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

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

apply(Real x0, Real dx) constStochasticProcess1Dvirtual
deepUpdate()Observervirtual
diffusion(Time t, Real x) constExtendedOrnsteinUhlenbeckProcessvirtual
Discretization enum name (defined in ExtendedOrnsteinUhlenbeckProcess)ExtendedOrnsteinUhlenbeckProcess
drift(Time t, Real x) constExtendedOrnsteinUhlenbeckProcessvirtual
evolve(Time t0, Real x0, Time dt, Real dw) constStochasticProcess1Dvirtual
expectation(Time t0, Real x0, Time dt) constExtendedOrnsteinUhlenbeckProcessvirtual
ExtendedOrnsteinUhlenbeckProcess(Real speed, Volatility sigma, Real x0, const boost::function< Real(Real)> &b, Discretization discretization=MidPoint, Real intEps=1e-4) (defined in ExtendedOrnsteinUhlenbeckProcess)ExtendedOrnsteinUhlenbeckProcess
factors() constStochasticProcessvirtual
GaussLobatto enum value (defined in ExtendedOrnsteinUhlenbeckProcess)ExtendedOrnsteinUhlenbeckProcess
iterator typedef (defined in Observer)Observer
MidPoint enum value (defined in ExtendedOrnsteinUhlenbeckProcess)ExtendedOrnsteinUhlenbeckProcess
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
operator=(const Observer &) (defined in Observer)Observer
QuantLib::Observable::operator=(const Observable &)Observable
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const boost::shared_ptr< Observer > &)Observer
set_type typedef (defined in Observer)Observer
speed() const (defined in ExtendedOrnsteinUhlenbeckProcess)ExtendedOrnsteinUhlenbeckProcess
stdDeviation(Time t0, Real x0, Time dt) constExtendedOrnsteinUhlenbeckProcessvirtual
StochasticProcess() (defined in StochasticProcess)StochasticProcessprotected
StochasticProcess(const boost::shared_ptr< discretization > &) (defined in StochasticProcess)StochasticProcessexplicitprotected
StochasticProcess1D() (defined in StochasticProcess1D)StochasticProcess1Dprotected
StochasticProcess1D(const boost::shared_ptr< discretization > &) (defined in StochasticProcess1D)StochasticProcess1Dexplicitprotected
time(const Date &) constStochasticProcessvirtual
Trapezodial enum value (defined in ExtendedOrnsteinUhlenbeckProcess)ExtendedOrnsteinUhlenbeckProcess
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()StochasticProcessvirtual
variance(Time t0, Real x0, Time dt) constExtendedOrnsteinUhlenbeckProcessvirtual
volatility() const (defined in ExtendedOrnsteinUhlenbeckProcess)ExtendedOrnsteinUhlenbeckProcess
x0() constExtendedOrnsteinUhlenbeckProcessvirtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~StochasticProcess() (defined in StochasticProcess)StochasticProcessvirtual