Index

A

add() (otyca_cpp.DividendScatter method) (otyca_cpp.DividendSchedule method) (otyca_cpp.DoubleScatter method) (otyca_cpp.EstimateScatter method) (otyca_cpp.EstimateSchedule method) (otyca_cpp.FloatSchedule method) (otyca_cpp.TimeDeltaDividendSchedule method) (otyca_cpp.TimeDeltaFloatSchedule method) add_centered_on() (otyca_cpp.BimodalGaussianBoundedSchedule method) (otyca_cpp.DividendBoundedSchedule method) (otyca_cpp.EventBoundedSchedule method) (otyca_cpp.FloatBoundedSchedule method) add_component() (otyca_cpp.CompositeLevyProcess method) (otyca_cpp.CompositeStochasticProcess method) add_composite_stochastic_process_config() (otyca_cpp.UnderlyingDataset method) add_knot() (otyca_cpp.CubicSpline method) add_projected_dividend() (otyca_cpp.UnderlyingDataset method) add_with_bounds() (otyca_cpp.BimodalGaussianBoundedSchedule method) (otyca_cpp.DividendBoundedSchedule method) (otyca_cpp.EventBoundedSchedule method) (otyca_cpp.FloatBoundedSchedule method)

aic() (otyca_cpp.Model1CalibrationStatus method) (otyca_cpp.Model2CalibrationStatus method) alpha (otyca_cpp.AlphaStable property) AlphaStable (class in otyca_cpp) AMERICAN (otyca_cpp.OptionStyle attribute) american_grid_premium() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) atm_volatility() (otyca_cpp.OptionExpiration method) AutoStochasticProcessPricer (class in otyca_cpp)

B

bic() (otyca_cpp.Model1CalibrationStatus method) (otyca_cpp.Model2CalibrationStatus method)

BimodalGaussian (class in otyca_cpp) BimodalGaussianBoundedSchedule (class in otyca_cpp) BrownianMotion (class in otyca_cpp)

C

c (otyca_cpp.CGMY property) calendar_days() (otyca_cpp.TradingCalendar method) calibrate() (otyca_cpp.Model1 method) (otyca_cpp.Model2 method) CALL (otyca_cpp.OptionType attribute) carry_tenor() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) CGMY (class in otyca_cpp) chi2 (otyca_cpp.Model1CalibrationStatus property) (otyca_cpp.Model2CalibrationStatus property) CIR (class in otyca_cpp) ClaimFourierTransform (class in otyca_cpp)

compare_d_phi_d_p() (otyca_cpp.TimeChangeProcess method) compare_d_phi_d_psi() (otyca_cpp.TimeChangeProcess method) CompositeLevyProcess (class in otyca_cpp) CompositeStochasticProcess (class in otyca_cpp) CompositeStochasticProcessConfig (class in otyca_cpp) CompositeStochasticProcessFactory (class in otyca_cpp) cost2 (otyca_cpp.Model1CalibrationStatus property) (otyca_cpp.Model2CalibrationStatus property) create_composite_stochastic_process() (otyca_cpp.CompositeStochasticProcessFactory method) create_interest_rate_future() (otyca_cpp.InterestRateCurve method) create_interest_rate_spot() (otyca_cpp.InterestRateCurve method) create_interest_rate_swap() (otyca_cpp.InterestRateCurve method) create_levy_process() (otyca_cpp.LevyProcessFactory method) create_option() (otyca_cpp.UnderlyingDataset method) create_time_change_process() (otyca_cpp.TimeChangeProcessFactory method) create_time_changed_levy_process() (otyca_cpp.TimeChangedLevyProcessFactory method) create_underlying() (otyca_cpp.UnderlyingDataset method) CRR (otyca_cpp.TreeType attribute) CubicSpline (class in otyca_cpp) curvature (otyca_cpp.NelsonSiegel property) curvature2 (otyca_cpp.NelsonSiegelSvensson property)

D

d_phi_d_p_finite_difference() (otyca_cpp.TimeChangeProcess method) d_phi_d_psi_finite_difference() (otyca_cpp.TimeChangeProcess method) day_of_week_days() (otyca_cpp.TradingCalendar method) DCRR (otyca_cpp.TreeType attribute) Debug (otyca_cpp.LogLevel attribute) DELTA (otyca_cpp.StrikeType attribute) delta() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) delta_decay() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method)

DirectIntegrationPricer (class in otyca_cpp) discount_factor() (otyca_cpp.YieldCurve method) Dividend (class in otyca_cpp) DividendBoundedSchedule (class in otyca_cpp) DividendFlexibleSchedule (class in otyca_cpp) DividendScatter (class in otyca_cpp) DividendSchedule (class in otyca_cpp) DividendTable (class in otyca_cpp) DoubleScatter (class in otyca_cpp) dy (otyca_cpp.Model1CalibrationInput property) (otyca_cpp.Model2CalibrationInput property)

E

early_exercise_premium() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) effective_dividend_time_for_early_exercise() (otyca_cpp.TradingCalendar method) epsfcn (otyca_cpp.Model1CalibrationConfig property) (otyca_cpp.Model2CalibrationConfig property) Error (otyca_cpp.LogLevel attribute) Estimate (class in otyca_cpp) EstimateScatter (class in otyca_cpp) EstimateSchedule (class in otyca_cpp) eta1 (otyca_cpp.Kou property) eta2 (otyca_cpp.Kou property) EUROPEAN (otyca_cpp.OptionStyle attribute) european_dual_delta() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) european_grid_premium() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method)

european_premium() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) european_vega() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) evaluate() (otyca_cpp.Model1 method) (otyca_cpp.Model2 method) Event (class in otyca_cpp) EventBoundedSchedule (class in otyca_cpp) extrapolate() (otyca_cpp.DividendSchedule method) (otyca_cpp.EstimateSchedule method) (otyca_cpp.FloatSchedule method) (otyca_cpp.TimeDeltaDividendSchedule method) (otyca_cpp.TimeDeltaFloatSchedule method)

F

factor (otyca_cpp.Model1CalibrationConfig property) (otyca_cpp.Model2CalibrationConfig property) FFTPricer (class in otyca_cpp) fixed_present_value() (otyca_cpp.DividendTable method) FloatBoundedSchedule (class in otyca_cpp) FloatFlexibleSchedule (class in otyca_cpp) FloatSchedule (class in otyca_cpp) forward() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) forward_intrinsic() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method)

forward_rate() (otyca_cpp.TermStructure method) FORWARD_VOLATILITY (otyca_cpp.VolatilityType attribute) ForwardVolatilityCRROptionCalculator (class in otyca_cpp) ForwardVolatilityDCRROptionCalculator (class in otyca_cpp) ForwardVolatilityJROptionCalculator (class in otyca_cpp) ForwardVolatilityLROptionCalculator (class in otyca_cpp) ForwardVolatilityTIANOptionCalculator (class in otyca_cpp) FourierTransform (class in otyca_cpp) FourierTransformPricer (class in otyca_cpp) FRFTPricer (class in otyca_cpp) from_iso_string() (in module otyca_cpp) from_simple_string() (in module otyca_cpp) from_string() (in module otyca_cpp) from_undelimited_string() (in module otyca_cpp) from_us_string() (in module otyca_cpp) ftol (otyca_cpp.Model1CalibrationConfig property) (otyca_cpp.Model2CalibrationConfig property) fugit() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method)

G

g (otyca_cpp.CGMY property) Gamma (class in otyca_cpp) gamma() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) get_accumulated_fixed_dividend() (otyca_cpp.OptionExpiration method) get_accumulated_proportional_dividend() (otyca_cpp.OptionExpiration method) get_ask_price() (otyca_cpp.Security method) get_ask_volatility() (otyca_cpp.Option method) get_atm_volatility_uncertainty() (otyca_cpp.OptionExpiration method) get_atm_volatility_value() (otyca_cpp.OptionExpiration method) get_bid_price() (otyca_cpp.Security method) get_bid_volatility() (otyca_cpp.Option method) get_borrow_rate_uncertainty() (otyca_cpp.OptionExpiration method) get_borrow_rate_value() (otyca_cpp.OptionExpiration method) get_bounded_bimodal_gaussian() (otyca_cpp.UnderlyingDataset method) get_calibration_parameters() (otyca_cpp.ModelBase method) get_call() (otyca_cpp.OptionStrike method) get_components() (otyca_cpp.CompositeStochasticProcess method) get_composite_stochastic_process() (otyca_cpp.UnderlyingDataset method) get_composite_stochastic_process_volatility_grid() (otyca_cpp.UnderlyingDataset method) get_composite_stochastic_process_volatility_grids() (otyca_cpp.UnderlyingDataset method) get_composite_stochastic_processes() (otyca_cpp.UnderlyingDataset method) get_delta() (otyca_cpp.Option method) get_delta_decay() (otyca_cpp.Option method) get_delta_grid() (in module otyca_cpp) get_dividend_schedule() (otyca_cpp.UnderlyingDataset method) get_expiration() (otyca_cpp.Option method) (otyca_cpp.OptionExpiration method) (otyca_cpp.OptionStrike method) get_expiration_volatility_model_dataframe() (otyca_cpp.UnderlyingDataset method) get_expirations() (otyca_cpp.UnderlyingDataset method) get_fair_atm_volatility() (otyca_cpp.OptionExpiration method) get_fair_volatility() (otyca_cpp.OptionStrike method) get_fair_volatility_model_reduced_chi2() (otyca_cpp.OptionExpiration method) get_fair_volatility_skew() (otyca_cpp.OptionExpiration method) get_fixed() (otyca_cpp.Dividend method) get_forward() (otyca_cpp.OptionExpiration method) get_forward_uncertainty() (otyca_cpp.OptionExpiration method) get_forward_value() (otyca_cpp.OptionExpiration method) get_fugit() (otyca_cpp.Option method) get_gamma() (otyca_cpp.Option method) get_hedge_tenor() (otyca_cpp.OptionExpiration method) get_holidays() (otyca_cpp.TradingCalendar method) get_implied_borrow_uncertainty() (otyca_cpp.OptionExpiration method) get_implied_borrow_value() (otyca_cpp.OptionExpiration method) get_implied_event_schedule() (otyca_cpp.UnderlyingDataset method) get_implied_forward_uncertainty() (otyca_cpp.OptionExpiration method) (otyca_cpp.OptionStrike method) get_implied_forward_value() (otyca_cpp.OptionExpiration method) (otyca_cpp.OptionStrike method) get_implied_interest_borrow() (otyca_cpp.OptionExpiration method) get_implied_interest_borrow_dataframe() (otyca_cpp.UnderlyingDataset method) get_implied_interest_uncertainty() (otyca_cpp.OptionExpiration method) get_implied_interest_value() (otyca_cpp.OptionExpiration method) get_interest_rate_uncertainty() (otyca_cpp.OptionExpiration method) get_interest_rate_value() (otyca_cpp.OptionExpiration method) get_lambda() (otyca_cpp.Kou method) (otyca_cpp.Merton method)

get_last_calibration_iterations() (otyca_cpp.Model1 method) (otyca_cpp.Model2 method) get_last_calibration_reduced_chi2() (otyca_cpp.Model1 method) (otyca_cpp.Model2 method) get_last_calibration_residuals() (otyca_cpp.Model1 method) (otyca_cpp.Model2 method) get_levy_components() (otyca_cpp.CompositeLevyProcess method) get_levy_process() (otyca_cpp.TimeChangedLevyProcess method) get_mid_volatility() (otyca_cpp.Option method) get_option_bid_ask_implied_volatility_dataframe() (otyca_cpp.UnderlyingDataset method) get_option_expiration() (otyca_cpp.UnderlyingDataset method) get_option_expiration_dataframe() (otyca_cpp.UnderlyingDataset method) get_option_expirations() (otyca_cpp.UnderlyingDataset method) get_option_pricing_dataframe() (otyca_cpp.UnderlyingDataset method) get_option_strike_dataframe() (otyca_cpp.OptionExpiration method) get_option_strikes() (otyca_cpp.OptionExpiration method) (otyca_cpp.UnderlyingDataset method) get_options() (otyca_cpp.OptionStrike method) (otyca_cpp.UnderlyingDataset method) get_osi_sub() (otyca_cpp.Option method) get_parameter_names() (otyca_cpp.ModelBase method) (otyca_cpp.StochasticProcess method) get_parameters() (otyca_cpp.ModelBase method) get_phi() (otyca_cpp.Option method) get_premium() (otyca_cpp.Option method) get_proportional() (otyca_cpp.Dividend method) get_put() (otyca_cpp.OptionStrike method) get_relative_strike() (otyca_cpp.OptionStrike method) get_rho() (otyca_cpp.Option method) get_stochastic_process_atm_volatility() (otyca_cpp.OptionExpiration method) get_stochastic_process_option_expiration_dataframe() (otyca_cpp.UnderlyingDataset method) get_stochastic_process_option_expiration_volatility_grid_dataframe() (otyca_cpp.UnderlyingDataset method) get_stochastic_process_option_strike_volatilities() (otyca_cpp.UnderlyingDataset method) get_stochastic_process_volatility() (otyca_cpp.OptionStrike method) get_stochastic_process_volatility_grid_dataframe() (otyca_cpp.UnderlyingDataset method) get_strike() (otyca_cpp.Option method) (otyca_cpp.OptionStrike method) get_strike_volatility() (otyca_cpp.OptionStrike method) get_strike_volatility_uncertainty() (otyca_cpp.OptionStrike method) get_strike_volatility_value() (otyca_cpp.OptionStrike method) get_style() (otyca_cpp.Option method) get_tenor_grid() (in module otyca_cpp) get_theta() (otyca_cpp.Option method) get_time_change() (otyca_cpp.TimeChangedLevyProcess method) get_type() (otyca_cpp.Option method) get_uncertainty() (otyca_cpp.Estimate method) get_underlying() (otyca_cpp.UnderlyingDataset method) get_underlying_price() (otyca_cpp.UnderlyingDataset method) get_value() (otyca_cpp.Estimate method) get_vanna() (otyca_cpp.Option method) get_variance_schedule() (otyca_cpp.UnderlyingDataset method) get_variance_tenor() (otyca_cpp.OptionExpiration method) get_variance_tenor_calculator() (otyca_cpp.UnderlyingDataset method) get_variance_term_structure_model() (otyca_cpp.UnderlyingDataset method) get_variance_term_structure_model_value() (otyca_cpp.OptionExpiration method) get_vega() (otyca_cpp.Option method) get_vix_style_volatility() (otyca_cpp.OptionExpiration method) get_volatility_model_outputs() (otyca_cpp.OptionStrike method) get_volga() (otyca_cpp.Option method) get_yield_curve() (otyca_cpp.InterestRateCurve method) (otyca_cpp.UnderlyingDataset method) growth_factor() (otyca_cpp.YieldCurve method) gtol (otyca_cpp.Model1CalibrationConfig property) (otyca_cpp.Model2CalibrationConfig property)

