QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Gsr Member List

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

alwaysForward_ (defined in LazyObject)LazyObjectmutableprotected
alwaysForwardNotifications()LazyObject
arguments_ (defined in CalibratedModel)CalibratedModelprotected
calculate() constLazyObjectprotectedvirtual
calculated_ (defined in LazyObject)LazyObjectmutableprotected
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
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)CalibratedModelprotected
deepUpdate()Observervirtual
endCriteria() constCalibratedModel
enforcesTodaysHistoricFixings_ (defined in Gaussian1dModel)Gaussian1dModelmutableprotected
evaluationDate_ (defined in Gaussian1dModel)Gaussian1dModelmutableprotected
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)LazyObjectmutableprotected
functionEvaluation() const (defined in CalibratedModel)CalibratedModel
functionEvaluation_ (defined in CalibratedModel)CalibratedModelprotected
Gaussian1dModel(const Handle< YieldTermStructure > &yieldTermStructure) (defined in Gaussian1dModel)Gaussian1dModelprotected
gaussianPolynomialIntegral(const Real a, const Real b, const Real c, const Real d, const Real e, const Real x0, const Real x1)Gaussian1dModelstatic
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)Gaussian1dModelstatic
generateArguments() (defined in Gsr)Gsrprotectedvirtual
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
iterator typedef (defined in Observer)Observer
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)Gsrprotectedvirtual
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() constCalibratedModel
performCalculations() constGsrprotectedvirtual
problemValues() constCalibratedModel
problemValues_ (defined in CalibratedModel)CalibratedModelprotected
recalculate()LazyObject
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const boost::shared_ptr< Observer > &)Observer
reversion() const (defined in Gsr)Gsr
set_type typedef (defined in Observer)Observer
setParams(const Array &params) (defined in CalibratedModel)CalibratedModelvirtual
shortRateEndCriteria_ (defined in CalibratedModel)CalibratedModelprotected
stateProcess() const (defined in Gaussian1dModel)Gaussian1dModel
stateProcess_ (defined in Gaussian1dModel)Gaussian1dModelprotected
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)Gaussian1dModelprotected
unfreeze()LazyObject
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()Gsrprotectedvirtual
value(const Array &params, 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) constGaussian1dModel
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)Gsrprotectedvirtual
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)Gaussian1dModelprotectedvirtual
~LazyObject() (defined in LazyObject)LazyObjectvirtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual