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QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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This is the complete list of members for MarkovFunctional, including all inherited members.
| alwaysForward_ | LazyObject | protected |
| alwaysForwardNotifications() | LazyObject | |
| arbitrageIndices() const | MarkovFunctional | |
| arbitrageIndices_ | MarkovFunctional | mutableprivate |
| arguments_ | CalibratedModel | protected |
| calculate() const | LazyObject | protectedvirtual |
| calculated_ | LazyObject | mutableprotected |
| calibrate(const std::vector< ext::shared_ptr< CalibrationHelper > > &helpers, 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 >()) override | MarkovFunctional | virtual |
| calibrate(const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &helpers, 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 >()) | MarkovFunctional | |
| CalibratedModel(Size nArguments) | CalibratedModel | |
| calibrationPoints_ | MarkovFunctional | mutableprivate |
| capletCalibrated_ | MarkovFunctional | private |
| capletExpiries_ | MarkovFunctional | private |
| capletPriceInternal(const Option::Type &type, const Date &expiry, Rate strike, const Date &referenceDate=Null< Date >(), Real y=0.0, bool zeroFixingDays=false, ext::shared_ptr< IborIndex > iborIdx=ext::shared_ptr< IborIndex >()) const | MarkovFunctional | private |
| capletVol_ | MarkovFunctional | private |
| constraint() const | CalibratedModel | |
| constraint_ | CalibratedModel | protected |
| deepUpdate() | Observer | virtual |
| deflatedZerobond(Time T, Time t=0.0, Real y=0.0) const | MarkovFunctional | private |
| deflatedZerobondArray(Time T, Time t, const Array &y) const | MarkovFunctional | private |
| discreteNumeraire_ | MarkovFunctional | private |
| endCriteria() const | CalibratedModel | |
| enforcesTodaysHistoricFixings_ | Gaussian1dModel | mutableprotected |
| evaluationDate_ | Gaussian1dModel | mutableprotected |
| FixedFirstVolatility() const | MarkovFunctional | protected |
| forceArbitrageIndices(const std::vector< std::pair< Size, Size > > &indices) | MarkovFunctional | |
| forcedArbitrageIndices_ | MarkovFunctional | private |
| forwardFirstNotificationOnly() | LazyObject | |
| forwardRate(const Date &fixing, const Date &referenceDate=Null< Date >(), Real y=0.0, const ext::shared_ptr< IborIndex > &iborIdx=ext::shared_ptr< IborIndex >()) const | Gaussian1dModel | |
| forwardRateInternal(const Date &fixing, const Date &referenceDate=Null< Date >(), Real y=0.0, bool zeroFixingDays=false, ext::shared_ptr< IborIndex > iborIdx=ext::shared_ptr< IborIndex >()) const | MarkovFunctional | private |
| freeze() | LazyObject | |
| frozen_ | LazyObject | protected |
| functionEvaluation() const | CalibratedModel | |
| functionEvaluation_ | CalibratedModel | protected |
| Gaussian1dModel(const Handle< YieldTermStructure > &yieldTermStructure) | Gaussian1dModel | protected |
| gaussianPolynomialIntegral(Real a, Real b, Real c, Real d, Real e, Real x0, Real x1) | Gaussian1dModel | static |
| gaussianShiftedPolynomialIntegral(Real a, Real b, Real c, Real d, Real e, Real h, Real x0, Real x1) | Gaussian1dModel | static |
| generateArguments() override | MarkovFunctional | protectedvirtual |
| iborIndex_ | MarkovFunctional | private |
| initialize() | MarkovFunctional | private |
| isCalculated() const | LazyObject | |
| QuantLib::iterator typedef | Observable | private |
| QuantLib::LazyObject::QuantLib::Observer::iterator typedef | Observer | |
| LazyObject() | LazyObject | |
| makeCapletCalibrationPoint(const Date &expiry) | MarkovFunctional | private |
