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QuantLib: a free/open-source library for quantitative finance
Reference manual - version 1.40
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This is the complete list of members for FFTVanillaEngine, including all inherited members.
| calculate() const override (defined in FFTEngine) | FFTEngine | |
| calculateUncached(const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise) const (defined in FFTEngine) | FFTEngine | protected |
| clone() const override (defined in FFTVanillaEngine) | FFTVanillaEngine | virtual |
| complexFourierTransform(std::complex< Real > u) const override (defined in FFTVanillaEngine) | FFTVanillaEngine | protectedvirtual |
| discountFactor(Date d) const override (defined in FFTVanillaEngine) | FFTVanillaEngine | protectedvirtual |
| dividendYield(Date d) const override (defined in FFTVanillaEngine) | FFTVanillaEngine | protectedvirtual |
| FFTEngine(ext::shared_ptr< StochasticProcess1D > process, Real logStrikeSpacing) (defined in FFTEngine) | FFTEngine | |
| FFTVanillaEngine(const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Real logStrikeSpacing=0.001) (defined in FFTVanillaEngine) | FFTVanillaEngine | explicit |
| lambda_ (defined in FFTEngine) | FFTEngine | protected |
| precalculate(const std::vector< ext::shared_ptr< Instrument > > &optionList) (defined in FFTEngine) | FFTEngine | |
| precalculateExpiry(Date d) override (defined in FFTVanillaEngine) | FFTVanillaEngine | protectedvirtual |
| process_ (defined in FFTEngine) | FFTEngine | protected |
| update() override (defined in FFTEngine) | FFTEngine |