ReplicatingVarianceSwapEngine Member List
This is the complete list of members for ReplicatingVarianceSwapEngine, including all inherited members.| calculate() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | [virtual] |
| computeLogPayoff(const Real, const Real) const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | [protected] |
| computeOptionWeights(const StrikesType &, const Option::Type) const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | [protected] |
| computeReplicatingPortfolio() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | [protected] |
| ReplicatingVarianceSwapEngine(const Real dk=5.0, const StrikesType &callStrikes=StrikesType(), const StrikesType &putStrikes=StrikesType(), const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >()) (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | |
| residualTime() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | [protected] |
| riskFreeDiscount() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | [protected] |
| riskFreeRate() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | [protected] |
| StrikesType typedef (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | |
| underlying() const (defined in ReplicatingVarianceSwapEngine) | ReplicatingVarianceSwapEngine | [protected] |