QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Public Types | Public Member Functions | Static Public Member Functions | List of all members
GFunctionFactory Class Reference

#include <conundrumpricer.hpp>

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Classes

class  GFunctionExactYield
 
class  GFunctionStandard
 
class  GFunctionWithShifts
 

Public Types

enum  YieldCurveModel { Standard , ExactYield , ParallelShifts , NonParallelShifts }
 

Public Member Functions

 GFunctionFactory ()=delete
 

Static Public Member Functions

static ext::shared_ptr< GFunctionnewGFunctionStandard (Size q, Real delta, Size swapLength)
 
static ext::shared_ptr< GFunctionnewGFunctionExactYield (const CmsCoupon &coupon)
 
static ext::shared_ptr< GFunctionnewGFunctionWithShifts (const CmsCoupon &coupon, const Handle< Quote > &meanReversion)
 

Detailed Description

Definition at line 78 of file conundrumpricer.hpp.

Member Enumeration Documentation

◆ YieldCurveModel

Enumerator
Standard 
ExactYield 
ParallelShifts 
NonParallelShifts 

Definition at line 80 of file conundrumpricer.hpp.

Constructor & Destructor Documentation

◆ GFunctionFactory()

GFunctionFactory ( )
delete

Member Function Documentation

◆ newGFunctionStandard()

ext::shared_ptr< GFunction > newGFunctionStandard ( Size  q,
Real  delta,
Size  swapLength 
)
static

Definition at line 631 of file conundrumpricer.cpp.

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◆ newGFunctionExactYield()

ext::shared_ptr< GFunction > newGFunctionExactYield ( const CmsCoupon coupon)
static

Definition at line 726 of file conundrumpricer.cpp.

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◆ newGFunctionWithShifts()

ext::shared_ptr< GFunction > newGFunctionWithShifts ( const CmsCoupon coupon,
const Handle< Quote > &  meanReversion 
)
static

Definition at line 982 of file conundrumpricer.cpp.

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