QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
ExtendedCoxIngersollRoss Member List

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

A(Time t, Time T) const (defined in ExtendedCoxIngersollRoss)ExtendedCoxIngersollRossprotectedvirtual
arguments_ (defined in CalibratedModel)CalibratedModelprotected
B(Time t, Time T) const (defined in CoxIngersollRoss)CoxIngersollRossprotectedvirtual
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
CoxIngersollRoss(Rate r0=0.05, Real theta=0.1, Real k=0.1, Real sigma=0.1, bool withFellerConstraint=true) (defined in CoxIngersollRoss)CoxIngersollRoss
deepUpdate()Observervirtual
discount(Time t) constOneFactorAffineModelvirtual
discountBond(Time now, Time maturity, Array factors) const (defined in OneFactorAffineModel)OneFactorAffineModelvirtual
discountBond(Time now, Time maturity, Rate rate) const (defined in OneFactorAffineModel)OneFactorAffineModel
discountBondOption(Option::Type type, Real strike, Time maturity, Time bondMaturity) const (defined in ExtendedCoxIngersollRoss)ExtendedCoxIngersollRossvirtual
discountBondOption(Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const (defined in AffineModel)AffineModelvirtual
dynamics() constExtendedCoxIngersollRossvirtual
endCriteria() constCalibratedModel
ExtendedCoxIngersollRoss(const Handle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05, bool withFellerConstraint=true) (defined in ExtendedCoxIngersollRoss)ExtendedCoxIngersollRoss
functionEvaluation() const (defined in CalibratedModel)CalibratedModel
functionEvaluation_ (defined in CalibratedModel)CalibratedModelprotected
generateArguments() (defined in ExtendedCoxIngersollRoss)ExtendedCoxIngersollRossprotectedvirtual
iterator typedef (defined in Observer)Observer
k() const (defined in CoxIngersollRoss)CoxIngersollRossprotected
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
OneFactorAffineModel(Size nArguments) (defined in OneFactorAffineModel)OneFactorAffineModelexplicit
OneFactorModel(Size nArguments) (defined in OneFactorModel)OneFactorModelexplicit
operator=(const Observer &) (defined in Observer)Observer
QuantLib::Observable::operator=(const Observable &)Observable
params() constCalibratedModel
problemValues() constCalibratedModel
problemValues_ (defined in CalibratedModel)CalibratedModelprotected
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const boost::shared_ptr< Observer > &)Observer
set_type typedef (defined in Observer)Observer
setParams(const Array &params) (defined in CalibratedModel)CalibratedModelvirtual
shortRateEndCriteria_ (defined in CalibratedModel)CalibratedModelprotected
ShortRateModel(Size nArguments) (defined in ShortRateModel)ShortRateModelexplicit
sigma() const (defined in CoxIngersollRoss)CoxIngersollRossprotected
termStructure() const (defined in TermStructureConsistentModel)TermStructureConsistentModel
TermStructureConsistentModel(const Handle< YieldTermStructure > &termStructure) (defined in TermStructureConsistentModel)TermStructureConsistentModel
theta() const (defined in CoxIngersollRoss)CoxIngersollRossprotected
tree(const TimeGrid &grid) constExtendedCoxIngersollRossvirtual
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
x0() const (defined in CoxIngersollRoss)CoxIngersollRossprotected
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~OneFactorModel() (defined in OneFactorModel)OneFactorModelvirtual