MarkovFunctional Member List

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

arguments_ (defined in CalibratedModel)CalibratedModelprotected
calculate() const LazyObjectprotectedvirtual
calculated_ (defined in LazyObject)LazyObjectmutableprotected
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)CalibratedModelprotected
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)LazyObjectmutableprotected
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)MarkovFunctionalprotectedvirtual
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 MarkovFunctionalvirtual
recalculate()LazyObject
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
setParams(const Array &params) (defined in CalibratedModel)CalibratedModelvirtual
shortRateEndCriteria_ (defined in CalibratedModel)CalibratedModelprotected
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)MarkovFunctionalvirtual
value(const Array &params, 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)MarkovFunctionalfriend
~LazyObject() (defined in LazyObject)LazyObjectvirtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual