Model Class Reference

#include <model.hpp>

Inheritance diagram for Model:

Inheritance graph
[legend]
List of all members.

Detailed Description

Abstract short-rate model class.


Public Member Functions

 Model (Size nArguments)
void update ()
virtual Handle< Lattices::Latticetree (const TimeGrid &grid) const=0
void calibrate (const std::vector< Handle< CalibrationHelper > > &instruments, Optimization::Method &method)
 Calibrate to a set of market instruments (caps/swaptions).

const Handle< Optimization::Constraint > & constraint () const
Disposable< Arrayparams () const
 Returns array of arguments on which calibration is done.

void setParams (const Array &params)

Protected Member Functions

virtual void generateArguments ()

Protected Attributes

std::vector< Parameterarguments_
Handle< Optimization::Constraintconstraint_

Friends

class CalibrationFunction


Member Function Documentation

void update  )  [virtual]
 

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.

Implements Observer.


The documentation for this class was generated from the following files:

QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen