Index

A

AmericanImpliedVolatilitySolver (class in Smile.Implicitation.AmericanImpliedVolatilitySolver)

AmericanOption (class in Products.AmericanOption)

B

Backends.Contract (module), [1] Backends.ContractMaturity (module), [1] Backends.DatabaseConfig (module), [1] Backends.OptionId (module), [1] BlackScholesMoneynessToStrikeSolver (class in Smile.Implicitation.BlackScholesMoneynessToStrikeSolver)

build() (Greeks.GreekFillers.GreekFillersFactory.GreekFillersFactory method), [1] (Greeks.StateFillers.MarketStateFillersFactory.StateFillersFactory static method) (Rates.ConstantDiscountRateCurveFactory.ConstantDiscountRateCurveFactory method) build_for_date() (Smile.Implicitation.IMoneynessSmileRepresentationBuilder.IMoneynessSmileRepresentationBuilder method) build_for_dates() (Smile.Implicitation.IMoneynessSmileRepresentationBuilder.IMoneynessSmileRepresentationBuilder method)

C

Calendars.CalendarTimeMeasure (module), [1] Calendars.ContractMonthCodes (module), [1] Calendars.ITimeMeasure (module), [1] CalendarTimeMeasure (class in Calendars.CalendarTimeMeasure), [1] Common.MarketDataKey (module), [1] Common.MarketStateKey (module), [1] Common.MarketStateKeys (module), [1]

Common.PricingResult (module) Common.ResultKey (module), [1] Common.ResultKeys (module), [1] ConstantDiscountRateCurveFactory (class in Rates.ConstantDiscountRateCurveFactory) Contract (class in Backends.Contract), [1] ContractIdParser (class in Parsing.ContractIdParser) ContractMaturity (class in Backends.ContractMaturity), [1] ContractMonthCodes (class in Calendars.ContractMonthCodes), [1]

D

DatabaseConfig (class in Backends.DatabaseConfig), [1] DeltaGreekFiller (class in Greeks.GreekFillers.DeltaGreekFiller), [1]

DeltaMarketStateFiller (class in Greeks.StateFillers.DeltaMarketStateFiller) discount_factor() (Rates.IDiscountRateCurveInterpolator.IDiscountRateCurveInterpolator method)

F

fill() (Greeks.GreekFillers.DeltaGreekFiller.DeltaGreekFiller method), [1] (Greeks.GreekFillers.GammaGreekFiller.GammaGreekFiller method), [1] (Greeks.GreekFillers.IGreekFiller.IGreekFiller method), [1] (Greeks.GreekFillers.RhoGreekFiller.RhoGreekFiller method), [1] (Greeks.GreekFillers.SmileRiskGreekFiller.SmilerRiskGreekFiller method), [1] (Greeks.GreekFillers.ThetaGreekFiller.ThetaGreekFiller method), [1] (Greeks.GreekFillers.VannaGreekFiller.VannaGreekFiller method), [1] (Greeks.GreekFillers.VegaGreekFiller.VegaGreekFiller method), [1] (Greeks.GreekFillers.VolgaGreekFiller.VolgaGreekFiller method), [1] (Greeks.StateFillers.DeltaMarketStateFiller.DeltaMarketStateFiller method) (Greeks.StateFillers.GammaMarketStateFiller.GammaMarketStateFiller method) (Greeks.StateFillers.IMarketStateFiller.IMarketStateFiller method) (Greeks.StateFillers.PriceMarketStateFiller.PriceMarketStateFiller method) (Greeks.StateFillers.RhoMarketStateFiller.RhoMarketStateFiller method) (Greeks.StateFillers.ThetaMarketStateFiller.ThetaMarketStateFiller method) (Greeks.StateFillers.VannaMarketStateFiller.VannaMarketStateFiller method) (Greeks.StateFillers.VegaMarketStateFiller.VegaMarketStateFiller method) (Greeks.StateFillers.VolgaMarketStateFiller.VolgaMarketStateFiller method) (Pricing.PriceFillers.IPriceFiller.IPriceFiller method) (Pricing.PriceFillers.PriceFiller.PriceFiller method)

format() (Greeks.Formatters.ResultsFormatter.ResultsFormatter method), [1]

G

GammaGreekFiller (class in Greeks.GreekFillers.GammaGreekFiller), [1] GammaMarketStateFiller (class in Greeks.StateFillers.GammaMarketStateFiller) GreekFillersFactory (class in Greeks.GreekFillers.GreekFillersFactory), [1] GreekKey (class in Greeks.Common.GreekKey), [1] Greeks.Common.GreekKey (module), [1] Greeks.Common.GreeksDefinition (module), [1] Greeks.Common.ShockUtilities (module), [1] Greeks.Formatters.ResultsFormatter (module), [1] Greeks.GreekFillers.DeltaGreekFiller (module), [1] Greeks.GreekFillers.GammaGreekFiller (module), [1] Greeks.GreekFillers.GreekFillersFactory (module), [1] Greeks.GreekFillers.IGreekFiller (module), [1] Greeks.GreekFillers.RhoGreekFiller (module), [1] Greeks.GreekFillers.SmileRiskGreekFiller (module), [1]

Greeks.GreekFillers.ThetaGreekFiller (module), [1] Greeks.GreekFillers.VannaGreekFiller (module), [1] Greeks.GreekFillers.VegaGreekFiller (module), [1] Greeks.GreekFillers.VolgaGreekFiller (module), [1] Greeks.StateFillers.DeltaMarketStateFiller (module) Greeks.StateFillers.GammaMarketStateFiller (module) Greeks.StateFillers.IMarketStateFiller (module) Greeks.StateFillers.MarketStateFillersFactory (module) Greeks.StateFillers.PriceMarketStateFiller (module) Greeks.StateFillers.RhoMarketStateFiller (module) Greeks.StateFillers.ThetaMarketStateFiller (module) Greeks.StateFillers.VannaMarketStateFiller (module) Greeks.StateFillers.VegaMarketStateFiller (module) Greeks.StateFillers.VolgaMarketStateFiller (module) GreeksDefinition (class in Greeks.Common.GreeksDefinition), [1]

I

IAmericanOptionPricer (class in Pricing.PV.IAmericanOptionPricer) IDiscountRateCurveInterpolator (class in Rates.IDiscountRateCurveInterpolator) IGreekFiller (class in Greeks.GreekFillers.IGreekFiller), [1] IImpliedVolatilityInterpolator (class in Smile.Interpolation.IImpliedVolatilityInterpolator) IImpliedVolatilitySolver (class in Smile.Implicitation.IImpliedVolatilitySolver) IMarketStateFiller (class in Greeks.StateFillers.IMarketStateFiller)

IMoneynessSmileRepresentationBuilder (class in Smile.Implicitation.IMoneynessSmileRepresentationBuilder) IMoneynessToStrikeSolver (class in Smile.Implicitation.IMoneynessToStrikeSolver) IPriceFiller (class in Pricing.PriceFillers.IPriceFiller) IPvRunner (class in Pricing.Runners.IPvRunner) ITimeMeasure (class in Calendars.ITimeMeasure), [1] IVolatilityDynamicsModel (class in Smile.Dynamics.IVolatilityDynamicsModel)

L

linear_rate() (Rates.IDiscountRateCurveInterpolator.IDiscountRateCurveInterpolator method)

LogLinearVolatilityDynamicsModel (class in Smile.Dynamics.LogLinearVolatilityDynamicsModel)

M

Market (class in MarketQuotations.Market) MarketData (class in MarketQuotations.MarketData) MarketDataKey (class in Common.MarketDataKey), [1] MarketQuotations.Market (module) MarketQuotations.MarketData (module)

MarketStateKey (class in Common.MarketStateKey), [1] MarketStateKeys (class in Common.MarketStateKeys), [1] moneyness_representation() (Smile.Representations.SmileRepresentationConverter.SmileRepresentationConverter static method) moneyness_to_strike() (Smile.Representations.SmileRepresentationConverter.SmileRepresentationConverter static method) MoneynessSmileRepresentation (class in Smile.Representations.MoneynessSmileRepresentation)

O

OptionId (class in Backends.OptionId), [1] OptionIdParser (class in Parsing.OptionIdParser)

OptionQuotation (class in Smile.Implicitation.OptionQuotation) OptionType (class in Products.OptionType)

P

parse() (Parsing.ContractIdParser.ContractIdParser method) (Parsing.OptionIdParser.OptionIdParser method) Parsing.ContractIdParser (module) Parsing.OptionIdParser (module) price() (Pricing.PV.IAmericanOptionPricer.IAmericanOptionPricer method) PriceFiller (class in Pricing.PriceFillers.PriceFiller) PriceKey (class in Pricing.Common.PriceKey) PriceMarketStateFiller (class in Greeks.StateFillers.PriceMarketStateFiller) Pricing.Common.PriceKey (module)

Pricing.PriceFillers.IPriceFiller (module) Pricing.PriceFillers.PriceFiller (module) Pricing.PV.BS_Formulae (module) Pricing.PV.IAmericanOptionPricer (module) Pricing.PV.PricingParameters (module) Pricing.Runners.IPvRunner (module) PricingParameters (class in Pricing.PV.PricingParameters) PricingResult (class in Common.PricingResult) Products.AmericanOption (module) Products.OptionType (module)

