Fully annotated reference manual - version 1.8.12
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This is the complete list of members for LinearGaussMarkovModel, including all inherited members.
| arguments_ | LinkableCalibratedModel | protected |
| bankAccountNumeraire(const Time t, const Real x, const Real y, const Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const | LinearGaussMarkovModel | |
| 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 |
| calibrateReversions(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 >()) | LinearGaussMarkovModel | |
| calibrateReversionsIterative(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 >()) | LinearGaussMarkovModel | |
| calibrateVolatilities(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 >()) | LinearGaussMarkovModel | |
| calibrateVolatilitiesIterative(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 >()) | LinearGaussMarkovModel | |
| calibrationInfo_ | LinearGaussMarkovModel | private |
| constraint() const | LinkableCalibratedModel | |
| constraint_ | LinkableCalibratedModel | protected |
| discountBond(const QuantLib::Time t, const QuantLib::Time T, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const override | LinearGaussMarkovModel | virtual |
| discountBond(const Time t, const Time T, const Real x, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const | LinearGaussMarkovModel | |
| discountBondOption(Option::Type type, const Real K, const Time t, const Time S, const Time T, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const | LinearGaussMarkovModel | |
| Discretization enum name | LinearGaussMarkovModel | |
| discretization_ | LinearGaussMarkovModel | private |
| endCriteria() const | LinkableCalibratedModel | |
| endCriteria_ | LinkableCalibratedModel | protected |
| evaluateBankAccount_ | LinearGaussMarkovModel | private |
| generateArguments() override | LinearGaussMarkovModel | virtual |
| getCalibrationInfo() const | LinearGaussMarkovModel | |
| integrator_ | LinearGaussMarkovModel | private |
| LinearGaussMarkovModel(const QuantLib::ext::shared_ptr< IrLgm1fParametrization > ¶metrization, const Measure measure=Measure::LGM, const Discretization=Discretization::Euler, const bool evaluateBankAccount=true, const QuantLib::ext::shared_ptr< Integrator > &integrator=QuantLib::ext::make_shared< SimpsonIntegral >(1.0E-8, 100)) | LinearGaussMarkovModel | |
| LinkableCalibratedModel() | LinkableCalibratedModel | |
| m() const override | LinearGaussMarkovModel | virtual |
| m_aux() const override | LinearGaussMarkovModel | virtual |
| measure() const override | LinearGaussMarkovModel | virtual |
| Measure enum name | IrModel | |
| measure_ | LinearGaussMarkovModel | private |
| MoveReversion(const Size i) | LinearGaussMarkovModel | |
| MoveVolatility(const Size i) | LinearGaussMarkovModel | |
| n() const override | LinearGaussMarkovModel | virtual |
| n_aux() const override | LinearGaussMarkovModel | virtual |
| numeraire(const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const QuantLib::Array &aux=Array()) const override | LinearGaussMarkovModel | virtual |
| numeraire(const Time t, const Real x, const Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const | LinearGaussMarkovModel | |
| parametrization() const | LinearGaussMarkovModel | |
| parametrization_ | LinearGaussMarkovModel | private |
| parametrizationBase() const override | LinearGaussMarkovModel | virtual |
| params() const | LinkableCalibratedModel | |
| problemValues() const | LinkableCalibratedModel | |
| problemValues_ | LinkableCalibratedModel | protected |
| reducedDiscountBond(const Time t, const Time T, const Real x, const Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const | LinearGaussMarkovModel | |
| setCalibrationInfo(const LgmCalibrationInfo &calibrationInfo) | LinearGaussMarkovModel | |
| setParam(Size idx, const Real value) | LinkableCalibratedModel | virtual |
| setParams(const Array ¶ms) | LinkableCalibratedModel | virtual |
| shortRate(const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const override | LinearGaussMarkovModel | virtual |
| stateProcess() const override | LinearGaussMarkovModel | virtual |
| stateProcess_ | LinearGaussMarkovModel | private |
| termStructure() const override | LinearGaussMarkovModel | virtual |
| update() override | LinearGaussMarkovModel | |
| 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 |