QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
AnalyticH1HWEngine Member List

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

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, Real andersenPiterbargEpsilon=1e-8) (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
AndersenPiterbarg enum value (defined in AnalyticHestonEngine)AnalyticHestonEngine
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
chF(const std::complex< Real > &z, Time t) const (defined in AnalyticHestonEngine)AnalyticHestonEngine
ComplexLogFormula enum name (defined in AnalyticHestonEngine)AnalyticHestonEngine
deepUpdate()Observervirtual
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 >explicit
GenericModelEngine(const boost::shared_ptr< HestonModel > &model) (defined in GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results >)GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results >explicit
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
iterator typedef (defined in Observer)Observer
lnChF(const std::complex< Real > &z, Time t) const (defined in AnalyticHestonEngine)AnalyticHestonEngine
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
registerWithObservables(const boost::shared_ptr< 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
set_type typedef (defined in Observer)Observer
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()AnalyticHestonHullWhiteEnginevirtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~PricingEngine() (defined in PricingEngine)PricingEnginevirtual