This is the complete list of members for FFTVarianceGammaEngine, including all inherited members.
calculate() const (defined in FFTEngine) | FFTEngine | |
calculateUncached(const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::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 | protectedvirtual |
discountFactor(Date d) const (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine | protectedvirtual |
dividendYield(Date d) const (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine | protectedvirtual |
FFTEngine(const ext::shared_ptr< StochasticProcess1D > &process, Real logStrikeSpacing) (defined in FFTEngine) | FFTEngine | |
FFTVarianceGammaEngine(const ext::shared_ptr< VarianceGammaProcess > &process, Real logStrikeSpacing=0.001) (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine | explicit |
lambda_ (defined in FFTEngine) | FFTEngine | protected |
precalculate(const std::vector< ext::shared_ptr< Instrument > > &optionList) (defined in FFTEngine) | FFTEngine | |
precalculateExpiry(Date d) (defined in FFTVarianceGammaEngine) | FFTVarianceGammaEngine | protectedvirtual |
process_ (defined in FFTEngine) | FFTEngine | protected |
update() (defined in FFTEngine) | FFTEngine |