QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
GJRGARCHProcess Member List

This is the complete list of members for GJRGARCHProcess, including all inherited members.

alpha() const (defined in GJRGARCHProcess)GJRGARCHProcess
apply(const Array &x0, const Array &dx) constGJRGARCHProcessvirtual
beta() const (defined in GJRGARCHProcess)GJRGARCHProcess
covariance(Time t0, const Array &x0, Time dt) constStochasticProcessvirtual
daysPerYear() const (defined in GJRGARCHProcess)GJRGARCHProcess
deepUpdate()Observervirtual
diffusion(Time t, const Array &x) constGJRGARCHProcessvirtual
Discretization enum name (defined in GJRGARCHProcess)GJRGARCHProcess
dividendYield() const (defined in GJRGARCHProcess)GJRGARCHProcess
drift(Time t, const Array &x) constGJRGARCHProcessvirtual
evolve(Time t0, const Array &x0, Time dt, const Array &dw) constGJRGARCHProcessvirtual
expectation(Time t0, const Array &x0, Time dt) constStochasticProcessvirtual
factors() constStochasticProcessvirtual
FullTruncation enum value (defined in GJRGARCHProcess)GJRGARCHProcess
gamma() const (defined in GJRGARCHProcess)GJRGARCHProcess
GJRGARCHProcess(const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, const Handle< Quote > &s0, Real v0, Real omega, Real alpha, Real beta, Real gamma, Real lambda, Real daysPerYear=252.0, Discretization d=FullTruncation) (defined in GJRGARCHProcess)GJRGARCHProcess
initialValues() constGJRGARCHProcessvirtual
iterator typedef (defined in Observer)Observer
lambda() const (defined in GJRGARCHProcess)GJRGARCHProcess
notifyObservers()Observable
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
Observer() (defined in Observer)Observer
Observer(const Observer &) (defined in Observer)Observer
omega() const (defined in GJRGARCHProcess)GJRGARCHProcess
operator=(const Observer &) (defined in Observer)Observer
QuantLib::Observable::operator=(const Observable &)Observable
PartialTruncation enum value (defined in GJRGARCHProcess)GJRGARCHProcess
Reflection enum value (defined in GJRGARCHProcess)GJRGARCHProcess
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const boost::shared_ptr< Observer > &)Observer
riskFreeRate() const (defined in GJRGARCHProcess)GJRGARCHProcess
s0() const (defined in GJRGARCHProcess)GJRGARCHProcess
set_type typedef (defined in Observer)Observer
size() constGJRGARCHProcessvirtual
stdDeviation(Time t0, const Array &x0, Time dt) constStochasticProcessvirtual
StochasticProcess() (defined in StochasticProcess)StochasticProcessprotected
StochasticProcess(const boost::shared_ptr< discretization > &) (defined in StochasticProcess)StochasticProcessexplicitprotected
time(const Date &) constGJRGARCHProcessvirtual
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()StochasticProcessvirtual
v0() const (defined in GJRGARCHProcess)GJRGARCHProcess
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~StochasticProcess() (defined in StochasticProcess)StochasticProcessvirtual