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

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

a() const (defined in Vasicek)Vasicek
A(Time t, Time T) const (defined in Vasicek)Vasicekprotectedvirtual
a_ (defined in Vasicek)Vasicekprotected
arguments_ (defined in CalibratedModel)CalibratedModelprotected
b() const (defined in Vasicek)Vasicek
B(Time t, Time T) const (defined in Vasicek)Vasicekprotectedvirtual
b_ (defined in Vasicek)Vasicekprotected
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
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 Vasicek)Vasicekvirtual
discountBondOption(Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const (defined in AffineModel)AffineModelvirtual
dynamics() const Vasicekvirtual
endCriteria() const CalibratedModel
generateArguments() (defined in CalibratedModel)CalibratedModelprotectedvirtual
lambda() const (defined in Vasicek)Vasicek
lambda_ (defined in Vasicek)Vasicekprotected
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
r0_ (defined in Vasicek)Vasicekprotected
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 Vasicek)Vasicek
sigma_ (defined in Vasicek)Vasicekprotected
tree(const TimeGrid &grid) const OneFactorModelvirtual
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
Vasicek(Rate r0=0.05, Real a=0.1, Real b=0.05, Real sigma=0.01, Real lambda=0.0) (defined in Vasicek)Vasicek
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~OneFactorModel() (defined in OneFactorModel)OneFactorModelvirtual