, 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] |