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]