ReplicatingVarianceSwapEngine Member List
This is the complete list of members for ReplicatingVarianceSwapEngine, including all inherited members.| arguments_ (defined in GenericEngine) | GenericEngine | [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) | GenericEngine | [virtual] |
| getResults() const (defined in GenericEngine) | GenericEngine | [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) | GenericEngine | [virtual] |
| residualTime() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | [protected] |
| results_ (defined in GenericEngine) | GenericEngine | [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 | [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] |