QuantLib: Member List

A free/open-source library for quantitative finance Reference manual - version 1.12

Vasicek Member List

This is the complete list of members for Vasicek, including all inherited members.

a() const (defined in Vasicek) | Vasicek |
A(Time t, Time T) const (defined in Vasicek) | Vasicek | protectedvirtual
a_ (defined in Vasicek) | Vasicek | protected
arguments_ (defined in CalibratedModel) | CalibratedModel | protected
b() const (defined in Vasicek) | Vasicek |
B(Time t, Time T) const (defined in Vasicek) | Vasicek | protectedvirtual
b_ (defined in Vasicek) | Vasicek | protected
calibrate(const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >()) | CalibratedModel | virtual
CalibratedModel(Size nArguments) (defined in CalibratedModel) | CalibratedModel |
constraint() const (defined in CalibratedModel) | CalibratedModel |
constraint_ (defined in CalibratedModel) | CalibratedModel | protected
deepUpdate() | Observer | virtual
discount(Time t) const | OneFactorAffineModel | virtual
discountBond(Time now, Time maturity, Array factors) const (defined in OneFactorAffineModel) | OneFactorAffineModel | virtual
discountBond(Time now, Time maturity, Rate rate) const (defined in OneFactorAffineModel) | OneFactorAffineModel |
discountBondOption(Option::Type type, Real strike, Time maturity, Time bondMaturity) const (defined in Vasicek) | Vasicek | virtual
discountBondOption(Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const (defined in AffineModel) | AffineModel | virtual
dynamics() const | Vasicek | virtual
endCriteria() const | CalibratedModel |
functionEvaluation() const (defined in CalibratedModel) | CalibratedModel |
functionEvaluation_ (defined in CalibratedModel) | CalibratedModel | protected
generateArguments() (defined in CalibratedModel) | CalibratedModel | protectedvirtual
iterator typedef (defined in Observer) | Observer |
lambda() const (defined in Vasicek) | Vasicek |
lambda_ (defined in Vasicek) | Vasicek | protected
notifyObservers() | Observable |
Observable() (defined in Observable) | Observable |
Observable(const Observable &) (defined in Observable) | Observable |
Observer() (defined in Observer) | Observer |
Observer(const Observer &) (defined in Observer) | Observer |
OneFactorAffineModel(Size nArguments) (defined in OneFactorAffineModel) | OneFactorAffineModel | explicit
OneFactorModel(Size nArguments) (defined in OneFactorModel) | OneFactorModel | explicit
operator=(const Observer &) (defined in Observer) | Observer |
QuantLib::Observable::operator=(const Observable &) | Observable |
params() const | CalibratedModel |
problemValues() const | CalibratedModel |
problemValues_ (defined in CalibratedModel) | CalibratedModel | protected
r0_ (defined in Vasicek) | Vasicek | protected
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer |
registerWithObservables(const boost::shared_ptr< Observer > &) | Observer |
set_type typedef (defined in Observer) | Observer |
setParams(const Array &params) (defined in CalibratedModel) | CalibratedModel | virtual
shortRateEndCriteria_ (defined in CalibratedModel) | CalibratedModel | protected
ShortRateModel(Size nArguments) (defined in ShortRateModel) | ShortRateModel | explicit
sigma() const (defined in Vasicek) | Vasicek |
sigma_ (defined in Vasicek) | Vasicek | protected
tree(const TimeGrid &grid) const | OneFactorModel | virtual
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer |
unregisterWithAll() (defined in Observer) | Observer |
update() | CalibratedModel | virtual
value(const Array &params, const std::vector< boost::shared_ptr< CalibrationHelper > > &) (defined in CalibratedModel) | CalibratedModel |
Vasicek(Rate r0=0.05, Real a=0.1, Real b=0.05, Real sigma=0.01, Real lambda=0.0) (defined in Vasicek) | Vasicek |
~Observable() (defined in Observable) | Observable | virtual
~Observer() (defined in Observer) | Observer | virtual
~OneFactorModel() (defined in OneFactorModel) | OneFactorModel | virtual