Reference manual - version qle_version
This is the complete list of members for SabrParametricVolatility, including all inherited members.
| alpha() const (defined in SabrParametricVolatility) | SabrParametricVolatility | |
| beta() const (defined in SabrParametricVolatility) | SabrParametricVolatility | |
| calibrationError() const (defined in SabrParametricVolatility) | SabrParametricVolatility | |
| convert(const Real inputQuote, const MarketQuoteType inputMarketQuoteType, const QuantLib::Real inputLognormalShift, const boost::optional< QuantLib::Option::Type > inputOptionType, const QuantLib::Real timeToExpiry, const QuantLib::Real strike, const QuantLib::Real forward, const MarketQuoteType outputMarketQuoteType, const QuantLib::Real outputLognormalShift, const boost::optional< QuantLib::Option::Type > outputOptionType=boost::none) const (defined in ParametricVolatility) | ParametricVolatility | |
| discountCurve_ (defined in ParametricVolatility) | ParametricVolatility | protected |
| evaluate(const QuantLib::Real timeToExpiry, const QuantLib::Real underlyingLength, const QuantLib::Real strike, const QuantLib::Real forward, const MarketQuoteType outputMarketQuoteType, const QuantLib::Real outputLognormalShift=QuantLib::Null< QuantLib::Real >(), const boost::optional< QuantLib::Option::Type > outputOptionType=boost::none) const override (defined in SabrParametricVolatility) | SabrParametricVolatility | virtual |
| inputMarketQuoteType_ (defined in ParametricVolatility) | ParametricVolatility | protected |
| isInterpolated() const (defined in SabrParametricVolatility) | SabrParametricVolatility | |
| lognormalShift() const (defined in SabrParametricVolatility) | SabrParametricVolatility | |
| MarketModelType enum name (defined in ParametricVolatility) | ParametricVolatility | |
| marketModelType_ (defined in ParametricVolatility) | ParametricVolatility | protected |
| MarketQuoteType enum name (defined in ParametricVolatility) | ParametricVolatility | |
| marketSmiles_ (defined in ParametricVolatility) | ParametricVolatility | protected |
| ModelVariant enum name (defined in SabrParametricVolatility) | SabrParametricVolatility | |
| nu() const (defined in SabrParametricVolatility) | SabrParametricVolatility | |
| numberOfCalibrationAttempts() const (defined in SabrParametricVolatility) | SabrParametricVolatility | |
| ParametricVolatility(const std::vector< MarketSmile > marketSmiles, const MarketModelType marketModelType, const MarketQuoteType inputMarketQuoteType, const QuantLib::Handle< QuantLib::YieldTermStructure > discountCurve) (defined in ParametricVolatility) | ParametricVolatility | |
| rho() const (defined in SabrParametricVolatility) | SabrParametricVolatility | |
| SabrParametricVolatility(const ModelVariant modelVariant, const std::vector< MarketSmile > marketSmiles, const MarketModelType marketModelType, const MarketQuoteType inputMarketQuoteType, const QuantLib::Handle< QuantLib::YieldTermStructure > discountCurve, const std::map< std::pair< QuantLib::Real, QuantLib::Real >, std::vector< std::pair< Real, bool >>> modelParameters={}, const QuantLib::Size maxCalibrationAttempts=10, const QuantLib::Real exitEarlyErrorThreshold=0.005, const QuantLib::Real maxAcceptableError=0.05) | SabrParametricVolatility | |
| timeToEpiries() const (defined in SabrParametricVolatility) | SabrParametricVolatility | |
| underlyingLenghts() const (defined in SabrParametricVolatility) | SabrParametricVolatility | |
| ~ParametricVolatility() (defined in ParametricVolatility) | ParametricVolatility | virtual |