HullWhite Member List

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

A(Time t, Time T) const (defined in HullWhite)HullWhite [protected, virtual]
a() const (defined in Vasicek)Vasicek [protected]
a_ (defined in Vasicek)Vasicek [protected]
arguments_ (defined in CalibratedModel)CalibratedModel [protected]
b() const (defined in Vasicek)Vasicek [protected]
B(Time t, Time T) const (defined in Vasicek)Vasicek [protected, virtual]
b_ (defined in Vasicek)Vasicek [protected]
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 >())CalibratedModel
CalibratedModel(Size nArguments) (defined in CalibratedModel)CalibratedModel
constraint() const (defined in CalibratedModel)CalibratedModel
constraint_ (defined in CalibratedModel)CalibratedModel [protected]
convexityBias(Real futurePrice, Time t, Time T, Real sigma, Real a)HullWhite [static]
discount(Time t) constOneFactorAffineModel [virtual]
discountBond(Time now, Time maturity, Array factors) const (defined in OneFactorAffineModel)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 HullWhite)HullWhite [virtual]
dynamics() constHullWhite [virtual]
generateArguments() (defined in HullWhite)HullWhite [protected, virtual]
HullWhite(const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01) (defined in HullWhite)HullWhite
lambda() const (defined in Vasicek)Vasicek [protected]
lambda_ (defined in Vasicek)Vasicek [protected]
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)OneFactorAffineModel
OneFactorModel(Size nArguments) (defined in OneFactorModel)OneFactorModel
operator=(const Observer &) (defined in Observer)Observer
QuantLib::Observable::operator=(const Observable &)Observable
params() constCalibratedModel
r0_ (defined in Vasicek)Vasicek [protected]
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
setParams(const Array &params) (defined in CalibratedModel)CalibratedModel [virtual]
ShortRateModel(Size nArguments) (defined in ShortRateModel)ShortRateModel
sigma() const (defined in Vasicek)Vasicek [protected]
sigma_ (defined in Vasicek)Vasicek [protected]
termStructure() const (defined in TermStructureConsistentModel)TermStructureConsistentModel
TermStructureConsistentModel(const Handle< YieldTermStructure > &termStructure) (defined in TermStructureConsistentModel)TermStructureConsistentModel
tree(const TimeGrid &grid) const HullWhite [virtual]
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
update()CalibratedModel [virtual]
Vasicek(Rate r0=0.05, Real a=0.1, Real b=0.05, Real sigma=0.01, Real lambda=0.0) (defined in Vasicek)Vasicek
~Observable() (defined in Observable)Observable [virtual]
~Observer() (defined in Observer)Observer [virtual]
~OneFactorModel() (defined in OneFactorModel)OneFactorModel [virtual]