FFTVarianceGammaEngine Member List

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

calculate() const override	FFTEngine
calculateUncached(const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise) const	FFTEngine	protected
clone() const override	FFTVarianceGammaEngine	virtual
complexFourierTransform(std::complex< Real > u) const override	FFTVarianceGammaEngine	protectedvirtual
discountFactor(Date d) const override	FFTVarianceGammaEngine	protectedvirtual
dividendDiscount_	FFTVarianceGammaEngine	private
dividendYield(Date d) const override	FFTVarianceGammaEngine	protectedvirtual
FFTEngine(ext::shared_ptr< StochasticProcess1D > process, Real logStrikeSpacing)	FFTEngine
FFTVarianceGammaEngine(const ext::shared_ptr< VarianceGammaProcess > &process, Real logStrikeSpacing=0.001)	FFTVarianceGammaEngine	explicit
lambda_	FFTEngine	protected
nu_	FFTVarianceGammaEngine	private
PayoffResultMap typedef	FFTEngine	private
precalculate(const std::vector< ext::shared_ptr< Instrument > > &optionList)	FFTEngine
precalculateExpiry(Date d) override	FFTVarianceGammaEngine	protectedvirtual
process_	FFTEngine	protected
ResultMap typedef	FFTEngine	private
resultMap_	FFTEngine	private
riskFreeDiscount_	FFTVarianceGammaEngine	private
sigma_	FFTVarianceGammaEngine	private
t_	FFTVarianceGammaEngine	private
theta_	FFTVarianceGammaEngine	private
update() override	FFTEngine