ReplicatingVarianceSwapEngine Member List

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

arguments_ (defined in GenericEngine< VarianceSwap::arguments, VarianceSwap::results >)GenericEngine< VarianceSwap::arguments, VarianceSwap::results > [mutable, protected]
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]
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]
notifyObservers()Observable
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
operator=(const Observable &)Observable
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
reset() (defined in GenericEngine< VarianceSwap::arguments, VarianceSwap::results >)GenericEngine< VarianceSwap::arguments, VarianceSwap::results > [virtual]
residualTime() const (defined in ReplicatingVarianceSwapEngine)ReplicatingVarianceSwapEngine [protected]
results_ (defined in GenericEngine< VarianceSwap::arguments, VarianceSwap::results >)GenericEngine< VarianceSwap::arguments, VarianceSwap::results > [mutable, 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]
~Observable() (defined in Observable)Observable [virtual]
~PricingEngine() (defined in PricingEngine)PricingEngine [virtual]