QuantLib: Member List

A free/open-source library for quantitative finance Reference manual - version 1.12

ReplicatingVarianceSwapEngine Member List

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

arguments_ (defined in GenericEngine< VarianceSwap::arguments, VarianceSwap::results >) | GenericEngine< VarianceSwap::arguments, VarianceSwap::results > | mutableprotected
calculate() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | virtual
computeLogPayoff(const Real, const Real) const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | protected
computeOptionWeights(const std::vector< Real > &, const Option::Type, weights_type &optionWeights) const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | protected
computeReplicatingPortfolio(const weights_type &optionWeights) const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | protected
deepUpdate() | Observer | virtual
getArguments() const (defined in GenericEngine< VarianceSwap::arguments, VarianceSwap::results >) | GenericEngine< VarianceSwap::arguments, VarianceSwap::results > | virtual
getResults() const (defined in GenericEngine< VarianceSwap::arguments, VarianceSwap::results >) | GenericEngine< VarianceSwap::arguments, VarianceSwap::results > | virtual
iterator typedef (defined in Observer) | Observer |
notifyObservers() | Observable |
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 |
ReplicatingVarianceSwapEngine(const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real dk=5.0, const std::vector< Real > &callStrikes=std::vector< Real >(), const std::vector< Real > &putStrikes=std::vector< Real >()) (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine |
reset() (defined in GenericEngine< VarianceSwap::arguments, VarianceSwap::results >) | GenericEngine< VarianceSwap::arguments, VarianceSwap::results > | virtual
residualTime() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | protected
results_ (defined in GenericEngine< VarianceSwap::arguments, VarianceSwap::results >) | GenericEngine< VarianceSwap::arguments, VarianceSwap::results > | mutableprotected
riskFreeDiscount() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | protected
riskFreeRate() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | protected
set_type typedef (defined in Observer) | Observer |
underlying() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | protected
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer |
unregisterWithAll() (defined in Observer) | Observer |
update() | GenericEngine< VarianceSwap::arguments, VarianceSwap::results > | virtual
weights_type typedef (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine |
~Observable() (defined in Observable) | Observable | virtual
~Observer() (defined in Observer) | Observer | virtual
~PricingEngine() (defined in PricingEngine) | PricingEngine | virtual