H

half_trade_day() (otyca_cpp.TradingCalendar method) hedge_tenor() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method)

holiday() (otyca_cpp.TradingCalendar method)

I

id() (otyca_cpp.Security method) implied_volatility() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) (otyca_cpp.StochasticProcessPricer method) ImpliedVarianceTenorCalculator (class in otyca_cpp) Info (otyca_cpp.LogLevel attribute) info (otyca_cpp.Model1CalibrationStatus property) (otyca_cpp.Model2CalibrationStatus property)

InterestRateCurve (class in otyca_cpp) InterestRateFuture (class in otyca_cpp) InterestRateSpot (class in otyca_cpp) InterestRateSwap (class in otyca_cpp) intrinsic() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) InverseGaussian (class in otyca_cpp) iterations (otyca_cpp.Model1CalibrationStatus property) (otyca_cpp.Model2CalibrationStatus property)

J

JR (otyca_cpp.TreeType attribute)

K

kappa (otyca_cpp.LCIR property)

Kou (class in otyca_cpp)

L

lambda (otyca_cpp.Kou property) (otyca_cpp.Merton property) (otyca_cpp.Poisson property) LCIR (class in otyca_cpp) level (otyca_cpp.NelsonSiegel property) LevyProcess (class in otyca_cpp)

LevyProcessFactory (class in otyca_cpp) log() (otyca_cpp.Logger static method) LOG_STRIKE (otyca_cpp.StrikeType attribute) Logger (class in otyca_cpp) LogLevel (class in otyca_cpp) LR (otyca_cpp.TreeType attribute)

M

m (otyca_cpp.CGMY property) max_n_event (otyca_cpp.CompositeStochasticProcessConfig property) max_tenor (otyca_cpp.CompositeStochasticProcessConfig property) maxfev (otyca_cpp.Model1CalibrationConfig property) (otyca_cpp.Model2CalibrationConfig property) Merton (class in otyca_cpp) message() (otyca_cpp.Model1CalibrationStatus method) (otyca_cpp.Model2CalibrationStatus method) mid() (otyca_cpp.Security method) min_tenor (otyca_cpp.CompositeStochasticProcessConfig property) Model1 (class in otyca_cpp) Model1CalibrationConfig (class in otyca_cpp)

Model1CalibrationInput (class in otyca_cpp) Model1CalibrationStatus (class in otyca_cpp) Model2 (class in otyca_cpp) Model2CalibrationConfig (class in otyca_cpp) Model2CalibrationInput (class in otyca_cpp) Model2CalibrationStatus (class in otyca_cpp) ModelBase (class in otyca_cpp) module otyca_cpp mu (otyca_cpp.BimodalGaussian property) (otyca_cpp.Gamma property) (otyca_cpp.InverseGaussian property) (otyca_cpp.Merton property)

N

name() (otyca_cpp.ModelBase method) (otyca_cpp.StochasticProcessPricer method) names (otyca_cpp.LogLevel attribute) (otyca_cpp.OptionStyle attribute) (otyca_cpp.OptionType attribute) (otyca_cpp.StrikeType attribute) (otyca_cpp.TreeType attribute) (otyca_cpp.VolatilityType attribute)

NelsonSiegel (class in otyca_cpp) NelsonSiegelSvensson (class in otyca_cpp) next_to_non_trade_day() (otyca_cpp.TradingCalendar method) non_trade_day() (otyca_cpp.TradingCalendar method) non_trade_days() (otyca_cpp.TradingCalendar method) nu (otyca_cpp.Gamma property) (otyca_cpp.VarianceGamma property)