| makeSwaptionCalibrationPoint(const Date &expiry, const Period &tenor) | MarkovFunctional | private |
| marketDigitalPrice(const Date &expiry, const CalibrationPoint &p, const Option::Type &type, Real strike) const | MarkovFunctional | private |
| marketSwapRate(const Date &expiry, const CalibrationPoint &p, Real digitalPrice, Real guess=0.03, Real shift=0.0) const | MarkovFunctional | private |
| MarkovFunctional(const Handle< YieldTermStructure > &termStructure, Real reversion, std::vector< Date > volstepdates, std::vector< Real > volatilities, const Handle< SwaptionVolatilityStructure > &swaptionVol, const std::vector< Date > &swaptionExpiries, const std::vector< Period > &swaptionTenors, const ext::shared_ptr< SwapIndex > &swapIndexBase, MarkovFunctional::ModelSettings modelSettings=ModelSettings()) | MarkovFunctional | |
| MarkovFunctional(const Handle< YieldTermStructure > &termStructure, Real reversion, std::vector< Date > volstepdates, std::vector< Real > volatilities, const Handle< OptionletVolatilityStructure > &capletVol, const std::vector< Date > &capletExpiries, ext::shared_ptr< IborIndex > iborIndex, MarkovFunctional::ModelSettings modelSettings=ModelSettings()) | MarkovFunctional | |
| modelOutputs() const | MarkovFunctional | |
| modelOutputs_ | MarkovFunctional | mutableprivate |
| modelSettings() const | MarkovFunctional | |
| modelSettings_ | MarkovFunctional | private |
| normalIntegralW_ | MarkovFunctional | private |
| normalIntegralX_ | MarkovFunctional | private |
| notifyObservers() | Observable | |
| numeraire(Time t, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const | Gaussian1dModel | |
| numeraire(const Date &referenceDate, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const | Gaussian1dModel | |
| numeraire_ | MarkovFunctional | private |
| numeraireArray(Time t, const Array &y) const | MarkovFunctional | private |
| numeraireDate() const | MarkovFunctional | |
| numeraireDate_ | MarkovFunctional | private |
| numeraireImpl(Time t, Real y, const Handle< YieldTermStructure > &yts) const override | MarkovFunctional | protectedvirtual |
| numeraireTime() const | MarkovFunctional | |
| numeraireTime_ | MarkovFunctional | mutableprivate |
| Observable() | Observable | |
| Observable(const Observable &) | Observable | |
| Observable(Observable &&)=delete | Observable | |
| observables_ | Observer | private |
| Observer()=default | Observer | |
| QuantLib::Observer::Observer(const Observer &) | Observer | |
| observers_ | Observable | private |
| QuantLib::operator=(const Observable &) | Observable | |
| QuantLib::operator=(Observable &&)=delete | Observable | |
| QuantLib::LazyObject::QuantLib::Observer::operator=(const Observer &) | Observer | |
| params() const | CalibratedModel | |
| performCalculations() const override | MarkovFunctional | protectedvirtual |
| problemValues() const | CalibratedModel | |
| problemValues_ | CalibratedModel | protected |
| recalculate() | LazyObject | |
| registerObserver(Observer *) | Observable | private |
| registerWith(const ext::shared_ptr< Observable > &) | Observer | |
| registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
| reversion_ | MarkovFunctional | private |
| QuantLib::set_type typedef | Observable | private |
| setParams(const Array ¶ms) | CalibratedModel | virtual |
| shortRateEndCriteria_ | CalibratedModel | protected |
| sigma_ | MarkovFunctional | private |
| stateProcess() const | Gaussian1dModel | |
| stateProcess_ | Gaussian1dModel | protected |
| swapAnnuity(const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), Real y=0.0, const ext::shared_ptr< SwapIndex > &swapIdx=ext::shared_ptr< SwapIndex >()) const | Gaussian1dModel | |
