QuantLib::ShortRateModels Namespace Reference


Detailed Description

Implementations of short-rate models.

See sect. The short-rate modelling framework


Compounds

class  CalibrationHelper
 liquid market instrument used during calibration More...

class  CalibrationSet
 Set of calibration instruments. More...

class  AffineModel
 Affine model class. More...

class  TermStructureConsistentModel
 Term-structure consistent model class. More...

class  Model
 Abstract short-rate model class. More...

class  OneFactorModel
 Single-factor short-rate model abstract class. More...

class  OneFactorModel.ShortRateDynamics
 Base class describing the short-rate dynamics. More...

class  OneFactorModel.ShortRateTree
 Recombining trinomial tree discretizing the state variable. More...

class  OneFactorAffineModel
 Single-factor affine base class. More...

class  BlackKarasinski
 Standard Black-Karasinski model class. More...

class  BlackKarasinski.Dynamics
 Short-rate dynamics in the Black-Karasinski model. More...

class  CoxIngersollRoss
 Cox-Ingersoll-Ross model class. More...

class  CoxIngersollRoss.Dynamics
 Dynamics of the short-rate under the Cox-Ingersoll-Ross model. More...

class  ExtendedCoxIngersollRoss
 Extended Cox-Ingersoll-Ross model class. More...

class  ExtendedCoxIngersollRoss.Dynamics
 Short-rate dynamics in the extended Cox-Ingersoll-Ross model. More...

class  ExtendedCoxIngersollRoss.FittingParameter
 Analytical term-structure fitting parameter $ \varphi(t) $. More...

class  HullWhite
 Single-factor Hull-White (extended Vasicek) model class. More...

class  HullWhite.Dynamics
 Short-rate dynamics in the Hull-White model. More...

class  HullWhite.FittingParameter
 Analytical term-structure fitting parameter $ \varphi(t) $. More...

class  Vasicek
 Vasicek model class. More...

class  Vasicek.Dynamics
 Short-rate dynamics in the Vasicek model. More...

class  ParameterImpl
 Base class for model parameter implementation. More...

class  Parameter
 Base class for model arguments. More...

class  ConstantParameter
 Standard constant parameter $ a(t) = a $. More...

class  NullParameter
 Parameter which is always zero $ a(t) = 0 $. More...

class  PiecewiseConstantParameter
 Piecewise constant parameter. More...

class  TermStructureFittingParameter
 Deterministic time-dependent parameter used for yield-curve fitting. More...

class  TwoFactorModel
 Abstract base-class for two-factor models. More...

class  TwoFactorModel.ShortRateDynamics
 Class describing the dynamics of the two state variables. More...

class  TwoFactorModel.ShortRateTree
 Recombining two-dimensional tree discretizing the state variable. More...

class  G2
 Two-additive-factor gaussian model class. More...

class  G2.FittingParameter
 Analytical term-structure fitting parameter $ \varphi(t) $. More...


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