QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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markovfunctional.hpp File Reference

Markov Functional 1 Factor Model. More...

#include <ql/math/interpolation.hpp>
#include <ql/models/shortrate/onefactormodels/gaussian1dmodel.hpp>
#include <ql/processes/mfstateprocess.hpp>
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
#include <utility>

Go to the source code of this file.

Classes

class  MarkovFunctional
 
class  MarkovFunctional::CustomSmileSection
 
class  MarkovFunctional::CustomSmileFactory
 
struct  MarkovFunctional::ModelSettings
 
struct  MarkovFunctional::CalibrationPoint
 
struct  MarkovFunctional::ModelOutputs
 
class  MarkovFunctional::ZeroHelper
 

Namespaces

namespace  QuantLib
 

Macros

#define QL_MFMESSAGE(o, message)
 

Functions

std::ostream & operator<< (std::ostream &out, const MarkovFunctional::ModelOutputs &m)
 

Detailed Description

Markov Functional 1 Factor Model.

Definition in file markovfunctional.hpp.

Macro Definition Documentation

◆ QL_MFMESSAGE

#define QL_MFMESSAGE (   o,
  message 
)
Value:
{ \
std::ostringstream os; \
os << message; \
o.messages_.push_back(os.str()); \
}

Definition at line 275 of file markovfunctional.hpp.