AnalyticH1HWEngine Member List

This is the complete list of members for AnalyticH1HWEngine, including all inherited members.

__pad0__ (defined in GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results >)GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results >
addOnTerm(Real phi, Time t, Size j) const (defined in AnalyticH1HWEngine)AnalyticH1HWEngineprotectedvirtual
AnalyticH1HWEngine(const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhite > &hullWhiteModel, Real rhoXV, Size integrationOrder=144) (defined in AnalyticH1HWEngine)AnalyticH1HWEngine
AnalyticH1HWEngine(const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhite > &hullWhiteModel, Real rhoSr, Real relTolerance, Size maxEvaluations) (defined in AnalyticH1HWEngine)AnalyticH1HWEngine
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
AnalyticHestonHullWhiteEngine(const boost::shared_ptr< HestonModel > &hestonModel, const boost::shared_ptr< HullWhite > &hullWhiteModel, Size integrationOrder=144) (defined in AnalyticHestonHullWhiteEngine)AnalyticHestonHullWhiteEngine
AnalyticHestonHullWhiteEngine(const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhite > &hullWhiteModel, Real relTolerance, Size maxEvaluations) (defined in AnalyticHestonHullWhiteEngine)AnalyticHestonHullWhiteEngine
arguments_ (defined in GenericEngine< VanillaOption::arguments, VanillaOption::results >)GenericEngine< VanillaOption::arguments, VanillaOption::results >mutableprotected
BranchCorrection enum value (defined in AnalyticHestonEngine)AnalyticHestonEngine
calculate() const (defined in AnalyticHestonHullWhiteEngine)AnalyticHestonHullWhiteEnginevirtual
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 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
hullWhiteModel_ (defined in AnalyticHestonHullWhiteEngine)AnalyticHestonHullWhiteEngineprotected
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 AnalyticHestonHullWhiteEngine)AnalyticHestonHullWhiteEnginevirtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~PricingEngine() (defined in PricingEngine)PricingEnginevirtual