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)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) constOneFactorAffineModel [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() constExtendedCoxIngersollRoss [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() constShortRateModel
registerWith(const boost::shared_ptr< T > &h) (defined in Observer)Observer
setParams(const Array &params) (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) constExtendedCoxIngersollRoss [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]


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