FFTVarianceGammaEngine Member List

This is the complete list of members for FFTVarianceGammaEngine, including all inherited members.
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