| /dports/finance/quantlib/QuantLib-1.20/test-suite/ |
| H A D | digitaloption.cpp | 95 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testCashOrNothingEuropeanValues() local
150 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testAssetOrNothingEuropeanValues() local
205 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testGapEuropeanValues() local
272 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testCashAtHitOrNothingAmericanValues() local
338 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testAssetAtHitOrNothingAmericanValues() local
403 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testCashAtExpiryOrNothingAmericanValues() local
476 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testAssetAtExpiryOrNothingAmericanValues() local
550 Handle<BlackVolTermStructure> volTS(flatVol(vol, dc)); in testCashAtHitOrNothingAmericanGreeks() local
707 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testMCCashAtHit() local
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| H A D | americanoption.cpp | 138 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testBaroneAdesiWhaleyValues() local
212 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testBjerksundStenslandValues() local
343 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testJuValues() local
398 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testFdValues() local
470 Handle<BlackVolTermStructure> volTS(flatVol(vol, dc)); in testFdGreeks() local
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| H A D | chooseroption.cpp | 70 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testAnalyticSimpleChooserEngine() local
120 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testAnalyticComplexChooserEngine() local
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| H A D | lookbackoptions.cpp | 144 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testAnalyticContinuousFloatingLookback() local
244 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testAnalyticContinuousFixedLookback() local
354 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testAnalyticContinuousPartialFloatingLookback() local
465 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testAnalyticContinuousPartialFixedLookback() local
528 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testMonteCarloLookback() local
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| H A D | asianoptions.cpp | 103 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testAnalyticContinuousGeometricAveragePrice() local
201 Handle<BlackVolTermStructure> volTS(flatVol(vol, dc)); in testAnalyticContinuousGeometricAveragePriceGreeks() local
342 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testAnalyticDiscreteGeometricAveragePrice() local
401 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testAnalyticDiscreteGeometricAverageStrike() local
464 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testMCDiscreteGeometricAveragePrice() local
616 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testMCDiscreteArithmeticAveragePrice() local
769 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testMCDiscreteArithmeticAverageStrike() local
857 Handle<BlackVolTermStructure> volTS(flatVol(vol, dc)); in testAnalyticDiscreteGeometricAveragePriceGreeks() local
1002 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testPastFixings() local
1142 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(vol, dc); in testAllFixingsInThePast() local
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| H A D | dividendoption.cpp | 91 Handle<BlackVolTermStructure> volTS(flatVol(vol, dc)); in testEuropeanValues() local
183 Handle<BlackVolTermStructure> volTS(flatVol(vol, dc)); in testEuropeanKnownValue() local
257 Handle<BlackVolTermStructure> volTS(flatVol(vol, dc)); in testEuropeanStartLimit() local
350 Handle<BlackVolTermStructure> volTS(flatVol(vol, dc)); in testEuropeanEndLimit() local
452 Handle<BlackVolTermStructure> volTS(flatVol(vol, dc)); in testEuropeanGreeks() local
598 Handle<BlackVolTermStructure> volTS(flatVol(vol, dc)); in testFdEuropeanValues() local
699 Handle<BlackVolTermStructure> volTS(flatVol(vol, dc)); in testFdGreeks() local
844 Handle<BlackVolTermStructure> volTS(flatVol(0.282922, dc)); in testFdDegenerate() local
938 Handle<BlackVolTermStructure> volTS(flatVol(0.282922, dc)); in testFdDividendAtTZero() local
1047 const Handle<BlackVolTermStructure> volTS(flatVol(today, 0.3, dc)); in testEscrowedDividendModel() local
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| H A D | europeanoption.cpp | 267 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testValues() local
365 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testGreekValues() local
646 Handle<BlackVolTermStructure> volTS(flatVol(vol, dc)); in testGreeks() local
802 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testImpliedVol() local
927 Handle<BlackVolTermStructure> volTS(flatVol(today, vol, dc)); in testImpliedVolContainment() local
1011 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today,vol,dc); in testEngineConsistency() local
1377 const ext::shared_ptr<BlackVarianceSurface> volTS( in testLocalVolatility() local
1476 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testAnalyticEngineDiscountCurve() local
1524 const Handle<BlackVolTermStructure> volTS(flatVol(today, 0.35, dc)); in testPDESchemes() local
1680 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today,v,dc); in testFdEngineWithNonConstantParameters() local
