A(Time t, Time T) const (defined in ExtendedCoxIngersollRoss) | ExtendedCoxIngersollRoss | [protected, virtual] |
arguments_ (defined in ShortRateModel) | ShortRateModel | [protected] |
B(Time t, Time T) const (defined in CoxIngersollRoss) | CoxIngersollRoss | [protected, virtual] |
calibrate(const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const Constraint &constraint=Constraint()) | ShortRateModel | |
constraint() const (defined in ShortRateModel) | ShortRateModel | |
constraint_ (defined in ShortRateModel) | ShortRateModel | [protected] |
CoxIngersollRoss(Rate r0=0.05, Real theta=0.1, Real k=0.1, Real sigma=0.1) (defined in CoxIngersollRoss) | CoxIngersollRoss | |
discount(Time t) const | OneFactorAffineModel | [virtual] |
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) | ExtendedCoxIngersollRoss | [virtual] |
dynamics() const | ExtendedCoxIngersollRoss | [virtual] |
ExtendedCoxIngersollRoss(const RelinkableHandle< TermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05) (defined in ExtendedCoxIngersollRoss) | ExtendedCoxIngersollRoss | |
generateArguments() (defined in ExtendedCoxIngersollRoss) | ExtendedCoxIngersollRoss | [protected, virtual] |
k() const (defined in CoxIngersollRoss) | CoxIngersollRoss | [protected] |
notifyObservers() | Observable | |
Observer() (defined in Observer) | Observer | |
Observer(const Observer &) (defined in Observer) | Observer | |
OneFactorAffineModel(Size nArguments) (defined in OneFactorAffineModel) | OneFactorAffineModel | |
OneFactorModel(Size nArguments) (defined in OneFactorModel) | OneFactorModel | |
operator=(const Observer &) (defined in Observer) | Observer | |
params() const | ShortRateModel | |
registerWith(const boost::shared_ptr< T > &h) (defined in Observer) | Observer | |
setParams(const Array ¶ms) (defined in ShortRateModel) | ShortRateModel | |
ShortRateModel(Size nArguments) (defined in ShortRateModel) | ShortRateModel | |
sigma() const (defined in CoxIngersollRoss) | CoxIngersollRoss | [protected] |
termStructure() const (defined in TermStructureConsistentModel) | TermStructureConsistentModel | |
TermStructureConsistentModel(const RelinkableHandle< TermStructure > &termStructure) (defined in TermStructureConsistentModel) | TermStructureConsistentModel | |
theta() const (defined in CoxIngersollRoss) | CoxIngersollRoss | [protected] |
tree(const TimeGrid &grid) const | ExtendedCoxIngersollRoss | [virtual] |
unregisterWith(const boost::shared_ptr< T > &h) (defined in Observer) | Observer | |
update() | ShortRateModel | [virtual] |
x0() const (defined in CoxIngersollRoss) | CoxIngersollRoss | [protected] |
~Observable() (defined in Observable) | Observable | [virtual] |
~Observer() (defined in Observer) | Observer | [virtual] |
~OneFactorModel() (defined in OneFactorModel) | OneFactorModel | [virtual] |