This is the complete list of members for LinearGaussMarkovModel, including all inherited members.
arguments_ (defined in LinkableCalibratedModel) | LinkableCalibratedModel | protected |
bankAccountNumeraire(const Time t, const Real x, const Real y, const Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const | LinearGaussMarkovModel | |
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 >()) | LinkableCalibratedModel | virtual |
calibrate(const std::vector< boost::shared_ptr< BlackCalibrationHelper > > &, 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 >()) | LinkableCalibratedModel | virtual |
calibrateReversions(const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | LinearGaussMarkovModel | |
calibrateReversionsIterative(const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | LinearGaussMarkovModel | |
calibrateVolatilities(const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | LinearGaussMarkovModel | |
calibrateVolatilitiesIterative(const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | LinearGaussMarkovModel | |
constraint() const (defined in LinkableCalibratedModel) | LinkableCalibratedModel | |
constraint_ (defined in LinkableCalibratedModel) | LinkableCalibratedModel | protected |
discountBond(const QuantLib::Time t, const QuantLib::Time T, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const override | LinearGaussMarkovModel | virtual |
discountBond(const Time t, const Time T, const Real x, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const (defined in LinearGaussMarkovModel) | LinearGaussMarkovModel | |
discountBondOption(Option::Type type, const Real K, const Time t, const Time S, const Time T, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const (defined in LinearGaussMarkovModel) | LinearGaussMarkovModel | |
Discretization enum name (defined in LinearGaussMarkovModel) | LinearGaussMarkovModel | |
endCriteria() const | LinkableCalibratedModel | |
endCriteria_ (defined in LinkableCalibratedModel) | LinkableCalibratedModel | protected |
generateArguments() override (defined in LinearGaussMarkovModel) | LinearGaussMarkovModel | virtual |
getCalibrationInfo() const | LinearGaussMarkovModel | |
LinearGaussMarkovModel(const boost::shared_ptr< IrLgm1fParametrization > ¶metrization, const Measure measure=Measure::LGM, const Discretization=Discretization::Euler, const bool evaluateBankAccount=true, const boost::shared_ptr< Integrator > &integrator=boost::make_shared< SimpsonIntegral >(1.0E-8, 100)) (defined in LinearGaussMarkovModel) | LinearGaussMarkovModel | |
LinkableCalibratedModel() (defined in LinkableCalibratedModel) | LinkableCalibratedModel | |
m() const override | LinearGaussMarkovModel | virtual |
m_aux() const override | LinearGaussMarkovModel | virtual |
measure() const override | LinearGaussMarkovModel | virtual |
Measure enum name (defined in IrModel) | IrModel | |
MoveReversion(const Size i) (defined in LinearGaussMarkovModel) | LinearGaussMarkovModel | |
MoveVolatility(const Size i) | LinearGaussMarkovModel | |
n() const override | LinearGaussMarkovModel | virtual |
n_aux() const override | LinearGaussMarkovModel | virtual |
numeraire(const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const QuantLib::Array &aux=Array()) const override | LinearGaussMarkovModel | virtual |
numeraire(const Time t, const Real x, const Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const (defined in LinearGaussMarkovModel) | LinearGaussMarkovModel | |
parametrization() const | LinearGaussMarkovModel | |
parametrizationBase() const override | LinearGaussMarkovModel | virtual |
params() const | LinkableCalibratedModel | |
problemValues() const | LinkableCalibratedModel | |
problemValues_ (defined in LinkableCalibratedModel) | LinkableCalibratedModel | protected |
reducedDiscountBond(const Time t, const Time T, const Real x, const Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) const (defined in LinearGaussMarkovModel) | LinearGaussMarkovModel | |
setCalibrationInfo(const LgmCalibrationInfo &calibrationInfo) | LinearGaussMarkovModel | |
setParams(const Array ¶ms) (defined in LinkableCalibratedModel) | LinkableCalibratedModel | virtual |
shortRate(const QuantLib::Time t, const QuantLib::Array &x, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const override | LinearGaussMarkovModel | virtual |
stateProcess() const override | LinearGaussMarkovModel | virtual |
termStructure() const override | LinearGaussMarkovModel | virtual |
update() override | LinearGaussMarkovModel | |
value(const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) (defined in LinkableCalibratedModel) | LinkableCalibratedModel | |
value(const Array ¶ms, const std::vector< boost::shared_ptr< BlackCalibrationHelper > > &) | LinkableCalibratedModel |