Inheritance diagram for DefaultableEquityJumpDiffusionModel:

Public Member Functions
	DefaultableEquityJumpDiffusionModel (const std::vector< Real > &stepTimes, const std::vector< Real > &h0, const std::vector< Real > &sigma, const boost::shared_ptr< QuantExt::EquityIndex2 > &equity, const Handle< QuantLib::DefaultProbabilityTermStructure > &creditCurve, const DayCounter &volDayCounter, const Real p=0.0, const Real eta=1.0, const bool adjustEquityForward=true)

const std::vector< Real > &	stepTimes () const

boost::shared_ptr< QuantExt::EquityIndex2 >	equity () const

Real	totalBlackVariance () const

const DayCounter &	volDayCounter () const

Handle< QuantLib::DefaultProbabilityTermStructure >	creditCurve () const

Real	eta () const

Real	p () const

bool	adjustEquityForward () const

Real	timeFromReference (const Date &d) const

const std::vector< Real > &	h0 () const

const std::vector< Real > &	sigma () const

Real	h (const Real t, const Real S) const

Real	h0 (const Real t) const

Real	r (const Real t) const

Real	q (const Real t) const

Real	sigma (const Real t) const

Real	dividendYield (const Real s, const Real t) const

void	bootstrap (const Handle< QuantLib::BlackVolTermStructure > &volatility, const bool staticMesher, const Size timeStepsPerYear, const Size stateGridPoints=100, const Real mesherEpsilon=1E-4, const Real mesherScaling=1.5, const Real mesherConcentration=Null< Real >(), const DefaultableEquityJumpDiffusionModelBuilder::BootstrapMode bootstrapMode=DefaultableEquityJumpDiffusionModelBuilder::BootstrapMode::Alternating, const bool enforceFokkerPlanckBootstrap=false, const bool adjustEquityVolatility=true) const

void	update () override

Public Member Functions