| /dports/finance/quantlib/QuantLib-1.20/ql/termstructures/volatility/swaption/ |
| H A D | swaptionvolmatrix.hpp | 52 class SwaptionVolatilityMatrix : public SwaptionVolatilityDiscrete, class
56 SwaptionVolatilityMatrix(
67 SwaptionVolatilityMatrix(
79 SwaptionVolatilityMatrix(const Calendar& calendar,
89 SwaptionVolatilityMatrix(const Date& referenceDate,
100 SwaptionVolatilityMatrix(const Date& referenceDate,
170 inline Date SwaptionVolatilityMatrix::maxDate() const { in maxDate()
174 inline Rate SwaptionVolatilityMatrix::minStrike() const { in minStrike()
178 inline Rate SwaptionVolatilityMatrix::maxStrike() const { in maxStrike()
182 inline const Period& SwaptionVolatilityMatrix::maxSwapTenor() const { in maxSwapTenor()
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| H A D | swaptionvolmatrix.cpp | 36 SwaptionVolatilityMatrix::SwaptionVolatilityMatrix( in SwaptionVolatilityMatrix() function in QuantLib::SwaptionVolatilityMatrix
73 SwaptionVolatilityMatrix::SwaptionVolatilityMatrix( in SwaptionVolatilityMatrix() function in QuantLib::SwaptionVolatilityMatrix
111 SwaptionVolatilityMatrix::SwaptionVolatilityMatrix( in SwaptionVolatilityMatrix() function in QuantLib::SwaptionVolatilityMatrix
159 SwaptionVolatilityMatrix::SwaptionVolatilityMatrix( in SwaptionVolatilityMatrix() function in QuantLib::SwaptionVolatilityMatrix
208 SwaptionVolatilityMatrix::SwaptionVolatilityMatrix( in SwaptionVolatilityMatrix() function in QuantLib::SwaptionVolatilityMatrix
257 void SwaptionVolatilityMatrix::checkInputs(Size volRows, in checkInputs()
287 void SwaptionVolatilityMatrix::registerWithMarketData() in registerWithMarketData()
294 void SwaptionVolatilityMatrix::performCalculations() const { in performCalculations()
320 SwaptionVolatilityMatrix::smileSectionImpl(Time optionTime, in smileSectionImpl()
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| /dports/finance/quantlib/QuantLib-1.20/test-suite/ |
| H A D | swaptionvolatilitymatrix.cpp | 58 SwaptionVolatilityMatrix(conventions.calendar, in CommonVars()
269 ext::shared_ptr<SwaptionVolatilityMatrix> vol; in testSwaptionVolMatrixObservability()
274 vol = ext::make_shared<SwaptionVolatilityMatrix>(vars.conventions.calendar, in testSwaptionVolMatrixObservability()
284 vol = ext::make_shared<SwaptionVolatilityMatrix>(Settings::instance().evaluationDate(), in testSwaptionVolMatrixObservability()
295 vol = ext::make_shared<SwaptionVolatilityMatrix>(vars.conventions.calendar, in testSwaptionVolMatrixObservability()
305 vol = ext::make_shared<SwaptionVolatilityMatrix>(Settings::instance().evaluationDate(), in testSwaptionVolMatrixObservability()
331 ext::shared_ptr<SwaptionVolatilityMatrix> vol; in testSwaptionVolMatrixCoherence()
336 vol = ext::make_shared<SwaptionVolatilityMatrix>(vars.conventions.calendar, in testSwaptionVolMatrixCoherence()
346 vol = ext::make_shared<SwaptionVolatilityMatrix>(Settings::instance().evaluationDate(), in testSwaptionVolMatrixCoherence()
357 vol = ext::make_shared<SwaptionVolatilityMatrix>(vars.conventions.calendar, in testSwaptionVolMatrixCoherence()
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| H A D | cms.cpp | 101 SwaptionVolatilityMatrix(calendar, in CommonVars()
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| H A D | basismodels.cpp | 173 new SwaptionVolatilityMatrix(TARGET(), Following, swaptionVTSTerms, swaptionVTSTerms, in getSwaptionVTS()
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| H A D | rangeaccrual.cpp | 285 SwaptionVolatilityMatrix(calendar, in createVolatilityStructures()
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| H A D | swaptionvolatilitycube.cpp | 128 SwaptionVolatilityMatrix(conventions.calendar, in CommonVars()
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| H A D | markovfunctional.cpp | 353 new SwaptionVolatilityMatrix(TARGET(), ModifiedFollowing, in md0SwaptionVts()
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| /dports/finance/quantlib/QuantLib-1.20/ql/legacy/libormarketmodels/ |
| H A D | liborforwardmodel.hpp | 61 virtual ext::shared_ptr<SwaptionVolatilityMatrix>
79 mutable ext::shared_ptr<SwaptionVolatilityMatrix> swaptionVola;
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| H A D | liborforwardmodel.cpp | 61 swaptionVola = ext::shared_ptr<SwaptionVolatilityMatrix>(); in setParams()
147 ext::shared_ptr<SwaptionVolatilityMatrix>
195 return swaptionVola = ext::make_shared<SwaptionVolatilityMatrix>( in getSwaptionVolatilityMatrix()
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| H A D | lfmswaptionengine.cpp | 53 ext::shared_ptr<SwaptionVolatilityMatrix> volatility = in calculate()
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| /dports/finance/quantlib/QuantLib-1.20/ |
| H A D | News.md | 79 `SwaptionVolatilityMatrix` class.
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| /dports/finance/quantlib/QuantLib-1.20/Docs/pages/ |
| H A D | history.docs | 70 `SwaptionVolatilityMatrix` class.
336 - Deprecated a constructor of the SwaptionVolatilityMatrix class that
806 - Removed the SwaptionVolatilityMatrix constructors not taking an
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