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

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

calculate() const (defined in FFTEngine)FFTEngine
calculateUncached(boost::shared_ptr< StrikedTypePayoff > payoff, boost::shared_ptr< Exercise > exercise) const (defined in FFTEngine)FFTEngineprotected
clone() const (defined in FFTVanillaEngine)FFTVanillaEnginevirtual
complexFourierTransform(std::complex< Real > u) const (defined in FFTVanillaEngine)FFTVanillaEngineprotectedvirtual
discountFactor(Date d) const (defined in FFTVanillaEngine)FFTVanillaEngineprotectedvirtual
dividendYield(Date d) const (defined in FFTVanillaEngine)FFTVanillaEngineprotectedvirtual
FFTEngine(const boost::shared_ptr< StochasticProcess1D > &process, Real logStrikeSpacing) (defined in FFTEngine)FFTEngine
FFTVanillaEngine(const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real logStrikeSpacing=0.001) (defined in FFTVanillaEngine)FFTVanillaEngine
lambda_ (defined in FFTEngine)FFTEngineprotected
precalculate(const std::vector< boost::shared_ptr< Instrument > > &optionList) (defined in FFTEngine)FFTEngine
precalculateExpiry(Date d) (defined in FFTVanillaEngine)FFTVanillaEngineprotectedvirtual
process_ (defined in FFTEngine)FFTEngineprotected
update() (defined in FFTEngine)FFTEngine