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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 ReplicatingVarianceSwapEngine, including all inherited members.
| calculate() const override (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | virtual |
| computeLogPayoff(Real, Real) const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | protected |
| computeOptionWeights(const std::vector< Real > &, Option::Type, weights_type &optionWeights) const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | protected |
| computeReplicatingPortfolio(const weights_type &optionWeights) const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | protected |
| deepUpdate() | Observer | virtual |
| iterator typedef (defined in Observer) | Observer | |
| notifyObservers() | Observable | |
| Observable()=default (defined in Observable) | Observable | |
| Observable(const Observable &) (defined in Observable) | Observable | |
| Observable(Observable &&)=delete (defined in Observable) | Observable | |
| Observer()=default (defined in Observer) | Observer | |
| Observer(const Observer &) (defined in Observer) | Observer | |
| QuantLib::operator=(const Observable &) | Observable | |
| operator=(Observable &&)=delete (defined in Observable) | Observable | |
| operator=(const Observer &) (defined in Observer) | Observer | |
| registerWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer | |
| registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
| ReplicatingVarianceSwapEngine(ext::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 | |
| residualTime() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | protected |
| riskFreeDiscount() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | protected |
| riskFreeRate() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | protected |
| underlying() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | protected |
| unregisterWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer | |
| unregisterWithAll() (defined in Observer) | Observer | |
| update() override | GenericEngine< VarianceSwap::arguments, VarianceSwap::results > | virtual |
| weights_type typedef (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | |
| ~Observable()=default (defined in Observable) | Observable | virtual |
| ~Observer() (defined in Observer) | Observer | virtual |
| ~PricingEngine() override=default (defined in PricingEngine) | PricingEngine |