ShortRateModel Class Reference

Abstract short-rate model class. More...

#include <model.hpp>

Inheritance diagram for ShortRateModel:

Collaboration diagram for ShortRateModel:

Public Member Functions
	ShortRateModel (Size nArguments)
virtual ext::shared_ptr< Lattice >	tree (const TimeGrid &) const =0
Public Member Functions inherited from CalibratedModel
	CalibratedModel (Size nArguments)
void	update () override
virtual void	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 >())
	Calibrate to a set of market instruments (usually caps/swaptions) More...
Real	value (const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)
const ext::shared_ptr< Constraint > &	constraint () const
EndCriteria::Type	endCriteria () const
	Returns end criteria result. More...
const Array &	problemValues () const
	Returns the problem values. More...
Array	params () const
	Returns array of arguments on which calibration is done. More...
virtual void	setParams (const Array &params)
Integer	functionEvaluation () const
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from CalibratedModel
virtual void	generateArguments ()
Protected Attributes inherited from CalibratedModel
std::vector< Parameter >	arguments_
ext::shared_ptr< Constraint >	constraint_
EndCriteria::Type	shortRateEndCriteria_ = EndCriteria::None
Array	problemValues_
Integer	functionEvaluation_

Detailed Description

Abstract short-rate model class.

Definition at line 141 of file model.hpp.

Constructor & Destructor Documentation

ShortRateModel()

ShortRateModel ( Size  nArguments )

explicit

Definition at line 151 of file model.cpp.

Member Function Documentation

tree()

virtual ext::shared_ptr< Lattice > tree ( const TimeGrid &  ) const

pure virtual

Implemented in GeneralizedHullWhite, OneFactorModel, BlackKarasinski, CoxIngersollRoss, ExtendedCoxIngersollRoss, HullWhite, and TwoFactorModel.