HullWhite Member List

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

A(Time t, Time T) const (defined in HullWhite)HullWhiteprotectedvirtual
a() const (defined in Vasicek)Vasicek
a_ (defined in Vasicek)Vasicekprotected
arguments_ (defined in CalibratedModel)CalibratedModelprotected
b() const (defined in Vasicek)Vasicek
B(Time t, Time T) const (defined in Vasicek)Vasicekprotectedvirtual
b_ (defined in Vasicek)Vasicekprotected
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
constraint() const (defined in CalibratedModel)CalibratedModel
constraint_ (defined in CalibratedModel)CalibratedModelprotected
convexityBias(Real futurePrice, Time t, Time T, Real sigma, Real a)HullWhitestatic
discount(Time t) const OneFactorAffineModelvirtual
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) const (defined in HullWhite)HullWhitevirtual
discountBondOption(Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const (defined in HullWhite)HullWhitevirtual
dynamics() const HullWhitevirtual
endCriteria()CalibratedModel
generateArguments() (defined in HullWhite)HullWhiteprotectedvirtual
HullWhite(const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01) (defined in HullWhite)HullWhite
lambda() const (defined in Vasicek)Vasicek
lambda_ (defined in Vasicek)Vasicekprotected
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)OneFactorAffineModel
OneFactorModel(Size nArguments) (defined in OneFactorModel)OneFactorModel
operator=(const Observer &) (defined in Observer)Observer
QuantLib::Observable::operator=(const Observable &)Observable
params() const CalibratedModel
r0_ (defined in Vasicek)Vasicekprotected
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
setParams(const Array &params) (defined in CalibratedModel)CalibratedModelvirtual
shortRateEndCriteria_ (defined in CalibratedModel)CalibratedModelprotected
ShortRateModel(Size nArguments) (defined in ShortRateModel)ShortRateModel
sigma() const (defined in Vasicek)Vasicek
sigma_ (defined in Vasicek)Vasicekprotected
termStructure() const (defined in TermStructureConsistentModel)TermStructureConsistentModel
TermStructureConsistentModel(const Handle< YieldTermStructure > &termStructure) (defined in TermStructureConsistentModel)TermStructureConsistentModel
tree(const TimeGrid &grid) const HullWhitevirtual
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll()Observer
update() (defined in CalibratedModel)CalibratedModelvirtual
value(const Array &params, const std::vector< boost::shared_ptr< CalibrationHelper > > &) (defined in CalibratedModel)CalibratedModel
Vasicek(Rate r0=0.05, Real a=0.1, Real b=0.05, Real sigma=0.01, Real lambda=0.0) (defined in Vasicek)Vasicek
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~OneFactorModel() (defined in OneFactorModel)OneFactorModelvirtual