QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
GeneralizedHullWhite Member List

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

a() const (defined in GeneralizedHullWhite)GeneralizedHullWhiteprotected
A(Time t, Time T) const (defined in GeneralizedHullWhite)GeneralizedHullWhiteprotectedvirtual
arguments_ (defined in CalibratedModel)CalibratedModelprotected
B(Time t, Time T) const (defined in GeneralizedHullWhite)GeneralizedHullWhiteprotectedvirtual
calibrate(const std::vector< boost::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) (defined in CalibratedModel)CalibratedModel
constraint() const (defined in CalibratedModel)CalibratedModel
constraint_ (defined in CalibratedModel)CalibratedModelprotected
convexityBias(Real futurePrice, Time t, Time T, Real sigma, Real a) (defined in GeneralizedHullWhite)GeneralizedHullWhitestatic
discount(Time t) const OneFactorAffineModelvirtual
discountBond(Time now, Time maturity, Array factors) const (defined in OneFactorAffineModel)OneFactorAffineModelvirtual
discountBond(Time now, Time maturity, Rate rate) const (defined in OneFactorAffineModel)OneFactorAffineModel
discountBondOption(Option::Type type, Real strike, Time maturity, Time bondMaturity) const (defined in GeneralizedHullWhite)GeneralizedHullWhitevirtual
discountBondOption(Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const (defined in AffineModel)AffineModelvirtual
dynamics() const GeneralizedHullWhitevirtual
endCriteria()CalibratedModel
GeneralizedHullWhite(const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure, const boost::function< Real(Real)> &f=boost::function< Real(Real)>(), const boost::function< Real(Real)> &fInverse=boost::function< Real(Real)>()) (defined in GeneralizedHullWhite)GeneralizedHullWhite
GeneralizedHullWhite(const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure, const std::vector< Real > &speed, const std::vector< Real > &vol, const boost::function< Real(Real)> &f=boost::function< Real(Real)>(), const boost::function< Real(Real)> &fInverse=boost::function< Real(Real)>()) (defined in GeneralizedHullWhite)GeneralizedHullWhite
GeneralizedHullWhite(const Handle< YieldTermStructure > &yieldtermStructure, Real a=0.1, Real sigma=0.01) (defined in GeneralizedHullWhite)GeneralizedHullWhite
generateArguments() (defined in GeneralizedHullWhite)GeneralizedHullWhiteprotectedvirtual
HWdynamics() const (defined in GeneralizedHullWhite)GeneralizedHullWhite
notifyObservers()Observable
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
Observer() (defined in Observer)Observer
Observer(const Observer &) (defined in Observer)Observer
OneFactorAffineModel(Size nArguments) (defined in OneFactorAffineModel)OneFactorAffineModel
OneFactorModel(Size nArguments) (defined in OneFactorModel)OneFactorModel
operator=(const Observer &) (defined in Observer)Observer
QuantLib::Observable::operator=(const Observable &)Observable
params() const CalibratedModel
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
setParams(const Array &params) (defined in CalibratedModel)CalibratedModelvirtual
shortRateEndCriteria_ (defined in CalibratedModel)CalibratedModelprotected
ShortRateModel(Size nArguments) (defined in ShortRateModel)ShortRateModel
sigma() const (defined in GeneralizedHullWhite)GeneralizedHullWhiteprotected
termStructure() const (defined in TermStructureConsistentModel)TermStructureConsistentModel
TermStructureConsistentModel(const Handle< YieldTermStructure > &termStructure) (defined in TermStructureConsistentModel)TermStructureConsistentModel
tree(const TimeGrid &grid) const (defined in GeneralizedHullWhite)GeneralizedHullWhitevirtual
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()CalibratedModelvirtual
value(const Array &params, const std::vector< boost::shared_ptr< CalibrationHelper > > &) (defined in CalibratedModel)CalibratedModel
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~OneFactorModel() (defined in OneFactorModel)OneFactorModelvirtual