Fully annotated reference manual - version 1.8.12
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This is the complete list of members for CrossAssetModel, including all inherited members.
| aIdx(const AssetType t, const Size i, const Size offset=0) const | CrossAssetModel | protected |
| aIdx_ | CrossAssetModel | protected |
| appendToFixedParameterVector(const AssetType t, const AssetType v, const Size param, const Size index, const Size i, std::vector< bool > &res) | CrossAssetModel | protected |
| arguments(const AssetType t, const Size i) const | CrossAssetModel | protected |
| arguments_ | LinkableCalibratedModel | protected |
| AssetType enum name | CrossAssetModel | |
| auxBrownians() const | CrossAssetModel | |
| auxBrownians(const AssetType t, const Size i) const | CrossAssetModel | |
| auxBrownians_ | CrossAssetModel | protected |
| bankAccountNumeraire(const Size ccy, const Time t, const Real x, const Real y, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const | CrossAssetModel | |
| brownians() const | CrossAssetModel | |
| brownians(const AssetType t, const Size i) const | CrossAssetModel | |
| brownians_ | CrossAssetModel | protected |
| cache_crlgm1fS_ | CrossAssetModel | mutableprotected |
| cache_infdkI_ | CrossAssetModel | protected |
| calibrate(const std::vector< QuantLib::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 >()) | LinkableCalibratedModel | virtual |
| calibrate(const std::vector< QuantLib::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 >()) | LinkableCalibratedModel | virtual |
| calibrateBsVolatilitiesGlobal(const AssetType &assetType, const Size aIdx, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | CrossAssetModel | |
| calibrateBsVolatilitiesIterative(const AssetType &assetType, const Size aIdx, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | CrossAssetModel | |
| calibrateCrLgm1fReversionsIterative(const Size index, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | CrossAssetModel | |
| calibrateCrLgm1fVolatilitiesIterative(const Size index, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | CrossAssetModel | |
| calibrateInfDkReversionsGlobal(const Size index, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | CrossAssetModel | |
| calibrateInfDkReversionsIterative(const Size index, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | CrossAssetModel | |
| calibrateInfDkVolatilitiesGlobal(const Size index, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | CrossAssetModel | |
| calibrateInfDkVolatilitiesIterative(const Size index, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | CrossAssetModel | |
| calibrateInfJyGlobal(QuantLib::Size index, const std::vector< QuantLib::ext::shared_ptr< QuantLib::CalibrationHelper > > &helpers, QuantLib::OptimizationMethod &method, const QuantLib::EndCriteria &endCriteria, const std::map< QuantLib::Size, bool > &toCalibrate, const QuantLib::Constraint &constraint=QuantLib::Constraint(), const std::vector< QuantLib::Real > &weights=std::vector< QuantLib::Real >()) | CrossAssetModel | |
| calibrateInfJyIterative(QuantLib::Size inflationModelIndex, QuantLib::Size parameterIndex, const std::vector< QuantLib::ext::shared_ptr< QuantLib::CalibrationHelper > > &helpers, QuantLib::OptimizationMethod &method, const QuantLib::EndCriteria &endCriteria, const QuantLib::Constraint &constraint=QuantLib::Constraint(), const std::vector< QuantLib::Real > &weights=std::vector< QuantLib::Real >()) | CrossAssetModel | |
| calibrateIrLgm1fGlobal(const Size ccy, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | CrossAssetModel | |
| calibrateIrLgm1fReversionsIterative(const Size ccy, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | CrossAssetModel | |
| calibrateIrLgm1fVolatilitiesIterative(const Size ccy, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | CrossAssetModel | |
| ccyIndex(const Currency &ccy) const | CrossAssetModel | |
| checkCorrelationMatrix() const | CrossAssetModel | |
| checkModelConsistency() const | CrossAssetModel | protectedvirtual |
| cIdx(const AssetType t, const Size i, const Size offset=0) const | CrossAssetModel | |
| cIdx_ | CrossAssetModel | protected |
| com(const Size i) const | CrossAssetModel | |
| combs(const Size ccy) const | CrossAssetModel | |
| comIndex(const std::string &comName) const | CrossAssetModel | |
