AnalyticPTDHestonEngine(const ext::shared_ptr< PiecewiseTimeDependentHestonModel > &model, Real relTolerance, Size maxEvaluations) (defined in AnalyticPTDHestonEngine) | AnalyticPTDHestonEngine | |
AnalyticPTDHestonEngine(const ext::shared_ptr< PiecewiseTimeDependentHestonModel > &model, Size integrationOrder=144) (defined in AnalyticPTDHestonEngine) | AnalyticPTDHestonEngine | explicit |
AnalyticPTDHestonEngine(const ext::shared_ptr< PiecewiseTimeDependentHestonModel > &model, ComplexLogFormula cpxLog, const Integration &itg, Real andersenPiterbargEpsilon=1e-8) (defined in AnalyticPTDHestonEngine) | AnalyticPTDHestonEngine | |
AndersenPiterbarg enum value (defined in AnalyticPTDHestonEngine) | AnalyticPTDHestonEngine | |
arguments_ (defined in GenericEngine< VanillaOption::arguments, VanillaOption::results >) | GenericEngine< VanillaOption::arguments, VanillaOption::results > | mutableprotected |
calculate() const (defined in AnalyticPTDHestonEngine) | AnalyticPTDHestonEngine | virtual |
chF(const std::complex< Real > &z, Time t) const (defined in AnalyticPTDHestonEngine) | AnalyticPTDHestonEngine | |
ComplexLogFormula enum name (defined in AnalyticPTDHestonEngine) | AnalyticPTDHestonEngine | |
deepUpdate() | Observer | virtual |
Gatheral enum value (defined in AnalyticPTDHestonEngine) | AnalyticPTDHestonEngine | |
GenericModelEngine(const Handle< PiecewiseTimeDependentHestonModel > &model=Handle< PiecewiseTimeDependentHestonModel >()) (defined in GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results >) | GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results > | explicit |
GenericModelEngine(const ext::shared_ptr< PiecewiseTimeDependentHestonModel > &model) (defined in GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results >) | GenericModelEngine< PiecewiseTimeDependentHestonModel, 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 |
Integration typedef (defined in AnalyticPTDHestonEngine) | AnalyticPTDHestonEngine | |
iterator typedef (defined in Observer) | Observer | |
lnChF(const std::complex< Real > &z, Time t) const (defined in AnalyticPTDHestonEngine) | AnalyticPTDHestonEngine | |
model_ (defined in GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results >) | GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results > | protected |
notifyObservers() | Observable | |
numberOfEvaluations() const (defined in AnalyticPTDHestonEngine) | AnalyticPTDHestonEngine | |
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 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 |