One factor gsr model, formulation is in forward measure. More...
#include <ql/models/shortrate/onefactormodels/gsr.hpp>
 Inheritance diagram for Gsr:
 Inheritance diagram for Gsr:| Public Member Functions | |
| Gsr (const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Real > &volatilities, const Real reversion, const Real T=60.0) | |
| Gsr (const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Real > &volatilities, const std::vector< Real > &reversions, const Real T=60.0) | |
| Gsr (const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Handle< Quote > > &volatilities, const Handle< Quote > reversion, const Real T=60.0) | |
| Gsr (const Handle< YieldTermStructure > &termStructure, const std::vector< Date > &volstepdates, const std::vector< Handle< Quote > > &volatilities, const std::vector< Handle< Quote > > &reversions, const Real T=60.0) | |
| Real | numeraireTime () const | 
| void | numeraireTime (const Real T) | 
| const Array & | reversion () const | 
| const Array & | volatility () const | 
| Disposable< std::vector< bool > > | FixedReversions () | 
| Disposable< std::vector< bool > > | FixedVolatilities () | 
| Disposable< std::vector< bool > > | MoveVolatility (Size i) | 
| Disposable< std::vector< bool > > | MoveReversion (Size i) | 
| void | calibrateVolatilitiesIterative (const std::vector< boost::shared_ptr< CalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | 
| void | calibrateReversionsIterative (const std::vector< boost::shared_ptr< CalibrationHelper > > &helpers, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) | 
|  Public Member Functions inherited from Gaussian1dModel | |
| const boost::shared_ptr< StochasticProcess1D > | stateProcess () const | 
| Real | numeraire (const Time t, const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const | 
| Real | zerobond (const Time T, const Time t=0.0, const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const | 
| Real | numeraire (const Date &referenceDate, const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const | 
| Real | zerobond (const Date &maturity, const Date &referenceDate=Null< Date >(), const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >()) const | 
| Real | zerobondOption (const Option::Type &type, const Date &expiry, const Date &valueDate, const Date &maturity, const Rate strike, const Date &referenceDate=Null< Date >(), const Real y=0.0, const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >(), const Real yStdDevs=7.0, const Size yGridPoints=64, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false) const | 
| Real | forwardRate (const Date &fixing, const Date &referenceDate=Null< Date >(), const Real y=0.0, boost::shared_ptr< IborIndex > iborIdx=boost::shared_ptr< IborIndex >()) const | 
| Real | swapRate (const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), const Real y=0.0, boost::shared_ptr< SwapIndex > swapIdx=boost::shared_ptr< SwapIndex >()) const | 
| Real | swapAnnuity (const Date &fixing, const Period &tenor, const Date &referenceDate=Null< Date >(), const Real y=0.0, boost::shared_ptr< SwapIndex > swapIdx=boost::shared_ptr< SwapIndex >()) const | 
| const Disposable< Array > | yGrid (const Real yStdDevs, const int gridPoints, const Real T=1.0, const Real t=0, const Real y=0) const | 
|  Public Member Functions inherited from TermStructureConsistentModel | |
| TermStructureConsistentModel (const Handle< YieldTermStructure > &termStructure) | |
| const Handle< YieldTermStructure > & | termStructure () const | 
|  Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) | 
| void | notifyObservers () | 
|  Public Member Functions inherited from LazyObject | |
| void | update () | 
| void | recalculate () | 
| void | freeze () | 
| void | unfreeze () | 
| void | alwaysForwardNotifications () | 
|  Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) | 
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::shared_ptr< Observable > &) | 
| void | unregisterWithAll () | 
| virtual void | deepUpdate () | 
|  Public Member Functions inherited from CalibratedModel | |
| CalibratedModel (Size nArguments) | |
| virtual void | 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 >()) | 
| Calibrate to a set of market instruments (usually caps/swaptions)  More... | |
| Real | value (const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) | 
| const boost::shared_ptr< Constraint > & | constraint () const | 
| EndCriteria::Type | endCriteria () const | 
| Returns end criteria result. | |
| const Array & | problemValues () const | 
| Returns the problem values. | |
| Disposable< Array > | params () const | 
| Returns array of arguments on which calibration is done. | |
| virtual void | setParams (const Array ¶ms) | 
| Integer | functionEvaluation () const | 
| Protected Member Functions | |
| Real | numeraireImpl (const Time t, const Real y, const Handle< YieldTermStructure > &yts) const | 
| Real | zerobondImpl (const Time T, const Time t, const Real y, const Handle< YieldTermStructure > &yts) const | 
| void | generateArguments () | 
| void | update () | 
| void | performCalculations () const | 
|  Protected Member Functions inherited from Gaussian1dModel | |
| Gaussian1dModel (const Handle< YieldTermStructure > &yieldTermStructure) | |
| void | generateArguments () | 
| boost::shared_ptr< VanillaSwap > | underlyingSwap (const boost::shared_ptr< SwapIndex > &index, const Date &expiry, const Period &tenor) const | 
|  Protected Member Functions inherited from LazyObject | |
| virtual void | calculate () const | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
|  Static Public Member Functions inherited from Gaussian1dModel | |
| static Real | gaussianPolynomialIntegral (const Real a, const Real b, const Real c, const Real d, const Real e, const Real x0, const Real x1) | 
| static Real | gaussianShiftedPolynomialIntegral (const Real a, const Real b, const Real c, const Real d, const Real e, const Real h, const Real x0, const Real x1) | 
|  Protected Attributes inherited from Gaussian1dModel | |
| boost::shared_ptr< StochasticProcess1D > | stateProcess_ | 
| Date | evaluationDate_ | 
| bool | enforcesTodaysHistoricFixings_ | 
|  Protected Attributes inherited from LazyObject | |
| bool | calculated_ | 
| bool | frozen_ | 
| bool | alwaysForward_ | 
|  Protected Attributes inherited from CalibratedModel | |
| std::vector< Parameter > | arguments_ | 
| boost::shared_ptr< Constraint > | constraint_ | 
| EndCriteria::Type | shortRateEndCriteria_ | 
| Array | problemValues_ | 
| Integer | functionEvaluation_ | 
One factor gsr model, formulation is in forward measure.
| 
 | protectedvirtual | 
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.
Reimplemented from CalibratedModel.
| 
 | protectedvirtual | 
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Reimplemented from Gaussian1dModel.