| comModel(const Size com) const | CrossAssetModel | |
| comModels_ | CrossAssetModel | protected |
| components(const AssetType t) const | CrossAssetModel | |
| components_ | CrossAssetModel | protected |
| constraint() const | LinkableCalibratedModel | |
| constraint_ | LinkableCalibratedModel | protected |
| correlation() const | CrossAssetModel | |
| correlation(const AssetType s, const Size i, const AssetType t, const Size j, const Size iOffset=0, const Size jOffset=0) const | CrossAssetModel | |
| cr(const Size i) const | CrossAssetModel | |
| crcirpp(const Size i) const | CrossAssetModel | |
| crcirppModel(const Size i) const | CrossAssetModel | |
| crcirppModel_ | CrossAssetModel | protected |
| crcirppS(const Size i, const Time t, const Time T, const Real y, const Real s) const | CrossAssetModel | |
| crlgm1f(const Size i) const | CrossAssetModel | |
| crlgm1fS(const Size i, const Size ccy, const Time t, const Time T, const Real z, const Real y) const | CrossAssetModel | |
| crName(const std::string &name) const | CrossAssetModel | |
| CrossAssetModel(const std::vector< QuantLib::ext::shared_ptr< Parametrization > > ¶metrizations, const Matrix &correlation=Matrix(), const SalvagingAlgorithm::Type salvaging=SalvagingAlgorithm::None, const IrModel::Measure measure=IrModel::Measure::LGM, const Discretization discretization=Discretization::Exact) | CrossAssetModel | |
| CrossAssetModel(const std::vector< QuantLib::ext::shared_ptr< IrModel > > ¤cyModels, const std::vector< QuantLib::ext::shared_ptr< FxBsParametrization > > &fxParametrizations, const Matrix &correlation=Matrix(), const SalvagingAlgorithm::Type salvaging=SalvagingAlgorithm::None, const IrModel::Measure measure=IrModel::Measure::LGM, const Discretization discretization=Discretization::Exact) | CrossAssetModel | |
| CrossAssetModel(const std::vector< QuantLib::ext::shared_ptr< Parametrization > > ¶metrizations, const Matrix &correlation, SalvagingAlgorithm::Type salvaging, IrModel::Measure measure, const Discretization discretization, const bool) | CrossAssetModel | protected |
| crS(const Size i, const Size ccy, const Time t, const Time T, const Real z, const Real y) const | CrossAssetModel | virtual |
| crstate(const Size i) const | CrossAssetModel | |
| crstateParam(const Size index) const | CrossAssetModel | |
| crTs(const Size i) const | CrossAssetModel | virtual |
| crV(const Size idx, const Size ccy, const Time t, const Time T) const | CrossAssetModel | protected |
| dimension() const | CrossAssetModel | |
| discountBond(const Size ccy, const QuantLib::Time t, const QuantLib::Time T, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const | CrossAssetModel | |
| discountBond(const Size ccy, const Time t, const Time T, const Real x, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const | CrossAssetModel | |
| discountBondOption(const Size ccy, Option::Type type, const Real K, const Time t, const Time S, const Time T, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const | CrossAssetModel | |
| discretization() const | CrossAssetModel | |
| Discretization enum name | CrossAssetModel | |
| discretization_ | CrossAssetModel | protected |
| endCriteria() const | LinkableCalibratedModel | |
| endCriteria_ | LinkableCalibratedModel | protected |
| eq(const Size i) const | CrossAssetModel | |
| eqbs(const Size ccy) const | CrossAssetModel | |
| eqIndex(const std::string &eqName) const | CrossAssetModel | |
| finalizeArguments() | CrossAssetModel | protectedvirtual |
| fx(const Size ccy) const | CrossAssetModel | |
| fxbs(const Size ccy) const | CrossAssetModel | |
| fxModel(const Size ccy) const | CrossAssetModel | |
| fxModels_ | CrossAssetModel | protected |
| generateArguments() override | CrossAssetModel | virtual |
| getComponentType(const Size i) const | CrossAssetModel | protectedvirtual |
| getNumberOfAuxBrownians(const Size i) const | CrossAssetModel | protectedvirtual |
| getNumberOfBrownians(const Size i) const | CrossAssetModel | protectedvirtual |
| getNumberOfParameters(const Size i) const | CrossAssetModel | protectedvirtual |
| getNumberOfStateVariables(const Size i) const | CrossAssetModel | protectedvirtual |
| hw(const Size ccy) const | CrossAssetModel | |
| idx(const AssetType t, const Size i) const | CrossAssetModel | |
| idx_ | CrossAssetModel | protected |
