- QuantLib
- FFTVarianceGammaEngine
| calculate() const (defined in FFTEngine) | FFTEngine | |
| calculateUncached(boost::shared_ptr< StrikedTypePayoff > payoff, boost::shared_ptr< Exercise > exercise) const (defined in FFTEngine) | FFTEngine | [protected] |
| clone() const (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine | [virtual] |
| complexFourierTransform(std::complex< Real > u) const (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine | [protected, virtual] |
| discountFactor(Date d) const (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine | [protected, virtual] |
| dividendYield(Date d) const (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine | [protected, virtual] |
| FFTEngine(const boost::shared_ptr< StochasticProcess1D > &process, Real logStrikeSpacing) (defined in FFTEngine) | FFTEngine | |
| FFTVarianceGammaEngine(const boost::shared_ptr< VarianceGammaProcess > &process, Real logStrikeSpacing=0.001) (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine | |
| lambda_ (defined in FFTEngine) | FFTEngine | [protected] |
| precalculate(const std::vector< boost::shared_ptr< Instrument > > &optionList) (defined in FFTEngine) | FFTEngine | |
| precalculateExpiry(Date d) (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine | [protected, virtual] |
| process_ (defined in FFTEngine) | FFTEngine | [protected] |
| update() (defined in FFTEngine) | FFTEngine |