QuantLib: Member List

A free/open-source library for quantitative finance Reference manual - version 1.20

AnalyticHestonEngine Member List

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

addOnTerm(Real phi, Time t, Size j) const (defined in AnalyticHestonEngine) | AnalyticHestonEngine | protectedvirtual
AnalyticHestonEngine(const ext::shared_ptr< HestonModel > &model, Real relTolerance, Size maxEvaluations) (defined in AnalyticHestonEngine) | AnalyticHestonEngine |
AnalyticHestonEngine(const ext::shared_ptr< HestonModel > &model, Size integrationOrder=144) (defined in AnalyticHestonEngine) | AnalyticHestonEngine |
AnalyticHestonEngine(const ext::shared_ptr< HestonModel > &model, ComplexLogFormula cpxLog, const Integration &itg, Real andersenPiterbargEpsilon=1e-8) (defined in AnalyticHestonEngine) | AnalyticHestonEngine |
AndersenPiterbarg enum value (defined in AnalyticHestonEngine) | AnalyticHestonEngine |
AndersenPiterbargOptCV enum value (defined in AnalyticHestonEngine) | AnalyticHestonEngine |
arguments_ (defined in GenericEngine< VanillaOption::arguments, VanillaOption::results >) | GenericEngine< VanillaOption::arguments, VanillaOption::results > | mutableprotected
AsymptoticChF enum value (defined in AnalyticHestonEngine) | AnalyticHestonEngine |
BranchCorrection enum value (defined in AnalyticHestonEngine) | AnalyticHestonEngine |
calculate() const (defined in AnalyticHestonEngine) | AnalyticHestonEngine | virtual
chF(const std::complex< Real > &z, Time t) const (defined in AnalyticHestonEngine) | AnalyticHestonEngine |
ComplexLogFormula enum name (defined in AnalyticHestonEngine) | AnalyticHestonEngine |
deepUpdate() | Observer | virtual
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, ComplexLogFormula cpxLog, const AnalyticHestonEngine *enginePtr, Real &value, Size &evaluations) (defined in AnalyticHestonEngine) | AnalyticHestonEngine | static
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 ext::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 > |
getArguments() const =0 (defined in PricingEngine) | PricingEngine | pure virtual
getResults() const (defined in GenericEngine< VanillaOption::arguments, VanillaOption::results >) | GenericEngine< VanillaOption::arguments, VanillaOption::results > |
getResults() const =0 (defined in PricingEngine) | PricingEngine | pure virtual
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 |
optimalControlVariate(Time t, Real v0, Real kappa, Real theta, Real sigma, Real rho) (defined in AnalyticHestonEngine) | AnalyticHestonEngine | static
OptimalCV enum value (defined in AnalyticHestonEngine) | AnalyticHestonEngine |
registerWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer |
registerWithObservables(const ext::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 ext::shared_ptr< Observable > &) (defined in Observer) | Observer |
unregisterWithAll() (defined in Observer) | Observer |
update() | GenericEngine< VanillaOption::arguments, VanillaOption::results > | virtual
~Observable() (defined in Observable) | Observable | virtual
~Observer() (defined in Observer) | Observer | virtual
~PricingEngine() (defined in PricingEngine) | PricingEngine | virtual