Abstract base-class for two-factor models. More...
#include <ql/models/shortrate/twofactormodel.hpp>
Inheritance diagram for TwoFactorModel:Classes | |
| class | ShortRateDynamics |
| Class describing the dynamics of the two state variables. More... | |
| class | ShortRateTree |
| Recombining two-dimensional tree discretizing the state variable. More... | |
Public Member Functions | |
| TwoFactorModel (Size nParams) | |
| virtual boost::shared_ptr< ShortRateDynamics > | dynamics () const =0 |
| Returns the short-rate dynamics. | |
| boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
| Returns a two-dimensional trinomial tree. | |
Public Member Functions inherited from ShortRateModel | |
| ShortRateModel (Size nArguments) | |
Public Member Functions inherited from CalibratedModel | |
| CalibratedModel (Size nArguments) | |
| void | update () |
| virtual void | calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >()) |
| Calibrate to a set of market instruments (usually caps/swaptions) More... | |
| Real | value (const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) |
| const boost::shared_ptr< Constraint > & | constraint () const |
| EndCriteria::Type | endCriteria () const |
| Returns end criteria result. | |
| const Array & | problemValues () const |
| Returns the problem values. | |
| Disposable< Array > | params () const |
| Returns array of arguments on which calibration is done. | |
| virtual void | setParams (const Array ¶ms) |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Member Functions inherited from CalibratedModel | |
| virtual void | generateArguments () |
Protected Attributes inherited from CalibratedModel | |
| std::vector< Parameter > | arguments_ |
| boost::shared_ptr< Constraint > | constraint_ |
| EndCriteria::Type | shortRateEndCriteria_ |
| Array | problemValues_ |
Abstract base-class for two-factor models.