O

omega (otyca_cpp.LCIR property) Option (class in otyca_cpp) OptionExpiration (class in otyca_cpp) OptionStrike (class in otyca_cpp) OptionStyle (class in otyca_cpp) OptionType (class in otyca_cpp) otyca::AffineSVI (C++ class) otyca::AffineSVI::AffineSVI (C++ function) otyca::AffineSVI::evaluate (C++ function) otyca::AffineSVI::get_parameters (C++ function) otyca::AffineSVI::get_transformed_calibration_parameter_variances (C++ function) otyca::AffineSVI::get_transformed_calibration_parameters (C++ function) otyca::AffineSVI::name (C++ function) otyca::AffineSVI::reset (C++ function) otyca::AffineSVI::set_parameters (C++ function) otyca::AffineSVI::set_transformed_calibration_parameters (C++ function) otyca::all_finite (C++ function) otyca::AlphaStable (C++ class) otyca::AlphaStable::AlphaStable (C++ function), [1] otyca::AlphaStable::clone (C++ function) otyca::AlphaStable::d_phi_d_p (C++ function) otyca::AlphaStable::d_phi_d_psi (C++ function) otyca::AlphaStable::get_alpha (C++ function) otyca::AlphaStable::get_parameter_names (C++ function) otyca::AlphaStable::get_parameters (C++ function) otyca::AlphaStable::get_transformed_calibration_parameter_variances (C++ function) otyca::AlphaStable::get_transformed_calibration_parameters (C++ function) otyca::AlphaStable::laplace_transform (C++ function) otyca::AlphaStable::name (C++ function) otyca::AlphaStable::set_alpha (C++ function) otyca::AlphaStable::set_parameters (C++ function) otyca::AlphaStable::set_transformed_calibration_parameters (C++ function) otyca::AlphaStable::transformation_derivatives (C++ function) otyca::array1 (C++ function) otyca::array2 (C++ function) otyca::AutoStochasticProcessPricer (C++ class) otyca::AutoStochasticProcessPricer::implied_volatility (C++ function) otyca::AutoStochasticProcessPricer::name (C++ function) otyca::AutoStochasticProcessPricer::pdf (C++ function) otyca::AutoStochasticProcessPricer::price (C++ function) otyca::AutoStochasticProcessPricer::price_derivatives (C++ function) otyca::BimodalGaussian (C++ class) otyca::BimodalGaussian::BimodalGaussian (C++ function), [1] otyca::BimodalGaussian::characteristic_function (C++ function), [1] otyca::BimodalGaussian::characteristic_function_derivatives (C++ function), [1] otyca::BimodalGaussian::clone (C++ function) otyca::BimodalGaussian::get_header (C++ function) otyca::BimodalGaussian::get_mu (C++ function) otyca::BimodalGaussian::get_parameter_names (C++ function) otyca::BimodalGaussian::get_parameters (C++ function) otyca::BimodalGaussian::get_sigma (C++ function) otyca::BimodalGaussian::get_transformed_calibration_parameter_variances (C++ function) otyca::BimodalGaussian::get_transformed_calibration_parameters (C++ function) otyca::BimodalGaussian::name (C++ function) otyca::BimodalGaussian::set_mu (C++ function) otyca::BimodalGaussian::set_parameters (C++ function) otyca::BimodalGaussian::set_sigma (C++ function) otyca::BimodalGaussian::set_transformed_calibration_parameters (C++ function) otyca::BimodalGaussian::transformation_derivatives (C++ function) otyca::BimodalGaussian::~BimodalGaussian (C++ function) otyca::BoundedSchedule (C++ class) otyca::BoundedSchedule::add_centered_on (C++ function) otyca::BoundedSchedule::add_with_bounds (C++ function) otyca::BoundedSchedule::diff (C++ function) otyca::BoundedSchedule::split (C++ function) otyca::BoundedSchedule::to_map (C++ function) otyca::BrownianMotion (C++ class) otyca::BrownianMotion::BrownianMotion (C++ function), [1] otyca::BrownianMotion::characteristic_exponent (C++ function) otyca::BrownianMotion::characteristic_exponent_derivatives (C++ function) otyca::BrownianMotion::clone (C++ function) otyca::BrownianMotion::get_parameter_names (C++ function) otyca::BrownianMotion::get_parameters (C++ function) otyca::BrownianMotion::get_sigma (C++ function) otyca::BrownianMotion::get_transformed_calibration_parameter_variances (C++ function) otyca::BrownianMotion::get_transformed_calibration_parameters (C++ function) otyca::BrownianMotion::name (C++ function) otyca::BrownianMotion::set_parameters (C++ function) otyca::BrownianMotion::set_sigma (C++ function) otyca::BrownianMotion::set_transformed_calibration_parameters (C++ function) otyca::BrownianMotion::transformation_derivatives (C++ function) otyca::BumpModel (C++ class) otyca::BumpModel::add_bump (C++ function) otyca::BumpModel::bump (C++ function) otyca::BumpModel::BumpModel (C++ function) otyca::BumpModel::calibrate (C++ function) otyca::BumpModel::core_evaluate (C++ function) otyca::BumpModel::evaluate (C++ function) otyca::BumpModel::get_bumps (C++ function) otyca::BumpModel::get_core_model (C++ function) otyca::BumpModel::get_parameters (C++ function) otyca::BumpModel::get_transformed_calibration_parameters (C++ function) otyca::BumpModel::name (C++ function) otyca::BumpModel::print (C++ function) otyca::BumpModel::set_core_model (C++ function) otyca::BumpModel::set_parameters (C++ function) otyca::BumpModel::set_transformed_calibration_parameters (C++ function) otyca::Calibrated (C++ type) otyca::CGMY (C++ class) otyca::CGMY::CGMY (C++ function), [1] otyca::CGMY::characteristic_exponent (C++ function) otyca::CGMY::characteristic_exponent_derivatives (C++ function) otyca::CGMY::clone (C++ function) otyca::CGMY::get_c (C++ function) otyca::CGMY::get_g (C++ function) otyca::CGMY::get_m (C++ function) otyca::CGMY::get_parameter_names (C++ function) otyca::CGMY::get_parameters (C++ function) otyca::CGMY::get_transformed_calibration_parameter_variances (C++ function) otyca::CGMY::get_transformed_calibration_parameters (C++ function) otyca::CGMY::get_y (C++ function) otyca::CGMY::name (C++ function) otyca::CGMY::set_c (C++ function) otyca::CGMY::set_g (C++ function) otyca::CGMY::set_m (C++ function) otyca::CGMY::set_multiplier (C++ function) otyca::CGMY::set_parameters (C++ function) otyca::CGMY::set_transformed_calibration_parameters (C++ function) otyca::CGMY::set_y (C++ function) otyca::CGMY::transformation_derivatives (C++ function) otyca::CGMY::~CGMY (C++ function) otyca::CIR (C++ class) otyca::CIR::CIR (C++ function), [1] otyca::CIR::clone (C++ function) otyca::CIR::d_phi_d_p (C++ function) otyca::CIR::get_parameter_names (C++ function) otyca::CIR::get_parameters (C++ function) otyca::CIR::get_transformed_calibration_parameter_variances (C++ function) otyca::CIR::get_transformed_calibration_parameters (C++ function) otyca::CIR::name (C++ function) otyca::CIR::set_parameters (C++ function) otyca::CIR::set_transformed_calibration_parameters (C++ function) otyca::CIR::sigma_parameter_index (C++ function) otyca::CIR::transformation_derivatives (C++ function) otyca::ClaimFourierTransform (C++ class) otyca::ClaimFourierTransform::claim_type (C++ function) otyca::ClaimFourierTransform::ClaimFourierTransform (C++ function) otyca::ClaimFourierTransform::dampen_factor (C++ function) otyca::ClaimFourierTransform::integrand (C++ function) otyca::ClaimFourierTransform::integrand_derivatives (C++ function) otyca::close_enough (C++ function) otyca::col (C++ function) otyca::col_to_row_major (C++ function), [1] otyca::CompositeLevyProcess (C++ class) otyca::CompositeLevyProcess::add_component (C++ function) otyca::CompositeLevyProcess::characteristic_exponent (C++ function) otyca::CompositeLevyProcess::characteristic_exponent_derivatives (C++ function) otyca::CompositeLevyProcess::clone (C++ function) otyca::CompositeLevyProcess::CompositeLevyProcess (C++ function), [1] otyca::CompositeLevyProcess::get_levy_components (C++ function) otyca::CompositeLevyProcess::get_parameter_names (C++ function) otyca::CompositeLevyProcess::get_parameters (C++ function) otyca::CompositeLevyProcess::get_transformed_calibration_parameter_variances (C++ function) otyca::CompositeLevyProcess::get_transformed_calibration_parameters (C++ function) otyca::CompositeLevyProcess::name (C++ function) otyca::CompositeLevyProcess::print (C++ function) otyca::CompositeLevyProcess::set_parameters (C++ function) otyca::CompositeLevyProcess::set_transformed_calibration_parameters (C++ function) otyca::CompositeLevyProcess::specification (C++ function) otyca::CompositeLevyProcess::transformation_derivatives (C++ function) otyca::CompositeModel (C++ class) otyca::CompositeModel::_get_values (C++ function) otyca::CompositeModel::add_component (C++ function) otyca::CompositeModel::evaluate (C++ function) otyca::CompositeModel::get_components (C++ function) otyca::CompositeModel::get_parameter_names (C++ function) otyca::CompositeModel::get_parameters (C++ function) otyca::CompositeModel::get_transformed_calibration_parameter_variances (C++ function) otyca::CompositeModel::get_transformed_calibration_parameters (C++ function) otyca::CompositeModel::name (C++ function) otyca::CompositeModel::print (C++ function) otyca::CompositeModel::set_parameters (C++ function) otyca::CompositeModel::set_transformed_calibration_parameters (C++ function) otyca::CompositeStochasticProcess (C++ class) otyca::CompositeStochasticProcess::add_component (C++ function) otyca::CompositeStochasticProcess::characteristic_function (C++ function) otyca::CompositeStochasticProcess::characteristic_function_derivatives (C++ function) otyca::CompositeStochasticProcess::clone (C++ function) otyca::CompositeStochasticProcess::CompositeStochasticProcess (C++ function), [1] otyca::CompositeStochasticProcess::get_calibration_parameters (C++ function) otyca::CompositeStochasticProcess::get_components (C++ function) otyca::CompositeStochasticProcess::get_parameter_names (C++ function) otyca::CompositeStochasticProcess::get_parameters (C++ function) otyca::CompositeStochasticProcess::get_transformed_calibration_parameter_variances (C++ function) otyca::CompositeStochasticProcess::get_transformed_calibration_parameters (C++ function) otyca::CompositeStochasticProcess::name (C++ function) otyca::CompositeStochasticProcess::print (C++ function) otyca::CompositeStochasticProcess::set_calibration_parameters (C++ function) otyca::CompositeStochasticProcess::set_parameters (C++ function) otyca::CompositeStochasticProcess::set_transformed_calibration_parameters (C++ function) otyca::CompositeStochasticProcess::specification (C++ function) otyca::CompositeStochasticProcess::transformation_derivatives (C++ function) otyca::CompositeStochasticProcessConfig (C++ struct) otyca::CompositeStochasticProcessConfig::max_n_event (C++ member) otyca::CompositeStochasticProcessConfig::max_tenor (C++ member) otyca::CompositeStochasticProcessConfig::min_tenor (C++ member) otyca::CompositeStochasticProcessConfig::specification (C++ member) otyca::CompositeStochasticProcessFactory (C++ class) otyca::CompositeStochasticProcessFactory::create_composite_stochastic_process (C++ function) otyca::concatenate (C++ function) otyca::continuous_to_365 (C++ function) otyca::copy_to_raw (C++ function), [1] otyca::CubicSpline (C++ class) otyca::CubicSpline::add_knot (C++ function) otyca::CubicSpline::calibrate (C++ function) otyca::CubicSpline::CubicSpline (C++ function) otyca::CubicSpline::evaluate (C++ function) otyca::CubicSpline::get_knot_x (C++ function) otyca::CubicSpline::get_knot_y (C++ function) otyca::CubicSpline::get_parameters (C++ function) otyca::CubicSpline::get_regularizer_penalties (C++ function) otyca::CubicSpline::get_transformed_calibration_parameters (C++ function) otyca::CubicSpline::name (C++ function) otyca::CubicSpline::print (C++ function) otyca::CubicSpline::reset (C++ function) otyca::CubicSpline::set_left_wing_penalty (C++ function) otyca::CubicSpline::set_parameters (C++ function) otyca::CubicSpline::set_right_wing_penalty (C++ function) otyca::CubicSpline::set_transformed_calibration_parameters (C++ function) otyca::CubicSpline::set_wiggle_penalty (C++ function) otyca::DirectIntegrationPricer (C++ class) otyca::DirectIntegrationPricer::_exp_u (C++ member) otyca::DirectIntegrationPricer::_iu (C++ member) otyca::DirectIntegrationPricer::_order (C++ member) otyca::DirectIntegrationPricer::_u (C++ member) otyca::DirectIntegrationPricer::_u2 (C++ member) otyca::DirectIntegrationPricer::_u2_real (C++ member) otyca::DirectIntegrationPricer::_w (C++ member) otyca::DirectIntegrationPricer::_w_col (C++ member) otyca::DirectIntegrationPricer::_x (C++ member) otyca::DirectIntegrationPricer::_x_col (C++ member) otyca::DirectIntegrationPricer::DirectIntegrationPricer (C++ function) otyca::DirectIntegrationPricer::implied_volatility (C++ function), [1], [2], [3] otyca::DirectIntegrationPricer::name (C++ function) otyca::DirectIntegrationPricer::pdf (C++ function), [1], [2], [3] otyca::DirectIntegrationPricer::price (C++ function), [1], [2], [3] otyca::DirectIntegrationPricer::price_derivatives (C++ function) otyca::DirectIntegrationPricer::~DirectIntegrationPricer (C++ function) otyca::Dividend (C++ class) otyca::Dividend::Dividend (C++ function), [1], [2] otyca::Dividend::equal (C++ function) otyca::Dividend::get_fixed (C++ function) otyca::Dividend::get_header (C++ function) otyca::Dividend::get_proportional (C++ function) otyca::Dividend::operator!= (C++ function) otyca::Dividend::operator+ (C++ function) otyca::Dividend::operator+= (C++ function) otyca::Dividend::operator<< (C++ function) otyca::Dividend::operator== (C++ function) otyca::Dividend::set_fixed (C++ function) otyca::Dividend::set_proportional (C++ function) otyca::DividendTable (C++ class) otyca::DividendTable::adapt_grid (C++ function) otyca::DividendTable::allocate_fixed (C++ function) otyca::DividendTable::equal (C++ function) otyca::DividendTable::finite (C++ function) otyca::DividendTable::fixed_present_value (C++ function) otyca::DividendTable::fixed_present_value_t (C++ function) otyca::DividendTable::yield (C++ function) otyca::Estimate (C++ class) otyca::Estimate::add_value (C++ function) otyca::Estimate::Estimate (C++ function), [1] otyca::Estimate::finite (C++ function) otyca::Estimate::get_header (C++ function) otyca::Estimate::get_uncertainty (C++ function) otyca::Estimate::get_value (C++ function) otyca::Estimate::get_weight (C++ function) otyca::Estimate::max_value (C++ function) otyca::Estimate::min_value (C++ function) otyca::Estimate::operator!= (C++ function) otyca::Estimate::operator+= (C++ function) otyca::Estimate::operator< (C++ function) otyca::Estimate::operator<< (C++ function) otyca::Estimate::operator== (C++ function) otyca::Estimate::set (C++ function) otyca::Estimate::set_uncertainty (C++ function) otyca::Estimate::set_value (C++ function) otyca::Estimate::weighted_average (C++ function) otyca::Event (C++ struct) otyca::Event::Event (C++ function), [1] otyca::Event::get_header (C++ function) otyca::Event::operator< (C++ function) otyca::Event::significance (C++ member) otyca::Event::tenor (C++ member) otyca::Event::variance (C++ member) otyca::extend (C++ function) otyca::extract_by_indices (C++ function) otyca::FFTPricer (C++ class) otyca::FFTPricer::FFTPricer (C++ function) otyca::FFTPricer::name (C++ function) otyca::FFTPricer::~FFTPricer (C++ function) otyca::filter_greater (C++ function) otyca::filter_less_or_equal (C++ function) otyca::flatten (C++ function) otyca::FLCIR (C++ class) otyca::FLCIR::clone (C++ function) otyca::FLCIR::d_phi_d_p (C++ function) otyca::FLCIR::FLCIR (C++ function), [1] otyca::FLCIR::get_parameter_names (C++ function) otyca::FLCIR::get_parameters (C++ function) otyca::FLCIR::get_transformed_calibration_parameter_variances (C++ function) otyca::FLCIR::get_transformed_calibration_parameters (C++ function) otyca::FLCIR::name (C++ function) otyca::FLCIR::set_parameters (C++ function) otyca::FLCIR::set_transformed_calibration_parameters (C++ function) otyca::FLCIR::sigma_parameter_index (C++ function) otyca::FLCIR::transformation_derivatives (C++ function) otyca::FlexibleSchedule (C++ class) otyca::FlexibleSchedule::to_bounded_schedule (C++ function) otyca::Forward (C++ class) otyca::Forward::d_forward_d_q (C++ function) otyca::Forward::Forward (C++ function) otyca::Forward::forward (C++ function) otyca::Forward::hedge_rate_discount (C++ function) otyca::Forward::hedge_rate_growth (C++ function) otyca::Forward::implied_borrow (C++ function) otyca::Forward::set_borrow_rate (C++ function) otyca::Forward::set_dividend (C++ function) otyca::Forward::set_interest_rate (C++ function) otyca::Forward::set_spot (C++ function) otyca::Forward::set_tenor (C++ function) otyca::FourierTransform (C++ class) otyca::FourierTransform::claim_type (C++ function) otyca::FourierTransform::ClaimType (C++ enum) otyca::FourierTransform::ClaimType::CALL_CLAIM (C++ enumerator) otyca::FourierTransform::ClaimType::COVERED_CALL (C++ enumerator) otyca::FourierTransform::ClaimType::PUT_CLAIM (C++ enumerator) otyca::FourierTransform::ClaimType::TIME_VALUE (C++ enumerator) otyca::FourierTransform::dampen_factor (C++ function) otyca::FourierTransform::integrand (C++ function) otyca::FourierTransform::integrand_derivatives (C++ function) otyca::FourierTransform::~FourierTransform (C++ function) otyca::FourierTransformPricer (C++ class) otyca::FourierTransformPricer::_calls (C++ member) otyca::FourierTransformPricer::_calls_to_vols (C++ function) otyca::FourierTransformPricer::_cn (C++ member) otyca::FourierTransformPricer::_cn_to_calls (C++ function) otyca::FourierTransformPricer::_dampen_factor (C++ member) otyca::FourierTransformPricer::_eta (C++ member) otyca::FourierTransformPricer::_expirations (C++ member) otyca::FourierTransformPricer::_ft (C++ member) otyca::FourierTransformPricer::_interpolate (C++ function), [1] otyca::FourierTransformPricer::_iu (C++ member) otyca::FourierTransformPricer::_kj (C++ member) otyca::FourierTransformPricer::_kn (C++ member) otyca::FourierTransformPricer::_lambda (C++ member) otyca::FourierTransformPricer::_n (C++ member) otyca::FourierTransformPricer::_pdf (C++ member) otyca::FourierTransformPricer::_pdf_kernal (C++ function) otyca::FourierTransformPricer::_price_derivatives_kernal (C++ function) otyca::FourierTransformPricer::_price_kernal (C++ function) otyca::FourierTransformPricer::_scaler (C++ member) otyca::FourierTransformPricer::_u (C++ member) otyca::FourierTransformPricer::_u2 (C++ member) otyca::FourierTransformPricer::_um (C++ member) otyca::FourierTransformPricer::_vn (C++ member) otyca::FourierTransformPricer::_x (C++ member) otyca::FourierTransformPricer::_y (C++ member) otyca::FourierTransformPricer::_ya (C++ member) otyca::FourierTransformPricer::FourierTransformPricer (C++ function) otyca::FourierTransformPricer::get_u (C++ function) otyca::FourierTransformPricer::implied_volatility (C++ function), [1], [2], [3] otyca::FourierTransformPricer::pdf (C++ function), [1], [2], [3] otyca::FourierTransformPricer::price (C++ function) otyca::FourierTransformPricer::price_derivatives (C++ function) otyca::FourierTransformPricer::set_fourier_transform (C++ function) otyca::FourierTransformPricer::~FourierTransformPricer (C++ function) otyca::FRFTPricer (C++ class) otyca::FRFTPricer::FRFTPricer (C++ function) otyca::FRFTPricer::name (C++ function) otyca::FRFTPricer::~FRFTPricer (C++ function) otyca::Gamma (C++ class) otyca::Gamma::clone (C++ function) otyca::Gamma::d_phi_d_p (C++ function) otyca::Gamma::d_phi_d_psi (C++ function) otyca::Gamma::Gamma (C++ function), [1] otyca::Gamma::get_mu (C++ function) otyca::Gamma::get_nu (C++ function) otyca::Gamma::get_parameter_names (C++ function) otyca::Gamma::get_parameters (C++ function) otyca::Gamma::get_transformed_calibration_parameter_variances (C++ function) otyca::Gamma::get_transformed_calibration_parameters (C++ function) otyca::Gamma::laplace_transform (C++ function) otyca::Gamma::name (C++ function) otyca::Gamma::set_mu (C++ function) otyca::Gamma::set_nu (C++ function) otyca::Gamma::set_parameters (C++ function) otyca::Gamma::set_transformed_calibration_parameters (C++ function) otyca::Gamma::transformation_derivatives (C++ function) otyca::GaussQuadrature (C++ class) otyca::GaussQuadrature::_a (C++ member) otyca::GaussQuadrature::_alpha (C++ member) otyca::GaussQuadrature::_b (C++ member) otyca::GaussQuadrature::_beta (C++ member) otyca::GaussQuadrature::_kind (C++ member) otyca::GaussQuadrature::_order (C++ member) otyca::GaussQuadrature::_w (C++ member) otyca::GaussQuadrature::_x (C++ member) otyca::GaussQuadrature::GaussQuadrature (C++ function) otyca::GaussQuadrature::get_abscissas_and_weights (C++ function) otyca::GaussQuadrature::integrate (C++ function) otyca::GaussQuadrature::IntegrationType (C++ enum) otyca::GaussQuadrature::IntegrationType::ChebyshevType1 (C++ enumerator) otyca::GaussQuadrature::IntegrationType::ChebyshevType2 (C++ enumerator) otyca::GaussQuadrature::IntegrationType::Exponential (C++ enumerator) otyca::GaussQuadrature::IntegrationType::Gegenbauer (C++ enumerator) otyca::GaussQuadrature::IntegrationType::GeneralizedHermite (C++ enumerator) otyca::GaussQuadrature::IntegrationType::GeneralizedLaguerre (C++ enumerator) otyca::GaussQuadrature::IntegrationType::Jacobi (C++ enumerator) otyca::GaussQuadrature::IntegrationType::Legendre (C++ enumerator) otyca::GaussQuadrature::IntegrationType::Rational (C++ enumerator) otyca::GaussQuadrature::~GaussQuadrature (C++ function) otyca::GeneralizedNelsonSiegel (C++ class) otyca::GeneralizedNelsonSiegel::add_curvature_component (C++ function) otyca::GeneralizedNelsonSiegel::add_slope_component (C++ function) otyca::GeneralizedNelsonSiegel::evaluate (C++ function) otyca::GeneralizedNelsonSiegel::GeneralizedNelsonSiegel (C++ function), [1] otyca::GeneralizedNelsonSiegel::get_parameters (C++ function) otyca::GeneralizedNelsonSiegel::get_transformed_calibration_parameters (C++ function) otyca::GeneralizedNelsonSiegel::name (C++ function) otyca::GeneralizedNelsonSiegel::set_parameters (C++ function) otyca::GeneralizedNelsonSiegel::set_transformed_calibration_parameters (C++ function) otyca::generate_combinations (C++ function) otyca::get_value_array (C++ function) otyca::get_value_map (C++ function) otyca::get_value_matrix (C++ function) otyca::has_same_size (C++ function) otyca::Heston (C++ class) otyca::Heston::characteristic_function (C++ function) otyca::Heston::characteristic_function_derivatives (C++ function) otyca::Heston::clone (C++ function) otyca::Heston::get_parameter_names (C++ function) otyca::Heston::get_parameters (C++ function) otyca::Heston::get_transformed_calibration_parameter_variances (C++ function) otyca::Heston::get_transformed_calibration_parameters (C++ function) otyca::Heston::Heston (C++ function), [1] otyca::Heston::name (C++ function) otyca::Heston::set_parameters (C++ function) otyca::Heston::set_transformed_calibration_parameters (C++ function) otyca::Heston::transformation_derivatives (C++ function) otyca::ImpliedVarianceTenorCalculator (C++ class) otyca::ImpliedVarianceTenorCalculator::get_reference_expiration (C++ function) otyca::ImpliedVarianceTenorCalculator::get_valuation_time (C++ function) otyca::ImpliedVarianceTenorCalculator::get_variance_schedule (C++ function) otyca::ImpliedVarianceTenorCalculator::ImpliedVarianceTenorCalculator (C++ function) otyca::ImpliedVarianceTenorCalculator::set_original_time_calculator (C++ function) otyca::ImpliedVarianceTenorCalculator::set_reference_expiration (C++ function) otyca::ImpliedVarianceTenorCalculator::set_valuation_time (C++ function) otyca::ImpliedVarianceTenorCalculator::set_variance_schedule (C++ function) otyca::ImpliedVarianceTenorCalculator::tenor (C++ function) otyca::ImpliedVarianceTenorCalculator::~ImpliedVarianceTenorCalculator (C++ function) otyca::InterestRateCurve (C++ class) otyca::InterestRateCurve::clone (C++ function) otyca::InterestRateCurve::create (C++ function) otyca::InterestRateCurve::create_interest_rate_future (C++ function) otyca::InterestRateCurve::create_interest_rate_spot (C++ function) otyca::InterestRateCurve::create_interest_rate_swap (C++ function) otyca::InterestRateCurve::get_yield_curve (C++ function) otyca::InterestRateCurve::InterestRateCurve (C++ function) otyca::InterestRateCurve::operator<< (C++ function) otyca::InterestRateCurve::set_valuation_time (C++ function) otyca::InterestRateFuture (C++ class) otyca::InterestRateFuture::get_expiration (C++ function) otyca::InterestRateFuture::InterestRateFuture (C++ function), [1] otyca::InterestRateFuture::operator<< (C++ function) otyca::InterestRateFuture::rate (C++ function) otyca::InterestRateFuture::set_expiration (C++ function) otyca::InterestRateSpot (C++ class) otyca::InterestRateSpot::_days (C++ member) otyca::InterestRateSpot::_rate (C++ member) otyca::InterestRateSpot::InterestRateSpot (C++ function) otyca::InterestRateSpot::operator<< (C++ function) otyca::InterestRateSwap (C++ class) otyca::InterestRateSwap::get_tenor (C++ function) otyca::InterestRateSwap::InterestRateSwap (C++ function), [1] otyca::InterestRateSwap::operator<< (C++ function) otyca::InterestRateSwap::rate (C++ function) otyca::InterestRateSwap::set_tenor (C++ function) otyca::inverse_sigmoid (C++ function) otyca::inverse_sigmoid_clamp (C++ function) otyca::inverse_softplus (C++ function) otyca::inverse_tanh_clamp (C++ function) otyca::InverseGaussian (C++ class) otyca::InverseGaussian::clone (C++ function) otyca::InverseGaussian::d_phi_d_p (C++ function) otyca::InverseGaussian::d_phi_d_psi (C++ function) otyca::InverseGaussian::get_mu (C++ function) otyca::InverseGaussian::get_parameter_names (C++ function) otyca::InverseGaussian::get_parameters (C++ function) otyca::InverseGaussian::get_sigma (C++ function) otyca::InverseGaussian::get_transformed_calibration_parameter_variances (C++ function) otyca::InverseGaussian::get_transformed_calibration_parameters (C++ function) otyca::InverseGaussian::InverseGaussian (C++ function), [1] otyca::InverseGaussian::laplace_transform (C++ function) otyca::InverseGaussian::name (C++ function) otyca::InverseGaussian::set_mu (C++ function) otyca::InverseGaussian::set_parameters (C++ function) otyca::InverseGaussian::set_sigma (C++ function) otyca::InverseGaussian::set_transformed_calibration_parameters (C++ function) otyca::InverseGaussian::transformation_derivatives (C++ function) otyca::Kou (C++ class) otyca::Kou::characteristic_exponent (C++ function) otyca::Kou::characteristic_exponent_derivatives (C++ function) otyca::Kou::clone (C++ function) otyca::Kou::get_eta1 (C++ function) otyca::Kou::get_eta2 (C++ function) otyca::Kou::get_lambda (C++ function) otyca::Kou::get_p (C++ function) otyca::Kou::get_parameter_names (C++ function) otyca::Kou::get_parameters (C++ function) otyca::Kou::get_transformed_calibration_parameter_variances (C++ function) otyca::Kou::get_transformed_calibration_parameters (C++ function) otyca::Kou::Kou (C++ function), [1] otyca::Kou::name (C++ function) otyca::Kou::set_eta1 (C++ function) otyca::Kou::set_eta2 (C++ function) otyca::Kou::set_lambda (C++ function) otyca::Kou::set_p (C++ function) otyca::Kou::set_parameters (C++ function) otyca::Kou::set_transformed_calibration_parameters (C++ function) otyca::Kou::transformation_derivatives (C++ function) otyca::Kou::~Kou (C++ function) otyca::LCIR (C++ class) otyca::LCIR::_kappa (C++ member) otyca::LCIR::_multiplier (C++ member) otyca::LCIR::_omega (C++ member) otyca::LCIR::_rho (C++ member) otyca::LCIR::_sigma (C++ member) otyca::LCIR::_v0 (C++ member) otyca::LCIR::clone (C++ function) otyca::LCIR::d_phi_d_p (C++ function) otyca::LCIR::d_phi_d_psi (C++ function) otyca::LCIR::get_kappa (C++ function) otyca::LCIR::get_multiplier (C++ function) otyca::LCIR::get_omega (C++ function) otyca::LCIR::get_parameter_names (C++ function) otyca::LCIR::get_parameters (C++ function) otyca::LCIR::get_rho (C++ function) otyca::LCIR::get_sigma (C++ function) otyca::LCIR::get_transformed_calibration_parameter_variances (C++ function) otyca::LCIR::get_transformed_calibration_parameters (C++ function) otyca::LCIR::get_v0 (C++ function) otyca::LCIR::laplace_transform (C++ function) otyca::LCIR::LCIR (C++ function), [1] otyca::LCIR::name (C++ function) otyca::LCIR::set_kappa (C++ function) otyca::LCIR::set_multiplier (C++ function) otyca::LCIR::set_omega (C++ function) otyca::LCIR::set_parameters (C++ function) otyca::LCIR::set_rho (C++ function) otyca::LCIR::set_sigma (C++ function) otyca::LCIR::set_transformed_calibration_parameters (C++ function) otyca::LCIR::set_v0 (C++ function) otyca::LCIR::sigma_parameter_index (C++ function) otyca::LCIR::transformation_derivatives (C++ function) otyca::LevyProcess (C++ class) otyca::LevyProcess::_multiplier (C++ member) otyca::LevyProcess::characteristic_exponent (C++ function) otyca::LevyProcess::characteristic_exponent_derivatives (C++ function) otyca::LevyProcess::characteristic_exponent_derivatives_finite_difference (C++ function) otyca::LevyProcess::characteristic_exponent_drift_adjustment (C++ function) otyca::LevyProcess::characteristic_function (C++ function) otyca::LevyProcess::characteristic_function_derivatives (C++ function) otyca::LevyProcess::clone (C++ function) otyca::LevyProcess::compare_characteristic_exponent_derivatives (C++ function) otyca::LevyProcess::jump_characteristic_exponent_integrand (C++ function) otyca::LevyProcess::LevyProcess (C++ function) otyca::LevyProcess::set_multiplier (C++ function) otyca::LevyProcessFactory (C++ class) otyca::LevyProcessFactory::create_levy_process (C++ function) otyca::Logger (C++ class) otyca::Logger::level_to_string (C++ function) otyca::Logger::log (C++ function) otyca::Logger::LogCallback (C++ type) otyca::Logger::set_log_callback (C++ function) otyca::Logger::set_log_level (C++ function) otyca::LogLevel (C++ enum) otyca::LogLevel::Debug (C++ enumerator) otyca::LogLevel::Error (C++ enumerator) otyca::LogLevel::Info (C++ enumerator) otyca::LogLevel::Warning (C++ enumerator) otyca::LogStable (C++ class) otyca::LogStable::characteristic_exponent (C++ function) otyca::LogStable::characteristic_exponent_derivatives (C++ function) otyca::LogStable::clone (C++ function) otyca::LogStable::get_lambda (C++ function) otyca::LogStable::get_parameter_names (C++ function) otyca::LogStable::get_parameters (C++ function) otyca::LogStable::get_transformed_calibration_parameter_variances (C++ function) otyca::LogStable::get_transformed_calibration_parameters (C++ function) otyca::LogStable::LogStable (C++ function), [1] otyca::LogStable::name (C++ function) otyca::LogStable::set_lambda (C++ function) otyca::LogStable::set_parameters (C++ function) otyca::LogStable::set_transformed_calibration_parameters (C++ function) otyca::LogStable::transformation_derivatives (C++ function) otyca::mat_to_mat (C++ function), [1] otyca::median (C++ function) otyca::Merton (C++ class) otyca::Merton::characteristic_exponent (C++ function) otyca::Merton::characteristic_exponent_derivatives (C++ function) otyca::Merton::clone (C++ function) otyca::Merton::get_lambda (C++ function) otyca::Merton::get_mu (C++ function) otyca::Merton::get_parameter_names (C++ function) otyca::Merton::get_parameters (C++ function) otyca::Merton::get_sigma (C++ function) otyca::Merton::get_transformed_calibration_parameter_variances (C++ function) otyca::Merton::get_transformed_calibration_parameters (C++ function) otyca::Merton::Merton (C++ function), [1] otyca::Merton::name (C++ function) otyca::Merton::set_lambda (C++ function) otyca::Merton::set_mu (C++ function) otyca::Merton::set_parameters (C++ function) otyca::Merton::set_sigma (C++ function) otyca::Merton::set_transformed_calibration_parameters (C++ function) otyca::Merton::transformation_derivatives (C++ function) otyca::Merton::~Merton (C++ function) otyca::Model (C++ class) otyca::Model::bias (C++ function) otyca::Model::calibrate (C++ function) otyca::Model::CalibrationConfig (C++ struct), [1] otyca::Model::CalibrationConfig::epsfcn (C++ member), [1] otyca::Model::CalibrationConfig::factor (C++ member), [1] otyca::Model::CalibrationConfig::ftol (C++ member), [1] otyca::Model::CalibrationConfig::gtol (C++ member), [1] otyca::Model::CalibrationConfig::maxfev (C++ member), [1] otyca::Model::CalibrationConfig::xtol (C++ member), [1] otyca::Model::CalibrationInput (C++ struct), [1] otyca::Model::CalibrationInput::clear (C++ function), [1] otyca::Model::CalibrationInput::deserialize (C++ function), [1] otyca::Model::CalibrationInput::dy (C++ member), [1] otyca::Model::CalibrationInput::serialize (C++ function), [1] otyca::Model::CalibrationInput::size_consistent (C++ function), [1] otyca::Model::CalibrationInput::subset (C++ function), [1] otyca::Model::CalibrationInput::x (C++ member), [1] otyca::Model::CalibrationInput::y (C++ member), [1] otyca::Model::CalibrationStatus (C++ struct), [1] otyca::Model::CalibrationStatus::aic (C++ function), [1] otyca::Model::CalibrationStatus::bic (C++ function), [1] otyca::Model::CalibrationStatus::chi2 (C++ member), [1] otyca::Model::CalibrationStatus::converged (C++ function), [1] otyca::Model::CalibrationStatus::cost2 (C++ member), [1] otyca::Model::CalibrationStatus::info (C++ member), [1] otyca::Model::CalibrationStatus::iterations (C++ member), [1] otyca::Model::CalibrationStatus::message (C++ function), [1] otyca::Model::CalibrationStatus::parameters (C++ member), [1] otyca::Model::CalibrationStatus::reduced_chi2 (C++ function), [1] otyca::Model::CalibrationStatus::residuals (C++ member), [1] otyca::Model::chi2 (C++ function) otyca::Model::evaluate (C++ function), [1], [2], [3] otyca::Model::get_last_calibration_aic (C++ function) otyca::Model::get_last_calibration_bic (C++ function) otyca::Model::get_last_calibration_iterations (C++ function) otyca::Model::get_last_calibration_reduced_chi2 (C++ function) otyca::Model::get_last_calibration_residuals (C++ function) otyca::Model::get_last_calibration_status (C++ function) otyca::Model::get_regularizer_penalties (C++ function) otyca::Model::is_calibrated (C++ function) otyca::Model::reset_calibration_status (C++ function) otyca::Model::ukf (C++ function) otyca::Model::violations (C++ function) otyca::Model::~Model (C++ function) otyca::ModelBase (C++ class) otyca::ModelBase::get_calibration_parameters (C++ function) otyca::ModelBase::get_parameter_names (C++ function) otyca::ModelBase::get_parameters (C++ function) otyca::ModelBase::get_transformed_calibration_parameter_variances (C++ function) otyca::ModelBase::get_transformed_calibration_parameters (C++ function) otyca::ModelBase::name (C++ function) otyca::ModelBase::print (C++ function) otyca::ModelBase::set_calibration_parameters (C++ function) otyca::ModelBase::set_parameters (C++ function) otyca::ModelBase::set_transformed_calibration_parameters (C++ function) otyca::ModelBase::transformation_derivatives (C++ function) otyca::MultipleBimodalGaussian (C++ class) otyca::MultipleBimodalGaussian::add_event (C++ function) otyca::MultipleBimodalGaussian::characteristic_function (C++ function) otyca::MultipleBimodalGaussian::characteristic_function_derivatives (C++ function) otyca::MultipleBimodalGaussian::clone (C++ function) otyca::MultipleBimodalGaussian::get_events (C++ function) otyca::MultipleBimodalGaussian::get_mu (C++ function) otyca::MultipleBimodalGaussian::get_parameter_names (C++ function) otyca::MultipleBimodalGaussian::get_parameters (C++ function) otyca::MultipleBimodalGaussian::get_sigma (C++ function) otyca::MultipleBimodalGaussian::get_transformed_calibration_parameter_variances (C++ function) otyca::MultipleBimodalGaussian::get_transformed_calibration_parameters (C++ function) otyca::MultipleBimodalGaussian::MultipleBimodalGaussian (C++ function), [1] otyca::MultipleBimodalGaussian::name (C++ function) otyca::MultipleBimodalGaussian::set_mu (C++ function) otyca::MultipleBimodalGaussian::set_parameters (C++ function) otyca::MultipleBimodalGaussian::set_sigma (C++ function) otyca::MultipleBimodalGaussian::set_transformed_calibration_parameters (C++ function) otyca::MultipleBimodalGaussian::~MultipleBimodalGaussian (C++ function) otyca::multiply (C++ function) otyca::NelsonSiegel (C++ class) otyca::NelsonSiegel::evaluate (C++ function) otyca::NelsonSiegel::get_curvature (C++ function) otyca::NelsonSiegel::get_level (C++ function) otyca::NelsonSiegel::get_parameters (C++ function) otyca::NelsonSiegel::get_slope (C++ function) otyca::NelsonSiegel::get_tau (C++ function) otyca::NelsonSiegel::get_transformed_calibration_parameter_variances (C++ function) otyca::NelsonSiegel::get_transformed_calibration_parameters (C++ function) otyca::NelsonSiegel::name (C++ function) otyca::NelsonSiegel::NelsonSiegel (C++ function), [1] otyca::NelsonSiegel::set_curvature (C++ function) otyca::NelsonSiegel::set_level (C++ function) otyca::NelsonSiegel::set_parameters (C++ function) otyca::NelsonSiegel::set_slope (C++ function) otyca::NelsonSiegel::set_tau (C++ function) otyca::NelsonSiegel::set_transformed_calibration_parameters (C++ function) otyca::NelsonSiegelSvensson (C++ class) otyca::NelsonSiegelSvensson::evaluate (C++ function) otyca::NelsonSiegelSvensson::get_curvature2 (C++ function) otyca::NelsonSiegelSvensson::get_parameters (C++ function) otyca::NelsonSiegelSvensson::get_tau2 (C++ function) otyca::NelsonSiegelSvensson::get_transformed_calibration_parameters (C++ function) otyca::NelsonSiegelSvensson::name (C++ function) otyca::NelsonSiegelSvensson::NelsonSiegelSvensson (C++ function), [1] otyca::NelsonSiegelSvensson::set_curvature2 (C++ function) otyca::NelsonSiegelSvensson::set_tau2 (C++ function) otyca::NelsonSiegelSvensson::set_transformed_calibration_parameters (C++ function) otyca::NumericalUtil (C++ class) otyca::NumericalUtil::calculate_first_derivative (C++ function) otyca::NumericalUtil::first_order_variability (C++ function) otyca::NumericalUtil::gaussian_kernal1_d (C++ function) otyca::NumericalUtil::gaussian_kernal2_d (C++ function) otyca::NumericalUtil::interpolate_values (C++ function) otyca::NumericalUtil::local_polynomial_regression (C++ function) otyca::NumericalUtil::local_regression (C++ function) otyca::NumericalUtil::newton (C++ function) otyca::NumericalUtil::second_order_variability (C++ function) otyca::NumericalUtil::spline (C++ function) otyca::NumericalUtil::splint (C++ function) otyca::NumericalUtil::to_lower_case (C++ function) otyca::NumericalUtil::zbrent (C++ function) otyca::ObjectGetter (C++ type) otyca::operator*= (C++ function), [1], [2] otyca::operator+= (C++ function) otyca::operator-= (C++ function)