| swapAnnuityInternal(const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), Real y=0.0, bool zeroFixingDays=false, ext::shared_ptr< SwapIndex > swapIdx=ext::shared_ptr< SwapIndex >()) const | MarkovFunctional | private |
| swapCache_ | Gaussian1dModel | mutableprivate |
| swapIndexBase_ | MarkovFunctional | private |
| swapRate(const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), Real y=0.0, const ext::shared_ptr< SwapIndex > &swapIdx=ext::shared_ptr< SwapIndex >()) const | Gaussian1dModel | |
| swapRateInternal(const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), Real y=0.0, bool zeroFixingDays=false, ext::shared_ptr< SwapIndex > swapIdx=ext::shared_ptr< SwapIndex >()) const | MarkovFunctional | private |
| swaptionExpiries_ | MarkovFunctional | private |
| swaptionPriceInternal(const Option::Type &type, const Date &expiry, const Period &tenor, Rate strike, const Date &referenceDate=Null< Date >(), Real y=0.0, bool zeroFixingDays=false, const ext::shared_ptr< SwapIndex > &swapIdx=ext::shared_ptr< SwapIndex >()) const | MarkovFunctional | private |
| swaptionTenors_ | MarkovFunctional | private |
| swaptionVol_ | MarkovFunctional | private |
| termStructure() const | TermStructureConsistentModel | |
| termStructure_ | TermStructureConsistentModel | private |
| TermStructureConsistentModel(Handle< YieldTermStructure > termStructure) | TermStructureConsistentModel | |
| times_ | MarkovFunctional | mutableprivate |
| underlyingSwap(const ext::shared_ptr< SwapIndex > &index, const Date &expiry, const Period &tenor) const | Gaussian1dModel | protected |
| unfreeze() | LazyObject | |
| unregisterObserver(Observer *) | Observable | private |
| unregisterWith(const ext::shared_ptr< Observable > &) | Observer | |
| unregisterWithAll() | Observer | |
| update() override | MarkovFunctional | virtual |
| updateNumeraireTabulation() const | MarkovFunctional | private |
| updateSmiles() const | MarkovFunctional | private |
| updateTimes() const | MarkovFunctional | private |
| updateTimes1() const | MarkovFunctional | private |
| updateTimes2() const | MarkovFunctional | private |
| updating_ | LazyObject | private |
| value(const Array ¶ms, const std::vector< ext::shared_ptr< CalibrationHelper > > &) | CalibratedModel | |
| volatilities_ | MarkovFunctional | private |
| volatility() const | MarkovFunctional | |
| volstepdates_ | MarkovFunctional | private |
| volsteptimes_ | MarkovFunctional | mutableprivate |
| volsteptimesArray_ | MarkovFunctional | mutableprivate |
| y_ | MarkovFunctional | private |
| yGrid(Real yStdDevs, int gridPoints, Real T=1.0, Real t=0, Real y=0) const | Gaussian1dModel | |
| zerobond(Time T, Time t=0.0, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const | Gaussian1dModel | |
| zerobond(const Date &maturity, const Date &referenceDate=Null< Date >(), Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const | Gaussian1dModel | |
| zerobondArray(Time T, Time t, const Array &y) const | MarkovFunctional | private |
| zerobondImpl(Time T, Time t, Real y, const Handle< YieldTermStructure > &yts) const override | MarkovFunctional | protectedvirtual |
| zerobondOption(const Option::Type &type, const Date &expiry, const Date &valueDate, const Date &maturity, Rate strike, const Date &referenceDate=Null< Date >(), Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >(), Real yStdDevs=7.0, Size yGridPoints=64, bool extrapolatePayoff=true, bool flatPayoffExtrapolation=false) const | Gaussian1dModel | |
| ~LazyObject() override=default | LazyObject | |
| ~Observable()=default | Observable | virtual |
| ~Observer() | Observer | virtual |