Reference manual - version qle_version
Public Member Functions | |
| DefaultableEquityJumpDiffusionModel (const std::vector< Real > &stepTimes, const std::vector< Real > &h0, const std::vector< Real > &sigma, const QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > &equity, const Handle< QuantLib::DefaultProbabilityTermStructure > &creditCurve, const DayCounter &volDayCounter, const Real p=0.0, const Real eta=1.0, const bool adjustEquityForward=true) | |
| const std::vector< Real > & | stepTimes () const |
| QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > | equity () const |
| Real | totalBlackVariance () const |
| const DayCounter & | volDayCounter () const |
| Handle< QuantLib::DefaultProbabilityTermStructure > | creditCurve () const |
| Real | eta () const |
| Real | p () const |
| bool | adjustEquityForward () const |
| Real | timeFromReference (const Date &d) const |
| const std::vector< Real > & | h0 () const |
| const std::vector< Real > & | sigma () const |
| Real | h (const Real t, const Real S) const |
| Real | h0 (const Real t) const |
| Real | r (const Real t) const |
| Real | q (const Real t) const |
| Real | sigma (const Real t) const |
| Real | variance (const Real t) const |
| Real | int_r_q (const Real t) const |
| Real | dividendYield (const Real s, const Real t) const |
| void | bootstrap (const Handle< QuantLib::BlackVolTermStructure > &volatility, const bool staticMesher, const Size timeStepsPerYear, const Size stateGridPoints=100, const Real mesherEpsilon=1E-4, const Real mesherScaling=1.5, const Real mesherConcentration=Null< Real >(), const DefaultableEquityJumpDiffusionModelBuilder::BootstrapMode bootstrapMode=DefaultableEquityJumpDiffusionModelBuilder::BootstrapMode::Alternating, const bool enforceFokkerPlanckBootstrap=false, const bool adjustEquityVolatility=true) const |
| void | update () override |
