Reference manual - version qle_version
Public Member Functions | |
| LgmVectorised (const QuantLib::ext::shared_ptr< IrLgm1fParametrization > &p) | |
| QuantLib::ext::shared_ptr< IrLgm1fParametrization > | parametrization () const |
| RandomVariable | numeraire (const Time t, const RandomVariable &x, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const |
| RandomVariable | discountBond (const Time t, const Time T, const RandomVariable &x, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const |
| RandomVariable | reducedDiscountBond (const Time t, const Time T, const RandomVariable &x, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) const |
| RandomVariable | discountBondOption (Option::Type type, const Real K, const Time t, const Time S, const Time T, const RandomVariable &x, const Handle< YieldTermStructure > &discountCurve) const |
| RandomVariable | fixing (const QuantLib::ext::shared_ptr< InterestRateIndex > &index, const Date &fixingDate, const Time t, const RandomVariable &x) const |
| RandomVariable | compoundedOnRate (const QuantLib::ext::shared_ptr< OvernightIndex > &index, const std::vector< Date > &fixingDates, const std::vector< Date > &valueDates, const std::vector< Real > &dt, const Natural rateCutoff, const bool includeSpread, const Real spread, const Real gearing, const Period lookback, Real cap, Real floor, const bool localCapFloor, const bool nakedOption, const Time t, const RandomVariable &x) const |
| RandomVariable | compoundedOnRate (const QuantLib::ext::shared_ptr< OvernightIndex > &index, const std::vector< Date > &fixingDates, const std::vector< Date > &valueDates, const std::vector< Real > &dt, const Natural rateCutoff, const bool includeSpread, const Real spread, const Real gearing, const Period lookback, Real cap, Real floor, const bool localCapFloor, const bool nakedOption, const std::vector< Time > &simTime, const std::vector< Size > &simIdx, const std::function< const RandomVariable *(Size)> &x) const |
| RandomVariable | averagedOnRate (const QuantLib::ext::shared_ptr< OvernightIndex > &index, const std::vector< Date > &fixingDates, const std::vector< Date > &valueDates, const std::vector< Real > &dt, const Natural rateCutoff, const bool includeSpread, const Real spread, const Real gearing, const Period lookback, Real cap, Real floor, const bool localCapFloor, const bool nakedOption, const Time t, const RandomVariable &x) const |
| RandomVariable | averagedOnRate (const QuantLib::ext::shared_ptr< OvernightIndex > &index, const std::vector< Date > &fixingDates, const std::vector< Date > &valueDates, const std::vector< Real > &dt, const Natural rateCutoff, const bool includeSpread, const Real spread, const Real gearing, const Period lookback, Real cap, Real floor, const bool localCapFloor, const bool nakedOption, const std::vector< Time > &simTime, const std::vector< Size > &simIdx, const std::function< const RandomVariable *(Size)> &x) const |
| RandomVariable | averagedBmaRate (const QuantLib::ext::shared_ptr< BMAIndex > &index, const std::vector< Date > &fixingDates, const Date &accrualStartDate, const Date &accrualEndDate, const bool includeSpread, const Real spread, const Real gearing, Real cap, Real floor, const bool nakedOption, const Time t, const RandomVariable &x) const |
| RandomVariable | subPeriodsRate (const QuantLib::ext::shared_ptr< InterestRateIndex > &index, const std::vector< Date > &fixingDates, const Time t, const RandomVariable &x, const std::vector< Time > &accrualFractions, const SubPeriodsCoupon1::Type type, const bool includeSpread, const Spread spread, const Real gearing, const Time accrualPeriod) const |