CalibratedModel
 LiborForwardModel + AffineModel
 GJRGARCHModel
 PiecewiseTimeDependentHestonModel
 HestonModel
   BatesModel
     BatesDetJumpModel
   BatesDoubleExpModel
     BatesDoubleExpDetJumpModel
 ShortRateModel
   G2 + AffineModel
   OneFactorAffineModel + AffineModel
     HullWhite + AffineModel
 Gsr + Gaussian1dModel
 MarkovFunctional + Gaussian1dModel

The root of the hierarchy shown under GenCalibratedModel.

A ShortRateModel or one of its leaves; see the hierarchy under GenCalibratedModel.

A CalibratedModel; see the hierarchy under GenCalibratedModel.

An OneFactorAffineModel or one of its leaves; see the hierarchy under GenCalibratedModel.

A ShortRateModel; see the hierarchy under GenCalibratedModel.

An OneFactorAffineModel; see the hierarchy under GenCalibratedModel.

A ShortRateModel; see the hierarchy under GenCalibratedModel.

A HestonModel or one of its leaves; see the hierarchy under GenCalibratedModel.

A CalibratedModel; see the hierarchy under GenCalibratedModel.

A CalibratedModel; see the hierarchy under GenCalibratedModel.

A BatesModel or one of its leaves; see the hierarchy under GenCalibratedModel.

A HestonModel; see the hierarchy under GenCalibratedModel.

A BatesModel; see the hierarchy under GenCalibratedModel.

A BatesDoubleExpModel or one of its leaves; see the hierarchy under GenCalibratedModel.

A HestonModel; see the hierarchy under GenCalibratedModel.

A BatesDoubleExpModel; see the hierarchy under GenCalibratedModel.

A CalibratedModel; see the hierarchy under GenCalibratedModel.

A CalibratedModel; see the hierarchy under GenCalibratedModel.

A CalibratedModel; see the hierarchy under GenCalibratedModel.

A CalibratedModel; see the hierarchy under GenCalibratedModel.

The two-factor short-rate dynamics (state variables x, y with r_t = phi(t) + x_t + y_t) underlying a G2 model, as returned by TwoFactorModel::dynamics().

CalibrationHelper
  BlackCalibrationHelper*
    SwaptionHelper

The root of the hierarchy shown under GenCalibrationHelper.

A BlackCalibrationHelper or one of its leaves; see the hierarchy under GenCalibrationHelper.

A CalibrationHelper; see the hierarchy under GenCalibrationHelper.

A BlackCalibrationHelper; see the hierarchy under GenCalibrationHelper.

Sobol Brownian-bridge coordinate ordering.

Initial-density approximation used by the Heston SLV Fokker--Planck calibrator.

Variance-coordinate transformation used by the Heston SLV Fokker--Planck calibrator.

Full numerical configuration for QuantLib's Fokker--Planck SLV calibration.

A copied FDM diagnostic snapshot. Coordinates are the native mesher coordinates: the spot axis is log-spot and the variance axis follows hestonSlvVarianceTransformation. Density rows correspond to variance coordinates and columns to log-spot coordinates.

A swaption helper's exercise and underlying-swap span.

Models that can be materialized as QuantLib's secondary AffineModel interface. The result owns a shared handle to the same underlying model.

Models that can be materialized as QuantLib's secondary Gaussian1dModel interface. The result owns a shared handle to the same underlying model.

Bates stochastic-volatility model: extends Heston with jumps in the underlying's return process.

Black-Karasinski short-rate model: d(ln r) = (theta(t) - a ln r) dt + sigma dW, with constant reversion a and volatility sigma.

Cox-Ingersoll-Ross short-rate model: dr = k(theta - r) dt + sigma sqrt(r) dW.

Extended CIR model: adds a deterministic term-structure-fitting shift to a standard Cox-Ingersoll-Ross process.

Two-additive-factor Gaussian (G2) short-rate model: the sum of two correlated Ornstein-Uhlenbeck factors.

Generalized Hull-White model: like hullWhite, but reversion and volatility are piecewise-linear functions of time given at speedstructure/volstructure dates.

GJR-GARCH stochastic-volatility model, extending GARCH(1,1) with an asymmetric response to negative return shocks.

Heston stochastic-volatility model, calibrated from a HestonProcess.

Pseudo-random Mersenne-Twister Brownian increments for SLV Monte-Carlo calibration. Use a fixed nonzero seed for reproducible calibration output; QuantLib treats zero as entropy.

Low-discrepancy Sobol Brownian increments for SLV Monte-Carlo calibration. Supply a fixed nonzero seed to make the resulting leverage function reproducible.

Monte-Carlo calibration of a Heston stochastic-local-volatility leverage function. The trailing arguments mirror QuantLib's defaults explicitly; mandatoryDates are inserted into the calibration time grid.

