QuantLib: Member List

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

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MarkovFunctional Member List

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

arbitrageIndices() const (defined in MarkovFunctional) | MarkovFunctional |
arguments_ (defined in CalibratedModel) | CalibratedModel | protected
calculate() const | LazyObject | protectedvirtual
calculated_ (defined in LazyObject) | LazyObject | mutableprotected
calibrate(const std::vector< boost::shared_ptr< CalibrationHelper > > &helper, 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 >()) | MarkovFunctional | virtual
CalibratedModel(Size nArguments) (defined in CalibratedModel) | CalibratedModel |
constraint() const (defined in CalibratedModel) | CalibratedModel |
constraint_ (defined in CalibratedModel) | CalibratedModel | protected
endCriteria() const | CalibratedModel |
enforcesTodaysHistoricFixings_ (defined in Gaussian1dModel) | Gaussian1dModel | mutableprotected
evaluationDate_ (defined in Gaussian1dModel) | Gaussian1dModel | mutableprotected
FixedFirstVolatility() const (defined in MarkovFunctional) | MarkovFunctional | protected
forceArbitrageIndices(const std::vector< std::pair< Size, Size > > &indices) (defined in MarkovFunctional) | MarkovFunctional |
forwardRate(const Date &fixing, const Date &referenceDate=Null< Date >(), const Real y=0.0, boost::shared_ptr< IborIndex > iborIdx=boost::shared_ptr< IborIndex >()) const (defined in Gaussian1dModel) | Gaussian1dModel |
freeze() | LazyObject |
frozen_ (defined in LazyObject) | LazyObject | mutableprotected
Gaussian1dModel(const Handle< YieldTermStructure > &yieldTermStructure) (defined in Gaussian1dModel) | Gaussian1dModel | protected
gaussianPolynomialIntegral(const Real a, const Real b, const Real c, const Real d, const Real e, const Real x0, const Real x1) | Gaussian1dModel | static
gaussianShiftedPolynomialIntegral(const Real a, const Real b, const Real c, const Real d, const Real e, const Real h, const Real x0, const Real x1) | Gaussian1dModel | static
generateArguments() (defined in MarkovFunctional) | MarkovFunctional | protectedvirtual
LazyObject() (defined in LazyObject) | LazyObject |
MarkovFunctional(const Handle< YieldTermStructure > &termStructure, const Real reversion, const std::vector< Date > &volstepdates, const std::vector< Real > &volatilities, const Handle< SwaptionVolatilityStructure > &swaptionVol, const std::vector< Date > &swaptionExpiries, const std::vector< Period > &swaptionTenors, const boost::shared_ptr< SwapIndex > &swapIndexBase, const MarkovFunctional::ModelSettings &modelSettings=ModelSettings()) (defined in MarkovFunctional) | MarkovFunctional |
MarkovFunctional(const Handle< YieldTermStructure > &termStructure, const Real reversion, const std::vector< Date > &volstepdates, const std::vector< Real > &volatilities, const Handle< OptionletVolatilityStructure > &capletVol, const std::vector< Date > &capletExpiries, const boost::shared_ptr< IborIndex > &iborIndex, const MarkovFunctional::ModelSettings &modelSettings=ModelSettings()) (defined in MarkovFunctional) | MarkovFunctional |
modelOutputs() const (defined in MarkovFunctional) | MarkovFunctional |
modelSettings() const (defined in MarkovFunctional) | MarkovFunctional |
notifyObservers() | Observable |
numeraire(const Time t, const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const (defined in Gaussian1dModel) | Gaussian1dModel |
numeraire(const Date &referenceDate, const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const (defined in Gaussian1dModel) | Gaussian1dModel |
numeraireDate() const (defined in MarkovFunctional) | MarkovFunctional |
numeraireImpl(const Time t, const Real y, const Handle< YieldTermStructure > &yts) const (defined in MarkovFunctional) | MarkovFunctional | protectedvirtual
numeraireTime() const (defined in MarkovFunctional) | MarkovFunctional |
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 | MarkovFunctional | protectedvirtual
recalculate() | LazyObject |
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer |
registerWithObservables(const boost::shared_ptr< 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 >(), const Real y=0.0, boost::shared_ptr< SwapIndex > swapIdx=boost::shared_ptr< SwapIndex >()) const (defined in Gaussian1dModel) | Gaussian1dModel |
swapRate(const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), const Real y=0.0, boost::shared_ptr< SwapIndex > swapIdx=boost::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 boost::shared_ptr< SwapIndex > &index, const Date &expiry, const Period &tenor) const (defined in Gaussian1dModel) | Gaussian1dModel | protected
unfreeze() | LazyObject |
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer |
unregisterWithAll() (defined in Observer) | Observer |
update() | MarkovFunctional | virtual
value(const Array &params, const std::vector< boost::shared_ptr< CalibrationHelper > > &) (defined in CalibratedModel) | CalibratedModel |
volatility() const (defined in MarkovFunctional) | MarkovFunctional |
yGrid(const Real yStdDevs, const int gridPoints, const Real T=1.0, const Real t=0, const Real y=0) const | Gaussian1dModel |
zerobond(const Time T, const Time t=0.0, const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const (defined in Gaussian1dModel) | Gaussian1dModel |
zerobond(const Date &maturity, const Date &referenceDate=Null< Date >(), const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const (defined in Gaussian1dModel) | Gaussian1dModel |
zerobondImpl(const Time T, const Time t, const Real y, const Handle< YieldTermStructure > &yts) const (defined in MarkovFunctional) | MarkovFunctional | protectedvirtual
zerobondOption(const Option::Type &type, const Date &expiry, const Date &valueDate, const Date &maturity, const Rate strike, const Date &referenceDate=Null< Date >(), const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >(), const Real yStdDevs=7.0, const Size yGridPoints=64, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false) const (defined in Gaussian1dModel) | Gaussian1dModel |
ZeroHelper (defined in MarkovFunctional) | MarkovFunctional | friend
~Gaussian1dModel() (defined in Gaussian1dModel) | Gaussian1dModel | protectedvirtual
~LazyObject() (defined in LazyObject) | LazyObject | virtual
~Observable() (defined in Observable) | Observable | virtual
~Observer() (defined in Observer) | Observer | virtual