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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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This is the complete list of members for AnalyticH1HWEngine, including all inherited members.
| a_ | AnalyticHestonHullWhiteEngine | mutableprivate |
| addOnTerm(Real phi, Time t, Size j) const override | AnalyticH1HWEngine | protectedvirtual |
| alpha_ | AnalyticHestonEngine | private |
| AnalyticH1HWEngine(const ext::shared_ptr< HestonModel > &model, const ext::shared_ptr< HullWhite > &hullWhiteModel, Real rhoSr, Size integrationOrder=144) | AnalyticH1HWEngine | |
| AnalyticH1HWEngine(const ext::shared_ptr< HestonModel > &model, const ext::shared_ptr< HullWhite > &hullWhiteModel, Real rhoSr, Real relTolerance, Size maxEvaluations) | AnalyticH1HWEngine | |
| AnalyticHestonEngine(const ext::shared_ptr< HestonModel > &model, Real relTolerance, Size maxEvaluations) | AnalyticHestonEngine | |
| AnalyticHestonEngine(const ext::shared_ptr< HestonModel > &model, Size integrationOrder=144) | AnalyticHestonEngine | |
| AnalyticHestonEngine(const ext::shared_ptr< HestonModel > &model, ComplexLogFormula cpxLog, const Integration &itg, Real andersenPiterbargEpsilon=1e-25, Real alpha=-0.5) | AnalyticHestonEngine | |
| AnalyticHestonHullWhiteEngine(const ext::shared_ptr< HestonModel > &hestonModel, ext::shared_ptr< HullWhite > hullWhiteModel, Size integrationOrder=144) | AnalyticHestonHullWhiteEngine | |
| AnalyticHestonHullWhiteEngine(const ext::shared_ptr< HestonModel > &model, ext::shared_ptr< HullWhite > hullWhiteModel, Real relTolerance, Size maxEvaluations) | AnalyticHestonHullWhiteEngine | |
| AndersenPiterbarg enum value | AnalyticHestonEngine | |
| andersenPiterbargEpsilon_ | AnalyticHestonEngine | private |
| AndersenPiterbargOptCV enum value | AnalyticHestonEngine | |
| AngledContour enum value | AnalyticHestonEngine | |
| AngledContourNoCV enum value | AnalyticHestonEngine | |
| arguments_ | GenericEngine< ArgumentsType, ResultsType > | mutableprotected |
| AsymptoticChF enum value | AnalyticHestonEngine | |
| BranchCorrection enum value | AnalyticHestonEngine | |
| calculate() const override | AnalyticHestonHullWhiteEngine | virtual |
| chF(const std::complex< Real > &z, Time t) const | AnalyticHestonEngine | |
| ComplexLogFormula enum name | AnalyticHestonEngine | |
| cpxLog_ | AnalyticHestonEngine | private |
| deepUpdate() | Observer | virtual |
| doCalculation(Real riskFreeDiscount, Real dividendDiscount, Real spotPrice, Real strikePrice, Real term, Real kappa, Real theta, Real sigma, Real v0, Real rho, const TypePayoff &type, const Integration &integration, ComplexLogFormula cpxLog, const AnalyticHestonEngine *enginePtr, Real &value, Size &evaluations) | AnalyticHestonEngine | static |
| evaluations_ | AnalyticHestonEngine | mutableprivate |
| Gatheral enum value | AnalyticHestonEngine | |
| GenericModelEngine(Handle< HestonModel > model=Handle< HestonModel >()) | GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results > | explicit |
| GenericModelEngine(const ext::shared_ptr< HestonModel > &model) | GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results > | explicit |
| getArguments() const override | GenericEngine< ArgumentsType, ResultsType > | virtual |
| getResults() const override | GenericEngine< ArgumentsType, ResultsType > | virtual |
| hullWhiteModel_ | AnalyticHestonHullWhiteEngine | protected |
| integration_ | AnalyticHestonEngine | private |
| QuantLib::iterator typedef | Observable | private |
| QuantLib::Observer::iterator typedef | Observer | |
| lnChF(const std::complex< Real > &z, Time t) const | AnalyticHestonEngine | |
| m_ | AnalyticHestonHullWhiteEngine | mutableprivate |
| model_ | GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results > | protected |
| notifyObservers() | Observable | |
| numberOfEvaluations() const | AnalyticHestonEngine | |
| Observable() | Observable | |
| Observable(const Observable &) | Observable | |
| Observable(Observable &&)=delete | Observable | |
| observables_ | Observer | private |
| Observer()=default | Observer | |
| QuantLib::Observer::Observer(const Observer &) | Observer | |
| observers_ | Observable | private |
| QuantLib::operator=(const Observable &) | Observable | |
| QuantLib::operator=(Observable &&)=delete | Observable | |
| QuantLib::Observer::operator=(const Observer &) | Observer | |
| optimalControlVariate(Time t, Real v0, Real kappa, Real theta, Real sigma, Real rho) | AnalyticHestonEngine | static |
| OptimalCV enum value | AnalyticHestonEngine | |
| priceVanillaPayoff(const ext::shared_ptr< PlainVanillaPayoff > &payoff, const Date &maturity) const | AnalyticHestonEngine | |
| priceVanillaPayoff(const ext::shared_ptr< PlainVanillaPayoff > &payoff, Time maturity) const | AnalyticHestonEngine | |
| priceVanillaPayoff(const ext::shared_ptr< PlainVanillaPayoff > &payoff, Time maturity, Real fwd) const | AnalyticHestonEngine | private |
| registerObserver(Observer *) | Observable | private |
| registerWith(const ext::shared_ptr< Observable > &) | Observer | |
| registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
| reset() override | GenericEngine< ArgumentsType, ResultsType > | virtual |
| results_ | GenericEngine< ArgumentsType, ResultsType > | mutableprotected |
| rhoSr_ | AnalyticH1HWEngine | private |
| QuantLib::set_type typedef | Observable | private |
| setParameters() | AnalyticHestonHullWhiteEngine | private |
| sigma_ | AnalyticHestonHullWhiteEngine | private |
| unregisterObserver(Observer *) | Observable | private |
| unregisterWith(const ext::shared_ptr< Observable > &) | Observer | |
| unregisterWithAll() | Observer | |
| update() override | AnalyticHestonHullWhiteEngine | virtual |
| ~Observable()=default | Observable | virtual |
| ~Observer() | Observer | virtual |
| ~PricingEngine() override=default | PricingEngine |