QuantLib: Member List

A free/open-source library for quantitative finance Reference manual - version 1.20

NumericHaganPricer Member List

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

annuity_ (defined in HaganPricer) | HaganPricer | protected
capletPrice(Rate effectiveCap) const (defined in HaganPricer) | HaganPricer | virtual
capletRate(Rate effectiveCap) const (defined in HaganPricer) | HaganPricer | virtual
CmsCouponPricer(const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >()) (defined in CmsCouponPricer) | CmsCouponPricer | explicit
coupon_ (defined in HaganPricer) | HaganPricer | protected
cutoffForCaplet_ (defined in HaganPricer) | HaganPricer | protected
cutoffForFloorlet_ (defined in HaganPricer) | HaganPricer | protected
deepUpdate() | Observer | virtual
discount_ (defined in HaganPricer) | HaganPricer | protected
fixingDate_ (defined in HaganPricer) | HaganPricer | protected
floorletPrice(Rate effectiveFloor) const (defined in HaganPricer) | HaganPricer | virtual
floorletRate(Rate effectiveFloor) const (defined in HaganPricer) | HaganPricer | virtual
gearing_ (defined in HaganPricer) | HaganPricer | protected
gFunction_ (defined in HaganPricer) | HaganPricer | protected
HaganPricer(const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion) (defined in HaganPricer) | HaganPricer | protected
hardUpperLimit_ (defined in NumericHaganPricer) | NumericHaganPricer |
initialize(const FloatingRateCoupon &coupon) (defined in HaganPricer) | HaganPricer | protectedvirtual
integrate(Real a, Real b, const ConundrumIntegrand &Integrand) const (defined in NumericHaganPricer) | NumericHaganPricer |
iterator typedef (defined in Observer) | Observer |
lowerLimit_ (defined in NumericHaganPricer) | NumericHaganPricer |
meanReversion() const (defined in HaganPricer) | HaganPricer | virtual
meanReversion_ (defined in HaganPricer) | HaganPricer | protected
modelOfYieldCurve_ (defined in HaganPricer) | HaganPricer | protected
notifyObservers() | Observable |
NumericHaganPricer(const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion, Rate lowerLimit=0.0, Rate upperLimit=1.0, Real precision=1.0e-6, Real hardUpperLimit=QL_MAX_REAL) (defined in NumericHaganPricer) | NumericHaganPricer |
Observable() (defined in Observable) | Observable |
Observable(const Observable &) (defined in Observable) | Observable |
Observer() (defined in Observer) | Observer |
Observer(const Observer &) (defined in Observer) | Observer |
operator=(const Observer &) (defined in Observer) | Observer |
QuantLib::Observable::operator=(const Observable &) | Observable |
optionletPrice(Option::Type optionType, Rate strike) const (defined in NumericHaganPricer) | NumericHaganPricer | virtual
paymentDate_ (defined in HaganPricer) | HaganPricer | protected
precision_ (defined in NumericHaganPricer) | NumericHaganPricer |
rateCurve_ (defined in HaganPricer) | HaganPricer | protected
refineIntegration(Real integralValue, const ConundrumIntegrand &integrand) const (defined in NumericHaganPricer) | NumericHaganPricer |
refiningIntegrationTolerance_ (defined in NumericHaganPricer) | NumericHaganPricer |
registerWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer |
registerWithObservables(const ext::shared_ptr< Observer > &) | Observer |
requiredStdDeviations_ (defined in NumericHaganPricer) | NumericHaganPricer |
resetUpperLimit(Real stdDeviationsForUpperLimit) const (defined in NumericHaganPricer) | NumericHaganPricer |
set_type typedef (defined in Observer) | Observer |
setMeanReversion(const Handle< Quote > &meanReversion) (defined in HaganPricer) | HaganPricer | virtual
setSwaptionVolatility(const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >()) (defined in CmsCouponPricer) | CmsCouponPricer |
spread_ (defined in HaganPricer) | HaganPricer | protected
spreadLegValue_ (defined in HaganPricer) | HaganPricer | protected
stdDeviations() const (defined in NumericHaganPricer) | NumericHaganPricer |
stdDeviationsForUpperLimit_ (defined in NumericHaganPricer) | NumericHaganPricer |
swapletPrice() const (defined in NumericHaganPricer) | NumericHaganPricer | virtual
swapletRate() const (defined in HaganPricer) | HaganPricer | virtual
swapRateValue_ (defined in HaganPricer) | HaganPricer | protected
swapTenor_ (defined in HaganPricer) | HaganPricer | protected
swaptionVolatility() const (defined in CmsCouponPricer) | CmsCouponPricer |
unregisterWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer |
unregisterWithAll() (defined in Observer) | Observer |
update() | FloatingRateCouponPricer | virtual
upperLimit() const (defined in NumericHaganPricer) | NumericHaganPricer |
upperLimit_ (defined in NumericHaganPricer) | NumericHaganPricer | mutable
vanillaOptionPricer_ (defined in HaganPricer) | HaganPricer | protected
~FloatingRateCouponPricer() (defined in FloatingRateCouponPricer) | FloatingRateCouponPricer | virtual
~MeanRevertingPricer() (defined in MeanRevertingPricer) | MeanRevertingPricer | virtual
~Observable() (defined in Observable) | Observable | virtual
~Observer() (defined in Observer) | Observer | virtual