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LinearGaussMarkovModel Member List

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

arguments_LinkableCalibratedModelprotected
bankAccountNumeraire(const Time t, const Real x, const Real y, const Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) constLinearGaussMarkovModel
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 >())LinkableCalibratedModelvirtual
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 >())LinkableCalibratedModelvirtual
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_LinearGaussMarkovModelprivate
constraint() constLinkableCalibratedModel
constraint_LinkableCalibratedModelprotected
discountBond(const QuantLib::Time t, const QuantLib::Time T, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const overrideLinearGaussMarkovModelvirtual
discountBond(const Time t, const Time T, const Real x, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) constLinearGaussMarkovModel
discountBondOption(Option::Type type, const Real K, const Time t, const Time S, const Time T, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) constLinearGaussMarkovModel
Discretization enum nameLinearGaussMarkovModel
discretization_LinearGaussMarkovModelprivate
endCriteria() constLinkableCalibratedModel
endCriteria_LinkableCalibratedModelprotected
evaluateBankAccount_LinearGaussMarkovModelprivate
generateArguments() overrideLinearGaussMarkovModelvirtual
getCalibrationInfo() constLinearGaussMarkovModel
integrator_LinearGaussMarkovModelprivate
LinearGaussMarkovModel(const QuantLib::ext::shared_ptr< IrLgm1fParametrization > &parametrization, 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 overrideLinearGaussMarkovModelvirtual
m_aux() const overrideLinearGaussMarkovModelvirtual
measure() const overrideLinearGaussMarkovModelvirtual
Measure enum nameIrModel
measure_LinearGaussMarkovModelprivate
MoveReversion(const Size i)LinearGaussMarkovModel
MoveVolatility(const Size i)LinearGaussMarkovModel
n() const overrideLinearGaussMarkovModelvirtual
n_aux() const overrideLinearGaussMarkovModelvirtual
numeraire(const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const QuantLib::Array &aux=Array()) const overrideLinearGaussMarkovModelvirtual
numeraire(const Time t, const Real x, const Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) constLinearGaussMarkovModel
parametrization() constLinearGaussMarkovModel
parametrization_LinearGaussMarkovModelprivate
parametrizationBase() const overrideLinearGaussMarkovModelvirtual
params() constLinkableCalibratedModel
problemValues() constLinkableCalibratedModel
problemValues_LinkableCalibratedModelprotected
reducedDiscountBond(const Time t, const Time T, const Real x, const Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) constLinearGaussMarkovModel
setCalibrationInfo(const LgmCalibrationInfo &calibrationInfo)LinearGaussMarkovModel
setParam(Size idx, const Real value)LinkableCalibratedModelvirtual
setParams(const Array &params)LinkableCalibratedModelvirtual
shortRate(const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const overrideLinearGaussMarkovModelvirtual
stateProcess() const overrideLinearGaussMarkovModelvirtual
stateProcess_LinearGaussMarkovModelprivate
termStructure() const overrideLinearGaussMarkovModelvirtual
update() overrideLinearGaussMarkovModel
value(const Array &params, const std::vector< QuantLib::ext::shared_ptr< CalibrationHelper > > &)LinkableCalibratedModel
value(const Array &params, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &)LinkableCalibratedModel
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