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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 GeneralizedHullWhite, including all inherited members.
| a() const | GeneralizedHullWhite | protected |
| A(Time t, Time T) const override | GeneralizedHullWhite | protectedvirtual |
| a_ | GeneralizedHullWhite | private |
| arguments_ | CalibratedModel | protected |
| B(Time t, Time T) const override | GeneralizedHullWhite | protectedvirtual |
| 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 >()) | CalibratedModel | virtual |
| CalibratedModel(Size nArguments) | CalibratedModel | |
| constraint() const | CalibratedModel | |
| constraint_ | CalibratedModel | protected |
| deepUpdate() | Observer | virtual |
| discount(Time t) const override | OneFactorAffineModel | virtual |
| discountBond(Time now, Time maturity, Array factors) const override | OneFactorAffineModel | virtual |
| discountBond(Time now, Time maturity, Rate rate) const | OneFactorAffineModel | |
| discountBondOption(Option::Type type, Real strike, Time maturity, Time bondMaturity) const override | GeneralizedHullWhite | virtual |
| QuantLib::OneFactorAffineModel::discountBondOption(Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const | AffineModel | virtual |
| dynamics() const override | GeneralizedHullWhite | virtual |
| endCriteria() const | CalibratedModel | |
| f_ | GeneralizedHullWhite | private |
| fInverse_ | GeneralizedHullWhite | private |
| fixedReversion() const | GeneralizedHullWhite | |
| functionEvaluation() const | CalibratedModel | |
| functionEvaluation_ | CalibratedModel | protected |
| GeneralizedHullWhite(const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure, const std::vector< Real > &speed, const std::vector< Real > &vol, const ext::function< Real(Real)> &f={}, const ext::function< Real(Real)> &fInverse={}) | GeneralizedHullWhite | |
| GeneralizedHullWhite(const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure, const std::vector< Real > &speed, const std::vector< Real > &vol, const SpeedInterpolationTraits &speedtraits, const VolInterpolationTraits &voltraits, const ext::function< Real(Real)> &f={}, const ext::function< Real(Real)> &fInverse={}) | GeneralizedHullWhite | |
| GeneralizedHullWhite(const Handle< YieldTermStructure > &yieldtermStructure, Real a=0.1, Real sigma=0.01) | GeneralizedHullWhite | |
| generateArguments() override | GeneralizedHullWhite | protectedvirtual |
| HWdynamics() const | GeneralizedHullWhite | |
| identity(Real x) | GeneralizedHullWhite | privatestatic |
| initialize(const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure, const std::vector< Real > &speed, const std::vector< Real > &vol, const SpeedInterpolationTraits &speedtraits, const VolInterpolationTraits &voltraits, const ext::function< Real(Real)> &f, const ext::function< Real(Real)> &fInverse) | GeneralizedHullWhite | private |
| QuantLib::iterator typedef | Observer | |
| notifyObservers() | Observable | |
| Observable() | Observable | |
| Observable(const Observable &) | Observable | |
| Observable(Observable &&)=delete | Observable | |
| observables_ | Observer | private |
| QuantLib::Observer()=default | Observer | |
| QuantLib::Observer(const Observer &) | Observer | |
| observers_ | Observable | private |
| OneFactorAffineModel(Size nArguments) | OneFactorAffineModel | explicit |
| OneFactorModel(Size nArguments) | OneFactorModel | explicit |
| QuantLib::operator=(const Observer &) | Observer | |
| QuantLib::Observable::operator=(const Observable &) | Observable | |
| QuantLib::Observable::operator=(Observable &&)=delete | Observable | |
| params() const | CalibratedModel | |
| phi_ | GeneralizedHullWhite | private |
| problemValues() const | CalibratedModel | |
| problemValues_ | CalibratedModel | protected |
| registerObserver(Observer *) | Observable | private |
| registerWith(const ext::shared_ptr< Observable > &) | Observer | |
| registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
| QuantLib::set_type typedef | Observer | private |
| setParams(const Array ¶ms) | CalibratedModel | virtual |
| shortRateEndCriteria_ | CalibratedModel | protected |
| ShortRateModel(Size nArguments) | ShortRateModel | explicit |
| sigma() const | GeneralizedHullWhite | protected |
| sigma_ | GeneralizedHullWhite | private |
| speed() const | GeneralizedHullWhite | private |
| speed_ | GeneralizedHullWhite | private |
| speedperiods_ | GeneralizedHullWhite | private |
| speedstructure_ | GeneralizedHullWhite | private |
| termStructure() const | TermStructureConsistentModel | |
| termStructure_ | TermStructureConsistentModel | private |
| TermStructureConsistentModel(Handle< YieldTermStructure > termStructure) | TermStructureConsistentModel | |
| tree(const TimeGrid &grid) const override | GeneralizedHullWhite | virtual |
| unregisterObserver(Observer *) | Observable | private |
| unregisterWith(const ext::shared_ptr< Observable > &) | Observer | |
| unregisterWithAll() | Observer | |
| update() override | CalibratedModel | virtual |
| V(Time t, Time T) const | GeneralizedHullWhite | protected |
| value(const Array ¶ms, const std::vector< ext::shared_ptr< CalibrationHelper > > &) | CalibratedModel | |
| vol() const | GeneralizedHullWhite | private |
| vol_ | GeneralizedHullWhite | private |
| volperiods_ | GeneralizedHullWhite | private |
| volstructure_ | GeneralizedHullWhite | private |
| ~Observable()=default | Observable | virtual |
| ~Observer() | Observer | virtual |
| ~OneFactorModel() override=default | OneFactorModel |