MCVarianceSwapEngine Member List

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

antitheticVariate_ (defined in McSimulation< SingleVariate, RNG, S >)McSimulation< SingleVariate, RNG, S > [protected]
arguments_ (defined in GenericEngine< VarianceSwap::arguments, VarianceSwap::results >)GenericEngine< VarianceSwap::arguments, VarianceSwap::results > [mutable, protected]
brownianBridge_ (defined in MCVarianceSwapEngine)MCVarianceSwapEngine [protected]
calculate() const (defined in MCVarianceSwapEngine)MCVarianceSwapEngine [virtual]
QuantLib::McSimulation< SingleVariate, RNG, S >::calculate(Real requiredTolerance, Size requiredSamples, Size maxSamples) constMcSimulation< SingleVariate, RNG, S >
controlPathPricer() const (defined in McSimulation< SingleVariate, RNG, S >)McSimulation< SingleVariate, RNG, S > [protected, virtual]
controlPricingEngine() const (defined in McSimulation< SingleVariate, RNG, S >)McSimulation< SingleVariate, RNG, S > [protected, virtual]
controlVariate_ (defined in McSimulation< SingleVariate, RNG, S >)McSimulation< SingleVariate, RNG, S > [protected]
controlVariateValue() const (defined in McSimulation< SingleVariate, RNG, S >)McSimulation< SingleVariate, RNG, S > [protected, virtual]
errorEstimate() constMcSimulation< SingleVariate, RNG, S >
getArguments() const (defined in GenericEngine< VarianceSwap::arguments, VarianceSwap::results >)GenericEngine< VarianceSwap::arguments, VarianceSwap::results > [virtual]
getResults() const (defined in GenericEngine< VarianceSwap::arguments, VarianceSwap::results >)GenericEngine< VarianceSwap::arguments, VarianceSwap::results > [virtual]
maxError(const Sequence &sequence) (defined in McSimulation< SingleVariate, RNG, S >)McSimulation< SingleVariate, RNG, S > [protected, static]
maxError(Real error) (defined in McSimulation< SingleVariate, RNG, S >)McSimulation< SingleVariate, RNG, S > [protected, static]
maxSamples_ (defined in MCVarianceSwapEngine)MCVarianceSwapEngine [protected]
mcModel_ (defined in McSimulation< SingleVariate, RNG, S >)McSimulation< SingleVariate, RNG, S > [mutable, protected]
McSimulation(bool antitheticVariate, bool controlVariate) (defined in McSimulation< SingleVariate, RNG, S >)McSimulation< SingleVariate, RNG, S > [protected]
MCVarianceSwapEngine(Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) (defined in MCVarianceSwapEngine)MCVarianceSwapEngine
notifyObservers()Observable
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
operator=(const Observable &)Observable
path_generator_type typedef (defined in MCVarianceSwapEngine)MCVarianceSwapEngine
path_pricer_type typedef (defined in MCVarianceSwapEngine)MCVarianceSwapEngine
pathGenerator() const (defined in MCVarianceSwapEngine)MCVarianceSwapEngine [protected, virtual]
pathPricer() const (defined in MCVarianceSwapEngine)MCVarianceSwapEngine [protected, virtual]
requiredSamples_ (defined in MCVarianceSwapEngine)MCVarianceSwapEngine [protected]
requiredTolerance_ (defined in MCVarianceSwapEngine)MCVarianceSwapEngine [protected]
reset() (defined in GenericEngine< VarianceSwap::arguments, VarianceSwap::results >)GenericEngine< VarianceSwap::arguments, VarianceSwap::results > [virtual]
result_type typedef (defined in McSimulation< SingleVariate, RNG, S >)McSimulation< SingleVariate, RNG, S >
results_ (defined in GenericEngine< VarianceSwap::arguments, VarianceSwap::results >)GenericEngine< VarianceSwap::arguments, VarianceSwap::results > [mutable, protected]
sampleAccumulator(void) constMcSimulation< SingleVariate, RNG, S >
seed_ (defined in MCVarianceSwapEngine)MCVarianceSwapEngine [protected]
stats_type typedef (defined in MCVarianceSwapEngine)MCVarianceSwapEngine
timeGrid() const (defined in MCVarianceSwapEngine)MCVarianceSwapEngine [protected, virtual]
timeSteps_ (defined in MCVarianceSwapEngine)MCVarianceSwapEngine [protected]
timeStepsPerYear_ (defined in MCVarianceSwapEngine)MCVarianceSwapEngine [protected]
value(Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) constMcSimulation< SingleVariate, RNG, S >
valueWithSamples(Size samples) const McSimulation< SingleVariate, RNG, S >
~McSimulation() (defined in McSimulation< SingleVariate, RNG, S >)McSimulation< SingleVariate, RNG, S > [virtual]
~Observable() (defined in Observable)Observable [virtual]
~PricingEngine() (defined in PricingEngine)PricingEngine [virtual]