QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.38
Loading...
Searching...
No Matches
MarkovFunctional Member List

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

alwaysForward_LazyObjectprotected
alwaysForwardNotifications()LazyObject
arbitrageIndices() constMarkovFunctional
arbitrageIndices_MarkovFunctionalmutableprivate
arguments_CalibratedModelprotected
calculate() constLazyObjectprotectedvirtual
calculated_LazyObjectmutableprotected
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 >()) overrideMarkovFunctionalvirtual
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 >())MarkovFunctional
CalibratedModel(Size nArguments)CalibratedModel
calibrationPoints_MarkovFunctionalmutableprivate
capletCalibrated_MarkovFunctionalprivate
capletExpiries_MarkovFunctionalprivate
capletPriceInternal(const Option::Type &type, const Date &expiry, Rate strike, const Date &referenceDate=Date(), Real y=0.0, bool zeroFixingDays=false, ext::shared_ptr< IborIndex > iborIdx=ext::shared_ptr< IborIndex >()) constMarkovFunctionalprivate
capletVol_MarkovFunctionalprivate
constraint() constCalibratedModel
constraint_CalibratedModelprotected
deepUpdate()Observervirtual
deflatedZerobond(Time T, Time t=0.0, Real y=0.0) constMarkovFunctionalprivate
deflatedZerobondArray(Time T, Time t, const Array &y) constMarkovFunctionalprivate
discreteNumeraire_MarkovFunctionalprivate
endCriteria() constCalibratedModel
enforcesTodaysHistoricFixings_Gaussian1dModelmutableprotected
evaluationDate_Gaussian1dModelmutableprotected
FixedFirstVolatility() constMarkovFunctionalprotected
forceArbitrageIndices(const std::vector< std::pair< Size, Size > > &indices)MarkovFunctional
forcedArbitrageIndices_MarkovFunctionalprivate
forwardFirstNotificationOnly()LazyObject
forwardRate(const Date &fixing, const Date &referenceDate=Date(), Real y=0.0, const ext::shared_ptr< IborIndex > &iborIdx=ext::shared_ptr< IborIndex >()) constGaussian1dModel
forwardRateInternal(const Date &fixing, const Date &referenceDate=Date(), Real y=0.0, bool zeroFixingDays=false, ext::shared_ptr< IborIndex > iborIdx=ext::shared_ptr< IborIndex >()) constMarkovFunctionalprivate
freeze()LazyObject
frozen_LazyObjectprotected
functionEvaluation() constCalibratedModel
functionEvaluation_CalibratedModelprotected
Gaussian1dModel(const Handle< YieldTermStructure > &yieldTermStructure)Gaussian1dModelprotected
gaussianPolynomialIntegral(Real a, Real b, Real c, Real d, Real e, Real x0, Real x1)Gaussian1dModelstatic
gaussianShiftedPolynomialIntegral(Real a, Real b, Real c, Real d, Real e, Real h, Real x0, Real x1)Gaussian1dModelstatic
generateArguments() overrideMarkovFunctionalprotectedvirtual
iborIndex_MarkovFunctionalprivate
initialize()MarkovFunctionalprivate
isCalculated() constLazyObject
QuantLib::iterator typedefObservableprivate
QuantLib::LazyObject::QuantLib::Observer::iterator typedefObserver
LazyObject()LazyObject
makeCapletCalibrationPoint(const Date &expiry)MarkovFunctionalprivate
makeSwaptionCalibrationPoint(const Date &expiry, const Period &tenor)MarkovFunctionalprivate
marketDigitalPrice(const Date &expiry, const CalibrationPoint &p, const Option::Type &type, Real strike) constMarkovFunctionalprivate
marketSwapRate(const Date &expiry, const CalibrationPoint &p, Real digitalPrice, Real guess=0.03, Real shift=0.0) constMarkovFunctionalprivate
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())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())MarkovFunctional
modelOutputs() constMarkovFunctional
modelOutputs_MarkovFunctionalmutableprivate
modelSettings() constMarkovFunctional
modelSettings_MarkovFunctionalprivate
normalIntegralW_MarkovFunctionalprivate
normalIntegralX_MarkovFunctionalprivate
notifyObservers()Observable
numeraire(Time t, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) constGaussian1dModel
numeraire(const Date &referenceDate, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) constGaussian1dModel
numeraire_MarkovFunctionalprivate
numeraireArray(Time t, const Array &y) constMarkovFunctionalprivate
numeraireDate() constMarkovFunctional
numeraireDate_MarkovFunctionalprivate
numeraireImpl(Time t, Real y, const Handle< YieldTermStructure > &yts) const overrideMarkovFunctionalprotectedvirtual
