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

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

A(Time t, Time T) const (defined in GeneralizedHullWhite)GeneralizedHullWhiteprotectedvirtual
a() const (defined in GeneralizedHullWhite)GeneralizedHullWhiteprotected
arguments_ (defined in CalibratedModel)CalibratedModelprotected
B(Time t, Time T) const (defined in GeneralizedHullWhite)GeneralizedHullWhiteprotectedvirtual
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
calibrate(const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &, 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) (defined in CalibratedModel)CalibratedModel
constraint() const (defined in CalibratedModel)CalibratedModel
constraint_ (defined in CalibratedModel)CalibratedModelprotected
deepUpdate()Observervirtual
discount(Time t) constOneFactorAffineModelvirtual
discountBond(Time now, Time maturity, Array factors) const (defined in OneFactorAffineModel)OneFactorAffineModelvirtual
discountBond(Time now, Time maturity, Rate rate) const (defined in OneFactorAffineModel)OneFactorAffineModel
discountBondOption(Option::Type type, Real strike, Time maturity, Time bondMaturity) constGeneralizedHullWhitevirtual
discountBondOption(Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const (defined in AffineModel)AffineModelvirtual
dynamics() constGeneralizedHullWhitevirtual
endCriteria() constCalibratedModel
fixedReversion() constGeneralizedHullWhite
functionEvaluation() const (defined in CalibratedModel)CalibratedModel
functionEvaluation_ (defined in CalibratedModel)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 ext::function< Real(Real)> &f=ext::function< Real(Real)>(), const ext::function< Real(Real)> &fInverse=ext::function< Real(Real)>()) (defined in GeneralizedHullWhite)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 ext::function< Real(Real)> &f=ext::function< Real(Real)>(), const ext::function< Real(Real)> &fInverse=ext::function< Real(Real)>()) (defined in GeneralizedHullWhite)GeneralizedHullWhite
GeneralizedHullWhite(const Handle< YieldTermStructure > &yieldtermStructure, Real a=0.1, Real sigma=0.01) (defined in GeneralizedHullWhite)GeneralizedHullWhite
generateArguments() (defined in GeneralizedHullWhite)GeneralizedHullWhiteprotectedvirtual
HWdynamics() const (defined in GeneralizedHullWhite)GeneralizedHullWhite
iterator typedef (defined in Observer)Observer
notifyObservers()Observable
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
Observer() (defined in Observer)Observer
Observer(const Observer &) (defined in Observer)Observer
OneFactorAffineModel(Size nArguments) (defined in OneFactorAffineModel)OneFactorAffineModelexplicit
OneFactorModel(Size nArguments) (defined in OneFactorModel)OneFactorModelexplicit
operator=(const Observer &) (defined in Observer)Observer
QuantLib::Observable::operator=(const Observable &)Observable
params() constCalibratedModel
problemValues() constCalibratedModel
problemValues_ (defined in CalibratedModel)CalibratedModelprotected
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
ShortRateModel(Size nArguments) (defined in ShortRateModel)ShortRateModelexplicit
sigma() const (defined in GeneralizedHullWhite)GeneralizedHullWhiteprotected
termStructure() const (defined in TermStructureConsistentModel)TermStructureConsistentModel
TermStructureConsistentModel(const Handle< YieldTermStructure > &termStructure) (defined in TermStructureConsistentModel)TermStructureConsistentModel
tree(const TimeGrid &grid) const (defined in GeneralizedHullWhite)GeneralizedHullWhitevirtual
unregisterWith(const ext::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()CalibratedModelvirtual
V(Time t, Time T) const (defined in GeneralizedHullWhite)GeneralizedHullWhiteprotected
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
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~OneFactorModel() (defined in OneFactorModel)OneFactorModelvirtual