FDBermudanEngine Member List

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

bc_type typedef (defined in FDVanillaEngine)FDVanillaEngine [protected]
BCs_ (defined in FDVanillaEngine)FDVanillaEngine [mutable, protected]
calculate() const (defined in FDBermudanEngine)FDBermudanEngine
calculate(PricingEngine::results *) const (defined in FDMultiPeriodEngine)FDMultiPeriodEngine [protected, virtual]
center_ (defined in FDVanillaEngine)FDVanillaEngine [mutable, protected]
ensureStrikeInGrid() const (defined in FDVanillaEngine)FDVanillaEngine [protected]
events_ (defined in FDMultiPeriodEngine)FDMultiPeriodEngine [mutable, protected]
executeIntermediateStep(Size) const (defined in FDBermudanEngine)FDBermudanEngine [protected]
exerciseDate_ (defined in FDVanillaEngine)FDVanillaEngine [mutable, protected]
extraTermInBermudan (defined in FDBermudanEngine)FDBermudanEngine [protected]
FDBermudanEngine(Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) (defined in FDBermudanEngine)FDBermudanEngine
FDMultiPeriodEngine(Size gridPoints=100, Size timeSteps=100, bool timeDependent=false) (defined in FDMultiPeriodEngine)FDMultiPeriodEngine [protected]
FDVanillaEngine(Size timeSteps, Size gridPoints, bool timeDependent=false) (defined in FDVanillaEngine)FDVanillaEngine
finiteDifferenceOperator_ (defined in FDVanillaEngine)FDVanillaEngine [mutable, protected]
getDividendTime(Size i) const (defined in FDMultiPeriodEngine)FDMultiPeriodEngine [protected]
getResidualTime() const (defined in FDVanillaEngine)FDVanillaEngine [protected, virtual]
grid() const (defined in FDVanillaEngine)FDVanillaEngine
gridPoints_ (defined in FDVanillaEngine)FDVanillaEngine [protected]
initializeBoundaryConditions() const (defined in FDVanillaEngine)FDVanillaEngine [protected, virtual]
initializeInitialCondition() const (defined in FDVanillaEngine)FDVanillaEngine [protected, virtual]
initializeModel() const (defined in FDMultiPeriodEngine)FDMultiPeriodEngine [protected, virtual]
initializeOperator() const (defined in FDVanillaEngine)FDVanillaEngine [protected, virtual]
initializeStepCondition() const (defined in FDBermudanEngine)FDBermudanEngine [protected]
intrinsicValues_ (defined in FDVanillaEngine)FDVanillaEngine [mutable, protected]
model_ (defined in FDMultiPeriodEngine)FDMultiPeriodEngine [mutable, protected]
payoff_ (defined in FDVanillaEngine)FDVanillaEngine [mutable, protected]
prices_ (defined in FDMultiPeriodEngine)FDMultiPeriodEngine [mutable, protected]
process_ (defined in FDVanillaEngine)FDVanillaEngine [mutable, protected]
requiredGridValue_ (defined in FDVanillaEngine)FDVanillaEngine [mutable, protected]
setGridLimits() const (defined in FDVanillaEngine)FDVanillaEngine [protected, virtual]
setGridLimits(Real, Time) const (defined in FDVanillaEngine)FDVanillaEngine [protected, virtual]
setupArguments(const PricingEngine::arguments *args, const std::vector< boost::shared_ptr< Event > > &schedule) const (defined in FDMultiPeriodEngine)FDMultiPeriodEngine [protected, virtual]
setupArguments(const PricingEngine::arguments *a) const (defined in FDMultiPeriodEngine)FDMultiPeriodEngine [protected, virtual]
sMax_ (defined in FDVanillaEngine)FDVanillaEngine [mutable, protected]
sMin_ (defined in FDVanillaEngine)FDVanillaEngine [mutable, protected]
stepCondition_ (defined in FDMultiPeriodEngine)FDMultiPeriodEngine [mutable, protected]
stoppingTimes_ (defined in FDMultiPeriodEngine)FDMultiPeriodEngine [mutable, protected]
timeDependent_ (defined in FDVanillaEngine)FDVanillaEngine [protected]
timeStepPerPeriod_ (defined in FDMultiPeriodEngine)FDMultiPeriodEngine [protected]
timeSteps_ (defined in FDVanillaEngine)FDVanillaEngine [protected]
~FDVanillaEngine() (defined in FDVanillaEngine)FDVanillaEngine [virtual]