ReplicatingVarianceSwapEngine Member List
This is the complete list of members for ReplicatingVarianceSwapEngine, including all inherited members.calculate() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | [virtual] |
computeLogPayoff(const Real, const Real) const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | [protected] |
computeOptionWeights(const StrikesType &, const Option::Type) const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | [protected] |
computeReplicatingPortfolio() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | [protected] |
ReplicatingVarianceSwapEngine(const Real dk=5.0, const StrikesType &callStrikes=StrikesType(), const StrikesType &putStrikes=StrikesType(), const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >()) (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | |
residualTime() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | [protected] |
riskFreeDiscount() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | [protected] |
riskFreeRate() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | [protected] |
StrikesType typedef (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | |
underlying() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | [protected] |