markovfunctional.hpp File Reference

Markov Functional 1 Factor Model. More...

#include <ql/math/interpolation.hpp>
#include <ql/models/shortrate/onefactormodels/gaussian1dmodel.hpp>
#include <ql/processes/mfstateprocess.hpp>
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
#include <utility>

Go to the source code of this file.

Classes
class	MarkovFunctional
class	MarkovFunctional::CustomSmileSection
class	MarkovFunctional::CustomSmileFactory
struct	MarkovFunctional::ModelSettings
struct	MarkovFunctional::CalibrationPoint
struct	MarkovFunctional::ModelOutputs
class	MarkovFunctional::ZeroHelper

Namespaces
namespace	QuantLib

Macros
#define	QL_MFMESSAGE(o, message)

Functions
std::ostream &	operator<< (std::ostream &out, const MarkovFunctional::ModelOutputs &m)

Detailed Description

Markov Functional 1 Factor Model.

Definition in file markovfunctional.hpp.

Macro Definition Documentation

QL_MFMESSAGE

#define QL_MFMESSAGE	(		o,
			message
	)

Value:

    {                                                                          \
        std::ostringstream os;                                                 \
        os << message;                                                         \
        o.messages_.push_back(os.str());                                       \
    }

Definition at line 275 of file markovfunctional.hpp.