File: class_quant_lib_1_1_analytic_heston_engine-members.html

package info (click to toggle)
quantlib-refman-html 1.20-1
  • links: PTS, VCS
  • area: main
  • in suites: bookworm, bullseye, sid, trixie
  • size: 103,140 kB
  • sloc: javascript: 13,408; makefile: 35
file content (140 lines) | stat: -rw-r--r-- 20,594 bytes parent folder | download
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
<meta http-equiv="X-UA-Compatible" content="IE=9"/>
<meta name="generator" content="Doxygen 1.8.20"/>
<meta name="viewport" content="width=device-width, initial-scale=1"/>
<title>QuantLib: Member List</title>
<link href='https://fonts.googleapis.com/css?family=Merriweather+Sans:800' rel='stylesheet' type='text/css'>
<link href="tabs.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="jquery.js"></script>
<script type="text/javascript" src="dynsections.js"></script>
<link href="search/search.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="search/searchdata.js"></script>
<script type="text/javascript" src="search/search.js"></script>
<script type="text/x-mathjax-config">
  MathJax.Hub.Config({
    extensions: ["tex2jax.js"],
    jax: ["input/TeX","output/HTML-CSS"],
});
</script>
<script type="text/javascript" async="async" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.5/MathJax.js"></script>
<link href="doxygen.css" rel="stylesheet" type="text/css" />
<link href="quantlibextra.css" rel="stylesheet" type="text/css"/>
</head>
<body>
<div id="top"><!-- do not remove this div, it is closed by doxygen! -->
<div id="titlearea">
<table cellspacing="0" cellpadding="0">
 <tbody>
 <tr style="height: 56px;">
  <td id="projectalign" style="padding-left: 0.5em;">
   <div id="projectname"><a href="http://quantlib.org">
       <img alt="QuantLib" src="QL-title.jpg"></a>
   <div id="projectbrief">A free/open-source library for quantitative finance</div>
   <div id="projectnumber">Reference manual - version 1.20</div>
   </div>
  </td>
 </tr>
 </tbody>
</table>
</div>
<!-- end header part -->
<!-- Generated by Doxygen 1.8.20 -->
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&amp;dn=gpl-2.0.txt GPL-v2 */
var searchBox = new SearchBox("searchBox", "search",false,'Search');
/* @license-end */
</script>
<script type="text/javascript" src="menudata.js"></script>
<script type="text/javascript" src="menu.js"></script>
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&amp;dn=gpl-2.0.txt GPL-v2 */
$(function() {
  initMenu('',true,false,'search.php','Search');
  $(document).ready(function() { init_search(); });
});
/* @license-end */</script>
<div id="main-nav"></div>
<!-- window showing the filter options -->
<div id="MSearchSelectWindow"
     onmouseover="return searchBox.OnSearchSelectShow()"
     onmouseout="return searchBox.OnSearchSelectHide()"
     onkeydown="return searchBox.OnSearchSelectKey(event)">
</div>

<!-- iframe showing the search results (closed by default) -->
<div id="MSearchResultsWindow">
<iframe src="javascript:void(0)" frameborder="0" 
        name="MSearchResults" id="MSearchResults">
</iframe>
</div>

<div id="nav-path" class="navpath">
  <ul>
<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a></li>  </ul>
</div>
</div><!-- top -->
<div class="header">
  <div class="headertitle">
<div class="title">AnalyticHestonEngine Member List</div>  </div>
</div><!--header-->
<div class="contents">

