QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
NumericHaganPricer Member List

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

annuity_ (defined in HaganPricer)HaganPricerprotected
capletPrice(Rate effectiveCap) const (defined in HaganPricer)HaganPricervirtual
capletRate(Rate effectiveCap) const (defined in HaganPricer)HaganPricervirtual
CmsCouponPricer(const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >()) (defined in CmsCouponPricer)CmsCouponPricerexplicit
coupon_ (defined in HaganPricer)HaganPricerprotected
cutoffForCaplet_ (defined in HaganPricer)HaganPricerprotected
cutoffForFloorlet_ (defined in HaganPricer)HaganPricerprotected
deepUpdate()Observervirtual
discount_ (defined in HaganPricer)HaganPricerprotected
fixingDate_ (defined in HaganPricer)HaganPricerprotected
floorletPrice(Rate effectiveFloor) const (defined in HaganPricer)HaganPricervirtual
floorletRate(Rate effectiveFloor) const (defined in HaganPricer)HaganPricervirtual
gearing_ (defined in HaganPricer)HaganPricerprotected
gFunction_ (defined in HaganPricer)HaganPricerprotected
HaganPricer(const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion) (defined in HaganPricer)HaganPricerprotected
hardUpperLimit_ (defined in NumericHaganPricer)NumericHaganPricer
initialize(const FloatingRateCoupon &coupon) (defined in HaganPricer)HaganPricerprotectedvirtual
integrate(Real a, Real b, const ConundrumIntegrand &Integrand) const (defined in NumericHaganPricer)NumericHaganPricer
iterator typedef (defined in Observer)Observer
lowerLimit_ (defined in NumericHaganPricer)NumericHaganPricer
meanReversion() const (defined in HaganPricer)HaganPricervirtual
meanReversion_ (defined in HaganPricer)HaganPricerprotected
modelOfYieldCurve_ (defined in HaganPricer)HaganPricerprotected
notifyObservers()Observable
NumericHaganPricer(const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion, Rate lowerLimit=0.0, Rate upperLimit=1.0, Real precision=1.0e-6, Real hardUpperLimit=QL_MAX_REAL) (defined in NumericHaganPricer)NumericHaganPricer
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
optionletPrice(Option::Type optionType, Rate strike) const (defined in NumericHaganPricer)NumericHaganPricervirtual
paymentDate_ (defined in HaganPricer)HaganPricerprotected
precision_ (defined in NumericHaganPricer)NumericHaganPricer
rateCurve_ (defined in HaganPricer)HaganPricerprotected
refineIntegration(Real integralValue, const ConundrumIntegrand &integrand) const (defined in NumericHaganPricer)NumericHaganPricer
refiningIntegrationTolerance_ (defined in NumericHaganPricer)NumericHaganPricer
registerWith(const ext::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const ext::shared_ptr< Observer > &)Observer
requiredStdDeviations_ (defined in NumericHaganPricer)NumericHaganPricer
resetUpperLimit(Real stdDeviationsForUpperLimit) const (defined in NumericHaganPricer)NumericHaganPricer
set_type typedef (defined in Observer)Observer
setMeanReversion(const Handle< Quote > &meanReversion) (defined in HaganPricer)HaganPricervirtual
setSwaptionVolatility(const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >()) (defined in CmsCouponPricer)CmsCouponPricer
spread_ (defined in HaganPricer)HaganPricerprotected
spreadLegValue_ (defined in HaganPricer)HaganPricerprotected
stdDeviations() const (defined in NumericHaganPricer)NumericHaganPricer
stdDeviationsForUpperLimit_ (defined in NumericHaganPricer)NumericHaganPricer
swapletPrice() const (defined in NumericHaganPricer)NumericHaganPricervirtual
swapletRate() const (defined in HaganPricer)HaganPricervirtual
swapRateValue_ (defined in HaganPricer)HaganPricerprotected
swapTenor_ (defined in HaganPricer)HaganPricerprotected
swaptionVolatility() const (defined in CmsCouponPricer)CmsCouponPricer
unregisterWith(const ext::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()FloatingRateCouponPricervirtual
upperLimit() const (defined in NumericHaganPricer)NumericHaganPricer
upperLimit_ (defined in NumericHaganPricer)NumericHaganPricermutable
vanillaOptionPricer_ (defined in HaganPricer)HaganPricerprotected
~FloatingRateCouponPricer() (defined in FloatingRateCouponPricer)FloatingRateCouponPricervirtual
~MeanRevertingPricer() (defined in MeanRevertingPricer)MeanRevertingPricervirtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual