- QuantLib
- FFTVarianceGammaEngine
 
| calculate() const (defined in FFTEngine) | FFTEngine | |
| calculateUncached(boost::shared_ptr< StrikedTypePayoff > payoff, boost::shared_ptr< Exercise > exercise) const (defined in FFTEngine) | FFTEngine |  [protected] | 
| clone() const (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine |  [virtual] | 
| complexFourierTransform(std::complex< Real > u) const (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine |  [protected, virtual] | 
| discountFactor(Date d) const (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine |  [protected, virtual] | 
| dividendYield(Date d) const (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine |  [protected, virtual] | 
| 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) | FFTEngine |  [protected] | 
| precalculate(const std::vector< boost::shared_ptr< Instrument > > &optionList) (defined in FFTEngine) | FFTEngine | |
| precalculateExpiry(Date d) (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine |  [protected, virtual] | 
| process_ (defined in FFTEngine) | FFTEngine |  [protected] | 
| update() (defined in FFTEngine) | FFTEngine |