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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 Gsr, including all inherited members.
| alwaysForward_ | LazyObject | protected |
| alwaysForwardNotifications() | LazyObject | |
| arguments_ | CalibratedModel | protected |
| calculate() const | LazyObject | protectedvirtual |
| calculated_ | LazyObject | mutableprotected |
| 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 | |
| calibrateReversionsIterative(const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | Gsr | |
| calibrateVolatilitiesIterative(const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | Gsr | |
| constraint() const | CalibratedModel | |
| constraint_ | CalibratedModel | protected |
| deepUpdate() | Observer | virtual |
| endCriteria() const | CalibratedModel | |
| enforcesTodaysHistoricFixings_ | Gaussian1dModel | mutableprotected |
| evaluationDate_ | Gaussian1dModel | mutableprotected |
| FixedReversions() | Gsr | |
| FixedVolatilities() | Gsr | |
| forwardFirstNotificationOnly() | LazyObject | |
| forwardRate(const Date &fixing, const Date &referenceDate=Null< Date >(), Real y=0.0, const ext::shared_ptr< IborIndex > &iborIdx=ext::shared_ptr< IborIndex >()) const | Gaussian1dModel | |
| freeze() | LazyObject | |
| frozen_ | LazyObject | protected |
| functionEvaluation() const | CalibratedModel | |
| functionEvaluation_ | CalibratedModel | protected |
| Gaussian1dModel(const Handle< YieldTermStructure > &yieldTermStructure) | Gaussian1dModel | protected |
| gaussianPolynomialIntegral(Real a, Real b, Real c, Real d, Real e, Real x0, Real x1) | Gaussian1dModel | static |
| gaussianShiftedPolynomialIntegral(Real a, Real b, Real c, Real d, Real e, Real h, Real x0, Real x1) | Gaussian1dModel | static |
| generateArguments() override | Gsr | protectedvirtual |
| Gsr(const Handle< YieldTermStructure > &termStructure, std::vector< Date > volstepdates, const std::vector< Real > &volatilities, Real reversion, Real T=60.0) | Gsr | |
| Gsr(const Handle< YieldTermStructure > &termStructure, std::vector< Date > volstepdates, const std::vector< Real > &volatilities, const std::vector< Real > &reversions, Real T=60.0) | Gsr | |
| Gsr(const Handle< YieldTermStructure > &termStructure, std::vector< Date > volstepdates, std::vector< Handle< Quote > > volatilities, const Handle< Quote > &reversion, Real T=60.0) | Gsr | |
| Gsr(const Handle< YieldTermStructure > &termStructure, std::vector< Date > volstepdates, std::vector< Handle< Quote > > volatilities, std::vector< Handle< Quote > > reversions, Real T=60.0) | Gsr | |
| initialize(Real) | Gsr | private |
| isCalculated() const | LazyObject | |
| QuantLib::iterator typedef | Observable | private |
| QuantLib::LazyObject::QuantLib::Observer::iterator typedef | Observer | |
| LazyObject() | LazyObject | |
| MoveReversion(Size i) | Gsr | |
| MoveVolatility(Size i) | Gsr | |
| notifyObservers() | Observable | |
| numeraire(Time t, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const | Gaussian1dModel | |
| numeraire(const Date &referenceDate, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const | Gaussian1dModel | |
| numeraireImpl(Time t, Real y, const Handle< YieldTermStructure > &yts) const override | Gsr | protectedvirtual |
| numeraireTime() const | Gsr | |
| numeraireTime(Real T) | Gsr | |
| Observable() | Observable | |
| Observable(const Observable &) | Observable | |
| Observable(Observable &&)=delete | Observable | |
| observables_ | Observer | private |
| Observer()=default | Observer | |
| QuantLib::Observer::Observer(const Observer &) | Observer | |
| observers_ | Observable | private |
| QuantLib::operator=(const Observable &) | Observable | |
| QuantLib::operator=(Observable &&)=delete | Observable | |
| QuantLib::LazyObject::QuantLib::Observer::operator=(const Observer &) | Observer | |
| params() const | CalibratedModel | |
| performCalculations() const override | Gsr | protectedvirtual |
| problemValues() const | CalibratedModel | |
| problemValues_ | CalibratedModel | protected |
| recalculate() | LazyObject | |
| registerObserver(Observer *) | Observable | private |
| registerWith(const ext::shared_ptr< Observable > &) | Observer | |
| registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
| reversion() const | Gsr | |
| reversion_ | Gsr | private |
| reversionObserver_ | Gsr | private |
| reversions_ | Gsr | private |
| QuantLib::set_type typedef | Observable | private |
| setParams(const Array ¶ms) | CalibratedModel | virtual |
| shortRateEndCriteria_ | CalibratedModel | protected |
| sigma_ | Gsr | private |
| stateProcess() const | Gaussian1dModel | |
| stateProcess_ | Gaussian1dModel | protected |
| swapAnnuity(const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), Real y=0.0, const ext::shared_ptr< SwapIndex > &swapIdx=ext::shared_ptr< SwapIndex >()) const | Gaussian1dModel | |
| swapCache_ | Gaussian1dModel | mutableprivate |
| swapRate(const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), Real y=0.0, const ext::shared_ptr< SwapIndex > &swapIdx=ext::shared_ptr< SwapIndex >()) const | Gaussian1dModel | |
| termStructure() const | TermStructureConsistentModel | |
| termStructure_ | TermStructureConsistentModel | private |
| TermStructureConsistentModel(Handle< YieldTermStructure > termStructure) | TermStructureConsistentModel | |
| underlyingSwap(const ext::shared_ptr< SwapIndex > &index, const Date &expiry, const Period &tenor) const | Gaussian1dModel | protected |
| unfreeze() | LazyObject | |
| unregisterObserver(Observer *) | Observable | private |
| unregisterWith(const ext::shared_ptr< Observable > &) | Observer | |
| unregisterWithAll() | Observer | |
| update() override | Gsr | protectedvirtual |
| updateReversion() | Gsr | private |
| updateTimes() const | Gsr | private |
| updateVolatility() | Gsr | private |
| updating_ | LazyObject | private |
| value(const Array ¶ms, const std::vector< ext::shared_ptr< CalibrationHelper > > &) | CalibratedModel | |
| volatilities_ | Gsr | private |
| volatility() const | Gsr | |
| volatilityObserver_ | Gsr | private |
| volstepdates_ | Gsr | private |
| volsteptimes_ | Gsr | mutableprivate |
| volsteptimesArray_ | Gsr | mutableprivate |
| yGrid(Real yStdDevs, int gridPoints, Real T=1.0, Real t=0, Real y=0) const | Gaussian1dModel | |
| zerobond(Time T, Time t=0.0, Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const | Gaussian1dModel | |
| zerobond(const Date &maturity, const Date &referenceDate=Null< Date >(), Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const | Gaussian1dModel | |
| zerobondImpl(Time T, Time t, Real y, const Handle< YieldTermStructure > &yts) const override | Gsr | protectedvirtual |
| zerobondOption(const Option::Type &type, const Date &expiry, const Date &valueDate, const Date &maturity, Rate strike, const Date &referenceDate=Null< Date >(), Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >(), Real yStdDevs=7.0, Size yGridPoints=64, bool extrapolatePayoff=true, bool flatPayoffExtrapolation=false) const | Gaussian1dModel | |
| ~LazyObject() override=default | LazyObject | |
| ~Observable()=default | Observable | virtual |
| ~Observer() | Observer | virtual |