QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Gaussian1dFloatFloatSwaptionEngine Member List

This is the complete list of members for Gaussian1dFloatFloatSwaptionEngine, including all inherited members.

arguments_ (defined in GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results >)GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results >mutableprotected
BasketGeneratingEngine(const ext::shared_ptr< Gaussian1dModel > &model, const Handle< Quote > &oas, const Handle< YieldTermStructure > &discountCurve) (defined in BasketGeneratingEngine)BasketGeneratingEngineprotected
BasketGeneratingEngine(const Handle< Gaussian1dModel > &model, const Handle< Quote > &oas, const Handle< YieldTermStructure > &discountCurve) (defined in BasketGeneratingEngine)BasketGeneratingEngineprotected
calculate() const (defined in Gaussian1dFloatFloatSwaptionEngine)Gaussian1dFloatFloatSwaptionEnginevirtual
calibrationBasket(const ext::shared_ptr< Exercise > &exercise, const ext::shared_ptr< SwapIndex > &standardSwapBase, const ext::shared_ptr< SwaptionVolatilityStructure > &swaptionVolatility, CalibrationBasketType basketType=MaturityStrikeByDeltaGamma) const (defined in BasketGeneratingEngine)BasketGeneratingEngine
CalibrationBasketType enum name (defined in BasketGeneratingEngine)BasketGeneratingEngine
CalibrationBasketType typedef (defined in BasketGeneratingEngine)BasketGeneratingEngine
deepUpdate()Observervirtual
Digital enum value (defined in Gaussian1dFloatFloatSwaptionEngine)Gaussian1dFloatFloatSwaptionEngine
discountingCurve() const (defined in Gaussian1dFloatFloatSwaptionEngine)Gaussian1dFloatFloatSwaptionEngine
Gaussian1dFloatFloatSwaptionEngine(const ext::shared_ptr< Gaussian1dModel > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false, const Handle< Quote > &oas=Handle< Quote >(), const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const bool includeTodaysExercise=false, const Probabilities probabilities=None) (defined in Gaussian1dFloatFloatSwaptionEngine)Gaussian1dFloatFloatSwaptionEngine
Gaussian1dFloatFloatSwaptionEngine(const Handle< Gaussian1dModel > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false, const Handle< Quote > &oas=Handle< Quote >(), const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const bool includeTodaysExercise=false, const Probabilities probabilities=None) (defined in Gaussian1dFloatFloatSwaptionEngine)Gaussian1dFloatFloatSwaptionEngine
GenericModelEngine(const Handle< Gaussian1dModel > &model=Handle< Gaussian1dModel >()) (defined in GenericModelEngine< Gaussian1dModel, FloatFloatSwaption::arguments, FloatFloatSwaption::results >)GenericModelEngine< Gaussian1dModel, FloatFloatSwaption::arguments, FloatFloatSwaption::results >explicit
GenericModelEngine(const ext::shared_ptr< Gaussian1dModel > &model) (defined in GenericModelEngine< Gaussian1dModel, FloatFloatSwaption::arguments, FloatFloatSwaption::results >)GenericModelEngine< Gaussian1dModel, FloatFloatSwaption::arguments, FloatFloatSwaption::results >explicit
getArguments() const (defined in GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results >)GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results >virtual
getResults() const (defined in GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results >)GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results >virtual
initialGuess(const Date &expiry) const (defined in Gaussian1dFloatFloatSwaptionEngine)Gaussian1dFloatFloatSwaptionEngineprotected
iterator typedef (defined in Observer)Observer
MaturityStrikeByDeltaGamma enum value (defined in BasketGeneratingEngine)BasketGeneratingEngine
model_ (defined in GenericModelEngine< Gaussian1dModel, FloatFloatSwaption::arguments, FloatFloatSwaption::results >)GenericModelEngine< Gaussian1dModel, FloatFloatSwaption::arguments, FloatFloatSwaption::results >protected
Naive enum value (defined in Gaussian1dFloatFloatSwaptionEngine)Gaussian1dFloatFloatSwaptionEngine
None enum value (defined in Gaussian1dFloatFloatSwaptionEngine)Gaussian1dFloatFloatSwaptionEngine
notifyObservers()Observable
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
Observer() (defined in Observer)Observer
Observer(const Observer &) (defined in Observer)Observer
QuantLib::operator=(const Observable &)Observable
operator=(const Observer &) (defined in Observer)Observer
Probabilities enum name (defined in Gaussian1dFloatFloatSwaptionEngine)Gaussian1dFloatFloatSwaptionEngine
registerWith(const ext::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const ext::shared_ptr< Observer > &)Observer
reset() (defined in GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results >)GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results >virtual
results_ (defined in GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results >)GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results >mutableprotected
set_type typedef (defined in Observer)Observer
underlyingLastDate() const (defined in Gaussian1dFloatFloatSwaptionEngine)Gaussian1dFloatFloatSwaptionEngineprotected
underlyingNpv(const Date &expiry, Real y) const (defined in Gaussian1dFloatFloatSwaptionEngine)Gaussian1dFloatFloatSwaptionEngineprotected
underlyingType() const (defined in Gaussian1dFloatFloatSwaptionEngine)Gaussian1dFloatFloatSwaptionEngineprotected
unregisterWith(const ext::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results >virtual
~BasketGeneratingEngine() (defined in BasketGeneratingEngine)BasketGeneratingEngineprotectedvirtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~PricingEngine() (defined in PricingEngine)PricingEnginevirtual