otyca::operator/= (C++ function) otyca::operator<< (C++ function), [1], [2], [3], [4], [5], [6], [7], [8], [9], [10] otyca::Option (C++ class) otyca::Option::bid_above_intrinsic (C++ function) otyca::Option::get_ask_volatility (C++ function) otyca::Option::get_bid_ask_volatility_spread (C++ function) otyca::Option::get_bid_volatility (C++ function) otyca::Option::get_delta (C++ function) otyca::Option::get_delta_decay (C++ function) otyca::Option::get_expiration (C++ function) otyca::Option::get_fugit (C++ function) otyca::Option::get_gamma (C++ function) otyca::Option::get_mid_delta (C++ function) otyca::Option::get_mid_volatility (C++ function) otyca::Option::get_osi (C++ function) otyca::Option::get_osi_sub (C++ function) otyca::Option::get_phi (C++ function) otyca::Option::get_premium (C++ function) otyca::Option::get_pricer_result_getters (C++ function) otyca::Option::get_pricer_result_labels (C++ function) otyca::Option::get_rho (C++ function) otyca::Option::get_strike (C++ function) otyca::Option::get_style (C++ function) otyca::Option::get_theta (C++ function) otyca::Option::get_type (C++ function) otyca::Option::get_vanna (C++ function) otyca::Option::get_vega (C++ function) otyca::Option::get_volga (C++ function) otyca::Option::implied_european_mid_price (C++ function) otyca::Option::operator<< (C++ function) otyca::Option::Option (C++ function), [1] otyca::Option::reset (C++ function) otyca::Option::set_type (C++ function) otyca::OptionCalculator (C++ class) otyca::OptionCalculator::_reset_susp (C++ function) otyca::OptionCalculator::american_grid_premium (C++ function) otyca::OptionCalculator::carry_tenor (C++ function) otyca::OptionCalculator::ctrl_smooth (C++ function) otyca::OptionCalculator::delta (C++ function) otyca::OptionCalculator::delta_decay (C++ function) otyca::OptionCalculator::delta_to_log_relative_strike (C++ function) otyca::OptionCalculator::delta_to_stdev (C++ function) otyca::OptionCalculator::dividend_schedule_updated (C++ function) otyca::OptionCalculator::early_exercise_delta (C++ function) otyca::OptionCalculator::early_exercise_delta_decay (C++ function) otyca::OptionCalculator::early_exercise_gamma (C++ function) otyca::OptionCalculator::early_exercise_phi (C++ function) otyca::OptionCalculator::early_exercise_premium (C++ function) otyca::OptionCalculator::early_exercise_rho (C++ function) otyca::OptionCalculator::early_exercise_theta (C++ function) otyca::OptionCalculator::early_exercise_vanna (C++ function) otyca::OptionCalculator::early_exercise_vega (C++ function) otyca::OptionCalculator::early_exercise_volga (C++ function) otyca::OptionCalculator::european_delta (C++ function) otyca::OptionCalculator::european_delta_decay (C++ function) otyca::OptionCalculator::european_dual_delta (C++ function) otyca::OptionCalculator::european_dual_gamma (C++ function) otyca::OptionCalculator::european_gamma (C++ function) otyca::OptionCalculator::european_grid_premium (C++ function) otyca::OptionCalculator::european_phi (C++ function) otyca::OptionCalculator::european_premium (C++ function) otyca::OptionCalculator::european_rho (C++ function) otyca::OptionCalculator::european_theta (C++ function) otyca::OptionCalculator::european_vanna (C++ function) otyca::OptionCalculator::european_vega (C++ function) otyca::OptionCalculator::european_volga (C++ function) otyca::OptionCalculator::forward (C++ function) otyca::OptionCalculator::forward_intrinsic (C++ function) otyca::OptionCalculator::forward_phi (C++ function) otyca::OptionCalculator::forward_rho (C++ function) otyca::OptionCalculator::fugit (C++ function) otyca::OptionCalculator::gamma (C++ function) otyca::OptionCalculator::get_borrow_rate (C++ function) otyca::OptionCalculator::get_interest_rate (C++ function) otyca::OptionCalculator::get_p (C++ function) otyca::OptionCalculator::get_steps (C++ function) otyca::OptionCalculator::get_underlying_price (C++ function) otyca::OptionCalculator::get_volatility (C++ function) otyca::OptionCalculator::hedge_tenor (C++ function) otyca::OptionCalculator::implied_borrow (C++ function) otyca::OptionCalculator::implied_interest (C++ function) otyca::OptionCalculator::implied_volatility (C++ function) otyca::OptionCalculator::intrinsic (C++ function) otyca::OptionCalculator::operator= (C++ function) otyca::OptionCalculator::OptionCalculator (C++ function), [1], [2], [3] otyca::OptionCalculator::overwrite (C++ function) otyca::OptionCalculator::phi (C++ function) otyca::OptionCalculator::premium (C++ function) otyca::OptionCalculator::premium_function_cost_in_seconds (C++ function) otyca::OptionCalculator::rho (C++ function) otyca::OptionCalculator::set_borrow_rate (C++ function) otyca::OptionCalculator::set_ctrl_smooth (C++ function) otyca::OptionCalculator::set_dividend_schedule (C++ function) otyca::OptionCalculator::set_exercise_settlement_lag (C++ function) otyca::OptionCalculator::set_expiration (C++ function) otyca::OptionCalculator::set_interest_rate (C++ function) otyca::OptionCalculator::set_option_settlement_lag (C++ function) otyca::OptionCalculator::set_option_style (C++ function) otyca::OptionCalculator::set_option_type (C++ function) otyca::OptionCalculator::set_precision (C++ function) otyca::OptionCalculator::set_strike (C++ function) otyca::OptionCalculator::set_trading_calendar (C++ function) otyca::OptionCalculator::set_underlying_price (C++ function) otyca::OptionCalculator::set_underlying_settlement_lag (C++ function) otyca::OptionCalculator::set_valuation_time (C++ function) otyca::OptionCalculator::set_variance_schedule (C++ function) otyca::OptionCalculator::set_variance_tenor_calculator (C++ function) otyca::OptionCalculator::set_volatility (C++ function) otyca::OptionCalculator::standard_price (C++ function) otyca::OptionCalculator::theta (C++ function) otyca::OptionCalculator::time_value (C++ function) otyca::OptionCalculator::trading_calendar_updated (C++ function) otyca::OptionCalculator::vanna (C++ function) otyca::OptionCalculator::variance_schedule_updated (C++ function) otyca::OptionCalculator::variance_tenor (C++ function) otyca::OptionCalculator::variance_tenor_calculator_updated (C++ function) otyca::OptionCalculator::vega (C++ function) otyca::OptionCalculator::volga (C++ function) otyca::OptionExpiration (C++ class) otyca::OptionExpiration::_get_option_expiration_value_functions (C++ function) otyca::OptionExpiration::_implied_interest_borrow_search (C++ function) otyca::OptionExpiration::atm_option_strike (C++ function) otyca::OptionExpiration::atm_volatility (C++ function) otyca::OptionExpiration::create_option (C++ function) otyca::OptionExpiration::expired (C++ function) otyca::OptionExpiration::get_accumulated_dividend (C++ function) otyca::OptionExpiration::get_accumulated_fixed_dividend (C++ function) otyca::OptionExpiration::get_accumulated_proportional_dividend (C++ function) otyca::OptionExpiration::get_affine_svi_volatility_model (C++ function) otyca::OptionExpiration::get_atm_variance (C++ function) otyca::OptionExpiration::get_atm_volatility (C++ function) otyca::OptionExpiration::get_atm_volatility_uncertainty (C++ function) otyca::OptionExpiration::get_atm_volatility_value (C++ function) otyca::OptionExpiration::get_borrow_rate (C++ function) otyca::OptionExpiration::get_borrow_rate_uncertainty (C++ function) otyca::OptionExpiration::get_borrow_rate_value (C++ function) otyca::OptionExpiration::get_carry_tenor (C++ function) otyca::OptionExpiration::get_composite_volatility_model (C++ function) otyca::OptionExpiration::get_cubic_spline_volatility_model (C++ function) otyca::OptionExpiration::get_event_tenor (C++ function) otyca::OptionExpiration::get_expiration (C++ function) otyca::OptionExpiration::get_fair_1_stdev_call_volatility (C++ function) otyca::OptionExpiration::get_fair_1_stdev_put_volatility (C++ function) otyca::OptionExpiration::get_fair_atm_volatility (C++ function) otyca::OptionExpiration::get_fair_volatility_model (C++ function) otyca::OptionExpiration::get_fair_volatility_model_reduced_chi2 (C++ function) otyca::OptionExpiration::get_fair_volatility_skew (C++ function) otyca::OptionExpiration::get_forward (C++ function) otyca::OptionExpiration::get_forward_uncertainty (C++ function) otyca::OptionExpiration::get_forward_value (C++ function) otyca::OptionExpiration::get_hedge_tenor (C++ function) otyca::OptionExpiration::get_implied_borrow_uncertainty (C++ function) otyca::OptionExpiration::get_implied_borrow_value (C++ function) otyca::OptionExpiration::get_implied_forward (C++ function) otyca::OptionExpiration::get_implied_forward_uncertainty (C++ function) otyca::OptionExpiration::get_implied_forward_value (C++ function) otyca::OptionExpiration::get_implied_interest_borrow (C++ function) otyca::OptionExpiration::get_implied_interest_uncertainty (C++ function) otyca::OptionExpiration::get_implied_interest_value (C++ function) otyca::OptionExpiration::get_implied_option_calculator (C++ function) otyca::OptionExpiration::get_interest_rate (C++ function) otyca::OptionExpiration::get_interest_rate_uncertainty (C++ function) otyca::OptionExpiration::get_interest_rate_value (C++ function) otyca::OptionExpiration::get_n_strikes (C++ function) otyca::OptionExpiration::get_option_calculator (C++ function) otyca::OptionExpiration::get_option_strike_dataframe (C++ function) otyca::OptionExpiration::get_option_strikes (C++ function) otyca::OptionExpiration::get_options (C++ function) otyca::OptionExpiration::get_polynomial0_volatility_model (C++ function) otyca::OptionExpiration::get_polynomial1_volatility_model (C++ function) otyca::OptionExpiration::get_polynomial2_volatility_model (C++ function) otyca::OptionExpiration::get_quadratic_svi_volatility_model (C++ function) otyca::OptionExpiration::get_sabr_volatility_model (C++ function) otyca::OptionExpiration::get_simplified_svi_volatility_model (C++ function) otyca::OptionExpiration::get_stochastic_process (C++ function) otyca::OptionExpiration::get_stochastic_process_atm_volatility (C++ function) otyca::OptionExpiration::get_strike_values (C++ function) otyca::OptionExpiration::get_strikes (C++ function) otyca::OptionExpiration::get_svi_volatility_model (C++ function) otyca::OptionExpiration::get_variance_tenor (C++ function) otyca::OptionExpiration::get_variance_term_structure_model_value (C++ function) otyca::OptionExpiration::get_vix_style_volatility (C++ function) otyca::OptionExpiration::highest_strike_with_bid_ask_volatility (C++ function) otyca::OptionExpiration::highest_strike_with_call_bid_ask_volatility (C++ function) otyca::OptionExpiration::implied_borrow (C++ function) otyca::OptionExpiration::implied_interest (C++ function) otyca::OptionExpiration::lowest_strike_with_bid_ask_volatility (C++ function) otyca::OptionExpiration::lowest_strike_with_put_bid_ask_volatility (C++ function) otyca::OptionExpiration::not_expired (C++ function) otyca::OptionExpiration::operator<< (C++ function) otyca::OptionExpiration::OptionExpiration (C++ function) otyca::OptionExpiration::reset (C++ function) otyca::OptionExpiration::set_expiration (C++ function) otyca::OptionExpiration::setup (C++ function) otyca::OptionExpiration::stochastic_process_1_stdev_call_volatility (C++ function) otyca::OptionExpiration::stochastic_process_1_stdev_put_volatility (C++ function) otyca::OptionExpiration::stochastic_process_atm_volatility (C++ function) otyca::OptionExpiration::variance (C++ function) otyca::OptionStrike (C++ class) otyca::OptionStrike::bid_above_intrinsic (C++ function) otyca::OptionStrike::call_put_disparity (C++ function) otyca::OptionStrike::create_option (C++ function) otyca::OptionStrike::distance_to_forward (C++ function) otyca::OptionStrike::finite_call_put_bid_ask_volatility (C++ function) otyca::OptionStrike::get_average_volatility_uncertainty (C++ function) otyca::OptionStrike::get_average_volatility_value (C++ function) otyca::OptionStrike::get_call (C++ function) otyca::OptionStrike::get_expiration (C++ function) otyca::OptionStrike::get_fair_volatility (C++ function) otyca::OptionStrike::get_implied_forward (C++ function) otyca::OptionStrike::get_implied_forward_uncertainty (C++ function) otyca::OptionStrike::get_implied_forward_value (C++ function) otyca::OptionStrike::get_log_relative_strike (C++ function) otyca::OptionStrike::get_options (C++ function) otyca::OptionStrike::get_put (C++ function) otyca::OptionStrike::get_relative_strike (C++ function) otyca::OptionStrike::get_standard_price_uncertainty (C++ function) otyca::OptionStrike::get_standard_price_value (C++ function) otyca::OptionStrike::get_stochastic_process_volatility (C++ function) otyca::OptionStrike::get_strike (C++ function) otyca::OptionStrike::get_strike_volatility (C++ function) otyca::OptionStrike::get_strike_volatility_uncertainty (C++ function) otyca::OptionStrike::get_strike_volatility_value (C++ function) otyca::OptionStrike::get_volatility_model_outputs (C++ function) otyca::OptionStrike::implied_forward (C++ function) otyca::OptionStrike::operator<< (C++ function) otyca::OptionStrike::OptionStrike (C++ function) otyca::OptionStrike::otm_option (C++ function) otyca::OptionStrike::put_call_volatility_crossed (C++ function) otyca::OptionStrike::set_strike (C++ function) otyca::OptionStrike::setup (C++ function) otyca::OptionStrike::synthetic_forward (C++ function) otyca::OptionStrike::synthetic_forward_spread (C++ function) otyca::OptionStyle (C++ enum) otyca::OptionStyle::AMERICAN (C++ enumerator) otyca::OptionStyle::EUROPEAN (C++ enumerator) otyca::OptionStyle::INVALID_STYLE (C++ enumerator) otyca::OptionType (C++ enum) otyca::OptionType::CALL (C++ enumerator) otyca::OptionType::INVALID_TYPE (C++ enumerator) otyca::OptionType::PUT (C++ enumerator) otyca::PieceWiseTermStructure (C++ class) otyca::PieceWiseTermStructure::PieceWiseTermStructure (C++ function), [1], [2] otyca::PieceWiseTermStructure::term_estimate (C++ function) otyca::PieceWiseTermStructure::~PieceWiseTermStructure (C++ function) otyca::PieceWiseYieldCurve (C++ class) otyca::PieceWiseYieldCurve::PieceWiseYieldCurve (C++ function), [1] otyca::PieceWiseYieldCurve::~PieceWiseYieldCurve (C++ function) otyca::Poisson (C++ class) otyca::Poisson::clone (C++ function) otyca::Poisson::d_phi_d_p (C++ function) otyca::Poisson::d_phi_d_psi (C++ function) otyca::Poisson::get_lambda (C++ function) otyca::Poisson::get_parameter_names (C++ function) otyca::Poisson::get_parameters (C++ function) otyca::Poisson::get_transformed_calibration_parameter_variances (C++ function) otyca::Poisson::get_transformed_calibration_parameters (C++ function) otyca::Poisson::laplace_transform (C++ function) otyca::Poisson::name (C++ function) otyca::Poisson::Poisson (C++ function), [1] otyca::Poisson::set_lambda (C++ function) otyca::Poisson::set_parameters (C++ function) otyca::Poisson::set_transformed_calibration_parameters (C++ function) otyca::Poisson::transformation_derivatives (C++ function) otyca::Polynomial (C++ class) otyca::Polynomial::evaluate (C++ function) otyca::Polynomial::get_parameters (C++ function) otyca::Polynomial::get_transformed_calibration_parameter_variances (C++ function) otyca::Polynomial::get_transformed_calibration_parameters (C++ function) otyca::Polynomial::name (C++ function) otyca::Polynomial::Polynomial (C++ function) otyca::Polynomial::reset (C++ function) otyca::Polynomial::set_parameters (C++ function) otyca::Polynomial::set_transformed_calibration_parameters (C++ function) otyca::prepend_value_to_array_vector (C++ function) otyca::QuadraticSVI (C++ class) otyca::QuadraticSVI::evaluate (C++ function) otyca::QuadraticSVI::get_parameters (C++ function) otyca::QuadraticSVI::get_transformed_calibration_parameter_variances (C++ function) otyca::QuadraticSVI::get_transformed_calibration_parameters (C++ function) otyca::QuadraticSVI::name (C++ function) otyca::QuadraticSVI::QuadraticSVI (C++ function) otyca::QuadraticSVI::reset (C++ function) otyca::QuadraticSVI::set_parameters (C++ function) otyca::QuadraticSVI::set_transformed_calibration_parameters (C++ function) otyca::raw_to_vector (C++ function) otyca::read_vector (C++ function) otyca::RealizedVarianceTenorCalculator (C++ class) otyca::RealizedVarianceTenorCalculator::get_day_finish (C++ function) otyca::RealizedVarianceTenorCalculator::get_day_start (C++ function) otyca::RealizedVarianceTenorCalculator::init (C++ function) otyca::RealizedVarianceTenorCalculator::non_trade_day_seconds (C++ function) otyca::RealizedVarianceTenorCalculator::non_trade_seconds (C++ function) otyca::RealizedVarianceTenorCalculator::RealizedVarianceTenorCalculator (C++ function), [1] otyca::RealizedVarianceTenorCalculator::set_day_start_finish (C++ function) otyca::RealizedVarianceTenorCalculator::set_variance_weights (C++ function) otyca::RealizedVarianceTenorCalculator::tenor (C++ function) otyca::RealizedVarianceTenorCalculator::trade_day_non_trade_hour_seconds (C++ function) otyca::RealizedVarianceTenorCalculator::trade_hour_seconds (C++ function) otyca::RealizedVarianceTenorCalculator::~RealizedVarianceTenorCalculator (C++ function) otyca::row_to_col_major (C++ function), [1] otyca::SABR (C++ class) otyca::SABR1 (C++ class) otyca::SABR1::evaluate (C++ function) otyca::SABR1::get_parameters (C++ function) otyca::SABR1::get_transformed_calibration_parameter_variances (C++ function) otyca::SABR1::get_transformed_calibration_parameters (C++ function) otyca::SABR1::name (C++ function) otyca::SABR1::reset (C++ function) otyca::SABR1::SABR1 (C++ function), [1], [2] otyca::SABR1::set_parameters (C++ function) otyca::SABR1::set_t (C++ function) otyca::SABR1::set_transformed_calibration_parameters (C++ function) otyca::SABR1E (C++ class) otyca::SABR1E::get_calibration_parameters (C++ function) otyca::SABR1E::get_parameters (C++ function) otyca::SABR1E::get_transformed_calibration_parameter_variances (C++ function) otyca::SABR1E::get_transformed_calibration_parameters (C++ function) otyca::SABR1E::name (C++ function) otyca::SABR1E::reset (C++ function) otyca::SABR1E::SABR1E (C++ function), [1] otyca::SABR1E::set_transformed_calibration_parameters (C++ function) otyca::SABR::_alpha (C++ member) otyca::SABR::_beta (C++ member) otyca::SABR::_nu (C++ member) otyca::SABR::_rho (C++ member) otyca::SABR::SABR (C++ function), [1] otyca::SABR::volatility (C++ function) otyca::Scatter (C++ class) otyca::Scatter::add (C++ function) otyca::Scatter::finite (C++ function) otyca::Scatter::first (C++ function) otyca::Scatter::get_xs (C++ function) otyca::Scatter::get_ys (C++ function) otyca::Scatter::last (C++ function) otyca::Scatter::min_space_x (C++ function) otyca::Scatter::print (C++ function) otyca::Scatter::Scatter (C++ function), [1], [2] otyca::Scatter::set_y (C++ function) otyca::Scatter::sum (C++ function) otyca::Schedule (C++ class) otyca::Schedule::accumulate (C++ function) otyca::Schedule::add (C++ function) otyca::Schedule::extrapolate (C++ function), [1] otyca::Schedule::generate (C++ function) otyca::Schedule::scatter (C++ function) otyca::Schedule::to_map (C++ function) otyca::ScheduledJump (C++ class) otyca::ScheduledJump::after (C++ function) otyca::ScheduledJump::before_or_at (C++ function) otyca::ScheduledJump::effective_time (C++ function) otyca::ScheduledJump::effective_time_end (C++ function) otyca::Security (C++ class) otyca::Security::_ask_price (C++ member) otyca::Security::_ask_size (C++ member) otyca::Security::_bid_price (C++ member) otyca::Security::_bid_size (C++ member) otyca::Security::_generate_id (C++ function) otyca::Security::_id (C++ member) otyca::Security::get_ask_price (C++ function) otyca::Security::get_ask_size (C++ function) otyca::Security::get_bid_price (C++ function) otyca::Security::get_bid_size (C++ function) otyca::Security::id (C++ function) otyca::Security::mid (C++ function) otyca::Security::operator<< (C++ function) otyca::Security::Security (C++ function), [1] otyca::Security::set_bid_ask (C++ function) otyca::Security::simple_mid (C++ function) otyca::Security::spread (C++ function) otyca::Security::valid_price (C++ function) otyca::Security::weighted_mid (C++ function) otyca::Security::~Security (C++ function) otyca::ShiftedLognormal (C++ class) otyca::ShiftedLognormal::evaluate (C++ function) otyca::ShiftedLognormal::get_transformed_calibration_parameters (C++ function) otyca::ShiftedLognormal::name (C++ function) otyca::ShiftedLognormal::set_transformed_calibration_parameters (C++ function) otyca::ShiftedLognormal::ShiftedLognormal (C++ function) otyca::sigmoid (C++ function) otyca::sigmoid_clamp (C++ function) otyca::sigmoid_clamp_derivative (C++ function) otyca::sigmoid_derivative (C++ function) otyca::SimplifiedSVI (C++ class) otyca::SimplifiedSVI::evaluate (C++ function) otyca::SimplifiedSVI::get_parameters (C++ function) otyca::SimplifiedSVI::get_transformed_calibration_parameter_variances (C++ function) otyca::SimplifiedSVI::get_transformed_calibration_parameters (C++ function) otyca::SimplifiedSVI::name (C++ function) otyca::SimplifiedSVI::reset (C++ function) otyca::SimplifiedSVI::set_parameters (C++ function) otyca::SimplifiedSVI::set_transformed_calibration_parameters (C++ function) otyca::SimplifiedSVI::SimplifiedSVI (C++ function) otyca::softplus (C++ function) otyca::softplus_derivative (C++ function) otyca::split_by_first (C++ function) otyca::sq (C++ function) otyca::StochasticProcess (C++ class) otyca::StochasticProcess::_pricer (C++ member) otyca::StochasticProcess::characteristic_function (C++ function) otyca::StochasticProcess::characteristic_function_derivatives (C++ function) otyca::StochasticProcess::characteristic_function_derivatives_finite_difference (C++ function) otyca::StochasticProcess::characteristic_function_drift_adjustment (C++ function) otyca::StochasticProcess::clone (C++ function) otyca::StochasticProcess::compare_characteristic_function_derivatives (C++ function) otyca::StochasticProcess::compare_jacobian (C++ function) otyca::StochasticProcess::evaluate (C++ function), [1] otyca::StochasticProcess::jacobian (C++ function) otyca::StochasticProcess::jacobian_finite_difference (C++ function) otyca::StochasticProcess::print (C++ function) otyca::StochasticProcess::set_pricer (C++ function) otyca::StochasticProcess::specification (C++ function) otyca::StochasticProcess::variance (C++ function) otyca::StochasticProcess::volatility (C++ function), [1] otyca::StochasticProcessPricer (C++ class) otyca::StochasticProcessPricer::_cut_off_pdf (C++ member) otyca::StochasticProcessPricer::_cut_off_price (C++ member) otyca::StochasticProcessPricer::_cut_off_vol (C++ member) otyca::StochasticProcessPricer::_iu_col (C++ member) otyca::StochasticProcessPricer::_logu_col (C++ member) otyca::StochasticProcessPricer::_pdf_transformation (C++ function) otyca::StochasticProcessPricer::_t_row (C++ member) otyca::StochasticProcessPricer::_u2_col (C++ member) otyca::StochasticProcessPricer::_u_col (C++ member) otyca::StochasticProcessPricer::compare_price_derivatives (C++ function) otyca::StochasticProcessPricer::get_iu (C++ function) otyca::StochasticProcessPricer::get_logu (C++ function) otyca::StochasticProcessPricer::get_t (C++ function) otyca::StochasticProcessPricer::get_u (C++ function) otyca::StochasticProcessPricer::get_u2 (C++ function) otyca::StochasticProcessPricer::implied_volatility (C++ function), [1], [2] otyca::StochasticProcessPricer::measure_stochastic_process (C++ function) otyca::StochasticProcessPricer::name (C++ function) otyca::StochasticProcessPricer::pdf (C++ function), [1], [2] otyca::StochasticProcessPricer::price (C++ function), [1], [2] otyca::StochasticProcessPricer::price_derivatives (C++ function) otyca::StochasticProcessPricer::price_derivatives_finite_difference (C++ function) otyca::StochasticProcessPricer::StrikeType (C++ enum) otyca::StochasticProcessPricer::StrikeType::DELTA (C++ enumerator) otyca::StochasticProcessPricer::StrikeType::LOG_STRIKE (C++ enumerator) otyca::StochasticProcessPricer::StrikeType::STDEV (C++ enumerator) otyca::StochasticProcessPricer::StrikeType::STRIKE (C++ enumerator) otyca::StochasticProcessPricer::YType (C++ enum) otyca::StochasticProcessPricer::YType::IV (C++ enumerator) otyca::StochasticProcessPricer::YType::PDF (C++ enumerator) otyca::StochasticProcessPricer::YType::PRICE (C++ enumerator) otyca::StochasticProcessPricer::~StochasticProcessPricer (C++ function) otyca::sum (C++ function) otyca::sum_size (C++ function) otyca::Susp (C++ class) otyca::Susp::as_is (C++ function) otyca::Susp::force_update_and_get (C++ function) otyca::Susp::get (C++ function) otyca::Susp::operator T const& (C++ function) otyca::Susp::reset (C++ function) otyca::Susp::reset_dependents_if_changed (C++ function) otyca::Susp::set (C++ function) otyca::Susp::set_updater (C++ function) otyca::Susp::Susp (C++ function), [1] otyca::Susp::valid (C++ function) otyca::SuspBase (C++ class) otyca::SuspBase::add_dependency (C++ function) otyca::SuspBase::add_dependent (C++ function) otyca::SuspBase::remove_dependent (C++ function) otyca::SuspBase::remove_dependents (C++ function) otyca::SuspBase::reset (C++ function) otyca::SuspBase::reset_dependents (C++ function) otyca::SVI (C++ class) otyca::SVI::evaluate (C++ function) otyca::SVI::get_parameters (C++ function) otyca::SVI::get_transformed_calibration_parameter_variances (C++ function) otyca::SVI::get_transformed_calibration_parameters (C++ function) otyca::SVI::name (C++ function) otyca::SVI::reset (C++ function) otyca::SVI::set_parameters (C++ function) otyca::SVI::set_transformed_calibration_parameters (C++ function) otyca::SVI::SVI (C++ function) otyca::tanh_clamp (C++ function) otyca::TenorCalculator (C++ class) otyca::TenorCalculator::days_to_time_duration (C++ function) otyca::TenorCalculator::tenor (C++ function) otyca::TenorCalculator::time_duration_to_days (C++ function) otyca::TenorCalculator::~TenorCalculator (C++ function) otyca::TermStructure (C++ class) otyca::TermStructure::forward_estimate (C++ function) otyca::TermStructure::forward_rate (C++ function) otyca::TermStructure::term_estimate (C++ function) otyca::TermStructure::term_rate (C++ function) otyca::ternary_search_min (C++ function) otyca::TimeBoundedBimodalGaussian (C++ class) otyca::TimeBoundedBimodalGaussian::characteristic_function (C++ function) otyca::TimeBoundedBimodalGaussian::characteristic_function_derivatives (C++ function) otyca::TimeBoundedBimodalGaussian::clone (C++ function) otyca::TimeBoundedBimodalGaussian::get_calibration_parameters (C++ function) otyca::TimeBoundedBimodalGaussian::get_parameter_names (C++ function) otyca::TimeBoundedBimodalGaussian::get_parameters (C++ function) otyca::TimeBoundedBimodalGaussian::name (C++ function) otyca::TimeBoundedBimodalGaussian::set_calibration_parameters (C++ function) otyca::TimeBoundedBimodalGaussian::set_transformed_calibration_parameters (C++ function) otyca::TimeBoundedBimodalGaussian::TimeBoundedBimodalGaussian (C++ function), [1] otyca::TimeBoundedBimodalGaussian::~TimeBoundedBimodalGaussian (C++ function) otyca::TimeBoundedJump (C++ class) otyca::TimeBoundedJump::after (C++ function) otyca::TimeBoundedJump::before_or_at (C++ function) otyca::TimeBoundedJump::effective_time (C++ function) otyca::TimeBoundedJump::effective_time_end (C++ function) otyca::TimeBoundedJump::get_tau_hi (C++ function) otyca::TimeBoundedJump::get_tau_lo (C++ function) otyca::TimeBoundedJump::jump_probability (C++ function) otyca::TimeBoundedJump::set_tau_hi (C++ function) otyca::TimeBoundedJump::set_tau_lo (C++ function) otyca::TimeBoundedJump::TimeBoundedJump (C++ function), [1] otyca::TimeChangedLevyProcess (C++ class) otyca::TimeChangedLevyProcess::characteristic_function (C++ function) otyca::TimeChangedLevyProcess::characteristic_function_derivatives (C++ function) otyca::TimeChangedLevyProcess::clone (C++ function) otyca::TimeChangedLevyProcess::get_levy_process (C++ function) otyca::TimeChangedLevyProcess::get_parameter_names (C++ function) otyca::TimeChangedLevyProcess::get_parameters (C++ function) otyca::TimeChangedLevyProcess::get_time_change (C++ function) otyca::TimeChangedLevyProcess::get_transformed_calibration_parameter_variances (C++ function) otyca::TimeChangedLevyProcess::get_transformed_calibration_parameters (C++ function) otyca::TimeChangedLevyProcess::name (C++ function) otyca::TimeChangedLevyProcess::print (C++ function) otyca::TimeChangedLevyProcess::set_levy_process (C++ function) otyca::TimeChangedLevyProcess::set_parameters (C++ function) otyca::TimeChangedLevyProcess::set_time_change (C++ function) otyca::TimeChangedLevyProcess::set_transformed_calibration_parameters (C++ function) otyca::TimeChangedLevyProcess::specification (C++ function) otyca::TimeChangedLevyProcess::TimeChangedLevyProcess (C++ function), [1] otyca::TimeChangedLevyProcess::transformation_derivatives (C++ function) otyca::TimeChangedLevyProcessFactory (C++ class) otyca::TimeChangedLevyProcessFactory::create_time_changed_levy_process (C++ function), [1] otyca::TimeChangeProcess (C++ class) otyca::TimeChangeProcess::clone (C++ function) otyca::TimeChangeProcess::compare_d_phi_d_p (C++ function) otyca::TimeChangeProcess::compare_d_phi_d_psi (C++ function) otyca::TimeChangeProcess::d_phi_d_p (C++ function) otyca::TimeChangeProcess::d_phi_d_p_finite_difference (C++ function) otyca::TimeChangeProcess::d_phi_d_psi (C++ function) otyca::TimeChangeProcess::d_phi_d_psi_finite_difference (C++ function) otyca::TimeChangeProcess::laplace_transform (C++ function) otyca::TimeChangeProcessFactory (C++ class) otyca::TimeChangeProcessFactory::create_time_change_process (C++ function) otyca::TimeFixedBimodalGaussian (C++ class) otyca::TimeFixedBimodalGaussian::characteristic_function (C++ function) otyca::TimeFixedBimodalGaussian::characteristic_function_derivatives (C++ function) otyca::TimeFixedBimodalGaussian::clone (C++ function) otyca::TimeFixedBimodalGaussian::get_calibration_parameters (C++ function) otyca::TimeFixedBimodalGaussian::get_parameter_names (C++ function) otyca::TimeFixedBimodalGaussian::get_parameters (C++ function) otyca::TimeFixedBimodalGaussian::name (C++ function) otyca::TimeFixedBimodalGaussian::set_calibration_parameters (C++ function) otyca::TimeFixedBimodalGaussian::TimeFixedBimodalGaussian (C++ function), [1] otyca::TimeFixedBimodalGaussian::~TimeFixedBimodalGaussian (C++ function) otyca::TimeFixedJump (C++ class) otyca::TimeFixedJump::after (C++ function) otyca::TimeFixedJump::before_or_at (C++ function) otyca::TimeFixedJump::effective_time (C++ function) otyca::TimeFixedJump::effective_time_end (C++ function) otyca::TimeFixedJump::get_tau (C++ function) otyca::TimeFixedJump::set_tau (C++ function) otyca::TimeFixedJump::TimeFixedJump (C++ function), [1] otyca::TimeValueFourierTransform (C++ class) otyca::TimeValueFourierTransform::claim_type (C++ function) otyca::TimeValueFourierTransform::dampen_factor (C++ function) otyca::TimeValueFourierTransform::integrand (C++ function) otyca::TimeValueFourierTransform::integrand_derivatives (C++ function) otyca::TimeValueFourierTransform::TimeValueFourierTransform (C++ function) otyca::to_csv (C++ function) otyca::top_n_by_value (C++ function) otyca::TradingCalendar (C++ class) otyca::TradingCalendar::calendar_days (C++ function) otyca::TradingCalendar::day_of_week_days (C++ function) otyca::TradingCalendar::effective_dividend_time_for_early_exercise (C++ function) otyca::TradingCalendar::get_holidays (C++ function) otyca::TradingCalendar::half_trade_day (C++ function) otyca::TradingCalendar::holiday (C++ function) otyca::TradingCalendar::next_to_non_trade_day (C++ function) otyca::TradingCalendar::non_trade_day (C++ function) otyca::TradingCalendar::non_trade_days (C++ function) otyca::TradingCalendar::post_holidays (C++ function) otyca::TradingCalendar::pre_holidays (C++ function) otyca::TradingCalendar::previous_trade_date (C++ function) otyca::TradingCalendar::previous_trade_day_cutoff (C++ function) otyca::TradingCalendar::set_holidays (C++ function) otyca::TradingCalendar::trade_dates (C++ function) otyca::TradingCalendar::trade_day (C++ function) otyca::TradingCalendar::trade_day_offset (C++ function) otyca::TradingCalendar::trade_days (C++ function) otyca::TradingCalendar::trade_days_to_calendar_days (C++ function) otyca::TradingCalendar::TradingCalendar (C++ function) otyca::TradingCalendar::weekend (C++ function) otyca::transform_vector (C++ function) otyca::tree_type_to_string (C++ function) otyca::TreeType (C++ enum) otyca::TreeType::CRR (C++ enumerator) otyca::TreeType::DCRR (C++ enumerator) otyca::TreeType::JR (C++ enumerator) otyca::TreeType::LR (C++ enumerator) otyca::TreeType::TIAN (C++ enumerator) otyca::TripleFusion (C++ class) otyca::TripleFusion::_center (C++ member) otyca::TripleFusion::_left (C++ member) otyca::TripleFusion::_right (C++ member) otyca::TripleFusion::evaluate (C++ function) otyca::TripleFusion::get_parameters (C++ function) otyca::TripleFusion::get_transformed_calibration_parameter_variances (C++ function) otyca::TripleFusion::get_transformed_calibration_parameters (C++ function) otyca::TripleFusion::name (C++ function) otyca::TripleFusion::set_parameters (C++ function) otyca::TripleFusion::set_transformed_calibration_parameters (C++ function) otyca::TripleFusion::set_transition (C++ function) otyca::TripleFusion::TripleFusion (C++ function), [1] otyca::UKF (C++ class) otyca::UKF::filter (C++ function) otyca::UKF::get_alpha (C++ function) otyca::UKF::get_beta (C++ function) otyca::UKF::get_fading (C++ function) otyca::UKF::get_kappa (C++ function) otyca::UKF::get_q (C++ function) otyca::UKF::get_r (C++ function) otyca::UKF::get_residual (C++ function) otyca::UKF::set_alpha (C++ function) otyca::UKF::set_beta (C++ function) otyca::UKF::set_fading (C++ function) otyca::UKF::set_kappa (C++ function) otyca::UKF::set_q (C++ function) otyca::UKF::set_r (C++ function) otyca::UKF::UKF (C++ function) otyca::UnderlyingDataset (C++ class) otyca::UnderlyingDataset::_get_volatility_grid (C++ function) otyca::UnderlyingDataset::add_composite_stochastic_process_config (C++ function) otyca::UnderlyingDataset::add_projected_dividend (C++ function) otyca::UnderlyingDataset::create_option (C++ function) otyca::UnderlyingDataset::create_underlying (C++ function) otyca::UnderlyingDataset::delete_expired (C++ function) otyca::UnderlyingDataset::get_atm_volatility_term_structure (C++ function) otyca::UnderlyingDataset::get_borrow_curve (C++ function) otyca::UnderlyingDataset::get_borrow_schedule (C++ function) otyca::UnderlyingDataset::get_bounded_bimodal_gaussian (C++ function) otyca::UnderlyingDataset::get_composite_stochastic_process (C++ function) otyca::UnderlyingDataset::get_composite_stochastic_process_volatility_grid (C++ function) otyca::UnderlyingDataset::get_composite_stochastic_process_volatility_grids (C++ function) otyca::UnderlyingDataset::get_composite_stochastic_processes (C++ function) otyca::UnderlyingDataset::get_delta_grid (C++ function) otyca::UnderlyingDataset::get_dividend_schedule (C++ function) otyca::UnderlyingDataset::get_exercise_settlement_lag (C++ function) otyca::UnderlyingDataset::get_expiration_volatility_model_dataframe (C++ function) otyca::UnderlyingDataset::get_expirations (C++ function) otyca::UnderlyingDataset::get_first_unexpired_option_expiration (C++ function) otyca::UnderlyingDataset::get_implied_event_schedule (C++ function) otyca::UnderlyingDataset::get_implied_interest_borrow_dataframe (C++ function) otyca::UnderlyingDataset::get_interest (C++ function) otyca::UnderlyingDataset::get_option_bid_ask_implied_volatility_dataframe (C++ function) otyca::UnderlyingDataset::get_option_expiration (C++ function) otyca::UnderlyingDataset::get_option_expiration_dataframe (C++ function) otyca::UnderlyingDataset::get_option_expirations (C++ function) otyca::UnderlyingDataset::get_option_pricing_dataframe (C++ function) otyca::UnderlyingDataset::get_option_settlement_lag (C++ function) otyca::UnderlyingDataset::get_option_strikes (C++ function) otyca::UnderlyingDataset::get_option_style (C++ function) otyca::UnderlyingDataset::get_options (C++ function) otyca::UnderlyingDataset::get_stochastic_process_option_expiration_dataframe (C++ function) otyca::UnderlyingDataset::get_stochastic_process_option_expiration_volatility_grid_dataframe (C++ function) otyca::UnderlyingDataset::get_stochastic_process_option_strike_volatilities (C++ function) otyca::UnderlyingDataset::get_stochastic_process_pricer (C++ function) otyca::UnderlyingDataset::get_stochastic_process_volatility_grid_dataframe (C++ function) otyca::UnderlyingDataset::get_tenor_grid (C++ function) otyca::UnderlyingDataset::get_trading_calendar (C++ function) otyca::UnderlyingDataset::get_underlying (C++ function) otyca::UnderlyingDataset::get_underlying_price (C++ function) otyca::UnderlyingDataset::get_underlying_settlement_lag (C++ function) otyca::UnderlyingDataset::get_unexpired_option_expirations (C++ function) otyca::UnderlyingDataset::get_valuation_time (C++ function) otyca::UnderlyingDataset::get_variance_schedule (C++ function) otyca::UnderlyingDataset::get_variance_tenor (C++ function) otyca::UnderlyingDataset::get_variance_tenor_calculator (C++ function) otyca::UnderlyingDataset::get_variance_term_structure_model (C++ function) otyca::UnderlyingDataset::get_yield_curve (C++ function) otyca::UnderlyingDataset::long_term_volatility (C++ function) otyca::UnderlyingDataset::operator<< (C++ function) otyca::UnderlyingDataset::reset (C++ function) otyca::UnderlyingDataset::set_borrow_curve (C++ function) otyca::UnderlyingDataset::set_exercise_settlement_lag (C++ function) otyca::UnderlyingDataset::set_option_settlement_lag (C++ function) otyca::UnderlyingDataset::set_option_style (C++ function) otyca::UnderlyingDataset::set_underlying (C++ function) otyca::UnderlyingDataset::set_underlying_settlement_lag (C++ function) otyca::UnderlyingDataset::set_valuation_time (C++ function) otyca::UnderlyingDataset::set_variance_tenor_calculator (C++ function) otyca::UnderlyingDataset::set_yield_curve (C++ function) otyca::UnderlyingDataset::setup (C++ function) otyca::UnderlyingDataset::short_term_volatility (C++ function) otyca::UnderlyingDataset::UnderlyingDataset (C++ function) otyca::unique_elements (C++ function) otyca::VarianceGamma (C++ class) otyca::VarianceGamma::characteristic_exponent (C++ function) otyca::VarianceGamma::characteristic_exponent_derivatives (C++ function) otyca::VarianceGamma::clone (C++ function) otyca::VarianceGamma::get_nu (C++ function) otyca::VarianceGamma::get_parameter_names (C++ function) otyca::VarianceGamma::get_parameters (C++ function) otyca::VarianceGamma::get_sigma (C++ function) otyca::VarianceGamma::get_theta (C++ function) otyca::VarianceGamma::get_transformed_calibration_parameter_variances (C++ function) otyca::VarianceGamma::get_transformed_calibration_parameters (C++ function) otyca::VarianceGamma::name (C++ function) otyca::VarianceGamma::set_multiplier (C++ function) otyca::VarianceGamma::set_nu (C++ function) otyca::VarianceGamma::set_parameters (C++ function) otyca::VarianceGamma::set_sigma (C++ function) otyca::VarianceGamma::set_theta (C++ function) otyca::VarianceGamma::set_transformed_calibration_parameters (C++ function) otyca::VarianceGamma::transformation_derivatives (C++ function) otyca::VarianceGamma::VarianceGamma (C++ function), [1] otyca::VarianceGamma::~VarianceGamma (C++ function) otyca::vector_to_colvec (C++ function), [1], [2] otyca::vector_to_mat (C++ function) otyca::vector_to_raw (C++ function) otyca::vector_to_rowvec (C++ function) otyca::version (C++ function) otyca::volatility_type_to_string (C++ function) otyca::VolatilityType (C++ enum) otyca::VolatilityType::FORWARD_VOLATILITY (C++ enumerator) otyca::VolatilityType::SPOT_VOLATILITY (C++ enumerator) otyca::write_vector (C++ function) otyca::YieldCurve (C++ class) otyca::YieldCurve::discount_factor (C++ function) otyca::YieldCurve::growth_factor (C++ function) otyca_cpp module overwrite() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method)

