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

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

apply(Real x0, Real dx) const StochasticProcess1Dvirtual
diffusion(Time t, Real x) const ExtendedOrnsteinUhlenbeckProcessvirtual
Discretization enum name (defined in ExtendedOrnsteinUhlenbeckProcess)ExtendedOrnsteinUhlenbeckProcess
drift(Time t, Real x) const ExtendedOrnsteinUhlenbeckProcessvirtual
evolve(Time t0, Real x0, Time dt, Real dw) const StochasticProcess1Dvirtual
expectation(Time t0, Real x0, Time dt) const ExtendedOrnsteinUhlenbeckProcessvirtual
ExtendedOrnsteinUhlenbeckProcess(Real speed, Volatility sigma, Real x0, const boost::function< Real(Real)> &b, Discretization discretization=MidPoint, Real intEps=1e-4) (defined in ExtendedOrnsteinUhlenbeckProcess)ExtendedOrnsteinUhlenbeckProcess
factors() const StochasticProcessvirtual
GaussLobatto enum value (defined in ExtendedOrnsteinUhlenbeckProcess)ExtendedOrnsteinUhlenbeckProcess
MidPoint enum value (defined in ExtendedOrnsteinUhlenbeckProcess)ExtendedOrnsteinUhlenbeckProcess
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
operator=(const Observer &) (defined in Observer)Observer
QuantLib::Observable::operator=(const Observable &)Observable
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const boost::shared_ptr< Observer > &)Observer
speed() const (defined in ExtendedOrnsteinUhlenbeckProcess)ExtendedOrnsteinUhlenbeckProcess
stdDeviation(Time t0, Real x0, Time dt) const ExtendedOrnsteinUhlenbeckProcessvirtual
StochasticProcess() (defined in StochasticProcess)StochasticProcessprotected
StochasticProcess(const boost::shared_ptr< discretization > &) (defined in StochasticProcess)StochasticProcessprotected
StochasticProcess1D() (defined in StochasticProcess1D)StochasticProcess1Dprotected
StochasticProcess1D(const boost::shared_ptr< discretization > &) (defined in StochasticProcess1D)StochasticProcess1Dprotected
time(const Date &) const StochasticProcessvirtual
Trapezodial enum value (defined in ExtendedOrnsteinUhlenbeckProcess)ExtendedOrnsteinUhlenbeckProcess
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()StochasticProcessvirtual
variance(Time t0, Real x0, Time dt) const ExtendedOrnsteinUhlenbeckProcessvirtual
volatility() const (defined in ExtendedOrnsteinUhlenbeckProcess)ExtendedOrnsteinUhlenbeckProcess
x0() const ExtendedOrnsteinUhlenbeckProcessvirtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~StochasticProcess() (defined in StochasticProcess)StochasticProcessvirtual