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| H A D | instruments.cpp | 87 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(0.1, dc); in testCompositeWhenShiftingDates() local
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| H A D | forwardoption.cpp | 99 Handle<BlackVolTermStructure> volTS(flatVol(today, vol, dc)); in testValues() local
165 Handle<BlackVolTermStructure> volTS(flatVol(today, vol, dc)); in testPerformanceValues() local
241 Handle<BlackVolTermStructure> volTS(flatVol(vol, dc)); in testForwardGreeks() local
412 Handle<BlackVolTermStructure> volTS(flatVol(vol, dc)); in testGreeksInitialization() local
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| H A D | barrieroption.cpp | 179 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, 0.20, dc); in testParity() local
391 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testHaugValues() local
535 ext::shared_ptr<BlackVolTermStructure> volTS = in testBabsiriValues() local
639 ext::shared_ptr<BlackVolTermStructure> volTS = in testBeagleholeValues() local
726 ext::shared_ptr<BlackVolTermStructure> volTS = in testPerturbative() local
857 const ext::shared_ptr<BlackVarianceSurface> volTS = in testLocalVolAndHestonComparison() local
1207 const Handle<BlackVolTermStructure> volTS(flatVol(today, v, dc)); in testDividendBarrierOption() local
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| H A D | cliquetoption.cpp | 68 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testValues() local
138 Handle<BlackVolTermStructure> volTS(flatVol(vol, dc)); in testOptionGreeks() local
302 Handle<BlackVolTermStructure> volTS(flatVol(vol, dc)); in testMcPerformance() local
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| H A D | binaryoption.cpp | 152 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testCashOrNothingHaugValues() local
240 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testAssetOrNothingHaugValues() local
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| H A D | quantooption.cpp | 249 Handle<BlackVolTermStructure> volTS(flatVol(today, vol, dc)); in testValues() local
337 Handle<BlackVolTermStructure> volTS(flatVol(vol, dc)); in testGreeks() local
530 Handle<BlackVolTermStructure> volTS(flatVol(today, vol, dc)); in testForwardValues() local
624 Handle<BlackVolTermStructure> volTS(flatVol(vol, dc)); in testForwardGreeks() local
824 Handle<BlackVolTermStructure> volTS(flatVol(today, vol, dc)); in testForwardPerformanceValues() local
907 Handle<BlackVolTermStructure> volTS(flatVol(today, vol, dc)); in testBarrierValues() local
992 Handle<BlackVolTermStructure> volTS(flatVol(today, vol, dc)); in testDoubleBarrierValues() local
1080 const Handle<BlackVolTermStructure> volTS( in testFDMQuantoHelper() local
1187 const Handle<BlackVolTermStructure> volTS( in testPDEOptionValues() local
1289 const Handle<BlackVolTermStructure> volTS( in testAmericanQuantoOption() local
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| H A D | compoundoption.cpp | 130 ext::shared_ptr<BlackVolTermStructure> volTS( in testPutCallParity() local
267 ext::shared_ptr<BlackVolTermStructure> volTS( in testValues() local
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| H A D | varianceswaps.cpp | 188 ext::shared_ptr<BlackVolTermStructure> volTS(new in testReplicatingVarianceSwap() local
268 ext::shared_ptr<BlackVolTermStructure> volTS( in testMCVarianceSwap() local
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| H A D | blackdeltacalculator.cpp | 224 ext::shared_ptr<BlackVolTermStructure> volTS( in testDeltaPriceConsistency() local
416 ext::shared_ptr<BlackVolTermStructure> volTS( in testPutCallParity() local
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| H A D | jumpdiffusion.cpp | 281 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testMerton76() local
387 Handle<BlackVolTermStructure> volTS(flatVol(vol, dc)); in testGreeks() local
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| H A D | operators.cpp | 195 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, sigma, dc); in testBSMOperatorConsistency() local
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| H A D | doublebinaryoption.cpp | 184 ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); in testHaugValues() local
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| /dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/vanilla/ |
| H A D | analyticbsmhullwhiteengine.cpp | 36 const Handle<BlackVolTermStructure> & volTS) in ShiftedBlackVolTermStructure()
110 Handle<BlackVolTermStructure> volTS( in calculate() local
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| H A D | jumpdiffusionengine.cpp | 75 RelinkableHandle<BlackVolTermStructure> volTS( in calculate() local
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| /dports/finance/quantlib/QuantLib-1.20/ql/methods/finitedifferences/utilities/ |
| H A D | gbsmrndcalculator.cpp | 46 const Handle<BlackVolTermStructure> volTS in cdf() local
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| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/exoticoptions/ |
| H A D | analyticamericanmargrabeengine.cpp | 91 ext::shared_ptr<BlackVolTermStructure> volTS( in calculate() local
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| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/basismodels/ |
| H A D | tenoroptionletvts.cpp | 50 const TenorOptionletVTS& volTS, const Time optionTime) in TenorOptionletSmileSection()
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| H A D | tenorswaptionvts.cpp | 37 const TenorSwaptionVTS& volTS, Time optionTime, Time swapLength) in TenorSwaptionSmileSection()
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