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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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BasketGeneratingEngine Member List

This is the complete list of members for BasketGeneratingEngine, including all inherited members.

BasketGeneratingEngine(const ext::shared_ptr< Gaussian1dModel > &model, Handle< Quote > oas, Handle< YieldTermStructure > discountCurve)BasketGeneratingEngineprotected
BasketGeneratingEngine(Handle< Gaussian1dModel > model, Handle< Quote > oas, Handle< YieldTermStructure > discountCurve)BasketGeneratingEngineprotected
calibrationBasket(const ext::shared_ptr< Exercise > &exercise, const ext::shared_ptr< SwapIndex > &standardSwapBase, const ext::shared_ptr< SwaptionVolatilityStructure > &swaptionVolatility, CalibrationBasketType basketType=MaturityStrikeByDeltaGamma) constBasketGeneratingEngine
CalibrationBasketType enum nameBasketGeneratingEngine
CalibrationBasketType typedefBasketGeneratingEngine
discountCurve_BasketGeneratingEngineprivate
initialGuess(const Date &expiry) const =0BasketGeneratingEngineprotectedpure virtual
MaturityStrikeByDeltaGamma enum valueBasketGeneratingEngine
Naive enum valueBasketGeneratingEngine
oas_BasketGeneratingEngineprivate
onefactormodel_BasketGeneratingEngineprivate
underlyingLastDate() const =0BasketGeneratingEngineprotectedpure virtual
underlyingNpv(const Date &expiry, Real y) const =0BasketGeneratingEngineprotectedpure virtual
underlyingType() const =0BasketGeneratingEngineprotectedpure virtual
~BasketGeneratingEngine()=defaultBasketGeneratingEnginevirtual