengths() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
swapLengths_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [mutable, protected]
swapTenors() const (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
swapTenors_ (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete [protected]
SwaptionVolatilityDiscrete(const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, Natural settlementDays, const Calendar &cal, const DayCounter &dc, BusinessDayConvention bdc=Following) (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
SwaptionVolatilityDiscrete(const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, const DayCounter &dc, BusinessDayConvention bdc=Following) (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
SwaptionVolatilityDiscrete(const std::vector< Date > &optionDates, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, const DayCounter &dc, BusinessDayConvention bdc=Following) (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
SwaptionVolatilityMatrix(const Calendar &calendar, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter=Actual365Fixed(), BusinessDayConvention bdc=Following)SwaptionVolatilityMatrix
SwaptionVolatilityMatrix(const Date &referenceDate, const Calendar &calendar, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter=Actual365Fixed(), BusinessDayConvention bdc=Following)SwaptionVolatilityMatrix
SwaptionVolatilityMatrix(const Calendar &calendar, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter=Actual365Fixed(), BusinessDayConvention bdc=Following)SwaptionVolatilityMatrix
SwaptionVolatilityMatrix(const Date &referenceDate, const Calendar &calendar, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter=Actual365Fixed(), BusinessDayConvention bdc=Following)SwaptionVolatilityMatrix
SwaptionVolatilityMatrix(const Date &referenceDate, const std::vector< Date > &optionDates, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter) (defined in SwaptionVolatilityMatrix)SwaptionVolatilityMatrix
SwaptionVolatilityStructure(const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)SwaptionVolatilityStructure
SwaptionVolatilityStructure(const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)SwaptionVolatilityStructure
SwaptionVolatilityStructure(Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)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 [protected]
unfreeze()LazyObject
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
update() (defined in SwaptionVolatilityDiscrete)SwaptionVolatilityDiscrete
volatility(Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const SwaptionVolatilityStructure
volatility(const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const SwaptionVolatilityStructure
volatility(const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const SwaptionVolatilityStructure
VolatilityTermStructure(const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())VolatilityTermStructure
VolatilityTermStructure(const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())VolatilityTermStructure
VolatilityTermStructure(Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())VolatilityTermStructure
~Extrapolator() (defined in Extrapolator)Extrapolator [virtual]
~LazyObject() (defined in LazyObject)LazyObject [virtual]
~Observable() (defined in Observable)Observable [virtual]
~Observer() (defined in Observer)Observer [virtual]
~SwaptionVolatilityStructure() (defined in SwaptionVolatilityStructure)SwaptionVolatilityStructure [virtual]
~TermStructure() (defined in TermStructure)TermStructure [virtual]
~VolatilityTermStructure() (defined in VolatilityTermStructure)VolatilityTermStructure [virtual]