QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
G2 Member List

This is the complete list of members for G2, including all inherited members.

a() const (defined in G2)G2
A(Time t, Time T) const (defined in G2)G2protected
arguments_ (defined in CalibratedModel)CalibratedModelprotected
b() const (defined in G2)G2
B(Real x, Time t) const (defined in G2)G2protected
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 G2virtual
discountBond(Time now, Time maturity, Array factors) const (defined in G2)G2virtual
discountBond(Time, Time, Rate, Rate) const (defined in G2)G2
discountBondOption(Option::Type type, Real strike, Time maturity, Time bondMaturity) const (defined in G2)G2virtual
discountBondOption(Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const (defined in AffineModel)AffineModelvirtual
dynamics() const G2virtual
endCriteria() const CalibratedModel
eta() const (defined in G2)G2
G2(const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01, Real b=0.1, Real eta=0.01, Real rho=-0.75) (defined in G2)G2
generateArguments() (defined in G2)G2protectedvirtual
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
params() const CalibratedModel
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const boost::shared_ptr< Observer > &)Observer
rho() const (defined in G2)G2
setParams(const Array &params) (defined in CalibratedModel)CalibratedModelvirtual
shortRateEndCriteria_ (defined in CalibratedModel)CalibratedModelprotected
ShortRateModel(Size nArguments) (defined in ShortRateModel)ShortRateModel
sigma() const (defined in G2)G2
swaption(const Swaption::arguments &arguments, Rate fixedRate, Real range, Size intervals) const (defined in G2)G2
SwaptionPricingFunction (defined in G2)G2friend
termStructure() const (defined in TermStructureConsistentModel)TermStructureConsistentModel
TermStructureConsistentModel(const Handle< YieldTermStructure > &termStructure) (defined in TermStructureConsistentModel)TermStructureConsistentModel
tree(const TimeGrid &grid) const TwoFactorModelvirtual
TwoFactorModel(Size nParams) (defined in TwoFactorModel)TwoFactorModel
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
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual