QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.38
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GeneralizedHullWhite Member List

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

a() constGeneralizedHullWhiteprotected
A(Time t, Time T) const overrideGeneralizedHullWhiteprotectedvirtual
a_GeneralizedHullWhiteprivate
arguments_CalibratedModelprotected
B(Time t, Time T) const overrideGeneralizedHullWhiteprotectedvirtual
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 >())CalibratedModelvirtual
CalibratedModel(Size nArguments)CalibratedModel
constraint() constCalibratedModel
constraint_CalibratedModelprotected
deepUpdate()Observervirtual
discount(Time t) const overrideOneFactorAffineModelvirtual
discountBond(Time now, Time maturity, Array factors) const overrideOneFactorAffineModelvirtual
discountBond(Time now, Time maturity, Rate rate) constOneFactorAffineModel
discountBondOption(Option::Type type, Real strike, Time maturity, Time bondMaturity) const overrideGeneralizedHullWhitevirtual
QuantLib::OneFactorAffineModel::discountBondOption(Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) constAffineModelvirtual
dynamics() const overrideGeneralizedHullWhitevirtual
endCriteria() constCalibratedModel
f_GeneralizedHullWhiteprivate
fInverse_GeneralizedHullWhiteprivate
fixedReversion() constGeneralizedHullWhite
functionEvaluation() constCalibratedModel
functionEvaluation_CalibratedModelprotected
GeneralizedHullWhite(const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure, const std::vector< Real > &speed, const std::vector< Real > &vol, const std::function< Real(Real)> &f={}, const std::function< Real(Real)> &fInverse={})GeneralizedHullWhite
GeneralizedHullWhite(const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure, const std::vector< Real > &speed, const std::vector< Real > &vol, const SpeedInterpolationTraits &speedtraits, const VolInterpolationTraits &voltraits, const std::function< Real(Real)> &f={}, const std::function< Real(Real)> &fInverse={})GeneralizedHullWhite
GeneralizedHullWhite(const Handle< YieldTermStructure > &yieldtermStructure, Real a=0.1, Real sigma=0.01)GeneralizedHullWhite
generateArguments() overrideGeneralizedHullWhiteprotectedvirtual
HWdynamics() constGeneralizedHullWhite
identity(Real x)GeneralizedHullWhiteprivatestatic
initialize(const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure, const std::vector< Real > &speed, const std::vector< Real > &vol, const SpeedInterpolationTraits &speedtraits, const VolInterpolationTraits &voltraits, const std::function< Real(Real)> &f, const std::function< Real(Real)> &fInverse)GeneralizedHullWhiteprivate
QuantLib::iterator typedefObserver
notifyObservers()Observable
Observable()=defaultObservable
Observable(const Observable &)Observable
Observable(Observable &&)=deleteObservable
observables_Observerprivate
QuantLib::Observer()=defaultObserver
QuantLib::Observer(const Observer &)Observer
observers_Observableprivate
OneFactorAffineModel(Size nArguments)OneFactorAffineModelexplicit
OneFactorModel(Size nArguments)OneFactorModelexplicit
QuantLib::operator=(const Observer &)Observer
QuantLib::Observable::operator=(const Observable &)Observable
QuantLib::Observable::operator=(Observable &&)=deleteObservable
params() constCalibratedModel
phi_GeneralizedHullWhiteprivate
problemValues() constCalibratedModel
problemValues_CalibratedModelprotected
registerObserver(Observer *)Observableprivate
registerWith(const ext::shared_ptr< Observable > &)Observer
registerWithObservables(const ext::shared_ptr< Observer > &)Observer
QuantLib::set_type typedefObserverprivate
setParams(const Array &params)CalibratedModelvirtual
shortRateEndCriteria_CalibratedModelprotected
ShortRateModel(Size nArguments)ShortRateModelexplicit
sigma() constGeneralizedHullWhiteprotected
sigma_GeneralizedHullWhiteprivate
speed() constGeneralizedHullWhiteprivate
speed_GeneralizedHullWhiteprivate
speedperiods_GeneralizedHullWhiteprivate
speedstructure_GeneralizedHullWhiteprivate
termStructure() constTermStructureConsistentModel
termStructure_TermStructureConsistentModelprivate
TermStructureConsistentModel(Handle< YieldTermStructure > termStructure)TermStructureConsistentModel
tree(const TimeGrid &grid) const overrideGeneralizedHullWhitevirtual
unregisterObserver(Observer *)Observableprivate
unregisterWith(const ext::shared_ptr< Observable > &)Observer
unregisterWithAll()Observer
update() overrideCalibratedModelvirtual
V(Time t, Time T) constGeneralizedHullWhiteprotected
value(const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)CalibratedModel
vol() constGeneralizedHullWhiteprivate
vol_GeneralizedHullWhiteprivate
volperiods_GeneralizedHullWhiteprivate
volstructure_GeneralizedHullWhiteprivate
~Observable()=defaultObservablevirtual
~Observer()Observervirtual
~OneFactorModel() override=defaultOneFactorModel
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