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QuantLib: a free/open-source library for quantitative finance
Reference manual - version 1.40
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This is the complete list of members for ExtendedCoxIngersollRoss, including all inherited members.
| A(Time t, Time T) const override (defined in ExtendedCoxIngersollRoss) | ExtendedCoxIngersollRoss | protectedvirtual |
| arguments_ (defined in CalibratedModel) | CalibratedModel | protected |
| B(Time t, Time T) const override (defined in CoxIngersollRoss) | CoxIngersollRoss | protectedvirtual |
| 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 |
| CalibratedModel(Size nArguments) (defined in CalibratedModel) | CalibratedModel | |
| constraint() const (defined in CalibratedModel) | CalibratedModel | |
| constraint_ (defined in CalibratedModel) | CalibratedModel | protected |
| CoxIngersollRoss(Rate r0=0.05, Real theta=0.1, Real k=0.1, Real sigma=0.1, bool withFellerConstraint=true) (defined in CoxIngersollRoss) | CoxIngersollRoss | |
| deepUpdate() | Observer | virtual |
| discount(Time t) const override | OneFactorAffineModel | virtual |
| discountBond(Time now, Time maturity, Array factors) const override (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 override (defined in ExtendedCoxIngersollRoss) | ExtendedCoxIngersollRoss | virtual |
| discountBondOption(Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const (defined in AffineModel) | AffineModel | virtual |
| dynamics() const override | ExtendedCoxIngersollRoss | virtual |
| endCriteria() const | CalibratedModel | |
| ExtendedCoxIngersollRoss(const Handle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05, bool withFellerConstraint=true) (defined in ExtendedCoxIngersollRoss) | ExtendedCoxIngersollRoss | |
| functionEvaluation() const (defined in CalibratedModel) | CalibratedModel | |
| functionEvaluation_ (defined in CalibratedModel) | CalibratedModel | protected |
| generateArguments() override (defined in ExtendedCoxIngersollRoss) | ExtendedCoxIngersollRoss | protectedvirtual |
| iterator typedef (defined in Observer) | Observer | |
| k() const (defined in CoxIngersollRoss) | CoxIngersollRoss | protected |
| notifyObservers() | Observable | |
| Observable()=default (defined in Observable) | Observable | |
| Observable(const Observable &) (defined in Observable) | Observable | |
| Observable(Observable &&)=delete (defined in Observable) | Observable | |
| Observer()=default (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::CalibratedModel::QuantLib::Observable::operator=(const Observable &) | Observable | |
| operator=(Observable &&)=delete (defined in Observable) | Observable | |
| params() const | CalibratedModel | |
| problemValues() const | CalibratedModel | |
| problemValues_ (defined in CalibratedModel) | CalibratedModel | protected |
| registerWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer | |
| registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
| setParams(const Array ¶ms) (defined in CalibratedModel) | CalibratedModel | virtual |
| shortRateEndCriteria_ (defined in CalibratedModel) | CalibratedModel | protected |
| ShortRateModel(Size nArguments) (defined in ShortRateModel) | ShortRateModel | explicit |
| sigma() const (defined in CoxIngersollRoss) | CoxIngersollRoss | protected |
| termStructure() const (defined in TermStructureConsistentModel) | TermStructureConsistentModel | |
| TermStructureConsistentModel(Handle< YieldTermStructure > termStructure) (defined in TermStructureConsistentModel) | TermStructureConsistentModel | |
| theta() const (defined in CoxIngersollRoss) | CoxIngersollRoss | protected |
| tree(const TimeGrid &grid) const override (defined in ExtendedCoxIngersollRoss) | ExtendedCoxIngersollRoss | virtual |
| unregisterWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer | |
| unregisterWithAll() (defined in Observer) | Observer | |
| update() override | CalibratedModel | virtual |
| value(const Array ¶ms, const std::vector< ext::shared_ptr< CalibrationHelper > > &) (defined in CalibratedModel) | CalibratedModel | |
| x0() const (defined in CoxIngersollRoss) | CoxIngersollRoss | protected |
| ~Observable()=default (defined in Observable) | Observable | virtual |
| ~Observer() (defined in Observer) | Observer | virtual |
| ~OneFactorModel() override=default (defined in OneFactorModel) | OneFactorModel |