numeraireTime() constMarkovFunctional
numeraireTime_MarkovFunctionalmutableprivate
Observable()=defaultObservable
Observable(const Observable &)Observable
Observable(Observable &&)=deleteObservable
observables_Observerprivate
Observer()=defaultObserver
QuantLib::Observer::Observer(const Observer &)Observer
observers_Observableprivate
QuantLib::operator=(const Observable &)Observable
QuantLib::operator=(Observable &&)=deleteObservable
QuantLib::LazyObject::QuantLib::Observer::operator=(const Observer &)Observer
params() constCalibratedModel
performCalculations() const overrideMarkovFunctionalprotectedvirtual
problemValues() constCalibratedModel
problemValues_CalibratedModelprotected
recalculate()LazyObject
registerObserver(Observer *)Observableprivate
registerWith(const ext::shared_ptr< Observable > &)Observer
registerWithObservables(const ext::shared_ptr< Observer > &)Observer
reversion_MarkovFunctionalprivate
QuantLib::set_type typedefObservableprivate
setParams(const Array &params)CalibratedModelvirtual
shortRateEndCriteria_CalibratedModelprotected
sigma_MarkovFunctionalprivate
stateProcess() constGaussian1dModel
stateProcess_Gaussian1dModelprotected
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 >()) constGaussian1dModel
swapAnnuityInternal(const Date &fixing, const Period &tenor, const Date &referenceDate=Date(), Real y=0.0, bool zeroFixingDays=false, ext::shared_ptr< SwapIndex > swapIdx=ext::shared_ptr< SwapIndex >()) constMarkovFunctionalprivate
swapCache_Gaussian1dModelmutableprivate
swapIndexBase_MarkovFunctionalprivate
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 >()) constGaussian1dModel
swapRateInternal(const Date &fixing, const Period &tenor, const Date &referenceDate=Date(), Real y=0.0, bool zeroFixingDays=false, ext::shared_ptr< SwapIndex > swapIdx=ext::shared_ptr< SwapIndex >()) constMarkovFunctionalprivate
swaptionExpiries_MarkovFunctionalprivate
swaptionPriceInternal(const Option::Type &type, const Date &expiry, const Period &tenor, Rate strike, const Date &referenceDate=Date(), Real y=0.0, bool zeroFixingDays=false, const ext::shared_ptr< SwapIndex > &swapIdx=ext::shared_ptr< SwapIndex >()) constMarkovFunctionalprivate
swaptionTenors_MarkovFunctionalprivate
swaptionVol_MarkovFunctionalprivate
termStructure() constTermStructureConsistentModel
termStructure_TermStructureConsistentModelprivate
TermStructureConsistentModel(Handle< YieldTermStructure > termStructure)TermStructureConsistentModel
times_MarkovFunctionalmutableprivate
underlyingSwap(const ext::shared_ptr< SwapIndex > &index, const Date &expiry, const Period &tenor) constGaussian1dModelprotected
unfreeze()LazyObject
unregisterObserver(Observer *)Observableprivate
unregisterWith(const ext::shared_ptr< Observable > &)Observer
unregisterWithAll()Observer
update() overrideMarkovFunctionalvirtual
updateNumeraireTabulation() constMarkovFunctionalprivate
updateSmiles() constMarkovFunctionalprivate
updateTimes() constMarkovFunctionalprivate
updateTimes1() constMarkovFunctionalprivate
updateTimes2() constMarkovFunctionalprivate
updating_LazyObjectprivate
value(const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)CalibratedModel
volatilities_MarkovFunctionalprivate
volatility() constMarkovFunctional
volstepdates_MarkovFunctionalprivate
volsteptimes_MarkovFunctionalmutableprivate
volsteptimesArray_MarkovFunctionalmutableprivate
y_MarkovFunctionalprivate
yGrid(Real yStdDevs, int gridPoints, Real T=1.0, Real t=0, Real y=0) constGaussian1dModel
zerobond(Time T, Time t=0.0, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) constGaussian1dModel
zerobond(const Date &maturity, const Date &referenceDate=Date(), Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) constGaussian1dModel
zerobondArray(Time T, Time t, const Array &y) constMarkovFunctionalprivate
zerobondImpl(Time T, Time t, Real y, const Handle< YieldTermStructure > &yts) const overrideMarkovFunctionalprotectedvirtual
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) constGaussian1dModel
~LazyObject() override=defaultLazyObject
~Observable()=defaultObservablevirtual
~Observer()Observervirtual
Generated by Doxygen 1.9.5