BatesEngine Member List

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

addOnTerm(Real phi, Time t, Size j) const (defined in BatesEngine)BatesEngineprotectedvirtual
AnalyticHestonEngine(const boost::shared_ptr< HestonModel > &model, Real relTolerance, Size maxEvaluations) (defined in AnalyticHestonEngine)AnalyticHestonEngine
AnalyticHestonEngine(const boost::shared_ptr< HestonModel > &model, Size integrationOrder=144) (defined in AnalyticHestonEngine)AnalyticHestonEngine
AnalyticHestonEngine(const boost::shared_ptr< HestonModel > &model, ComplexLogFormula cpxLog, const Integration &itg) (defined in AnalyticHestonEngine)AnalyticHestonEngine
arguments_ (defined in GenericEngine< VanillaOption::arguments, VanillaOption::results >)GenericEngine< VanillaOption::arguments, VanillaOption::results >mutableprotected
BatesEngine(const boost::shared_ptr< BatesModel > &model, Size integrationOrder=144) (defined in BatesEngine)BatesEngine
BatesEngine(const boost::shared_ptr< BatesModel > &model, Real relTolerance, Size maxEvaluations) (defined in BatesEngine)BatesEngine
BranchCorrection enum value (defined in AnalyticHestonEngine)AnalyticHestonEngine
calculate() const (defined in AnalyticHestonEngine)AnalyticHestonEnginevirtual
ComplexLogFormula enum name (defined in AnalyticHestonEngine)AnalyticHestonEngine
doCalculation(Real riskFreeDiscount, Real dividendDiscount, Real spotPrice, Real strikePrice, Real term, Real kappa, Real theta, Real sigma, Real v0, Real rho, const TypePayoff &type, const Integration &integration, const ComplexLogFormula cpxLog, const AnalyticHestonEngine *const enginePtr, Real &value, Size &evaluations) (defined in AnalyticHestonEngine)AnalyticHestonEnginestatic
Gatheral enum value (defined in AnalyticHestonEngine)AnalyticHestonEngine
GenericModelEngine(const Handle< HestonModel > &model=Handle< HestonModel >()) (defined in GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results >)GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results >
GenericModelEngine(const boost::shared_ptr< HestonModel > &model) (defined in GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results >)GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results >
getArguments() const (defined in GenericEngine< VanillaOption::arguments, VanillaOption::results >)GenericEngine< VanillaOption::arguments, VanillaOption::results >virtual
getResults() const (defined in GenericEngine< VanillaOption::arguments, VanillaOption::results >)GenericEngine< VanillaOption::arguments, VanillaOption::results >virtual
model_ (defined in GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results >)GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results >protected
notifyObservers()Observable
numberOfEvaluations() const (defined in AnalyticHestonEngine)AnalyticHestonEngine
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
Observer() (defined in Observer)Observer
Observer(const Observer &) (defined in Observer)Observer
QuantLib::operator=(const Observable &)Observable
operator=(const Observer &) (defined in Observer)Observer
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
reset() (defined in GenericEngine< VanillaOption::arguments, VanillaOption::results >)GenericEngine< VanillaOption::arguments, VanillaOption::results >virtual
results_ (defined in GenericEngine< VanillaOption::arguments, VanillaOption::results >)GenericEngine< VanillaOption::arguments, VanillaOption::results >mutableprotected
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll()Observer
update() (defined in GenericEngine< VanillaOption::arguments, VanillaOption::results >)GenericEngine< VanillaOption::arguments, VanillaOption::results >virtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~PricingEngine() (defined in PricingEngine)PricingEnginevirtual