QuantLib 0.3.3 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Supported platforms Version history Todo list Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Namespace List Class Hierarchy Compound List File List Namespace Members Compound Members File Members Unstable Features Deprecated List

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 . 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 . 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 . More... class   NullParameter   Parameter which is always zero . 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 . More...

---

QuantLib.org

Hosted by

Documentation generated by