Fokker--Planck finite-difference calibration of a Heston stochastic-local-volatility leverage function. logging retains diagnostic density snapshots for hestonSlvFdmLogEntries; mandatoryDates are added to its adaptive time grid.

Single-factor Hull-White (extended Vasicek) short-rate model: dr = (theta(t) - a r) dt + sigma dW, fitted to the given term structure.

Variance Gamma model for the underlying's log-return process (Madan-Carr-Chang).

Vasicek short-rate model: dr = a(b - r) dt + sigma dW, with an optional risk premium lambda.

Libor market (BGM) forward-rate model, built from a LiborForwardModelProcess plus volatility and correlation models.

Hull-White caplet-volatility parameterization for a Libor forward model. The correlation matrix and factor count are explicit, mirroring QuantLib's defaulted constructor arguments; pass an empty matrix and 1 for its standard one-factor default.

One-factor GSR model (formulated in the forward measure), with an initial volatility and piecewise-constant changes at the given dates, plus a single constant reversion.

Markov-functional interest-rate model, calibrated to a swaption volatility cube against swapIndexBase.

Markov-functional interest-rate model, calibrated to a caplet volatility structure against iborIndex.

Direct-parameter GARCH(1,1) model: vl is the long-term (unconditional) volatility: the model's persistence gamma = 1 - alpha - beta and omega = vl * gamma are derived from it. Does not calibrate; use garch11Calibrated to fit alpha/beta/vl to an observed series.

Calibrates a GARCH(1,1) model to an observed return series via maximum likelihood. All four Garch11Mode values converge to the same maximum-likelihood fit for a well-behaved series -- they differ only in the initial guess (MomentMatchingGuess/GammaGuess), or run both and keep the better (BestOfTwo, the upstream default) or optimize from each in turn (DoubleOptimization). There is no way from Haskell to supply a custom OptimizationMethod/EndCriteria or to re-calibrate an existing model in place (upstream's calibrate overloads are mutators on an already-constructed object); construct a fresh model if a different fit is needed.

Calibration helper for an at-the-money interest-rate cap.

Calibration helper for the Heston model, from a European option's market volatility.

Calibration helper for a swaption, over the given exercise/underlying span.

installs the covariance parameterization a LiborForwardModelProcess evolves under.

Mandatory before the process is used for anything dynamic: a freshly constructed liborForwardModelProcess holds no parameterization, and drift, diffusion, evolve, factors and pathGenerator all dereference it. discountBond, the fixing/accrual times and cashFlows do not, and work without it.

Calibrate to a set of market instruments (caps/swaptions) An additional constraint can be passed which must be satisfied in addition to the constraints of the model.

Iteratively calibrates the volatility step values, one at a time, to the given helpers (assumed to have step dates matching the model's volatility step dates).

The calibration mask (calibrate's fixParameters) that fixes every model parameter except the volatility at step index i (0-based) -- a ready-made fixParameters argument for calibrating that one volatility in isolation.

The calibration mask that fixes every model parameter except the reversion at index i (0-based) -- the reversion counterpart of moveVolatility.

Sets the pricing engine used to compute this calibration helper's model value.

Discount factor at time t under the model's own fitted curve -- AffineModel::discount. Not pure: depends on the model's YieldTermStructure handle, which can be relinked after construction (see discountBond below for the same caveat).

Price of a discount bond paying 1 at maturity, given the model's state factors at time now -- AffineModel::discountBond(Time,Time,Array). factors is model-specific: a one-element list of the short rate for OneFactorAffineModel/HullWhite, a two-element list for G2, or ignored by LiborForwardModel. Not pure for the same relinkable-curve reason as discount.

Analytic price of a European option on a discount bond paying 1 at bondMaturity. Nothing starts the bond at option expiry; Just supplies a distinct bond start. Only HullWhite distinguishes the two upstream overloads.

Futures convexity bias (difference between futures implied rate and forward rate), per G. Kirikos, D. Novak, "Convexity Conundrums", Risk Magazine, March 1997. t/T are in yearfraction using the deposit day counter, futurePrice is the futures' market price. Not pure: convexityBias can throw (QL_REQUIRE on its inputs), and letting a C++ exception unwind across the FFI boundary from an unsafePerformIO-backed pure binding is undefined behavior, so this needs the same 'char **e/preErrorCheck' error channel as any other throwing call.

Numeraire value at referenceDate, conditional on the standardized state variable y (0 = the model's expected path). yts overrides the model's own term structure for discounting when given, otherwise the model's own curve is used.

Price at referenceDate (default: the evaluation date) of a zero-coupon bond paying 1 at maturity, conditional on the standardized state variable y (0 = the model's expected path). yts overrides the model's own term structure for discounting when given.

Price of a European option of type, expiring at expiry with strike, on a zero-coupon bond that itself pays 1 at maturity and settles at valueDate, conditional on the standardized state variable y at referenceDate (default: the evaluation date). yts overrides the model's own discounting curve when given. The option payoff is evaluated on a grid of yGridPoints points spanning yStdDevs standard deviations of y; extrapolatePayoff/flatPayoffExtrapolation control payoff extrapolation beyond the grid.

