A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
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This is the complete list of members for BlackVarianceSurface, including all inherited members.
| accept(AcyclicVisitor &) (defined in BlackVarianceSurface) | BlackVarianceSurface | virtual |
| allowsExtrapolation() const | Extrapolator | |
| blackForwardVariance(const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const | BlackVolTermStructure | |
| blackForwardVariance(Time time1, Time time2, Real strike, bool extrapolate=false) const | BlackVolTermStructure | |
| blackForwardVol(const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const | BlackVolTermStructure | |
| blackForwardVol(Time time1, Time time2, Real strike, bool extrapolate=false) const | BlackVolTermStructure | |
| blackVariance(const Date &maturity, Real strike, bool extrapolate=false) const | BlackVolTermStructure | |
| blackVariance(Time maturity, Real strike, bool extrapolate=false) const | BlackVolTermStructure | |
| blackVarianceImpl(Time t, Real strike) const | BlackVarianceSurface | protectedvirtual |
| BlackVarianceSurface(const Date &referenceDate, const Calendar &cal, const std::vector< Date > &dates, const std::vector< Real > &strikes, const Matrix &blackVolMatrix, const DayCounter &dayCounter, Extrapolation lowerExtrapolation=InterpolatorDefaultExtrapolation, Extrapolation upperExtrapolation=InterpolatorDefaultExtrapolation) (defined in BlackVarianceSurface) | BlackVarianceSurface | |
| BlackVarianceTermStructure(BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackVarianceTermStructure | |
| BlackVarianceTermStructure(const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackVarianceTermStructure | |
| BlackVarianceTermStructure(Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackVarianceTermStructure | |
| blackVol(const Date &maturity, Real strike, bool extrapolate=false) const | BlackVolTermStructure | |
| blackVol(Time maturity, Real strike, bool extrapolate=false) const | BlackVolTermStructure | |
| blackVolImpl(Time t, Real strike) const | BlackVarianceTermStructure | protectedvirtual |
| BlackVolTermStructure(BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackVolTermStructure | |
| BlackVolTermStructure(const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackVolTermStructure | |
| BlackVolTermStructure(Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | BlackVolTermStructure | |
| businessDayConvention() const | VolatilityTermStructure | virtual |
| calendar() const | TermStructure | 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 |
| ConstantExtrapolation enum value (defined in BlackVarianceSurface) | BlackVarianceSurface | |
| dayCounter() const | BlackVarianceSurface | virtual |
| deepUpdate() | Observer | virtual |
| disableExtrapolation(bool b=true) | Extrapolator | |
| enableExtrapolation(bool b=true) | Extrapolator | |
| Extrapolation enum name (defined in BlackVarianceSurface) | BlackVarianceSurface | |
| Extrapolator() (defined in Extrapolator) | Extrapolator | |
| InterpolatorDefaultExtrapolation enum value (defined in BlackVarianceSurface) | BlackVarianceSurface | |
| iterator typedef (defined in Observer) | Observer | |
| maxDate() const | BlackVarianceSurface | virtual |
| maxStrike() const | BlackVarianceSurface | virtual |
| maxTime() const | TermStructure | virtual |
| minStrike() const | BlackVarianceSurface | virtual |
| moving_ (defined in TermStructure) | TermStructure | protected |
| 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 | |
| operator=(const Observer &) (defined in Observer) | Observer | |
| QuantLib::Observable::operator=(const Observable &) | Observable | |
| optionDateFromTenor(const Period &) const | VolatilityTermStructure | |
| referenceDate() const | TermStructure | virtual |
| registerWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer | |
| registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
| set_type typedef (defined in Observer) | Observer | |
| setInterpolation(const Interpolator &i=Interpolator()) (defined in BlackVarianceSurface) | BlackVarianceSurface | |
| settlementDays() const | TermStructure | virtual |
| TermStructure(const DayCounter &dc=DayCounter()) | TermStructure | explicit |
| TermStructure(const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter()) | TermStructure | explicit |
| TermStructure(Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter()) | TermStructure | |
| timeFromReference(const Date &date) const | TermStructure | |
| unregisterWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer | |
| unregisterWithAll() (defined in Observer) | Observer | |
| update() | TermStructure | virtual |
| updated_ (defined in TermStructure) | TermStructure | mutableprotected |
| 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 | |
| ~BlackVolTermStructure() (defined in BlackVolTermStructure) | BlackVolTermStructure | virtual |
| ~Extrapolator() (defined in Extrapolator) | Extrapolator | virtual |
| ~Observable() (defined in Observable) | Observable | virtual |
| ~Observer() (defined in Observer) | Observer | virtual |
| ~TermStructure() (defined in TermStructure) | TermStructure | virtual |