markovfunctional.hpp File Reference

Markov Functional 1 Factor Model. More...

#include <ql/models/model.hpp>
#include <ql/models/parameter.hpp>
#include <ql/math/interpolation.hpp>
#include <ql/math/interpolations/cubicinterpolation.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/instruments/vanillaswap.hpp>
#include <ql/time/date.hpp>
#include <ql/time/period.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/stochasticprocess.hpp>
#include <ql/utilities/null.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/experimental/models/mfstateprocess.hpp>
#include <ql/experimental/models/kahalesmilesection.hpp>
#include <ql/experimental/models/atmadjustedsmilesection.hpp>
#include <ql/experimental/models/atmsmilesection.hpp>

Classes
class	MarkovFunctional

Namespaces
	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.

Macro Definition Documentation

#define QL_MFMESSAGE	(		o,
			message
	)

Value:

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