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| LgmVectorised (const boost::shared_ptr< IrLgm1fParametrization > &p) |
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boost::shared_ptr< IrLgm1fParametrization > | parametrization () const |
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RandomVariable | numeraire (const Time t, const RandomVariable &x, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const |
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RandomVariable | discountBond (const Time t, const Time T, const RandomVariable &x, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const |
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RandomVariable | reducedDiscountBond (const Time t, const Time T, const RandomVariable &x, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const |
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RandomVariable | discountBondOption (Option::Type type, const Real K, const Time t, const Time S, const Time T, const RandomVariable &x, const Handle< YieldTermStructure > &discountCurve) const |
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RandomVariable | fixing (const boost::shared_ptr< InterestRateIndex > &index, const Date &fixingDate, const Time t, const RandomVariable &x) const |
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RandomVariable | compoundedOnRate (const boost::shared_ptr< OvernightIndex > &index, const std::vector< Date > &fixingDates, const std::vector< Date > &valueDates, const std::vector< Real > &dt, const Natural rateCutoff, const bool includeSpread, const Real spread, const Real gearing, const Period lookback, Real cap, Real floor, const bool localCapFloor, const bool nakedOption, const Time t, const RandomVariable &x) const |
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RandomVariable | averagedOnRate (const boost::shared_ptr< OvernightIndex > &index, const std::vector< Date > &fixingDates, const std::vector< Date > &valueDates, const std::vector< Real > &dt, const Natural rateCutoff, const bool includeSpread, const Real spread, const Real gearing, const Period lookback, Real cap, Real floor, const bool localCapFloor, const bool nakedOption, const Time t, const RandomVariable &x) const |
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RandomVariable | averagedBmaRate (const boost::shared_ptr< BMAIndex > &index, const std::vector< Date > &fixingDates, const Date &accrualStartDate, const Date &accrualEndDate, const bool includeSpread, const Real spread, const Real gearing, Real cap, Real floor, const bool nakedOption, const Time t, const RandomVariable &x) const |
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RandomVariable | subPeriodsRate (const boost::shared_ptr< InterestRateIndex > &index, const std::vector< Date > &fixingDates, const Time t, const RandomVariable &x) const |
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