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| OptionInterpolator2d (const QuantLib::Date &referenceDate, const QuantLib::DayCounter &dayCounter, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const InterpolatorStrike &interpolatorStrike=InterpolatorStrike(), const InterpolatorExpiry &interpolatorExpiry=InterpolatorExpiry(), const QuantLib::Date &baseDate=QuantLib::Date()) |
| OptionInterpolator2d default Constructor.
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| OptionInterpolator2d (const QuantLib::Date &referenceDate, const QuantLib::DayCounter &dayCounter, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const InterpolatorStrike &interpolatorStrike=InterpolatorStrike(), const InterpolatorExpiry &interpolatorExpiry=InterpolatorExpiry(), const QuantLib::Date &baseDate=QuantLib::Date()) |
| OptionInterpolator2d Constructor with dates.
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| OptionInterpolator2d (const QuantLib::Date &referenceDate, const QuantLib::Calendar &calendar, const QuantLib::BusinessDayConvention &bdc, const QuantLib::DayCounter &dayCounter, const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const InterpolatorStrike &interpolatorStrike=InterpolatorStrike(), const InterpolatorExpiry &interpolatorExpiry=InterpolatorExpiry(), const QuantLib::Date &baseDate=QuantLib::Date()) |
| OptionInterpolator2d Constructor with Tenors.
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| OptionInterpolator2d (const OptionInterpolator2d &)=delete |
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OptionInterpolator2d & | operator= (const OptionInterpolator2d &)=delete |
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void | initialise (const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values) |
| Initialise.
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void | initialise (const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values, const QuantLib::Calendar &calendar, const QuantLib::BusinessDayConvention &bdc) |
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| OptionInterpolatorBase (const QuantLib::Date &referenceDate) |
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const QuantLib::Date & | referenceDate () const |
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std::vector< QuantLib::Time > | times () const |
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std::vector< QuantLib::Date > | expiries () const |
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std::vector< std::vector< QuantLib::Real > > | strikes () const |
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std::vector< std::vector< QuantLib::Real > > | values () const |
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template<class InterpolatorStrike, class InterpolatorExpiry>
class QuantExt::OptionInterpolator2d< InterpolatorStrike, InterpolatorExpiry >
Option surface interpolator