| arguments_ | GenericEngine< VarianceSwap::arguments, VarianceSwap::results > | mutableprotected |
| calculate() const override | ReplicatingVarianceSwapEngine | virtual |
| callStrikes_ | ReplicatingVarianceSwapEngine | private |
| computeLogPayoff(Real, Real) const | ReplicatingVarianceSwapEngine | protected |
| computeOptionWeights(const std::vector< Real > &, Option::Type, weights_type &optionWeights) const | ReplicatingVarianceSwapEngine | protected |
| computeReplicatingPortfolio(const weights_type &optionWeights) const | ReplicatingVarianceSwapEngine | protected |
| deepUpdate() | Observer | virtual |
| dk_ | ReplicatingVarianceSwapEngine | private |
| getArguments() const override | GenericEngine< VarianceSwap::arguments, VarianceSwap::results > | virtual |
| getResults() const override | GenericEngine< VarianceSwap::arguments, VarianceSwap::results > | virtual |
| QuantLib::iterator typedef | Observable | private |
| QuantLib::Observer::iterator typedef | Observer | |
| notifyObservers() | Observable | |
| 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 | |
| process_ | ReplicatingVarianceSwapEngine | private |
| putStrikes_ | ReplicatingVarianceSwapEngine | private |
| registerObserver(Observer *) | Observable | private |
| registerWith(const ext::shared_ptr< Observable > &) | 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 >()) | ReplicatingVarianceSwapEngine | |
| reset() override | GenericEngine< VarianceSwap::arguments, VarianceSwap::results > | virtual |
| residualTime() const | ReplicatingVarianceSwapEngine | protected |
| results_ | GenericEngine< VarianceSwap::arguments, VarianceSwap::results > | mutableprotected |
| riskFreeDiscount() const | ReplicatingVarianceSwapEngine | protected |
| riskFreeRate() const | ReplicatingVarianceSwapEngine | protected |
| QuantLib::set_type typedef | Observable | private |
| underlying() const | ReplicatingVarianceSwapEngine | protected |
| unregisterObserver(Observer *) | Observable | private |
| unregisterWith(const ext::shared_ptr< Observable > &) | Observer | |
| unregisterWithAll() | Observer | |
| update() override | GenericEngine< VarianceSwap::arguments, VarianceSwap::results > | virtual |
| weights_type typedef | ReplicatingVarianceSwapEngine | |
| ~Observable()=default | Observable | virtual |
| ~Observer() | Observer | virtual |
| ~PricingEngine() override=default | PricingEngine | |