| inf(const Size i) const | CrossAssetModel | |
| infdk(const Size i) const | CrossAssetModel | |
| infdkI(const Size i, const Time t, const Time T, const Real z, const Real y) | CrossAssetModel | |
| infdkV(const Size i, const Time t, const Time T) | CrossAssetModel | |
| infdkYY(const Size i, const Time t, const Time S, const Time T, const Real z, const Real y, const Real irz) | CrossAssetModel | |
| infIndex(const std::string &index) const | CrossAssetModel | |
| infjy(const Size i) const | CrossAssetModel | |
| infV(const Size idx, const Size ccy, const Time t, const Time T) const | CrossAssetModel | protected |
| initDefaultIntegrator() | CrossAssetModel | protectedvirtual |
| initialize() | CrossAssetModel | protectedvirtual |
| initializeArguments() | CrossAssetModel | protectedvirtual |
| initializeCorrelation() | CrossAssetModel | protectedvirtual |
| initializeParametrizations() | CrossAssetModel | protectedvirtual |
| integrator() const | CrossAssetModel | |
| integrator_ | CrossAssetModel | mutableprotected |
| ir(const Size ccy) const | CrossAssetModel | |
| irhw(const Size ccy) const | CrossAssetModel | |
| irlgm1f(const Size ccy) const | CrossAssetModel | |
| irModel(const Size ccy) const | CrossAssetModel | |
| irModels_ | CrossAssetModel | protected |
| lgm(const Size ccy) const | CrossAssetModel | |
| LinkableCalibratedModel() | LinkableCalibratedModel | |
| measure() const | CrossAssetModel | |
| measure_ | CrossAssetModel | protected |
| ModelType enum name | CrossAssetModel | |
| modelType(const AssetType t, const Size i) const | CrossAssetModel | |
| modelType_ | CrossAssetModel | protected |
| MoveParameter(const AssetType t, const Size param, const Size index, const Size i) | CrossAssetModel | |
| numArguments_ | CrossAssetModel | protected |
| numberOfAssetTypes | CrossAssetModel | static |
| numeraire(const Size ccy, const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const QuantLib::Array &aux=Array()) const | CrossAssetModel | |
| numeraire(const Size ccy, const Time t, const Real x, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const | CrossAssetModel | |
| p_ | CrossAssetModel | protected |
| parametrizations() const | CrossAssetModel | |
| params() const | LinkableCalibratedModel | |
| pIdx(const AssetType t, const Size i, const Size offset=0) const | CrossAssetModel | |
| pIdx_ | CrossAssetModel | protected |
| problemValues() const | LinkableCalibratedModel | |
| problemValues_ | LinkableCalibratedModel | protected |
| reducedDiscountBond(const Size ccy, const Time t, const Time T, const Real x, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const | CrossAssetModel | |
| rho_ | CrossAssetModel | protected |
| salvaging_ | CrossAssetModel | protected |
| salvagingAlgorithm() const | CrossAssetModel | |
| setCorrelation(const AssetType s, const Size i, const AssetType t, const Size j, const Real value, const Size iOffset=0, const Size jOffset=0) | CrossAssetModel | |
| setIntegrationPolicy(const QuantLib::ext::shared_ptr< Integrator > integrator, const bool usePiecewiseIntegration=true) const | CrossAssetModel | |
| setParam(Size idx, const Real value) | LinkableCalibratedModel | virtual |
| setParams(const Array ¶ms) | LinkableCalibratedModel | virtual |
| stateProcess() const | CrossAssetModel | |
| stateProcess_ | CrossAssetModel | mutableprotected |
| stateVariables(const AssetType t, const Size i) const | CrossAssetModel | |
| stateVariables_ | CrossAssetModel | protected |
| totalDimension_ | CrossAssetModel | protected |
| totalNumberOfAuxBrownians_ | CrossAssetModel | protected |
| totalNumberOfBrownians_ | CrossAssetModel | protected |
| totalNumberOfParameters() const | CrossAssetModel | |
| totalNumberOfParameters_ | CrossAssetModel | protected |
| update() override | CrossAssetModel | |
| updateIndices(const AssetType &t, const Size i, const Size cIdx, const Size wIdx, const Size pIdx, const Size aIdx) | CrossAssetModel | protected |
| value(const Array ¶ms, const std::vector< QuantLib::ext::shared_ptr< CalibrationHelper > > &) | LinkableCalibratedModel | |
| value(const Array ¶ms, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &) | LinkableCalibratedModel | |
| wIdx(const AssetType t, const Size i, const Size offset=0) const | CrossAssetModel | |
| wIdx_ | CrossAssetModel | protected |