### A free/open-source library for quantitative finance

SwaptionVolatilityCube Member List
This is the complete list of members for SwaptionVolatilityCube, including all inherited members.

allowsExtrapolation() const | Extrapolator |
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_ (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]`
calculate() const | LazyObject | `[protected, virtual]`
calculated_ (defined in LazyObject) | LazyObject | `[mutable, protected]`
calendar() const | 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]`
dayCounter() const | SwaptionVolatilityCube | `[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]`
LazyObject() (defined in LazyObject) | LazyObject |
localSmile_ (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | `[mutable, protected]`
localStrikes_ (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | `[mutable, protected]`
maxDate() const | SwaptionVolatilityCube | `[virtual]`
maxStrike() const | SwaptionVolatilityCube | `[virtual]`
maxSwapLength() const | SwaptionVolatilityStructure |
maxSwapTenor() const | SwaptionVolatilityCube | `[virtual]`
maxTime() const | SwaptionVolatilityCube | `[virtual]`
minStrike() const | 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() (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 (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete |
recalculate() | LazyObject |
referenceDate() const | SwaptionVolatilityCube | `[virtual]`
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer |
registerWithVolatilitySpread() (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | `[protected]`
settlementDays() const | SwaptionVolatilityCube | `[virtual]`
shortSwapIndexBase_ (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | `[protected]`
smileSection(const Period &optionTenor, const Period &swapTenor, bool extr=false) const | SwaptionVolatilityStructure |
smileSection(const Date &optionDate, const Period &swapTenor, bool extr=false) const | SwaptionVolatilityStructure |
smileSection(Time optionTime, const Period &swapTenor, bool extr=false) const | SwaptionVolatilityStructure |
smileSection(const Period &optionTenor, Time swapLength, bool extr=false) const | SwaptionVolatilityStructure |
smileSection(const Date &optionDate, Time swapLength, bool extr=false) const | SwaptionVolatilityStructure |
smileSection(Time optionTime, Time swapLength, bool extr=false) const | SwaptionVolatilityStructure |
smileSectionImpl(const Date &optionDate, const Period &swapTenor) const (defined in SwaptionVolatilityStructure) | SwaptionVolatilityStructure | `[protected, virtual]`
smileSectionImpl(Time optionTime, Time swapLength) const =0 (defined in SwaptionVolatilityStructure) | SwaptionVolatilityStructure | `[protected, pure virtual]`
strikeSpreads_ (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | `[protected]`
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 | `[mutable, protected]`
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, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const boost::shared_ptr< SwapIndex > &swapIndexBase, const boost::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(const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | SwaptionVolatilityStructure |
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(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 |
unfreeze() | LazyObject |
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer |
update() (defined in SwaptionVolatilityDiscrete) | SwaptionVolatilityDiscrete |
updated_ (defined in TermStructure) | TermStructure | `[mutable, protected]`
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 (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | `[protected, virtual]`
volatilityImpl(const Date &optionDate, const Period &swapTenor, Rate strike) const (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | `[protected, virtual]`
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 |
volSpreads_ (defined in SwaptionVolatilityCube) | SwaptionVolatilityCube | `[protected]`
~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]`