ShortRateModel Class Reference
[Short-rate modelling framework]

#include <ql/ShortRateModels/model.hpp>

Inheritance diagram for ShortRateModel:

Inheritance graph
[legend]
List of all members.

Detailed Description

Abstract short-rate model class.


Public Member Functions

 ShortRateModel (Size nArguments)
void update ()
virtual boost::shared_ptr<
Lattice
tree (const TimeGrid &) const =0
void calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const Constraint &constraint=Constraint())
 Calibrate to a set of market instruments (caps/swaptions).

const boost::shared_ptr< Constraint > & constraint () const
Disposable< Arrayparams () const
 Returns array of arguments on which calibration is done.

void setParams (const Array &params)

Protected Member Functions

virtual void generateArguments ()

Protected Attributes

std::vector< Parameterarguments_
boost::shared_ptr< Constraintconstraint_


Member Function Documentation

void update  )  [virtual]
 

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

void calibrate const std::vector< boost::shared_ptr< CalibrationHelper > > &  ,
OptimizationMethod method,
const Constraint constraint = Constraint()
 

Calibrate to a set of market instruments (caps/swaptions).

An additional constraint can be passed which must be satisfied in addition to the constraints of the model.


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen