This is the complete list of members for Gsr, including all inherited members.
arguments_ (defined in CalibratedModel) | CalibratedModel | protected |
calculate() const | LazyObject | protectedvirtual |
calculated_ (defined in LazyObject) | LazyObject | mutableprotected |
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 >()) | CalibratedModel | virtual |
CalibratedModel(Size nArguments) (defined in CalibratedModel) | CalibratedModel | |
calibrateReversionsIterative(const std::vector< boost::shared_ptr< CalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) (defined in Gsr) | Gsr | |
calibrateVolatilitiesIterative(const std::vector< boost::shared_ptr< CalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) (defined in Gsr) | Gsr | |
constraint() const (defined in CalibratedModel) | CalibratedModel | |
constraint_ (defined in CalibratedModel) | CalibratedModel | protected |
endCriteria() | CalibratedModel | |
enforcesTodaysHistoricFixings_ (defined in Gaussian1dModel) | Gaussian1dModel | mutableprotected |
evaluationDate_ (defined in Gaussian1dModel) | Gaussian1dModel | mutableprotected |
FixedReversions() (defined in Gsr) | Gsr | |
FixedVolatilities() (defined in Gsr) | Gsr | |
forwardRate(const Date &fixing, const Date &referenceDate=Null< Date >(), const Real y=0.0, boost::shared_ptr< IborIndex > iborIdx=boost::shared_ptr< IborIndex >()) const (defined in Gaussian1dModel) | Gaussian1dModel | |
freeze() | LazyObject | |
frozen_ (defined in LazyObject) | LazyObject | mutableprotected |
Gaussian1dModel(const Handle< YieldTermStructure > &yieldTermStructure) (defined in Gaussian1dModel) | Gaussian1dModel | protected |
gaussianPolynomialIntegral(const Real a, const Real b, const Real c, const Real d, const Real e, const Real x0, const Real x1) | Gaussian1dModel | static |
gaussianShiftedPolynomialIntegral(const Real a, const Real b, const Real c, const Real d, const Real e, const Real h, const Real x0, const Real x1) | Gaussian1dModel | static |
generateArguments() (defined in Gsr) | Gsr | protectedvirtual |
Gsr(const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Real > &volatilities, const Real reversion, const Real T=60.0) (defined in Gsr) | Gsr | |
Gsr(const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Real > &volatilities, const std::vector< Real > &reversions, const Real T=60.0) (defined in Gsr) | Gsr | |
Gsr(const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Handle< Quote > > &volatilities, const Handle< Quote > reversion, const Real T=60.0) (defined in Gsr) | Gsr | |
Gsr(const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Handle< Quote > > &volatilities, const std::vector< Handle< Quote > > &reversions, const Real T=60.0) (defined in Gsr) | Gsr | |
LazyObject() (defined in LazyObject) | LazyObject | |
MoveReversion(Size i) (defined in Gsr) | Gsr | |
MoveVolatility(Size i) (defined in Gsr) | Gsr | |
notifyObservers() | Observable | |
numeraire(const Time t, const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const (defined in Gaussian1dModel) | Gaussian1dModel | |
numeraire(const Date &referenceDate, const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const (defined in Gaussian1dModel) | Gaussian1dModel | |
numeraireImpl(const Time t, const Real y, const Handle< YieldTermStructure > &yts) const (defined in Gsr) | Gsr | protectedvirtual |
numeraireTime() const (defined in Gsr) | Gsr | |
numeraireTime(const Real T) (defined in Gsr) | Gsr | |
Observable() (defined in Observable) | Observable | |
Observable(const Observable &) (defined in Observable) | Observable | |
Observer() (defined in Observer) | Observer | |
Observer(const Observer &) (defined in Observer) | Observer | |
QuantLib::operator=(const Observable &) | Observable | |
operator=(const Observer &) (defined in Observer) | Observer | |
params() const | CalibratedModel | |
performCalculations() const | Gsr | protectedvirtual |
recalculate() | LazyObject | |
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer | |
reversion() const (defined in Gsr) | Gsr | |
setParams(const Array ¶ms) (defined in CalibratedModel) | CalibratedModel | virtual |
shortRateEndCriteria_ (defined in CalibratedModel) | CalibratedModel | protected |
stateProcess() const (defined in Gaussian1dModel) | Gaussian1dModel | |
stateProcess_ (defined in Gaussian1dModel) | Gaussian1dModel | protected |
swapAnnuity(const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), const Real y=0.0, boost::shared_ptr< SwapIndex > swapIdx=boost::shared_ptr< SwapIndex >()) const (defined in Gaussian1dModel) | Gaussian1dModel | |
swapRate(const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), const Real y=0.0, boost::shared_ptr< SwapIndex > swapIdx=boost::shared_ptr< SwapIndex >()) const (defined in Gaussian1dModel) | Gaussian1dModel | |
termStructure() const (defined in TermStructureConsistentModel) | TermStructureConsistentModel | |
TermStructureConsistentModel(const Handle< YieldTermStructure > &termStructure) (defined in TermStructureConsistentModel) | TermStructureConsistentModel | |
underlyingSwap(const boost::shared_ptr< SwapIndex > &index, const Date &expiry, const Period &tenor) const (defined in Gaussian1dModel) | Gaussian1dModel | protected |
unfreeze() | LazyObject | |
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer | |
unregisterWithAll() (defined in Observer) | Observer | |
update() | Gsr | protectedvirtual |
value(const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) (defined in CalibratedModel) | CalibratedModel | |
volatility() const (defined in Gsr) | Gsr | |
yGrid(const Real yStdDevs, const int gridPoints, const Real T=1.0, const Real t=0, const Real y=0) const | Gaussian1dModel | |
zerobond(const Time T, const Time t=0.0, const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const (defined in Gaussian1dModel) | Gaussian1dModel | |
zerobond(const Date &maturity, const Date &referenceDate=Null< Date >(), const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const (defined in Gaussian1dModel) | Gaussian1dModel | |
zerobondImpl(const Time T, const Time t, const Real y, const Handle< YieldTermStructure > &yts) const (defined in Gsr) | Gsr | protectedvirtual |
zerobondOption(const Option::Type &type, const Date &expiry, const Date &valueDate, const Date &maturity, const Rate strike, const Date &referenceDate=Null< Date >(), const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >(), const Real yStdDevs=7.0, const Size yGridPoints=64, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false) const (defined in Gaussian1dModel) | Gaussian1dModel | |
~Gaussian1dModel() (defined in Gaussian1dModel) | Gaussian1dModel | protectedvirtual |
~LazyObject() (defined in LazyObject) | LazyObject | virtual |
~Observable() (defined in Observable) | Observable | virtual |
~Observer() (defined in Observer) | Observer | virtual |