|
|
| BlackCalibrationHelper (const Handle< Quote > &volatility, CalibrationErrorType calibrationErrorType=RelativePriceError, const VolatilityType type=ShiftedLognormal, const Real shift=0.0) |
| |
| QL_DEPRECATED | BlackCalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, CalibrationErrorType calibrationErrorType=RelativePriceError, const VolatilityType type=ShiftedLognormal, const Real shift=0.0) |
| |
| void | performCalculations () const |
| |
|
Handle< Quote > | volatility () const |
| | returns the volatility Handle
|
| |
|
VolatilityType | volatilityType () const |
| | returns the volatility type
|
| |
|
Real | marketValue () const |
| | returns the actual price of the instrument (from volatility)
|
| |
|
virtual Real | modelValue () const =0 |
| | returns the price of the instrument according to the model
|
| |
|
Real | calibrationError () |
| | returns the error resulting from the model valuation
|
| |
|
virtual void | addTimesTo (std::list< Time > ×) const =0 |
| |
|
Volatility | impliedVolatility (Real targetValue, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const |
| | Black volatility implied by the model.
|
| |
|
virtual Real | blackPrice (Volatility volatility) const =0 |
| | Black or Bachelier price given a volatility.
|
| |
|
void | setPricingEngine (const ext::shared_ptr< PricingEngine > &engine) |
| |
| void | update () |
| |
| void | recalculate () |
| |
| void | freeze () |
| |
| void | unfreeze () |
| |
| void | alwaysForwardNotifications () |
| |
|
| Observable (const Observable &) |
| |
| Observable & | operator= (const Observable &) |
| |
| void | notifyObservers () |
| |
|
| Observer (const Observer &) |
| |
|
Observer & | operator= (const Observer &) |
| |
|
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| |
|
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| |
|
void | unregisterWithAll () |
| |
| virtual void | deepUpdate () |
| |
liquid Black76 market instrument used during calibration