QuantLib: Member List

A free/open-source library for quantitative finance Reference manual - version 1.6

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Garch11 Member List

This is the complete list of members for Garch11, including all inherited members.

alpha() const (defined in Garch11) | Garch11 |
BestOfTwo enum value | Garch11 |
beta() const (defined in Garch11) | Garch11 |
calculate(const time_series &quoteSeries) (defined in Garch11) | Garch11 |
calculate(const time_series &quoteSeries, Real alpha, Real beta, Real omega) (defined in Garch11) | Garch11 | static
calibrate(const time_series &quoteSeries) (defined in Garch11) | Garch11 |
calibrate(const time_series &quoteSeries, OptimizationMethod &method, const EndCriteria &endCriteria) (defined in Garch11) | Garch11 |
calibrate(const time_series &quoteSeries, OptimizationMethod &method, const EndCriteria &endCriteria, const Array &initialGuess) (defined in Garch11) | Garch11 |
calibrate(ForwardIterator begin, ForwardIterator end) (defined in Garch11) | Garch11 |
calibrate(ForwardIterator begin, ForwardIterator end, OptimizationMethod &method, EndCriteria endCriteria) (defined in Garch11) | Garch11 |
calibrate(ForwardIterator begin, ForwardIterator end, OptimizationMethod &method, EndCriteria endCriteria, const Array &initialGuess) (defined in Garch11) | Garch11 |
calibrate_r2(Mode mode, const std::vector< Volatility > &r2, Real mean_r2, Real &alpha, Real &beta, Real &omega) | Garch11 | static
calibrate_r2(Mode mode, const std::vector< Volatility > &r2, Real mean_r2, OptimizationMethod &method, const EndCriteria &endCriteria, Real &alpha, Real &beta, Real &omega) | Garch11 | static
calibrate_r2(const std::vector< Volatility > &r2, Real mean_r2, OptimizationMethod &method, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega) | Garch11 | static
calibrate_r2(const std::vector< Volatility > &r2, OptimizationMethod &method, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega) | Garch11 | static
calibrate_r2(const std::vector< Volatility > &r2, Real mean_r2, OptimizationMethod &method, Constraint &constraints, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega) | Garch11 | static
calibrate_r2(const std::vector< Volatility > &r2, OptimizationMethod &method, Constraint &constraints, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega) (defined in Garch11) | Garch11 | static
const_iterator typedef (defined in Garch11) | Garch11 |
const_value_iterator typedef (defined in Garch11) | Garch11 |
costFunction(InputIterator begin, InputIterator end, Real alpha, Real beta, Real omega) (defined in Garch11) | Garch11 | static
DoubleOptimization enum value | Garch11 |
forecast(Real r, Real sigma2) const (defined in Garch11) | Garch11 |
GammaGuess enum value | Garch11 |
Garch11(Real a, Real b, Real vl) (defined in Garch11) | Garch11 |
Garch11(const time_series &qs, Mode mode=BestOfTwo) (defined in Garch11) | Garch11 |
logLikelihood() const (defined in Garch11) | Garch11 |
ltVol() const (defined in Garch11) | Garch11 |
Mode enum name | Garch11 |
mode() const (defined in Garch11) | Garch11 |
MomentMatchingGuess enum value | Garch11 |
omega() const (defined in Garch11) | Garch11 |
time_series typedef (defined in Garch11) | Garch11 |
to_r2(InputIterator begin, InputIterator end, std::vector< Volatility > &r2) (defined in Garch11) | Garch11 | static
~VolatilityCompositor() (defined in VolatilityCompositor) | VolatilityCompositor | virtual