QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | List of all members
ShortRateModel Class Referenceabstract

Abstract short-rate model class. More...

#include <model.hpp>

+ Inheritance diagram for ShortRateModel:
+ Collaboration diagram for ShortRateModel:

Public Member Functions

 ShortRateModel (Size nArguments)
 
virtual ext::shared_ptr< Latticetree (const TimeGrid &) const =0
 
- Public Member Functions inherited from CalibratedModel
 CalibratedModel (Size nArguments)
 
void update () override
 
virtual void calibrate (const std::vector< 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 >())
 Calibrate to a set of market instruments (usually caps/swaptions) More...
 
Real value (const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)
 
const ext::shared_ptr< Constraint > & constraint () const
 
EndCriteria::Type endCriteria () const
 Returns end criteria result. More...
 
const ArrayproblemValues () const
 Returns the problem values. More...
 
Array params () const
 Returns array of arguments on which calibration is done. More...
 
virtual void setParams (const Array &params)
 
Integer functionEvaluation () const
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void update ()=0
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from CalibratedModel
virtual void generateArguments ()
 
- Protected Attributes inherited from CalibratedModel
std::vector< Parameterarguments_
 
ext::shared_ptr< Constraintconstraint_
 
EndCriteria::Type shortRateEndCriteria_ = EndCriteria::None
 
Array problemValues_
 
Integer functionEvaluation_
 

Detailed Description

Abstract short-rate model class.

Definition at line 141 of file model.hpp.

Constructor & Destructor Documentation

◆ ShortRateModel()

ShortRateModel ( Size  nArguments)
explicit

Definition at line 151 of file model.cpp.

Member Function Documentation

◆ tree()

virtual ext::shared_ptr< Lattice > tree ( const TimeGrid ) const
pure virtual