P

p (otyca_cpp.Kou property) parameters (otyca_cpp.Model1CalibrationStatus property) (otyca_cpp.Model2CalibrationStatus property) pdf() (otyca_cpp.StochasticProcessPricer method) phi() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) PieceWiseTermStructure (class in otyca_cpp) PieceWiseYieldCurve (class in otyca_cpp) Poisson (class in otyca_cpp) post_holidays() (otyca_cpp.TradingCalendar method) pre_holidays() (otyca_cpp.TradingCalendar method) premium() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method)

premium_function_cost_in_seconds() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) previous_trade_date() (otyca_cpp.TradingCalendar method) previous_trade_day_cutoff() (otyca_cpp.TradingCalendar method) price() (otyca_cpp.StochasticProcessPricer method) PROJ_VERSION_MAJOR (C macro) PROJ_VERSION_MINOR (C macro) PROJ_VERSION_PATCH (C macro) PUT (otyca_cpp.OptionType attribute)

R

RealizedVarianceTenorCalculator (class in otyca_cpp) reduced_chi2() (otyca_cpp.Model1CalibrationStatus method) (otyca_cpp.Model2CalibrationStatus method) residuals (otyca_cpp.Model1CalibrationStatus property) (otyca_cpp.Model2CalibrationStatus property) rho (otyca_cpp.LCIR property) rho() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method)

S

scatter() (otyca_cpp.DividendSchedule method) (otyca_cpp.EstimateSchedule method) (otyca_cpp.FloatSchedule method) (otyca_cpp.TimeDeltaDividendSchedule method) (otyca_cpp.TimeDeltaFloatSchedule method) Security (class in otyca_cpp) set_bid_ask() (otyca_cpp.Security method) set_borrow_curve() (otyca_cpp.UnderlyingDataset method) set_borrow_rate() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) set_ctrl_smooth() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) set_dividend_schedule() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) set_exercise_settlement_lag() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) (otyca_cpp.UnderlyingDataset method) set_expiration() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) set_fixed() (otyca_cpp.Dividend method) set_fourier_transform() (otyca_cpp.FourierTransformPricer method) set_holidays() (otyca_cpp.TradingCalendar method) set_interest_rate() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) set_levy_process() (otyca_cpp.TimeChangedLevyProcess method) set_log_callback() (otyca_cpp.Logger static method) set_log_level() (otyca_cpp.Logger static method) set_option_settlement_lag() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) (otyca_cpp.UnderlyingDataset method) set_option_style() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) (otyca_cpp.UnderlyingDataset method) set_option_type() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) set_original_time_calculator() (otyca_cpp.ImpliedVarianceTenorCalculator method) set_precision() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) set_proportional() (otyca_cpp.Dividend method) set_reference_expiration() (otyca_cpp.ImpliedVarianceTenorCalculator method) set_strike() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method)

set_time_change() (otyca_cpp.TimeChangedLevyProcess method) set_trading_calendar() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) set_underlying() (otyca_cpp.UnderlyingDataset method) set_underlying_price() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) set_underlying_settlement_lag() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) (otyca_cpp.UnderlyingDataset method) set_valuation_time() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.ImpliedVarianceTenorCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) (otyca_cpp.UnderlyingDataset method) set_variance_schedule() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.ImpliedVarianceTenorCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) set_variance_tenor_calculator() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) (otyca_cpp.UnderlyingDataset method) set_variance_weights() (otyca_cpp.RealizedVarianceTenorCalculator method) set_volatility() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) set_yield_curve() (otyca_cpp.UnderlyingDataset method) setup() (otyca_cpp.UnderlyingDataset method) sigma (otyca_cpp.BimodalGaussian property) (otyca_cpp.BrownianMotion property) (otyca_cpp.InverseGaussian property) (otyca_cpp.LCIR property) (otyca_cpp.Merton property) (otyca_cpp.VarianceGamma property) significance (otyca_cpp.Event property) simple_mid() (otyca_cpp.Security method) size() (otyca_cpp.BimodalGaussianBoundedSchedule method) (otyca_cpp.DividendBoundedSchedule method) (otyca_cpp.DividendSchedule method) (otyca_cpp.EstimateSchedule method) (otyca_cpp.EventBoundedSchedule method) (otyca_cpp.FloatBoundedSchedule method) (otyca_cpp.FloatSchedule method) (otyca_cpp.TimeDeltaDividendSchedule method) (otyca_cpp.TimeDeltaFloatSchedule method) slope (otyca_cpp.NelsonSiegel property) specification (otyca_cpp.CompositeStochasticProcessConfig property) specification() (otyca_cpp.StochasticProcess method) SPOT_VOLATILITY (otyca_cpp.VolatilityType attribute) SpotVolatilityCRROptionCalculator (class in otyca_cpp) SpotVolatilityDCRROptionCalculator (class in otyca_cpp) SpotVolatilityJROptionCalculator (class in otyca_cpp) SpotVolatilityLROptionCalculator (class in otyca_cpp) SpotVolatilityTIANOptionCalculator (class in otyca_cpp) spread() (otyca_cpp.Security method) std::operator<< (C++ function), [1] STDEV (otyca_cpp.StrikeType attribute) StochasticProcess (class in otyca_cpp) StochasticProcessPricer (class in otyca_cpp) STRIKE (otyca_cpp.StrikeType attribute) StrikeType (class in otyca_cpp)

T

tau (otyca_cpp.NelsonSiegel property) (otyca_cpp.TimeFixedJump property) tau2 (otyca_cpp.NelsonSiegelSvensson property) tau_hi (otyca_cpp.TimeBoundedJump property) tau_lo (otyca_cpp.TimeBoundedJump property) tenor (otyca_cpp.Event property) tenor() (otyca_cpp.ImpliedVarianceTenorCalculator method) (otyca_cpp.RealizedVarianceTenorCalculator method) (otyca_cpp.TenorCalculator method) TenorCalculator (class in otyca_cpp) term_estimate() (otyca_cpp.PieceWiseTermStructure method) term_rate() (otyca_cpp.TermStructure method) TermStructure (class in otyca_cpp) theta (otyca_cpp.VarianceGamma property) theta() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) TIAN (otyca_cpp.TreeType attribute) time_from_string() (in module otyca_cpp) time_value() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method)

TimeBoundedBimodalGaussian (class in otyca_cpp) TimeBoundedJump (class in otyca_cpp) TimeChangedLevyProcess (class in otyca_cpp) TimeChangedLevyProcessFactory (class in otyca_cpp) TimeChangeProcess (class in otyca_cpp) TimeChangeProcessFactory (class in otyca_cpp) TimeDeltaDividendSchedule (class in otyca_cpp) TimeDeltaFloatSchedule (class in otyca_cpp) TimeFixedBimodalGaussian (class in otyca_cpp) TimeFixedJump (class in otyca_cpp) TimeValueFourierTransform (class in otyca_cpp) to_bounded_schedule() (otyca_cpp.DividendFlexibleSchedule method) (otyca_cpp.FloatFlexibleSchedule method) to_dict() (otyca_cpp.BimodalGaussianBoundedSchedule method) (otyca_cpp.DividendBoundedSchedule method) (otyca_cpp.DividendSchedule method) (otyca_cpp.EstimateSchedule method) (otyca_cpp.EventBoundedSchedule method) (otyca_cpp.FloatBoundedSchedule method) (otyca_cpp.FloatSchedule method) (otyca_cpp.TimeDeltaDividendSchedule method) (otyca_cpp.TimeDeltaFloatSchedule method) trade_dates() (otyca_cpp.TradingCalendar method) trade_day() (otyca_cpp.TradingCalendar method) trade_day_offset() (otyca_cpp.TradingCalendar method) trade_days() (otyca_cpp.TradingCalendar method) trade_days_to_calendar_days() (otyca_cpp.TradingCalendar method) TradingCalendar (class in otyca_cpp) TreeType (class in otyca_cpp)

U

ukf() (otyca_cpp.Model1 method) (otyca_cpp.Model2 method)

UnderlyingDataset (class in otyca_cpp)

V

v0 (otyca_cpp.LCIR property) values (otyca_cpp.LogLevel attribute) (otyca_cpp.OptionStyle attribute) (otyca_cpp.OptionType attribute) (otyca_cpp.StrikeType attribute) (otyca_cpp.TreeType attribute) (otyca_cpp.VolatilityType attribute) vanna() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) variance (otyca_cpp.Event property) variance() (otyca_cpp.OptionExpiration method) (otyca_cpp.StochasticProcess method) variance_tenor() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method)

VarianceGamma (class in otyca_cpp) vega() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method) version() (in module otyca_cpp) volatility() (otyca_cpp.StochasticProcess method) VolatilityType (class in otyca_cpp) volga() (otyca_cpp.ForwardVolatilityCRROptionCalculator method) (otyca_cpp.ForwardVolatilityDCRROptionCalculator method) (otyca_cpp.ForwardVolatilityJROptionCalculator method) (otyca_cpp.ForwardVolatilityLROptionCalculator method) (otyca_cpp.ForwardVolatilityTIANOptionCalculator method) (otyca_cpp.SpotVolatilityCRROptionCalculator method) (otyca_cpp.SpotVolatilityDCRROptionCalculator method) (otyca_cpp.SpotVolatilityJROptionCalculator method) (otyca_cpp.SpotVolatilityLROptionCalculator method) (otyca_cpp.SpotVolatilityTIANOptionCalculator method)

W

Warning (otyca_cpp.LogLevel attribute)

weekend() (otyca_cpp.TradingCalendar method) weighted_mid() (otyca_cpp.Security method)

X

x (otyca_cpp.Model1CalibrationInput property) (otyca_cpp.Model2CalibrationInput property)

xtol (otyca_cpp.Model1CalibrationConfig property) (otyca_cpp.Model2CalibrationConfig property)

Y

y (otyca_cpp.CGMY property) (otyca_cpp.Model1CalibrationInput property) (otyca_cpp.Model2CalibrationInput property)

YieldCurve (class in otyca_cpp)