QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
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
iterator typedef (defined in Observer)Observer
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
set_type typedef (defined in 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