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

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

A(Time t, Time T) const overrideExtendedCoxIngersollRossprotectedvirtual
arguments_CalibratedModelprotected
B(Time t, Time T) const overrideCoxIngersollRossprotectedvirtual
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
CoxIngersollRoss(Rate r0=0.05, Real theta=0.1, Real k=0.1, Real sigma=0.1, bool withFellerConstraint=true)CoxIngersollRoss
deepUpdate()Observervirtual
discount(Time t) const overrideOneFactorAffineModelvirtual
discountBond(Time now, Time maturity, Array factors) const overrideOneFactorAffineModelvirtual
discountBond(Time now, Time maturity, Rate rate) constOneFactorAffineModel
discountBondOption(Option::Type type, Real strike, Time maturity, Time bondMaturity) const overrideExtendedCoxIngersollRossvirtual
QuantLib::OneFactorAffineModel::discountBondOption(Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) constAffineModelvirtual
dynamics() const overrideExtendedCoxIngersollRossvirtual
endCriteria() constCalibratedModel
ExtendedCoxIngersollRoss(const Handle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05, bool withFellerConstraint=true)ExtendedCoxIngersollRoss
functionEvaluation() constCalibratedModel
functionEvaluation_CalibratedModelprotected
generateArguments() overrideExtendedCoxIngersollRossprotectedvirtual
QuantLib::iterator typedefObserver
k() constCoxIngersollRossprotected
k_CoxIngersollRossprivate
notifyObservers()Observable
Observable()Observable
Observable(const Observable &)Observable
Observable(Observable &&)=deleteObservable
observables_Observerprivate
QuantLib::Observer()=defaultObserver
QuantLib::Observer(const Observer &)Observer
observers_Observableprivate
OneFactorAffineModel(Size nArguments)OneFactorAffineModelexplicit
OneFactorModel(Size nArguments)OneFactorModelexplicit
QuantLib::operator=(const Observer &)Observer
QuantLib::Observable::operator=(const Observable &)Observable
QuantLib::Observable::operator=(Observable &&)=deleteObservable
params() constCalibratedModel
phi_ExtendedCoxIngersollRossprivate
problemValues() constCalibratedModel
problemValues_CalibratedModelprotected
r0_CoxIngersollRossprivate
registerObserver(Observer *)Observableprivate
registerWith(const ext::shared_ptr< Observable > &)Observer
registerWithObservables(const ext::shared_ptr< Observer > &)Observer
QuantLib::set_type typedefObserverprivate
setParams(const Array &params)CalibratedModelvirtual
shortRateEndCriteria_CalibratedModelprotected
ShortRateModel(Size nArguments)ShortRateModelexplicit
sigma() constCoxIngersollRossprotected
sigma_CoxIngersollRossprivate
termStructure() constTermStructureConsistentModel
termStructure_TermStructureConsistentModelprivate
TermStructureConsistentModel(Handle< YieldTermStructure > termStructure)TermStructureConsistentModel
theta() constCoxIngersollRossprotected
theta_CoxIngersollRossprivate
tree(const TimeGrid &grid) const overrideExtendedCoxIngersollRossvirtual
unregisterObserver(Observer *)Observableprivate
unregisterWith(const ext::shared_ptr< Observable > &)Observer
unregisterWithAll()Observer
update() overrideCalibratedModelvirtual
value(const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)CalibratedModel
x0() constCoxIngersollRossprotected
~Observable()=defaultObservablevirtual
~Observer()Observervirtual
~OneFactorModel() override=defaultOneFactorModel