A free/open-source library for quantitative finance
MarkovFunctional Member List
This is the complete list of members for MarkovFunctional, including all inherited members.
| arguments_ (defined in CalibratedModel) | CalibratedModel | protected |
| calculate() const | LazyObject | protectedvirtual |
| calculated_ (defined in LazyObject) | LazyObject | mutableprotected |
| calibrate(const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | CalibratedModel | |
| CalibratedModel(Size nArguments) (defined in CalibratedModel) | CalibratedModel | |
| capletPrice(const Option::Type &type, const Date &expiry, const Rate strike, const Date &referenceDate=Null< Date >(), const Real y=0.0, const bool zeroFixingDays=false, boost::shared_ptr< IborIndex > iborIdx=boost::shared_ptr< IborIndex >()) const (defined in MarkovFunctional) | MarkovFunctional | |
| constraint() const (defined in CalibratedModel) | CalibratedModel | |
| constraint_ (defined in CalibratedModel) | CalibratedModel | protected |
| deflatedZerobond(const Time T, const Time t=0.0, const Real y=0.0) const (defined in MarkovFunctional) | MarkovFunctional | |
| deflatedZerobond(const Time T, const Time t, const Array &y) const (defined in MarkovFunctional) | MarkovFunctional | |
| endCriteria() | CalibratedModel | |
| forwardRate(const Date &fixing, const Date &referenceDate=Null< Date >(), const Real y=0.0, const bool zeroFixingDays=false, boost::shared_ptr< IborIndex > iborIdx=boost::shared_ptr< IborIndex >()) const (defined in MarkovFunctional) | MarkovFunctional | |
| freeze() | LazyObject | |
| frozen_ (defined in LazyObject) | LazyObject | mutableprotected |
| gaussianPolynomialIntegral(const Real a, const Real b, const Real c, const Real d, const Real e, const Real x0, const Real x1) const | MarkovFunctional | |
| gaussianShiftedPolynomialIntegral(const Real a, const Real b, const Real c, const Real d, const Real e, const Real h, const Real x0, const Real x1) const | MarkovFunctional | |
| generateArguments() (defined in MarkovFunctional) | MarkovFunctional | protectedvirtual |
| LazyObject() (defined in LazyObject) | LazyObject | |
| MarkovFunctional(const Handle< YieldTermStructure > &termStructure, const Real reversion, const std::vector< Date > &volstepdates, const std::vector< Real > &volatilities, const Handle< SwaptionVolatilityStructure > &swaptionVol, const std::vector< Date > &swaptionExpiries, const std::vector< Period > &swaptionTenors, const boost::shared_ptr< SwapIndex > &swapIndexBase, const MarkovFunctional::ModelSettings &modelSettings=ModelSettings()) (defined in MarkovFunctional) | MarkovFunctional | |
| MarkovFunctional(const Handle< YieldTermStructure > &termStructure, const Real reversion, const std::vector< Date > &volstepdates, const std::vector< Real > &volatilities, const Handle< OptionletVolatilityStructure > &capletVol, const std::vector< Date > &capletExpiries, const boost::shared_ptr< IborIndex > &iborIndex, const MarkovFunctional::ModelSettings &modelSettings=ModelSettings()) (defined in MarkovFunctional) | MarkovFunctional | |
| modelOutputs() const (defined in MarkovFunctional) | MarkovFunctional | |
| modelSettings() const (defined in MarkovFunctional) | MarkovFunctional | |
| notifyObservers() | Observable | |
| numeraire(const Time t, const Real y=0.0) const (defined in MarkovFunctional) | MarkovFunctional | |
| numeraire(const Time t, const Array &y) const (defined in MarkovFunctional) | MarkovFunctional | |
| numeraireDate() const (defined in MarkovFunctional) | MarkovFunctional | |
| numeraireTime() const (defined in MarkovFunctional) | MarkovFunctional | |
| Observable() (defined in Observable) | Observable | |
| Observable(const Observable &) (defined in Observable) | Observable | |
| Observer() (defined in Observer) | Observer | |
| Observer(const Observer &) (defined in Observer) | Observer | |
| QuantLib::operator=(const Observable &) | Observable | |
| operator=(const Observer &) (defined in Observer) | Observer | |
| params() const | CalibratedModel | |
| performCalculations() const | MarkovFunctional | virtual |
| recalculate() | LazyObject | |
| registerWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer | |
| setParams(const Array ¶ms) (defined in CalibratedModel) | CalibratedModel | virtual |
| shortRateEndCriteria_ (defined in CalibratedModel) | CalibratedModel | protected |
| stateProcess() const (defined in MarkovFunctional) | MarkovFunctional | |
| swapAnnuity(const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), const Real y=0.0, const bool zeroFixingDays=false, boost::shared_ptr< SwapIndex > swapIdx=boost::shared_ptr< SwapIndex >()) const (defined in MarkovFunctional) | MarkovFunctional | |
| swapRate(const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), const Real y=0.0, const bool zeroFixingDays=false, boost::shared_ptr< SwapIndex > swapIdx=boost::shared_ptr< SwapIndex >()) const (defined in MarkovFunctional) | MarkovFunctional | |
| swaptionPrice(const Option::Type &type, const Date &expiry, const Period &tenor, const Rate strike, const Date &referenceDate=Null< Date >(), const Real y=0.0, const bool zeroFixingDays=false, boost::shared_ptr< SwapIndex > swapIdx=boost::shared_ptr< SwapIndex >()) const (defined in MarkovFunctional) | MarkovFunctional | |
| termStructure() const (defined in TermStructureConsistentModel) | TermStructureConsistentModel | |
| TermStructureConsistentModel(const Handle< YieldTermStructure > &termStructure) (defined in TermStructureConsistentModel) | TermStructureConsistentModel | |
| unfreeze() | LazyObject | |
| unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer | |
| unregisterWithAll() | Observer | |
| update() (defined in MarkovFunctional) | MarkovFunctional | virtual |
| value(const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) (defined in CalibratedModel) | CalibratedModel | |
| yGrid(const Real yStdDevs, const int gridPoints, const Real T=1.0, const Real t=0, const Real y=0) const (defined in MarkovFunctional) | MarkovFunctional | |
| zerobond(const Time T, const Time t=0.0, const Real y=0.0) const (defined in MarkovFunctional) | MarkovFunctional | |
| zerobond(const Date &maturity, const Date &referenceDate=Null< Date >(), const Real y=0.0) const (defined in MarkovFunctional) | MarkovFunctional | |
| zerobondOption(const Option::Type &type, const Date &expiry, const Date &maturity, const Rate strike, const Date &referenceDate=Null< Date >(), const Real y=0.0) const (defined in MarkovFunctional) | MarkovFunctional | |
| ZeroHelper (defined in MarkovFunctional) | MarkovFunctional | friend |
| ~LazyObject() (defined in LazyObject) | LazyObject | virtual |
| ~Observable() (defined in Observable) | Observable | virtual |
| ~Observer() (defined in Observer) | Observer | virtual |