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) | Interpolation | protected
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) | Interpolation | protected
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, const Real shift=0.0) (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) | Extrapolator | virtual
~Interpolation() (defined in Interpolation) | Interpolation | virtual