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 std::vector< Real > &, const Option::Type, weights_type &optionWeights) const (defined in ReplicatingVarianceSwapEngine)ReplicatingVarianceSwapEngine [protected]
computeReplicatingPortfolio(const weights_type &optionWeights) 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
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 boost::shared_ptr< Observable > &) (defined in Observer)Observer
ReplicatingVarianceSwapEngine(const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real dk=5.0, const std::vector< Real > &callStrikes=std::vector< Real >(), const std::vector< Real > &putStrikes=std::vector< Real >()) (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]
underlying() const (defined in ReplicatingVarianceSwapEngine)ReplicatingVarianceSwapEngine [protected]
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
update()GenericEngine< VarianceSwap::arguments, VarianceSwap::results > [virtual]
weights_type typedef (defined in ReplicatingVarianceSwapEngine)ReplicatingVarianceSwapEngine
~Observable() (defined in Observable)Observable [virtual]
~Observer() (defined in Observer)Observer [virtual]
~PricingEngine() (defined in PricingEngine)PricingEngine [virtual]