Forward rate for iborIdx fixing on fixing, conditional on the standardized state variable y at referenceDate (default: the evaluation date). iborIdx defaults to the model's own term structure's natural index when omitted.

Fair swap rate for a swap on swapIdx fixing on fixing with tenor tenor, conditional on the standardized state variable y at referenceDate (default: the evaluation date).

Annuity (present value of a 1bp fixed leg) of a swap on swapIdx fixing on fixing with tenor tenor, conditional on the standardized state variable y at referenceDate (default: the evaluation date).

Grid of values for the standardized state variable at time T, conditional on the variable being y at time t, spanning yStdDevs standard deviations with 2*gridPoints+1 points.

Instantaneous covariance matrix at t for the supplied forward-rate state x.

Initial value of the discrete forward rate indexed by alpha, as seen from time index beta (both indices into the process's tenor structure): the model's calibration input S_0(alpha,beta).

Black price given a volatility.

Black volatility implied by the model.

Models that expose a calibrated local-volatility leverage function.

Models that expose their calibrated volatility step values.

Bootstrap and calibration helpers that build and hold the instrument whose market quote they match. The class lives here, in the term-structure root module, because its instances span QuantLib.TermStructure.Yield, ".Inflation" and QuantLib.Model, and an instance must share a module with its class to stay non-orphan.

The two-factor short-rate dynamics underlying a G2 model (TwoFactorModel::dynamics()).

Short rate implied by a ShortRateDynamics's two state variables x, y at time t: fitting_(t) + x + y. At x = y = 0 this collapses to the model's fitting parameter phi(t).

The model's own state process. Throws if the model was constructed without one set.

Copies retained FDM density diagnostics. Returns [] when the model was built with logging = False. Calling this makes one fresh QuantLib diagnostic calculation, then decodes its owned snapshot without retaining the model's mesh objects.

The Swaption this helper prices internally to compute modelValue.

Times relevant to pricing this calibration helper's instrument, to be added to the model's evolution time grid.

Marks the reversion (a) fixed and volatility (sigma) free for calibrate's fixParameters argument. Mirrors HullWhite::FixedReversion().

Returns array of arguments on which calibration is done.

Objective function value at params for the given calibration instruments.

returns the error resulting from the model valuation

returns the actual price of the instrument (from volatility)

returns the price of the instrument according to the model

The quoted market volatility this helper was built with.

one-step-ahead variance forecast: gamma*vl + alpha*r^2 + beta*sigma2, given the latest return r and the previous step's variance sigma2.

Runs the model's calibrated (or constructor-supplied) alpha/beta/omega recursion forward over a return series. The output series is offset by one from the input: the first input point has nothing to forecast from, so it is dropped, and one extra point is extrapolated one step past the input series' last date -- an n-point input still produces an n-point output, just shifted forward by one date.

Garman-Klass (1980) simple estimator: sigma^2 = ln(close/open)^2, scaled by yearFraction. Input bars are (date, open, close, high, low); only open/close are used here.

Garman-Klass Sigma1: blends garmanKlassSimpleSigma with the overnight (previous close to today's open) jump, weighted by marketOpenFraction (the fraction of the trading day the market is open). Drops the series' first bar (needs a previous close).

Parkinson (1980) high-low estimator: sigma^2 = ln(high/low)^2 / (4 ln 2), scaled by yearFraction. Input bars are (date, open, close, high, low); only high/low are used here.

Garman-Klass Sigma3: blends parkinsonSigma with the overnight jump, same marketOpenFraction weighting as garmanKlassSigma1. Drops the series' first bar.

Garman-Klass (1980) Sigma4 estimator, combining the high-low range with the close-open return via their published coefficients. Input bars are (date, open, close, high, low).

Garman-Klass (1980) Sigma5 estimator: an alternative high-low/close-open combination to garmanKlassSigma4, with different published coefficients.

Garman-Klass Sigma6: blends garmanKlassSigma5 with the overnight jump, same marketOpenFraction weighting as garmanKlassSigma1. Drops the series' first bar.

Smooths an already-computed volatility series with a rolling constant estimate over the trailing windowSize points.

Local (point-to-point) volatility estimate from a raw price series: |ln(p_i/p_{i-1})| / sqrt(yearFraction) for each consecutive pair. Drops the series' first date; an n-point input produces an (n-1)-point output.

the calibrated (or constructor-supplied) alpha coefficient

the calibrated (or constructor-supplied) beta coefficient

the calibrated (or derived) omega coefficient, vl * (1 - alpha - beta)

the calibrated (or constructor-supplied) long-term volatility

the log-likelihood of the calibrated fit; 0 for a direct-parameter (garch11) model