Logo
Reference manual - version qle_version
BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation > Member List

This is the complete list of members for BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >, including all inherited members.

accept(QuantLib::AcyclicVisitor &v) override (defined in BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >)BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >virtual
blackVarianceImpl(QuantLib::Time t, QuantLib::Real strike) const override (defined in BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >)BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >protectedvirtual
BlackVarianceSurfaceSparse(const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Volatility > &volatilities, const QuantLib::DayCounter &dayCounter, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, QuantLib::BlackVolTimeExtrapolation timeExtrapolation=QuantLib::BlackVolTimeExtrapolation::FlatVolatility, const QuantLib::VolatilityType volType=QuantLib::VolatilityType::ShiftedLognormal, const Real shift=0.0) (defined in BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >)BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >
dayCounter() const override (defined in BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >)BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >
expiries_ (defined in OptionInterpolatorBase)OptionInterpolatorBaseprotected
getValue(QuantLib::Time t, QuantLib::Real strike) const overrideOptionInterpolator2d< QuantLib::Linear, QuantLib::Linear >virtual
getValue(QuantLib::Date d, QuantLib::Real strike) const =0 (defined in OptionInterpolatorBase)OptionInterpolatorBasepure virtual
initialise(const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values)OptionInterpolator2d< QuantLib::Linear, QuantLib::Linear >
maxDate() const override (defined in BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >)BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >
maxStrike() const override (defined in BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >)BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >
minStrike() const override (defined in BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >)BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >
OptionInterpolator2d(const QuantLib::Date &referenceDate, const QuantLib::DayCounter &dayCounter, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const QuantLib::Linear &interpolatorStrike=QuantLib::Linear(), const QuantLib::Linear &interpolatorExpiry=QuantLib::Linear(), const QuantLib::Date &baseDate=QuantLib::Date())OptionInterpolator2d< QuantLib::Linear, QuantLib::Linear >
OptionInterpolatorBase(const QuantLib::Date &referenceDate) (defined in OptionInterpolatorBase)OptionInterpolatorBaseexplicit
referenceDate() const override (defined in BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >)BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >
referenceDate_ (defined in OptionInterpolatorBase)OptionInterpolatorBaseprotected
strikes_ (defined in OptionInterpolatorBase)OptionInterpolatorBaseprotected
timeExtrapolation_ (defined in BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >)BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >protected
TimeInterpolationMethod enum name (defined in BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >)BlackVarianceSurfaceSparse< StrikeInterpolation, TimeInterpolation >
times_ (defined in OptionInterpolatorBase)OptionInterpolatorBaseprotected
values_ (defined in OptionInterpolatorBase)OptionInterpolatorBaseprotected
~OptionInterpolatorBase() (defined in OptionInterpolatorBase)OptionInterpolatorBasevirtual