| /dports/finance/quantlib/QuantLib-1.20/ql/termstructures/volatility/ |
| H A D | interpolatedsmilesection.hpp | 45 const Handle<Quote>& atmLevel,
53 Real atmLevel,
61 const Handle<Quote>& atmLevel,
70 Real atmLevel,
99 const Handle<Quote>& atmLevel, in InterpolatedSmileSection() argument
106 stdDevHandles_(stdDevHandles), atmLevel_(atmLevel), in InterpolatedSmileSection()
123 Real atmLevel, in InterpolatedSmileSection() argument
138 (ext::shared_ptr<Quote>(new SimpleQuote(atmLevel))); in InterpolatedSmileSection()
150 const Handle<Quote>& atmLevel, in InterpolatedSmileSection() argument
174 Real atmLevel, in InterpolatedSmileSection() argument
[all …]
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| H A D | flatsmilesection.cpp | 31 Real atmLevel, in FlatSmileSection() argument
35 vol_(vol), atmLevel_(atmLevel) {} in FlatSmileSection()
40 Real atmLevel, in FlatSmileSection() argument
44 vol_(vol), atmLevel_(atmLevel) {} in FlatSmileSection()
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| H A D | flatsmilesection.hpp | 40 Real atmLevel = Null<Rate>(),
46 Real atmLevel = Null<Rate>(),
52 Real atmLevel() const;
69 inline Real FlatSmileSection::atmLevel() const { in atmLevel() function in QuantLib::FlatSmileSection
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| H A D | atmadjustedsmilesection.cpp | 31 f_ = source_->atmLevel(); in AtmAdjustedSmileSection()
33 source_->atmLevel() != Null<Real>()) in AtmAdjustedSmileSection()
34 adjustment_ = source_->atmLevel() - f_; in AtmAdjustedSmileSection()
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| H A D | spreadedsmilesection.hpp | 42 Real atmLevel() const;
69 inline Real SpreadedSmileSection::atmLevel() const { in atmLevel() function in QuantLib::SpreadedSmileSection
70 return underlyingSection_->atmLevel(); in atmLevel()
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| H A D | smilesection.cpp | 74 Real atm = atmLevel(); in optionPrice()
107 Real atm = atmLevel(); in vega()
111 return blackFormulaVolDerivative(strike,atmLevel(), in vega()
122 Real atm = atmLevel(); in volatility()
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| H A D | sabrinterpolatedsmilesection.hpp | 97 Real atmLevel() const;
196 inline Real SabrInterpolatedSmileSection::atmLevel() const { in atmLevel() function in QuantLib::SabrInterpolatedSmileSection
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| H A D | atmsmilesection.cpp | 29 f_ = source_->atmLevel(); in AtmSmileSection()
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| H A D | smilesectionutils.hpp | 49 Real atmLevel() const { return f_; } in atmLevel() function in QuantLib::SmileSectionUtils
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| H A D | sabrsmilesection.hpp | 47 Real atmLevel() const { return forward_; } in atmLevel() function in QuantLib::SabrSmileSection
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| H A D | atmsmilesection.hpp | 39 Real atmLevel() const { return f_; } in atmLevel() function in QuantLib::AtmSmileSection
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| H A D | gaussian1dsmilesection.hpp | 61 Real atmLevel() const;
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| H A D | atmadjustedsmilesection.hpp | 41 Real atmLevel() const { return f_; } in atmLevel() function in QuantLib::AtmAdjustedSmileSection
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| H A D | smilesection.hpp | 59 virtual Real atmLevel() const = 0;
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| H A D | gaussian1dsmilesection.cpp | 74 Real Gaussian1dSmileSection::atmLevel() const { return atm_; } in atmLevel() function in QuantLib::Gaussian1dSmileSection
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| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/volatility/ |
| H A D | blackvolsurface.cpp | 43 return s->variance(s->atmLevel()); in atmVarianceImpl()
48 return s->volatility(s->atmLevel()); in atmVolImpl()
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| H A D | noarbsabrinterpolatedsmilesection.hpp | 87 Real atmLevel() const;
184 inline Real NoArbSabrInterpolatedSmileSection::atmLevel() const { in atmLevel() function in QuantLib::NoArbSabrInterpolatedSmileSection
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| H A D | sviinterpolatedsmilesection.hpp | 77 Real atmLevel() const;
178 inline Real SviInterpolatedSmileSection::atmLevel() const { in atmLevel() function in QuantLib::SviInterpolatedSmileSection
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| H A D | svismilesection.hpp | 43 Real atmLevel() const { return forward_; } in atmLevel() function in QuantLib::SviSmileSection
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| H A D | noarbsabrsmilesection.hpp | 48 Real atmLevel() const { return forward_; } in atmLevel() function in QuantLib::NoArbSabrSmileSection
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| H A D | zabrinterpolatedsmilesection.hpp | 80 Real atmLevel() const;
190 inline Real ZabrInterpolatedSmileSection<Evaluation>::atmLevel() const { in atmLevel() function in QuantLib::ZabrInterpolatedSmileSection
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| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/basismodels/ |
| H A D | tenorswaptionvts.hpp | 62 virtual Real atmLevel() const { return swapRateFinl_; } in atmLevel() function in QuantLib::TenorSwaptionVTS::TenorSwaptionSmileSection
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| H A D | tenoroptionletvts.hpp | 64 virtual Real atmLevel() const { return fraRateTarg_; } in atmLevel() function in QuantLib::TenorOptionletVTS::TenorOptionletSmileSection
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| /dports/finance/quantlib/QuantLib-1.20/ql/cashflows/ |
| H A D | lineartsrpricer.cpp | 163 if (sectionTmp->atmLevel() == Null<Real>()) in initialize()
302 Real atm = smileSection_->atmLevel(); in optionletPrice()
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| /dports/finance/quantlib/QuantLib-1.20/test-suite/ |
| H A D | swaptionvolatilitycube.cpp | 549 Real forward1 = smileSection1->atmLevel(); in testSabrParameters()
550 Real forward2 = smileSection2->atmLevel(); in testSabrParameters()
551 Real forward3 = smileSection3->atmLevel(); in testSabrParameters()
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