QuantLib: Member List

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

FFTVarianceGammaEngine Member List

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

calculate() const (defined in FFTEngine) | FFTEngine |
calculateUncached(const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise) const (defined in FFTEngine) | FFTEngine | protected
clone() const (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine | virtual
complexFourierTransform(std::complex< Real > u) const (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine | protectedvirtual
discountFactor(Date d) const (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine | protectedvirtual
dividendYield(Date d) const (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine | protectedvirtual
FFTEngine(const ext::shared_ptr< StochasticProcess1D > &process, Real logStrikeSpacing) (defined in FFTEngine) | FFTEngine |
FFTVarianceGammaEngine(const ext::shared_ptr< VarianceGammaProcess > &process, Real logStrikeSpacing=0.001) (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine | explicit
lambda_ (defined in FFTEngine) | FFTEngine | protected
precalculate(const std::vector< ext::shared_ptr< Instrument > > &optionList) (defined in FFTEngine) | FFTEngine |
precalculateExpiry(Date d) (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine | protectedvirtual
process_ (defined in FFTEngine) | FFTEngine | protected
update() (defined in FFTEngine) | FFTEngine |