<p>This is the complete list of members for <a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a>, including all inherited members.</p>
<table class="directory">
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>addOnTerm</b>(Real phi, Time t, Size j) const (defined in <a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a></td><td class="entry"><span class="mlabel">protected</span><span class="mlabel">virtual</span></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>AnalyticHestonEngine</b>(const ext::shared_ptr&lt; HestonModel &gt; &amp;model, Real relTolerance, Size maxEvaluations) (defined in <a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>AnalyticHestonEngine</b>(const ext::shared_ptr&lt; HestonModel &gt; &amp;model, Size integrationOrder=144) (defined in <a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>AnalyticHestonEngine</b>(const ext::shared_ptr&lt; HestonModel &gt; &amp;model, ComplexLogFormula cpxLog, const Integration &amp;itg, Real andersenPiterbargEpsilon=1e-8) (defined in <a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>AndersenPiterbarg</b> enum value (defined in <a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>AndersenPiterbargOptCV</b> enum value (defined in <a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>arguments_</b> (defined in <a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine&lt; VanillaOption::arguments, VanillaOption::results &gt;</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine&lt; VanillaOption::arguments, VanillaOption::results &gt;</a></td><td class="entry"><span class="mlabel">mutable</span><span class="mlabel">protected</span></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>AsymptoticChF</b> enum value (defined in <a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>BranchCorrection</b> enum value (defined in <a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>calculate</b>() const (defined in <a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a></td><td class="entry"><span class="mlabel">virtual</span></td></tr>
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>chF</b>(const std::complex&lt; Real &gt; &amp;z, Time t) const (defined in <a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>ComplexLogFormula</b> enum name (defined in <a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a></td><td class="entry"></td></tr>
  <tr class="even"><td class="entry"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a>()</td><td class="entry"><a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td><td class="entry"><span class="mlabel">virtual</span></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>doCalculation</b>(Real riskFreeDiscount, Real dividendDiscount, Real spotPrice, Real strikePrice, Real term, Real kappa, Real theta, Real sigma, Real v0, Real rho, const TypePayoff &amp;type, const Integration &amp;integration, ComplexLogFormula cpxLog, const AnalyticHestonEngine *enginePtr, Real &amp;value, Size &amp;evaluations) (defined in <a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a></td><td class="entry"><span class="mlabel">static</span></td></tr>
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>Gatheral</b> enum value (defined in <a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>GenericModelEngine</b>(const Handle&lt; HestonModel &gt; &amp;model=Handle&lt; HestonModel &gt;()) (defined in <a class="el" href="class_quant_lib_1_1_generic_model_engine.html">GenericModelEngine&lt; HestonModel, VanillaOption::arguments, VanillaOption::results &gt;</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_generic_model_engine.html">GenericModelEngine&lt; HestonModel, VanillaOption::arguments, VanillaOption::results &gt;</a></td><td class="entry"><span class="mlabel">explicit</span></td></tr>
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>GenericModelEngine</b>(const ext::shared_ptr&lt; HestonModel &gt; &amp;model) (defined in <a class="el" href="class_quant_lib_1_1_generic_model_engine.html">GenericModelEngine&lt; HestonModel, VanillaOption::arguments, VanillaOption::results &gt;</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_generic_model_engine.html">GenericModelEngine&lt; HestonModel, VanillaOption::arguments, VanillaOption::results &gt;</a></td><td class="entry"><span class="mlabel">explicit</span></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>getArguments</b>() const (defined in <a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine&lt; VanillaOption::arguments, VanillaOption::results &gt;</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine&lt; VanillaOption::arguments, VanillaOption::results &gt;</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>getArguments</b>() const =0 (defined in <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a></td><td class="entry"><span class="mlabel">pure virtual</span></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>getResults</b>() const (defined in <a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine&lt; VanillaOption::arguments, VanillaOption::results &gt;</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine&lt; VanillaOption::arguments, VanillaOption::results &gt;</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>getResults</b>() const =0 (defined in <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a></td><td class="entry"><span class="mlabel">pure virtual</span></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>iterator</b> typedef (defined in <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>lnChF</b>(const std::complex&lt; Real &gt; &amp;z, Time t) const (defined in <a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>model_</b> (defined in <a class="el" href="class_quant_lib_1_1_generic_model_engine.html">GenericModelEngine&lt; HestonModel, VanillaOption::arguments, VanillaOption::results &gt;</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_generic_model_engine.html">GenericModelEngine&lt; HestonModel, VanillaOption::arguments, VanillaOption::results &gt;</a></td><td class="entry"><span class="mlabel">protected</span></td></tr>
  <tr class="even"><td class="entry"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a>()</td><td class="entry"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>numberOfEvaluations</b>() const (defined in <a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>Observable</b>() (defined in <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>Observable</b>(const Observable &amp;) (defined in <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>Observer</b>() (defined in <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>Observer</b>(const Observer &amp;) (defined in <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td><td class="entry"></td></tr>
  <tr class="even"><td class="entry"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">QuantLib::operator=</a>(const Observable &amp;)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>operator=</b>(const Observer &amp;) (defined in <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>optimalControlVariate</b>(Time t, Real v0, Real kappa, Real theta, Real sigma, Real rho) (defined in <a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a></td><td class="entry"><span class="mlabel">static</span></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>OptimalCV</b> enum value (defined in <a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>registerWith</b>(const ext::shared_ptr&lt; Observable &gt; &amp;) (defined in <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td><td class="entry"></td></tr>
  <tr><td class="entry"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a>(const ext::shared_ptr&lt; Observer &gt; &amp;)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>reset</b>() (defined in <a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine&lt; VanillaOption::arguments, VanillaOption::results &gt;</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine&lt; VanillaOption::arguments, VanillaOption::results &gt;</a></td><td class="entry"><span class="mlabel">virtual</span></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>results_</b> (defined in <a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine&lt; VanillaOption::arguments, VanillaOption::results &gt;</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine&lt; VanillaOption::arguments, VanillaOption::results &gt;</a></td><td class="entry"><span class="mlabel">mutable</span><span class="mlabel">protected</span></td></tr>
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>set_type</b> typedef (defined in <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>unregisterWith</b>(const ext::shared_ptr&lt; Observable &gt; &amp;) (defined in <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td><td class="entry"></td></tr>
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>unregisterWithAll</b>() (defined in <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td><td class="entry"></td></tr>
  <tr><td class="entry"><a class="el" href="class_quant_lib_1_1_generic_engine.html#ac5c54df7ed3b930268c8d7752c101725">update</a>()</td><td class="entry"><a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine&lt; VanillaOption::arguments, VanillaOption::results &gt;</a></td><td class="entry"><span class="mlabel">virtual</span></td></tr>
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>~Observable</b>() (defined in <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td><td class="entry"><span class="mlabel">virtual</span></td></tr>
  <tr bgcolor="#f0f0f0"><td class="entry"><b>~Observer</b>() (defined in <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td><td class="entry"><span class="mlabel">virtual</span></td></tr>
  <tr bgcolor="#f0f0f0" class="even"><td class="entry"><b>~PricingEngine</b>() (defined in <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a>)</td><td class="entry"><a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a></td><td class="entry"><span class="mlabel">virtual</span></td></tr>
</table></div><!-- contents -->
<!-- HTML footer for doxygen 1.8.9.1-->
<!-- start footer part -->
<hr class="footer"/><address class="footer"><small>
Generated by <a href="http://www.doxygen.org/index.html">Doxygen</a>
1.8.20
</small></address>
</body>
</html>