QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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This is the complete list of members for G2, including all inherited members.
a() const | G2 | |
A(Time t, Time T) const | G2 | protected |
a_ | G2 | private |
arguments_ | CalibratedModel | protected |
b() const | G2 | |
B(Real x, Time t) const | G2 | protected |
b_ | G2 | private |
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 | G2 | virtual |
discountBond(Time now, Time maturity, Array factors) const override | G2 | virtual |
discountBond(Time, Time, Rate, Rate) const | G2 | |
discountBondOption(Option::Type type, Real strike, Time maturity, Time bondMaturity) const override | G2 | virtual |
QuantLib::AffineModel::discountBondOption(Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const | AffineModel | virtual |
dynamics() const override | G2 | virtual |
endCriteria() const | CalibratedModel | |
eta() const | G2 | |
eta_ | G2 | private |
functionEvaluation() const | CalibratedModel | |
functionEvaluation_ | CalibratedModel | protected |
G2(const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01, Real b=0.1, Real eta=0.01, Real rho=-0.75) | G2 | |
generateArguments() override | G2 | protectedvirtual |
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 |
QuantLib::operator=(const Observer &) | Observer | |
QuantLib::Observable::operator=(const Observable &) | Observable | |
QuantLib::Observable::operator=(Observable &&)=delete | Observable | |
params() const | CalibratedModel | |
phi_ | G2 | 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 | |
rho() const | G2 | |
rho_ | G2 | private |
QuantLib::set_type typedef | Observer | private |
setParams(const Array ¶ms) | CalibratedModel | virtual |
shortRateEndCriteria_ | CalibratedModel | protected |
ShortRateModel(Size nArguments) | ShortRateModel | explicit |
sigma() const | G2 | |
sigma_ | G2 | private |
sigmaP(Time t, Time s) const | G2 | private |
swaption(const Swaption::arguments &arguments, Rate fixedRate, Real range, Size intervals) const | G2 | |
termStructure() const | TermStructureConsistentModel | |
termStructure_ | TermStructureConsistentModel | private |
TermStructureConsistentModel(Handle< YieldTermStructure > termStructure) | TermStructureConsistentModel | |
tree(const TimeGrid &grid) const override | TwoFactorModel | virtual |
TwoFactorModel(Size nParams) | TwoFactorModel | explicit |
unregisterObserver(Observer *) | Observable | private |
unregisterWith(const ext::shared_ptr< Observable > &) | Observer | |
unregisterWithAll() | Observer | |
update() override | CalibratedModel | virtual |
V(Time t) const | G2 | private |
value(const Array ¶ms, const std::vector< ext::shared_ptr< CalibrationHelper > > &) | CalibratedModel | |
~Observable()=default | Observable | virtual |
~Observer() | Observer | virtual |