PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > Member List

This is the complete list of members for PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >, including all inherited members.
allowsExtrapolation() const Extrapolator
baseDate() const (defined in PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >)PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > [virtual]
baseLevel() const (defined in YoYOptionletVolatilitySurface)YoYOptionletVolatilitySurface [virtual]
baseLevel_ (defined in YoYOptionletVolatilitySurface)YoYOptionletVolatilitySurface [mutable, protected]
Bootstrap< this_curve > (defined in PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >)PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > [friend]
BootstrapError< this_curve > (defined in PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >)PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > [friend]
businessDayConvention() const VolatilityTermStructure [virtual]
calculate() const LazyObject [protected, virtual]
calculated_ (defined in LazyObject)LazyObject [mutable, protected]
calendar() const TermStructure [virtual]
calendar_ (defined in TermStructure)TermStructure [protected]
checkRange(const Date &, Rate strike, bool extrapolate) const (defined in YoYOptionletVolatilitySurface)YoYOptionletVolatilitySurface [protected, virtual]
checkRange(Time, Rate strike, bool extrapolate) const (defined in YoYOptionletVolatilitySurface)YoYOptionletVolatilitySurface [protected, virtual]
QuantLib::VolatilityTermStructure::checkRange(const Date &d, bool extrapolate) const TermStructure [protected]
QuantLib::VolatilityTermStructure::checkRange(Time t, bool extrapolate) const TermStructure [protected]
checkStrike(Rate strike, bool extrapolate) const VolatilityTermStructure [protected]
data() const (defined in PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >)PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > [virtual]
data_ (defined in InterpolatedYoYOptionletVolatilityCurve< Interpolator >)InterpolatedYoYOptionletVolatilityCurve< Interpolator > [mutable, protected]
dates() const (defined in PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >)PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > [virtual]
dates_ (defined in InterpolatedYoYOptionletVolatilityCurve< Interpolator >)InterpolatedYoYOptionletVolatilityCurve< Interpolator > [mutable, protected]
dayCounter() const TermStructure [virtual]
disableExtrapolation(bool b=true)Extrapolator
enableExtrapolation(bool b=true)Extrapolator
Extrapolator() (defined in Extrapolator)Extrapolator
freeze()LazyObject
frequency() const (defined in YoYOptionletVolatilitySurface)YoYOptionletVolatilitySurface [virtual]
frequency_ (defined in YoYOptionletVolatilitySurface)YoYOptionletVolatilitySurface [protected]
frozen_ (defined in LazyObject)LazyObject [mutable, protected]
indexIsInterpolated() const (defined in YoYOptionletVolatilitySurface)YoYOptionletVolatilitySurface [virtual]
indexIsInterpolated_ (defined in YoYOptionletVolatilitySurface)YoYOptionletVolatilitySurface [protected]
InterpolatedYoYOptionletVolatilityCurve(Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, const std::vector< Date > &d, const std::vector< Volatility > &v, Rate minStrike, Rate maxStrike, const Interpolator &interpolator=Interpolator())InterpolatedYoYOptionletVolatilityCurve< Interpolator >
InterpolatedYoYOptionletVolatilityCurve(Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate minStrike, Rate maxStrike, Volatility baseYoYVolatility, const Interpolator &interpolator=Interpolator()) (defined in InterpolatedYoYOptionletVolatilityCurve< Interpolator >)InterpolatedYoYOptionletVolatilityCurve< Interpolator > [protected]
interpolation_ (defined in InterpolatedYoYOptionletVolatilityCurve< Interpolator >)InterpolatedYoYOptionletVolatilityCurve< Interpolator > [mutable, protected]
interpolator_ (defined in InterpolatedYoYOptionletVolatilityCurve< Interpolator >)InterpolatedYoYOptionletVolatilityCurve< Interpolator > [protected]
interpolator_type typedef (defined in PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >)PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >
LazyObject() (defined in LazyObject)LazyObject
maxDate() const PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > [virtual]
maxStrike() constInterpolatedYoYOptionletVolatilityCurve< Interpolator > [virtual]
maxStrike_ (defined in InterpolatedYoYOptionletVolatilityCurve< Interpolator >)InterpolatedYoYOptionletVolatilityCurve< Interpolator > [protected]
maxTime() const TermStructure [virtual]
minStrike() constInterpolatedYoYOptionletVolatilityCurve< Interpolator > [virtual]
minStrike_ (defined in InterpolatedYoYOptionletVolatilityCurve< Interpolator >)InterpolatedYoYOptionletVolatilityCurve< Interpolator > [protected]
moving_ (defined in TermStructure)TermStructure [protected]
nodes() const (defined in PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >)PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > [virtual]
nodes_ (defined in InterpolatedYoYOptionletVolatilityCurve< Interpolator >)InterpolatedYoYOptionletVolatilityCurve< Interpolator > [protected]
notifyObservers()Observable
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
observationLag() const YoYOptionletVolatilitySurface [virtual]
observationLag_ (defined in YoYOptionletVolatilitySurface)YoYOptionletVolatilitySurface [protected]
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
PiecewiseYoYOptionletVolatilityCurve(Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate minStrike, Rate maxStrike, Volatility baseYoYVolatility, const std::vector< boost::shared_ptr< typename Traits::helper > > &instruments, Real accuracy=1.0e-12, const Interpolator &interpolator=Interpolator()) (defined in PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >)PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >
recalculate()LazyObject
referenceDate() const TermStructure [virtual]
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
setBaseLevel(Volatility v) (defined in YoYOptionletVolatilitySurface)YoYOptionletVolatilitySurface [protected, virtual]
settlementDays() const TermStructure [virtual]
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
timeFromBase(const Date &date, const Period &obsLag=Period(-1, Days)) const YoYOptionletVolatilitySurface [virtual]
timeFromReference(const Date &date) const TermStructure
times() const (defined in PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >)PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > [virtual]
times_ (defined in InterpolatedYoYOptionletVolatilityCurve< Interpolator >)InterpolatedYoYOptionletVolatilityCurve< Interpolator > [mutable, protected]
totalVariance(const Date &exerciseDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const YoYOptionletVolatilitySurface [virtual]
totalVariance(const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const YoYOptionletVolatilitySurface [virtual]
traits_type typedef (defined in PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >)PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >
unfreeze()LazyObject
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
update()PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > [virtual]
volatility(const Date &maturityDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const YoYOptionletVolatilitySurface
volatility(const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const YoYOptionletVolatilitySurface
volatilityImpl(Time length, Rate strike) constInterpolatedYoYOptionletVolatilityCurve< Interpolator > [protected, virtual]
VolatilityTermStructure(const Calendar &cal, 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
YoYOptionletVolatilitySurface(Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated) (defined in YoYOptionletVolatilitySurface)YoYOptionletVolatilitySurface
~Extrapolator() (defined in Extrapolator)Extrapolator [virtual]
~InterpolatedYoYOptionletVolatilityCurve() (defined in InterpolatedYoYOptionletVolatilityCurve< Interpolator >)InterpolatedYoYOptionletVolatilityCurve< Interpolator > [virtual]
~LazyObject() (defined in LazyObject)LazyObject [virtual]
~Observable() (defined in Observable)Observable [virtual]
~Observer() (defined in Observer)Observer [virtual]
~TermStructure() (defined in TermStructure)TermStructure [virtual]
~YoYOptionletVolatilitySurface() (defined in YoYOptionletVolatilitySurface)YoYOptionletVolatilitySurface [virtual]