QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
AnalyticPTDHestonEngine Member List

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

AnalyticPTDHestonEngine(const boost::shared_ptr< PiecewiseTimeDependentHestonModel > &model, Real relTolerance, Size maxEvaluations) (defined in AnalyticPTDHestonEngine)AnalyticPTDHestonEngine
AnalyticPTDHestonEngine(const boost::shared_ptr< PiecewiseTimeDependentHestonModel > &model, Size integrationOrder=144) (defined in AnalyticPTDHestonEngine)AnalyticPTDHestonEngine
AnalyticPTDHestonEngine(const boost::shared_ptr< PiecewiseTimeDependentHestonModel > &model, ComplexLogFormula cpxLog, const Integration &itg, Real andersenPiterbargEpsilon=1e-8) (defined in AnalyticPTDHestonEngine)AnalyticPTDHestonEngine
AndersenPiterbarg enum value (defined in AnalyticPTDHestonEngine)AnalyticPTDHestonEngine
arguments_ (defined in GenericEngine< VanillaOption::arguments, VanillaOption::results >)GenericEngine< VanillaOption::arguments, VanillaOption::results >mutableprotected
calculate() const (defined in AnalyticPTDHestonEngine)AnalyticPTDHestonEnginevirtual
chF(const std::complex< Real > &z, Time t) const (defined in AnalyticPTDHestonEngine)AnalyticPTDHestonEngine
ComplexLogFormula enum name (defined in AnalyticPTDHestonEngine)AnalyticPTDHestonEngine
deepUpdate()Observervirtual
Gatheral enum value (defined in AnalyticPTDHestonEngine)AnalyticPTDHestonEngine
GenericModelEngine(const Handle< PiecewiseTimeDependentHestonModel > &model=Handle< PiecewiseTimeDependentHestonModel >()) (defined in GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results >)GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results >explicit
GenericModelEngine(const boost::shared_ptr< PiecewiseTimeDependentHestonModel > &model) (defined in GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results >)GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results >explicit
getArguments() const (defined in GenericEngine< VanillaOption::arguments, VanillaOption::results >)GenericEngine< VanillaOption::arguments, VanillaOption::results >virtual
getResults() const (defined in GenericEngine< VanillaOption::arguments, VanillaOption::results >)GenericEngine< VanillaOption::arguments, VanillaOption::results >virtual
Integration typedef (defined in AnalyticPTDHestonEngine)AnalyticPTDHestonEngine
iterator typedef (defined in Observer)Observer
lnChF(const std::complex< Real > &z, Time t) const (defined in AnalyticPTDHestonEngine)AnalyticPTDHestonEngine
model_ (defined in GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results >)GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results >protected
notifyObservers()Observable
numberOfEvaluations() const (defined in AnalyticPTDHestonEngine)AnalyticPTDHestonEngine
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
Observer() (defined in Observer)Observer
Observer(const Observer &) (defined in Observer)Observer
QuantLib::operator=(const Observable &)Observable
operator=(const Observer &) (defined in Observer)Observer
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const boost::shared_ptr< Observer > &)Observer
reset() (defined in GenericEngine< VanillaOption::arguments, VanillaOption::results >)GenericEngine< VanillaOption::arguments, VanillaOption::results >virtual
results_ (defined in GenericEngine< VanillaOption::arguments, VanillaOption::results >)GenericEngine< VanillaOption::arguments, VanillaOption::results >mutableprotected
set_type typedef (defined in Observer)Observer
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()GenericEngine< VanillaOption::arguments, VanillaOption::results >virtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~PricingEngine() (defined in PricingEngine)PricingEnginevirtual