Gaussian1dNonstandardSwaptionEngine Member List

This is the complete list of members for Gaussian1dNonstandardSwaptionEngine, including all inherited members.

arguments_ (defined in GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results >) | GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results > | mutable protected
BasketGeneratingEngine(const ext::shared_ptr< Gaussian1dModel > &model, const Handle< Quote > &oas, const Handle< YieldTermStructure > &discountCurve) (defined in BasketGeneratingEngine) | BasketGeneratingEngine | protected
BasketGeneratingEngine(const Handle< Gaussian1dModel > &model, const Handle< Quote > &oas, const Handle< YieldTermStructure > &discountCurve) (defined in BasketGeneratingEngine) | BasketGeneratingEngine | protected
calculate() const (defined in Gaussian1dNonstandardSwaptionEngine) | Gaussian1dNonstandardSwaptionEngine | virtual
calibrationBasket(const ext::shared_ptr< Exercise > &exercise, const ext::shared_ptr< SwapIndex > &standardSwapBase, const ext::shared_ptr< SwaptionVolatilityStructure > &swaptionVolatility, CalibrationBasketType basketType=MaturityStrikeByDeltaGamma) const (defined in BasketGeneratingEngine) | BasketGeneratingEngine |
CalibrationBasketType enum name (defined in BasketGeneratingEngine) | BasketGeneratingEngine |
CalibrationBasketType typedef (defined in BasketGeneratingEngine) | BasketGeneratingEngine |
deepUpdate() | Observer | virtual
Digital enum value (defined in Gaussian1dNonstandardSwaptionEngine) | Gaussian1dNonstandardSwaptionEngine |

Gaussian1dNonstandardSwaptionEngine(const ext::shared_ptr< Gaussian1dModel > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false, const Handle< Quote > &oas=Handle< Quote >(), const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Probabilities probabilities=None) (defined in Gaussian1dNonstandardSwaptionEngine)

Gaussian1dNonstandardSwaptionEngine

Gaussian1dNonstandardSwaptionEngine(const Handle< Gaussian1dModel > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false, const Handle< Quote > &oas=Handle< Quote >(), const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Probabilities probabilities=None) (defined in Gaussian1dNonstandardSwaptionEngine)

Gaussian1dNonstandardSwaptionEngine

GenericModelEngine(const Handle< Gaussian1dModel > &model=Handle< Gaussian1dModel >()) (defined in GenericModelEngine< Gaussian1dModel, NonstandardSwaption::arguments, NonstandardSwaption::results >) | GenericModelEngine< Gaussian1dModel, NonstandardSwaption::arguments, NonstandardSwaption::results > | explicit
GenericModelEngine(const ext::shared_ptr< Gaussian1dModel > &model) (defined in GenericModelEngine< Gaussian1dModel, NonstandardSwaption::arguments, NonstandardSwaption::results >) | GenericModelEngine< Gaussian1dModel, NonstandardSwaption::arguments, NonstandardSwaption::results > | explicit
getArguments() const (defined in GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results >) | GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results > |
getArguments() const =0 (defined in PricingEngine) | PricingEngine | pure virtual
getResults() const (defined in GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results >) | GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results > |
getResults() const =0 (defined in PricingEngine) | PricingEngine | pure virtual
initialGuess(const Date &expiry) const (defined in Gaussian1dNonstandardSwaptionEngine) | Gaussian1dNonstandardSwaptionEngine | protected
iterator typedef (defined in Observer) | Observer |
MaturityStrikeByDeltaGamma enum value (defined in BasketGeneratingEngine) | BasketGeneratingEngine |
model_ (defined in GenericModelEngine< Gaussian1dModel, NonstandardSwaption::arguments, NonstandardSwaption::results >) | GenericModelEngine< Gaussian1dModel, NonstandardSwaption::arguments, NonstandardSwaption::results > | protected
Naive enum value (defined in Gaussian1dNonstandardSwaptionEngine) | Gaussian1dNonstandardSwaptionEngine |
None enum value (defined in Gaussian1dNonstandardSwaptionEngine) | Gaussian1dNonstandardSwaptionEngine |
notifyObservers() | Observable |
Observable() (defined in Observable) | Observable |
Observable(const Observable &) (defined in Observable) | Observable |
Observer() (defined in Observer) | Observer |
Observer(const Observer &) (defined in Observer) | Observer |
QuantLib::operator=(const Observable &) | Observable |
operator=(const Observer &) (defined in Observer) | Observer |
Probabilities enum name (defined in Gaussian1dNonstandardSwaptionEngine) | Gaussian1dNonstandardSwaptionEngine |
registerWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer |
registerWithObservables(const ext::shared_ptr< Observer > &) | Observer |
reset() (defined in GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results >) | GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results > | virtual
results_ (defined in GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results >) | GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results > | mutable protected
set_type typedef (defined in Observer) | Observer |
underlyingLastDate() const (defined in Gaussian1dNonstandardSwaptionEngine) | Gaussian1dNonstandardSwaptionEngine | protected
underlyingNpv(const Date &expiry, Real y) const (defined in Gaussian1dNonstandardSwaptionEngine) | Gaussian1dNonstandardSwaptionEngine | protected
underlyingType() const (defined in Gaussian1dNonstandardSwaptionEngine) | Gaussian1dNonstandardSwaptionEngine | protected
unregisterWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer |
unregisterWithAll() (defined in Observer) | Observer |
update() | GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results > | virtual
~BasketGeneratingEngine() (defined in BasketGeneratingEngine) | BasketGeneratingEngine | protected virtual
~Observable() (defined in Observable) | Observable | virtual
~Observer() (defined in Observer) | Observer | virtual
~PricingEngine() (defined in PricingEngine) | PricingEngine | virtual