QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
CoxIngersollRoss Member List

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

A(Time t, Time T) const (defined in CoxIngersollRoss)CoxIngersollRossprotectedvirtual
arguments_ (defined in CalibratedModel)CalibratedModelprotected
B(Time t, Time T) const (defined in CoxIngersollRoss)CoxIngersollRossprotectedvirtual
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
CoxIngersollRoss(Rate r0=0.05, Real theta=0.1, Real k=0.1, Real sigma=0.1) (defined in CoxIngersollRoss)CoxIngersollRoss
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 CoxIngersollRoss)CoxIngersollRossvirtual
discountBondOption(Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const (defined in AffineModel)AffineModelvirtual
dynamics() const CoxIngersollRossvirtual
endCriteria() const CalibratedModel
generateArguments() (defined in CalibratedModel)CalibratedModelprotectedvirtual
k() const (defined in CoxIngersollRoss)CoxIngersollRossprotected
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
registerWithObservables(const boost::shared_ptr< 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 CoxIngersollRoss)CoxIngersollRossprotected
theta() const (defined in CoxIngersollRoss)CoxIngersollRossprotected
tree(const TimeGrid &grid) const CoxIngersollRossvirtual
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
x0() const (defined in CoxIngersollRoss)CoxIngersollRossprotected
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~OneFactorModel() (defined in OneFactorModel)OneFactorModelvirtual