QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
MarkovFunctional Member List

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

alwaysForward_ (defined in LazyObject)LazyObjectprotected
alwaysForwardNotifications()LazyObject
arbitrageIndices() const (defined in MarkovFunctional)MarkovFunctional
arguments_ (defined in CalibratedModel)CalibratedModelprotected
calculate() constLazyObjectprotectedvirtual
calculated_ (defined in LazyObject)LazyObjectmutableprotected
calibrate(const std::vector< ext::shared_ptr< CalibrationHelper > > &helpers, 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 >())MarkovFunctionalvirtual
calibrate(const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &helpers, 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 >())MarkovFunctionalvirtual
CalibratedModel(Size nArguments) (defined in CalibratedModel)CalibratedModel
constraint() const (defined in CalibratedModel)CalibratedModel
constraint_ (defined in CalibratedModel)CalibratedModelprotected
deepUpdate()Observervirtual
endCriteria() constCalibratedModel
enforcesTodaysHistoricFixings_ (defined in Gaussian1dModel)Gaussian1dModelmutableprotected
evaluationDate_ (defined in Gaussian1dModel)Gaussian1dModelmutableprotected
FixedFirstVolatility() const (defined in MarkovFunctional)MarkovFunctionalprotected
forceArbitrageIndices(const std::vector< std::pair< Size, Size > > &indices) (defined in MarkovFunctional)MarkovFunctional
forwardRate(const Date &fixing, const Date &referenceDate=Null< Date >(), Real y=0.0, const ext::shared_ptr< IborIndex > &iborIdx=ext::shared_ptr< IborIndex >()) const (defined in Gaussian1dModel)Gaussian1dModel
freeze()LazyObject
frozen_ (defined in LazyObject)LazyObjectprotected
functionEvaluation() const (defined in CalibratedModel)CalibratedModel
functionEvaluation_ (defined in CalibratedModel)CalibratedModelprotected
Gaussian1dModel(const Handle< YieldTermStructure > &yieldTermStructure) (defined in Gaussian1dModel)Gaussian1dModelprotected
gaussianPolynomialIntegral(Real a, Real b, Real c, Real d, Real e, Real x0, Real x1)Gaussian1dModelstatic
gaussianShiftedPolynomialIntegral(Real a, Real b, Real c, Real d, Real e, Real h, Real x0, Real x1)Gaussian1dModelstatic
generateArguments() (defined in MarkovFunctional)MarkovFunctionalprotectedvirtual
iterator typedef (defined in Observer)Observer
LazyObject() (defined in LazyObject)LazyObject
MarkovFunctional(const Handle< YieldTermStructure > &termStructure, 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 ext::shared_ptr< SwapIndex > &swapIndexBase, const MarkovFunctional::ModelSettings &modelSettings=ModelSettings()) (defined in MarkovFunctional)MarkovFunctional
MarkovFunctional(const Handle< YieldTermStructure > &termStructure, Real reversion, const std::vector< Date > &volstepdates, const std::vector< Real > &volatilities, const Handle< OptionletVolatilityStructure > &capletVol, const std::vector< Date > &capletExpiries, const ext::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(Time t, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const (defined in Gaussian1dModel)Gaussian1dModel
numeraire(const Date &referenceDate, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const (defined in Gaussian1dModel)Gaussian1dModel
numeraireDate() const (defined in MarkovFunctional)MarkovFunctional
numeraireImpl(Time t, Real y, const Handle< YieldTermStructure > &yts) const (defined in MarkovFunctional)MarkovFunctionalprotectedvirtual
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() constCalibratedModel
performCalculations() constMarkovFunctionalprotectedvirtual
problemValues() constCalibratedModel
problemValues_ (defined in CalibratedModel)CalibratedModelprotected
recalculate()LazyObject
registerWith(const ext::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const ext::shared_ptr< Observer > &)Observer
set_type typedef (defined in Observer)Observer
setParams(const Array &params) (defined in CalibratedModel)CalibratedModelvirtual
shortRateEndCriteria_ (defined in CalibratedModel)CalibratedModelprotected
stateProcess() const (defined in Gaussian1dModel)Gaussian1dModel
stateProcess_ (defined in Gaussian1dModel)Gaussian1dModelprotected
swapAnnuity(const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), Real y=0.0, const ext::shared_ptr< SwapIndex > &swapIdx=ext::shared_ptr< SwapIndex >()) const (defined in Gaussian1dModel)Gaussian1dModel
swapRate(const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), Real y=0.0, const ext::shared_ptr< SwapIndex > &swapIdx=ext::shared_ptr< SwapIndex >()) const (defined in Gaussian1dModel)Gaussian1dModel
termStructure() const (defined in TermStructureConsistentModel)TermStructureConsistentModel
TermStructureConsistentModel(const Handle< YieldTermStructure > &termStructure) (defined in TermStructureConsistentModel)TermStructureConsistentModel
underlyingSwap(const ext::shared_ptr< SwapIndex > &index, const Date &expiry, const Period &tenor) const (defined in Gaussian1dModel)Gaussian1dModelprotected
unfreeze()LazyObject
unregisterWith(const ext::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()MarkovFunctionalvirtual
value(const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &) (defined in CalibratedModel)CalibratedModel
value(const Array &params, const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &)CalibratedModel
volatility() const (defined in MarkovFunctional)MarkovFunctional
yGrid(Real yStdDevs, int gridPoints, Real T=1.0, Real t=0, Real y=0) constGaussian1dModel
zerobond(Time T, Time t=0.0, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const (defined in Gaussian1dModel)Gaussian1dModel
zerobond(const Date &maturity, const Date &referenceDate=Null< Date >(), Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const (defined in Gaussian1dModel)Gaussian1dModel
zerobondImpl(Time T, Time t, Real y, const Handle< YieldTermStructure > &yts) const (defined in MarkovFunctional)MarkovFunctionalprotectedvirtual
zerobondOption(const Option::Type &type, const Date &expiry, const Date &valueDate, const Date &maturity, Rate strike, const Date &referenceDate=Null< Date >(), Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >(), Real yStdDevs=7.0, Size yGridPoints=64, bool extrapolatePayoff=true, bool flatPayoffExtrapolation=false) const (defined in Gaussian1dModel)Gaussian1dModel
ZeroHelper (defined in MarkovFunctional)MarkovFunctionalfriend
~Gaussian1dModel() (defined in Gaussian1dModel)Gaussian1dModelprotectedvirtual
~LazyObject() (defined in LazyObject)LazyObjectvirtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual