QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
BlackVarianceSurface Member List

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

accept(AcyclicVisitor &) (defined in BlackVarianceSurface)BlackVarianceSurfacevirtual
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 BlackVarianceSurfaceprotectedvirtual
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 BlackVarianceTermStructureprotectedvirtual
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 VolatilityTermStructurevirtual
calendar() const TermStructurevirtual
calendar_ (defined in TermStructure)TermStructureprotected
checkRange(const Date &d, bool extrapolate) const TermStructureprotected
checkRange(Time t, bool extrapolate) const TermStructureprotected
checkStrike(Rate strike, bool extrapolate) const VolatilityTermStructureprotected
ConstantExtrapolation enum value (defined in BlackVarianceSurface)BlackVarianceSurface
dayCounter() const BlackVarianceSurfacevirtual
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
maxDate() const BlackVarianceSurfacevirtual
maxStrike() const BlackVarianceSurfacevirtual
maxTime() const TermStructurevirtual
minStrike() const BlackVarianceSurfacevirtual
moving_ (defined in TermStructure)TermStructureprotected
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 TermStructurevirtual
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const boost::shared_ptr< Observer > &)Observer
setInterpolation(const Interpolator &i=Interpolator()) (defined in BlackVarianceSurface)BlackVarianceSurface
settlementDays() const TermStructurevirtual
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
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()TermStructurevirtual
updated_ (defined in TermStructure)TermStructuremutableprotected
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)BlackVolTermStructurevirtual
~Extrapolator() (defined in Extrapolator)Extrapolatorvirtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~TermStructure() (defined in TermStructure)TermStructurevirtual