QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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G2 Member List

This is the complete list of members for G2, including all inherited members.

a() constG2
A(Time t, Time T) constG2protected
a_G2private
arguments_CalibratedModelprotected
b() constG2
B(Real x, Time t) constG2protected
b_G2private
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 >())CalibratedModelvirtual
CalibratedModel(Size nArguments)CalibratedModel
constraint() constCalibratedModel
constraint_CalibratedModelprotected
deepUpdate()Observervirtual
discount(Time t) const overrideG2virtual
discountBond(Time now, Time maturity, Array factors) const overrideG2virtual
discountBond(Time, Time, Rate, Rate) constG2
discountBondOption(Option::Type type, Real strike, Time maturity, Time bondMaturity) const overrideG2virtual
QuantLib::AffineModel::discountBondOption(Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) constAffineModelvirtual
dynamics() const overrideG2virtual
endCriteria() constCalibratedModel
eta() constG2
eta_G2private
functionEvaluation() constCalibratedModel
functionEvaluation_CalibratedModelprotected
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() overrideG2protectedvirtual
QuantLib::iterator typedefObserver
notifyObservers()Observable
Observable()Observable
Observable(const Observable &)Observable
Observable(Observable &&)=deleteObservable
observables_Observerprivate
QuantLib::Observer()=defaultObserver
QuantLib::Observer(const Observer &)Observer
observers_Observableprivate
QuantLib::operator=(const Observer &)Observer
QuantLib::Observable::operator=(const Observable &)Observable
QuantLib::Observable::operator=(Observable &&)=deleteObservable
params() constCalibratedModel
phi_G2private
problemValues() constCalibratedModel
problemValues_CalibratedModelprotected
registerObserver(Observer *)Observableprivate
registerWith(const ext::shared_ptr< Observable > &)Observer
registerWithObservables(const ext::shared_ptr< Observer > &)Observer
rho() constG2
rho_G2private
QuantLib::set_type typedefObserverprivate
setParams(const Array &params)CalibratedModelvirtual
shortRateEndCriteria_CalibratedModelprotected
ShortRateModel(Size nArguments)ShortRateModelexplicit
sigma() constG2
sigma_G2private
sigmaP(Time t, Time s) constG2private
swaption(const Swaption::arguments &arguments, Rate fixedRate, Real range, Size intervals) constG2
termStructure() constTermStructureConsistentModel
termStructure_TermStructureConsistentModelprivate
TermStructureConsistentModel(Handle< YieldTermStructure > termStructure)TermStructureConsistentModel
tree(const TimeGrid &grid) const overrideTwoFactorModelvirtual
TwoFactorModel(Size nParams)TwoFactorModelexplicit
unregisterObserver(Observer *)Observableprivate
unregisterWith(const ext::shared_ptr< Observable > &)Observer
unregisterWithAll()Observer
update() overrideCalibratedModelvirtual
V(Time t) constG2private
value(const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)CalibratedModel
~Observable()=defaultObservablevirtual
~Observer()Observervirtual