R

RateCurveId (class in Rates.RateCurveId) Rates.ConstantDiscountRateCurveFactory (module) Rates.IDiscountRateCurveInterpolator (module) Rates.RateCurveId (module) Rates.RawDiscountRateCurve (module) RawDiscountRateCurve (class in Rates.RawDiscountRateCurve)

ResultKey (class in Common.ResultKey), [1] ResultKeys (class in Common.ResultKeys), [1] ResultsFormatter (class in Greeks.Formatters.ResultsFormatter), [1] RhoGreekFiller (class in Greeks.GreekFillers.RhoGreekFiller), [1] RhoMarketStateFiller (class in Greeks.StateFillers.RhoMarketStateFiller) run() (Pricing.Runners.IPvRunner.IPvRunner method)

S

ShockUtilities (class in Greeks.Common.ShockUtilities), [1] slope_at_strike() (Smile.Interpolation.IImpliedVolatilityInterpolator.IImpliedVolatilityInterpolator method) (Smile.Interpolation.TensionSplineImpliedVolatilityInterpolator.TensionSplineImpliedVolatilityInterpolator method) smile() (Smile.Dynamics.IVolatilityDynamicsModel.IVolatilityDynamicsModel method) (Smile.Dynamics.LogLinearVolatilityDynamicsModel.LogLinearVolatilityDynamicsModel method) Smile.Dynamics.IVolatilityDynamicsModel (module) Smile.Dynamics.LogLinearVolatilityDynamicsModel (module) Smile.Implicitation.AmericanImpliedVolatilitySolver (module) Smile.Implicitation.BlackScholesMoneynessToStrikeSolver (module) Smile.Implicitation.IImpliedVolatilitySolver (module) Smile.Implicitation.IMoneynessSmileRepresentationBuilder (module) Smile.Implicitation.IMoneynessToStrikeSolver (module) Smile.Implicitation.OptionQuotation (module) Smile.Interpolation.IImpliedVolatilityInterpolator (module)

Smile.Interpolation.TensionSplineImpliedVolatilityInterpolator (module) Smile.Representations.MoneynessSmileRepresentation (module) Smile.Representations.SmileRepresentationConverter (module) Smile.Representations.StrikeSmileRepresentation (module) SmileRepresentationConverter (class in Smile.Representations.SmileRepresentationConverter) SmilerRiskGreekFiller (class in Greeks.GreekFillers.SmileRiskGreekFiller), [1] solve() (Smile.Implicitation.AmericanImpliedVolatilitySolver.AmericanImpliedVolatilitySolver method) (Smile.Implicitation.BlackScholesMoneynessToStrikeSolver.BlackScholesMoneynessToStrikeSolver method) (Smile.Implicitation.IImpliedVolatilitySolver.IImpliedVolatilitySolver method) (Smile.Implicitation.IMoneynessToStrikeSolver.IMoneynessToStrikeSolver method) StateFillersFactory (class in Greeks.StateFillers.MarketStateFillersFactory) strike_representation() (Smile.Representations.SmileRepresentationConverter.SmileRepresentationConverter static method) strike_to_moneyness() (Smile.Representations.SmileRepresentationConverter.SmileRepresentationConverter static method) StrikeSmileRepresentation (class in Smile.Representations.StrikeSmileRepresentation)

T

TensionSplineImpliedVolatilityInterpolator (class in Smile.Interpolation.TensionSplineImpliedVolatilityInterpolator) ThetaGreekFiller (class in Greeks.GreekFillers.ThetaGreekFiller), [1] ThetaMarketStateFiller (class in Greeks.StateFillers.ThetaMarketStateFiller) to_absolute() (Greeks.Common.ShockUtilities.ShockUtilities static method), [1]

to_date() (Backends.ContractMaturity.ContractMaturity method), [1] to_dict() (Backends.DatabaseConfig.DatabaseConfig method), [1] to_duration() (Calendars.CalendarTimeMeasure.CalendarTimeMeasure method), [1] (Calendars.ITimeMeasure.ITimeMeasure method), [1]

V

VannaGreekFiller (class in Greeks.GreekFillers.VannaGreekFiller), [1] VannaMarketStateFiller (class in Greeks.StateFillers.VannaMarketStateFiller) VegaGreekFiller (class in Greeks.GreekFillers.VegaGreekFiller), [1] VegaMarketStateFiller (class in Greeks.StateFillers.VegaMarketStateFiller)

vol_at_strike() (Smile.Interpolation.IImpliedVolatilityInterpolator.IImpliedVolatilityInterpolator method) (Smile.Interpolation.TensionSplineImpliedVolatilityInterpolator.TensionSplineImpliedVolatilityInterpolator method) VolgaGreekFiller (class in Greeks.GreekFillers.VolgaGreekFiller), [1] VolgaMarketStateFiller (class in Greeks.StateFillers.VolgaMarketStateFiller)