| /dports/finance/quantlib/QuantLib-1.20/ql/termstructures/volatility/ |
| H A D | smilesectionutils.cpp | 32 section.volatilityType() == Normal || moneynessGrid[0] >= 0.0, in SmileSectionUtils()
68 tmp = section.volatilityType() == Normal in SmileSectionUtils()
78 if (section.volatilityType() == ShiftedLognormal && tmp[0] > QL_EPSILON) { in SmileSectionUtils()
85 Real k = section.volatilityType() == Normal in SmileSectionUtils()
88 if ((section.volatilityType() == ShiftedLognormal && in SmileSectionUtils()
101 m_.push_back(section.volatilityType() == Normal in SmileSectionUtils()
108 m_.push_back(section.volatilityType() == Normal in SmileSectionUtils()
119 if(section.volatilityType() == ShiftedLognormal) in SmileSectionUtils()
122 for (Size i = (section.volatilityType() == Normal ? 0 : 1); in SmileSectionUtils()
129 (section.volatilityType() == Normal ? 0.0 : 1.0) - in SmileSectionUtils()
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| H A D | smilesection.cpp | 80 if (volatilityType() == ShiftedLognormal) in optionPrice()
91 Real m = volatilityType() == ShiftedLognormal ? -shift() : -QL_MAX_REAL; in digitalOptionPrice()
99 Real m = volatilityType() == ShiftedLognormal ? -shift() : -QL_MAX_REAL; in density()
110 if (volatilityType() == ShiftedLognormal) in vega()
118 Real SmileSection::volatility(Rate strike, VolatilityType volatilityType, in volatility() argument
120 if(volatilityType == volatilityType_ && close(shift,this->shift())) in volatility()
128 if (volatilityType == ShiftedLognormal) { in volatility()
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| H A D | spreadedsmilesection.hpp | 47 VolatilityType volatilityType() const;
89 inline VolatilityType SpreadedSmileSection::volatilityType() const { in volatilityType() function in QuantLib::SpreadedSmileSection
90 return underlyingSection_->volatilityType(); in volatilityType()
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| H A D | atmsmilesection.hpp | 44 VolatilityType volatilityType() const { in volatilityType() function in QuantLib::AtmSmileSection
45 return source_->volatilityType(); in volatilityType()
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| H A D | atmadjustedsmilesection.hpp | 46 VolatilityType volatilityType() const { in volatilityType() function in QuantLib::AtmAdjustedSmileSection
47 return source_->volatilityType(); in volatilityType()
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| H A D | kahalesmilesection.hpp | 154 VolatilityType volatilityType() const { in volatilityType() function in QuantLib::KahaleSmileSection
155 return source_->volatilityType(); in volatilityType()
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| /dports/finance/quantlib/QuantLib-1.20/ql/termstructures/volatility/optionlet/ |
| H A D | spreadedoptionletvol.hpp | 58 VolatilityType volatilityType() const;
113 SpreadedOptionletVolatility::volatilityType() const { in volatilityType() function in QuantLib::SpreadedOptionletVolatility
114 return baseVol_->volatilityType(); in volatilityType()
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| H A D | strippedoptionletadapter.cpp | 63 Actual365Fixed(), volatilityType(), displacement()); in smileSectionImpl()
139 VolatilityType StrippedOptionletAdapter::volatilityType() const { in volatilityType() function in QuantLib::StrippedOptionletAdapter
140 return optionletStripper_->volatilityType(); in volatilityType()
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| H A D | constantoptionletvol.hpp | 75 VolatilityType volatilityType() const;
105 ConstantOptionletVolatility::volatilityType() const { in volatilityType() function in QuantLib::ConstantOptionletVolatility
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| H A D | capletvariancecurve.hpp | 49 VolatilityType volatilityType() const;
101 inline VolatilityType CapletVarianceCurve::volatilityType() const { in volatilityType() function in QuantLib::CapletVarianceCurve
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| H A D | optionletvolatilitystructure.hpp | 106 virtual VolatilityType volatilityType() const;
214 OptionletVolatilityStructure::volatilityType() const { in volatilityType() function in QuantLib::OptionletVolatilityStructure
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| H A D | strippedoptionletbase.hpp | 60 virtual VolatilityType volatilityType() const = 0;
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| H A D | strippedoptionletadapter.hpp | 66 VolatilityType volatilityType() const;
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| H A D | strippedoptionlet.hpp | 66 VolatilityType volatilityType() const;
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| /dports/finance/quantlib/QuantLib-1.20/ql/termstructures/volatility/swaption/ |
| H A D | spreadedswaptionvol.hpp | 58 VolatilityType volatilityType() const;
122 inline VolatilityType SpreadedSwaptionVolatility::volatilityType() const { in volatilityType() function in QuantLib::SpreadedSwaptionVolatility
123 return baseVol_->volatilityType(); in volatilityType()
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| H A D | swaptionvolcube.hpp | 94 VolatilityType volatilityType() const;
117 inline VolatilityType SwaptionVolatilityCube::volatilityType() const { in volatilityType() function in QuantLib::SwaptionVolatilityCube
118 return atmVol_->volatilityType(); in volatilityType()
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| H A D | swaptionconstantvol.hpp | 85 VolatilityType volatilityType() const;
124 inline VolatilityType ConstantSwaptionVolatility::volatilityType() const { in volatilityType() function in QuantLib::ConstantSwaptionVolatility
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| H A D | swaptionvolmatrix.hpp | 143 VolatilityType volatilityType() const;
193 inline VolatilityType SwaptionVolatilityMatrix::volatilityType() const { in volatilityType() function in QuantLib::SwaptionVolatilityMatrix
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| /dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/swaption/ |
| H A D | blackswaptionengine.cpp | 52 QL_REQUIRE(vol->volatilityType() == ShiftedLognormal, in BlackSwaptionEngine()
75 QL_REQUIRE(vol->volatilityType() == Normal, in BachelierSwaptionEngine()
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| H A D | basketgeneratingengine.cpp | 100 swaptionVolatility->volatilityType() ,shift)); in calibrationBasket()
229 fabs(solution[0]), swaptionVolatility->volatilityType(), shift)); in calibrationBasket()
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| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/coupons/ |
| H A D | lognormalcmsspreadpricer.cpp | 49 const boost::optional<VolatilityType>& volatilityType, in LognormalCmsSpreadPricer() argument
68 if(volatilityType == boost::none) { in LognormalCmsSpreadPricer()
73 volType_ = cmsPricer->swaptionVolatility()->volatilityType(); in LognormalCmsSpreadPricer()
78 volType_ = *volatilityType; in LognormalCmsSpreadPricer()
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| H A D | quantocouponpricer.cpp | 52 if(capletVolatility()->volatilityType() == ShiftedLognormal) { in adjustedFixing()
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| /dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/capfloor/ |
| H A D | bacheliercapfloorengine.cpp | 55 QL_REQUIRE(vol_->volatilityType() == Normal, in BachelierCapFloorEngine()
59 << vol_->volatilityType()); in BachelierCapFloorEngine()
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| H A D | blackcapfloorengine.cpp | 63 vol_->volatilityType() == ShiftedLognormal, in BlackCapFloorEngine()
66 << vol_->volatilityType()); in BlackCapFloorEngine()
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| /dports/finance/quantlib/QuantLib-1.20/ql/models/ |
| H A D | calibrationhelper.hpp | 95 VolatilityType volatilityType() const { return volatilityType_; } in volatilityType() function in QuantLib::BlackCalibrationHelper
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