QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
FFTVarianceGammaEngine Member List

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

calculate() const (defined in FFTEngine)FFTEngine
calculateUncached(boost::shared_ptr< StrikedTypePayoff > payoff, boost::shared_ptr< Exercise > exercise) const (defined in FFTEngine)FFTEngineprotected
clone() const (defined in FFTVarianceGammaEngine)FFTVarianceGammaEnginevirtual
complexFourierTransform(std::complex< Real > u) const (defined in FFTVarianceGammaEngine)FFTVarianceGammaEngineprotectedvirtual
discountFactor(Date d) const (defined in FFTVarianceGammaEngine)FFTVarianceGammaEngineprotectedvirtual
dividendYield(Date d) const (defined in FFTVarianceGammaEngine)FFTVarianceGammaEngineprotectedvirtual
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)FFTEngineprotected
precalculate(const std::vector< boost::shared_ptr< Instrument > > &optionList) (defined in FFTEngine)FFTEngine
precalculateExpiry(Date d) (defined in FFTVarianceGammaEngine)FFTVarianceGammaEngineprotectedvirtual
process_ (defined in FFTEngine)FFTEngineprotected
update() (defined in FFTEngine)FFTEngine