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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 MarkovFunctional, including all inherited members.
| alwaysForward_ (defined in LazyObject) | LazyObject | protected |
| alwaysForwardNotifications() | LazyObject | |
| 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< ext::shared_ptr< CalibrationHelper > > &helpers, 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 >()) override | MarkovFunctional | virtual |
| calibrate(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 >(), const std::vector< bool > &fixParameters=std::vector< bool >()) (defined in MarkovFunctional) | MarkovFunctional | |
| CalibratedModel(Size nArguments) (defined in CalibratedModel) | CalibratedModel | |
| 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 |
| FixedFirstVolatility() const (defined in MarkovFunctional) | MarkovFunctional | protected |
| forceArbitrageIndices(const std::vector< std::pair< Size, Size > > &indices) (defined in MarkovFunctional) | MarkovFunctional | |
| forwardFirstNotificationOnly() | LazyObject | |
| forwardRate(const Date &fixing, const Date &referenceDate=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() override (defined in MarkovFunctional) | MarkovFunctional | protectedvirtual |
| isCalculated() const | LazyObject | |
| iterator typedef (defined in Observer) | Observer | |
| LazyObject() (defined in LazyObject) | LazyObject | |
| MarkovFunctional(const Handle< YieldTermStructure > &termStructure, Real reversion, std::vector< Date > volstepdates, std::vector< Real > volatilities, const Handle< SwaptionVolatilityStructure > &swaptionVol, const std::vector< Date > &swaptionExpiries, const std::vector< Period > &swaptionTenors, const ext::shared_ptr< SwapIndex > &swapIndexBase, MarkovFunctional::ModelSettings modelSettings=ModelSettings()) (defined in MarkovFunctional) | MarkovFunctional | |
| MarkovFunctional(const Handle< YieldTermStructure > &termStructure, Real reversion, std::vector< Date > volstepdates, std::vector< Real > volatilities, const Handle< OptionletVolatilityStructure > &capletVol, const std::vector< Date > &capletExpiries, ext::shared_ptr< IborIndex > iborIndex, MarkovFunctional::ModelSettings modelSettings=ModelSettings()) (defined in MarkovFunctional) | MarkovFunctional | |
| modelOutputs() const (defined in MarkovFunctional) | MarkovFunctional | |
| modelSettings() const (defined in MarkovFunctional) | MarkovFunctional | |
| 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 | |
| numeraireDate() const (defined in MarkovFunctional) | MarkovFunctional | |
| numeraireImpl(Time t, Real y, const Handle< YieldTermStructure > &yts) const override (defined in MarkovFunctional) | MarkovFunctional | protectedvirtual |
| numeraireTime() const (defined in MarkovFunctional) | MarkovFunctional | |
| 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 | |
| QuantLib::operator=(const Observable &) | Observable | |
| operator=(Observable &&)=delete (defined in Observable) | Observable | |
| operator=(const Observer &) (defined in Observer) | Observer | |
| params() const | CalibratedModel | |
| performCalculations() const override | MarkovFunctional | 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 | |
| setParams(const Array ¶ms) (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=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=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(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() override | MarkovFunctional | virtual |
| value(const Array ¶ms, const std::vector< ext::shared_ptr< CalibrationHelper > > &) (defined in CalibratedModel) | CalibratedModel | |
| volatility() const (defined in MarkovFunctional) | MarkovFunctional | |
| 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=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 override (defined in MarkovFunctional) | MarkovFunctional | protectedvirtual |
| zerobondOption(const Option::Type &type, const Date &expiry, const Date &valueDate, const Date &maturity, Rate strike, const Date &referenceDate=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 | |
| ~LazyObject() override=default (defined in LazyObject) | LazyObject | |
| ~Observable()=default (defined in Observable) | Observable | virtual |
| ~Observer() (defined in Observer) | Observer | virtual |