A free/open-source library for quantitative finance
Reference manual - version 1.8
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Member
BlackSwaptionEngine::BlackSwaptionEngine
(const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol, Real displacement)
overrides displacement from given volatility structure, this is not recommended to do
Member
BlackSwaptionEngine::displacement
()
might return Null<Real>(), if given by a volatility structure, use
volatility()
->shift() to get the displacement instead
Member
MixedLinearCubic::MixedLinearCubic
(Size n,
CubicInterpolation::DerivativeApprox
da, bool monotonic,
CubicInterpolation::BoundaryCondition
leftCondition=
CubicInterpolation::SecondDerivative
, Real leftConditionValue=0.0,
CubicInterpolation::BoundaryCondition
rightCondition=
CubicInterpolation::SecondDerivative
, Real rightConditionValue=0.0)
Use the other constructor
Member
MixedLinearCubicInterpolation::MixedLinearCubicInterpolation
(const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Size n,
CubicInterpolation::DerivativeApprox
da, bool monotonic,
CubicInterpolation::BoundaryCondition
leftC, Real leftConditionValue,
CubicInterpolation::BoundaryCondition
rightC, Real rightConditionValue)
Use the other constructor
Member
RiskyAssetSwapOption::RiskyAssetSwapOption
(bool payer, const boost::shared_ptr< RiskyAssetSwap > &asw, const
Date
&expiry, Rate marketSpread, Volatility spreadVolatility)
Use the other constructor
Member
SwaptionHelper::SwaptionHelper
(const
Date
&exerciseDate, const
Date
&endDate, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const
Period
&fixedLegTenor, const
DayCounter
&fixedLegDayCounter, const
DayCounter
&floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType, const Real strike, const Real nominal, const Real shift)
Use the constructor taking an explicit volatility type
Member
SwaptionHelper::SwaptionHelper
(const
Period
&maturity, const
Period
&length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const
Period
&fixedLegTenor, const
DayCounter
&fixedLegDayCounter, const
DayCounter
&floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType, const Real strike, const Real nominal, const Real shift)
Use the constructor taking an explicit volatility type
Member
SwaptionHelper::SwaptionHelper
(const
Date
&exerciseDate, const
Period
&length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const
Period
&fixedLegTenor, const
DayCounter
&fixedLegDayCounter, const
DayCounter
&floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType, const Real strike, const Real nominal, const Real shift)
Use the constructor taking an explicit volatility type
Member
SwaptionVolatilityMatrix::SwaptionVolatilityMatrix
(const
Date
&referenceDate, const
Calendar
&calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const
Matrix
&volatilities, const
DayCounter
&dayCounter, const bool flatExtrapolation, const
Matrix
&shifts)
Use the constructor taking an explicit volatility type
Member
SwaptionVolatilityMatrix::SwaptionVolatilityMatrix
(const
Calendar
&calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const
Matrix
&volatilities, const
DayCounter
&dayCounter, const bool flatExtrapolation, const
Matrix
&shifts)
Use the constructor taking an explicit volatility type
Member
SwaptionVolatilityMatrix::SwaptionVolatilityMatrix
(const
Date
&referenceDate, const
Calendar
&calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const
DayCounter
&dayCounter, const bool flatExtrapolation, const std::vector< std::vector< Real > > &shifts)
Use the constructor taking an explicit volatility type
Member
SwaptionVolatilityMatrix::SwaptionVolatilityMatrix
(const
Date
&referenceDate, const std::vector< Date > &optionDates, const std::vector< Period > &swapTenors, const
Matrix
&volatilities, const
DayCounter
&dayCounter, const bool flatExtrapolation, const
Matrix
&shifts)
Use the constructor taking an explicit volatility type
Member
SwaptionVolatilityMatrix::SwaptionVolatilityMatrix
(const
Calendar
&calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const
DayCounter
&dayCounter, const bool flatExtrapolation, const std::vector< std::vector< Real > > &shifts)
Use the constructor taking an explicit volatility type
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