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Reference manual - version qle_version
SwaptionSabrCube Member List

This is the complete list of members for SwaptionSabrCube, including all inherited members.

parametricVolatility() const (defined in SwaptionSabrCube)SwaptionSabrCube
performCalculations() const override (defined in SwaptionSabrCube)SwaptionSabrCube
smileSectionImpl(Time optionTime, Time swapLength) const override (defined in SwaptionSabrCube)SwaptionSabrCube
SwaptionSabrCube(const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Period > &atmOptionTenors, const std::vector< Period > &atmSwapLengths, const std::vector< Spread > &strikeSpreads, const std::vector< std::vector< Handle< Quote >>> &volSpreads, const QuantLib::ext::shared_ptr< SwapIndex > &swapIndexBase, const QuantLib::ext::shared_ptr< SwapIndex > &shortSwapIndexBase, const QuantExt::SabrParametricVolatility::ModelVariant modelVariant, const boost::optional< QuantLib::VolatilityType > outputVolatilityType=boost::none, const std::map< std::pair< Period, Period >, std::vector< std::pair< Real, bool >>> &initialModelParameters={}, const QuantLib::Size maxCalibrationAttempts=10, const QuantLib::Real exitEarlyErrorThreshold=0.005, const QuantLib::Real maxAcceptableError=0.05) (defined in SwaptionSabrCube)SwaptionSabrCube