QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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AnalyticHestonHullWhiteEngine Member List

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

a_AnalyticHestonHullWhiteEnginemutableprivate
addOnTerm(Real phi, Time t, Size j) const overrideAnalyticHestonHullWhiteEngineprotectedvirtual
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-8)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 valueAnalyticHestonEngine
andersenPiterbargEpsilon_AnalyticHestonEngineprivate
AndersenPiterbargOptCV enum valueAnalyticHestonEngine
arguments_GenericEngine< ArgumentsType, ResultsType >mutableprotected
AsymptoticChF enum valueAnalyticHestonEngine
BranchCorrection enum valueAnalyticHestonEngine
calculate() const overrideAnalyticHestonHullWhiteEnginevirtual
chF(const std::complex< Real > &z, Time t) constAnalyticHestonEngine
ComplexLogFormula enum nameAnalyticHestonEngine
cpxLog_AnalyticHestonEngineprivate
deepUpdate()Observervirtual
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)AnalyticHestonEnginestatic
evaluations_AnalyticHestonEnginemutableprivate
Gatheral enum valueAnalyticHestonEngine
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 overrideGenericEngine< ArgumentsType, ResultsType >virtual
getResults() const overrideGenericEngine< ArgumentsType, ResultsType >virtual
hullWhiteModel_AnalyticHestonHullWhiteEngineprotected
integration_AnalyticHestonEngineprivate
QuantLib::iterator typedefObservableprivate
QuantLib::Observer::iterator typedefObserver
lnChF(const std::complex< Real > &z, Time t) constAnalyticHestonEngine
m_AnalyticHestonHullWhiteEnginemutableprivate
model_GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results >protected
notifyObservers()Observable
numberOfEvaluations() constAnalyticHestonEngine
Observable()Observable
Observable(const Observable &)Observable
Observable(Observable &&)=deleteObservable
observables_Observerprivate
Observer()=defaultObserver
QuantLib::Observer::Observer(const Observer &)Observer
observers_Observableprivate
QuantLib::operator=(const Observable &)Observable
QuantLib::operator=(Observable &&)=deleteObservable
QuantLib::Observer::operator=(const Observer &)Observer
optimalControlVariate(Time t, Real v0, Real kappa, Real theta, Real sigma, Real rho)AnalyticHestonEnginestatic
OptimalCV enum valueAnalyticHestonEngine
registerObserver(Observer *)Observableprivate
registerWith(const ext::shared_ptr< Observable > &)Observer
registerWithObservables(const ext::shared_ptr< Observer > &)Observer
reset() overrideGenericEngine< ArgumentsType, ResultsType >virtual
results_GenericEngine< ArgumentsType, ResultsType >mutableprotected
QuantLib::set_type typedefObservableprivate
setParameters()AnalyticHestonHullWhiteEngineprivate
sigma_AnalyticHestonHullWhiteEngineprivate
unregisterObserver(Observer *)Observableprivate
unregisterWith(const ext::shared_ptr< Observable > &)Observer
unregisterWithAll()Observer
update() overrideAnalyticHestonHullWhiteEnginevirtual
~Observable()=defaultObservablevirtual
~Observer()Observervirtual
~PricingEngine() override=defaultPricingEngine