A free/open-source library for quantitative finance
Reference manual - version 1.20
|
|
A free/open-source library for quantitative finance
Reference manual - version 1.20
|
This is the complete list of members for BatesProcess, including all inherited members.
| apply(const Array &x0, const Array &dx) const | HestonProcess | virtual |
| BatesProcess(const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > ÷ndYield, const Handle< Quote > &s0, Real v0, Real kappa, Real theta, Real sigma, Real rho, Real lambda, Real nu, Real delta, HestonProcess::Discretization d=HestonProcess::FullTruncation) (defined in BatesProcess) | BatesProcess | |
| BroadieKayaExactSchemeLaguerre enum value (defined in HestonProcess) | HestonProcess | |
| BroadieKayaExactSchemeLobatto enum value (defined in HestonProcess) | HestonProcess | |
| BroadieKayaExactSchemeTrapezoidal enum value (defined in HestonProcess) | HestonProcess | |
| covariance(Time t0, const Array &x0, Time dt) const | StochasticProcess | virtual |
| deepUpdate() | Observer | virtual |
| delta() const (defined in BatesProcess) | BatesProcess | |
| diffusion(Time t, const Array &x) const | HestonProcess | virtual |
| Discretization enum name (defined in HestonProcess) | HestonProcess | |
| dividendYield() const (defined in HestonProcess) | HestonProcess | |
| drift(Time t, const Array &x) const | BatesProcess | virtual |
| evolve(Time t0, const Array &x0, Time dt, const Array &dw) const | BatesProcess | virtual |
| expectation(Time t0, const Array &x0, Time dt) const | StochasticProcess | virtual |
| factors() const | BatesProcess | virtual |
| FullTruncation enum value (defined in HestonProcess) | HestonProcess | |
| HestonProcess(const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > ÷ndYield, const Handle< Quote > &s0, Real v0, Real kappa, Real theta, Real sigma, Real rho, Discretization d=QuadraticExponentialMartingale) (defined in HestonProcess) | HestonProcess | |
| initialValues() const | HestonProcess | virtual |
| iterator typedef (defined in Observer) | Observer | |
| kappa() const (defined in HestonProcess) | HestonProcess | |
| lambda() const (defined in BatesProcess) | BatesProcess | |
| NonCentralChiSquareVariance enum value (defined in HestonProcess) | HestonProcess | |
| notifyObservers() | Observable | |
| nu() const (defined in BatesProcess) | BatesProcess | |
| Observable() (defined in Observable) | Observable | |
| Observable(const Observable &) (defined in Observable) | Observable | |
| Observer() (defined in Observer) | Observer | |
| Observer(const Observer &) (defined in Observer) | Observer | |
| operator=(const Observer &) (defined in Observer) | Observer | |
| QuantLib::Observable::operator=(const Observable &) | Observable | |
| PartialTruncation enum value (defined in HestonProcess) | HestonProcess | |
| pdf(Real x, Real v, Time t, Real eps=1e-3) const (defined in HestonProcess) | HestonProcess | |
| QuadraticExponential enum value (defined in HestonProcess) | HestonProcess | |
| QuadraticExponentialMartingale enum value (defined in HestonProcess) | HestonProcess | |
| Reflection enum value (defined in HestonProcess) | HestonProcess | |
| registerWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer | |
| registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
| rho() const (defined in HestonProcess) | HestonProcess | |
| riskFreeRate() const (defined in HestonProcess) | HestonProcess | |
| s0() const (defined in HestonProcess) | HestonProcess | |
| set_type typedef (defined in Observer) | Observer | |
| sigma() const (defined in HestonProcess) | HestonProcess | |
| size() const | HestonProcess | virtual |
| stdDeviation(Time t0, const Array &x0, Time dt) const | StochasticProcess | virtual |
| StochasticProcess() (defined in StochasticProcess) | StochasticProcess | protected |
| StochasticProcess(const ext::shared_ptr< discretization > &) (defined in StochasticProcess) | StochasticProcess | explicitprotected |
| theta() const (defined in HestonProcess) | HestonProcess | |
| time(const Date &) const | HestonProcess | virtual |
| unregisterWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer | |
| unregisterWithAll() (defined in Observer) | Observer | |
| update() | StochasticProcess | virtual |
| v0() const (defined in HestonProcess) | HestonProcess | |
| ~Observable() (defined in Observable) | Observable | virtual |
| ~Observer() (defined in Observer) | Observer | virtual |
| ~StochasticProcess() (defined in StochasticProcess) | StochasticProcess | virtual |