QuantLib: Member List

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

Gsr Member List

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

alwaysForward_ (defined in LazyObject) | LazyObject | protected
alwaysForwardNotifications() | LazyObject |
arguments_ (defined in CalibratedModel) | CalibratedModel | protected
calculate() const | LazyObject | protectedvirtual
calculated_ (defined in LazyObject) | LazyObject | mutableprotected
calibrate(const std::vector< ext::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
calibrate(const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &, 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 |
calibrateReversionsIterative(const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) (defined in Gsr) | Gsr |
calibrateVolatilitiesIterative(const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) (defined in Gsr) | Gsr |
constraint() const (defined in CalibratedModel) | CalibratedModel |
constraint_ (defined in CalibratedModel) | CalibratedModel | protected
deepUpdate() | Observer | virtual
endCriteria() const | CalibratedModel |
enforcesTodaysHistoricFixings_ (defined in Gaussian1dModel) | Gaussian1dModel | mutableprotected
evaluationDate_ (defined in Gaussian1dModel) | Gaussian1dModel | mutableprotected
FixedReversions() (defined in Gsr) | Gsr |
FixedVolatilities() (defined in Gsr) | Gsr |
forwardRate(const Date &fixing, const Date &referenceDate=Null< Date >(), Real y=0.0, const ext::shared_ptr< IborIndex > &iborIdx=ext::shared_ptr< IborIndex >()) const (defined in Gaussian1dModel) | Gaussian1dModel |
freeze() | LazyObject |
frozen_ (defined in LazyObject) | LazyObject | protected
functionEvaluation() const (defined in CalibratedModel) | CalibratedModel |
functionEvaluation_ (defined in CalibratedModel) | CalibratedModel | protected
Gaussian1dModel(const Handle< YieldTermStructure > &yieldTermStructure) (defined in Gaussian1dModel) | Gaussian1dModel | protected
gaussianPolynomialIntegral(Real a, Real b, Real c, Real d, Real e, Real x0, Real x1) | Gaussian1dModel | static
gaussianShiftedPolynomialIntegral(Real a, Real b, Real c, Real d, Real e, Real h, Real x0, Real x1) | Gaussian1dModel | static
generateArguments() (defined in Gsr) | Gsr | protectedvirtual
Gsr(const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Real > &volatilities, Real reversion, Real T=60.0) (defined in Gsr) | Gsr |
Gsr(const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Real > &volatilities, const std::vector< Real > &reversions, Real T=60.0) (defined in Gsr) | Gsr |
Gsr(const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Handle< Quote > > &volatilities, const Handle< Quote > &reversion, Real T=60.0) (defined in Gsr) | Gsr |
Gsr(const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Handle< Quote > > &volatilities, const std::vector< Handle< Quote > > &reversions, Real T=60.0) (defined in Gsr) | Gsr |
iterator typedef (defined in Observer) | Observer |
LazyObject() (defined in LazyObject) | LazyObject |
MoveReversion(Size i) (defined in Gsr) | Gsr |
MoveVolatility(Size i) (defined in Gsr) | Gsr |
notifyObservers() | Observable |
numeraire(Time t, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const (defined in Gaussian1dModel) | Gaussian1dModel |
numeraire(const Date &referenceDate, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const (defined in Gaussian1dModel) | Gaussian1dModel |
numeraireImpl(Time t, Real y, const Handle< YieldTermStructure > &yts) const (defined in Gsr) | Gsr | protectedvirtual
numeraireTime() const (defined in Gsr) | Gsr |
numeraireTime(Real T) (defined in Gsr) | Gsr |
Observable() (defined in Observable) | Observable |
Observable(const Observable &) (defined in Observable) | Observable |
Observer() (defined in Observer) | Observer |
Observer(const Observer &) (defined in Observer) | Observer |
QuantLib::operator=(const Observable &) | Observable |
operator=(const Observer &) (defined in Observer) | Observer |
params() const | CalibratedModel |
performCalculations() const | Gsr | protectedvirtual
problemValues() const | CalibratedModel |
problemValues_ (defined in CalibratedModel) | CalibratedModel | protected
recalculate() | LazyObject |
registerWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer |
registerWithObservables(const ext::shared_ptr< Observer > &) | Observer |
reversion() const (defined in Gsr) | Gsr |
set_type typedef (defined in Observer) | Observer |
setParams(const Array &params) (defined in CalibratedModel) | CalibratedModel | virtual
shortRateEndCriteria_ (defined in CalibratedModel) | CalibratedModel | protected
stateProcess() const (defined in Gaussian1dModel) | Gaussian1dModel |
stateProcess_ (defined in Gaussian1dModel) | Gaussian1dModel | protected
swapAnnuity(const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), Real y=0.0, const ext::shared_ptr< SwapIndex > &swapIdx=ext::shared_ptr< SwapIndex >()) const (defined in Gaussian1dModel) | Gaussian1dModel |
swapRate(const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), Real y=0.0, const ext::shared_ptr< SwapIndex > &swapIdx=ext::shared_ptr< SwapIndex >()) const (defined in Gaussian1dModel) | Gaussian1dModel |
termStructure() const (defined in TermStructureConsistentModel) | TermStructureConsistentModel |
TermStructureConsistentModel(const Handle< YieldTermStructure > &termStructure) (defined in TermStructureConsistentModel) | TermStructureConsistentModel |
underlyingSwap(const ext::shared_ptr< SwapIndex > &index, const Date &expiry, const Period &tenor) const (defined in Gaussian1dModel) | Gaussian1dModel | protected
unfreeze() | LazyObject |
unregisterWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer |
unregisterWithAll() (defined in Observer) | Observer |
update() | Gsr | protectedvirtual
value(const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &) (defined in CalibratedModel) | CalibratedModel |
value(const Array &params, const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &) | CalibratedModel |
volatility() const (defined in Gsr) | Gsr |
yGrid(Real yStdDevs, int gridPoints, Real T=1.0, Real t=0, Real y=0) const | Gaussian1dModel |
zerobond(Time T, Time t=0.0, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const (defined in Gaussian1dModel) | Gaussian1dModel |
zerobond(const Date &maturity, const Date &referenceDate=Null< Date >(), Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const (defined in Gaussian1dModel) | Gaussian1dModel |
zerobondImpl(Time T, Time t, Real y, const Handle< YieldTermStructure > &yts) const (defined in Gsr) | Gsr | protectedvirtual
zerobondOption(const Option::Type &type, const Date &expiry, const Date &valueDate, const Date &maturity, Rate strike, const Date &referenceDate=Null< Date >(), Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >(), Real yStdDevs=7.0, Size yGridPoints=64, bool extrapolatePayoff=true, bool flatPayoffExtrapolation=false) const (defined in Gaussian1dModel) | Gaussian1dModel |
~Gaussian1dModel() (defined in Gaussian1dModel) | Gaussian1dModel | protectedvirtual
~LazyObject() (defined in LazyObject) | LazyObject | virtual
~Observable() (defined in Observable) | Observable | virtual
~Observer() (defined in Observer) | Observer | virtual