This is the complete list of members for VolatilityFromVarianceSwapEngine, including all inherited members.
cachedTodaysSpot_ (defined in GeneralisedReplicatingVarianceSwapEngine) | GeneralisedReplicatingVarianceSwapEngine | mutableprotected |
calculate() const override (defined in VolatilityFromVarianceSwapEngine) | VolatilityFromVarianceSwapEngine | |
calculateAccruedVariance(const Calendar &jointCal) const (defined in GeneralisedReplicatingVarianceSwapEngine) | GeneralisedReplicatingVarianceSwapEngine | protected |
calculateFutureVariance(const Date &maturity) const (defined in GeneralisedReplicatingVarianceSwapEngine) | GeneralisedReplicatingVarianceSwapEngine | protected |
discountingTS_ (defined in GeneralisedReplicatingVarianceSwapEngine) | GeneralisedReplicatingVarianceSwapEngine | protected |
GeneralisedReplicatingVarianceSwapEngine(const boost::shared_ptr< QuantLib::Index > &index, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const Handle< YieldTermStructure > &discountingTS, const VarSwapSettings settings=VarSwapSettings(), const bool staticTodaysSpot=true) (defined in VolatilityFromVarianceSwapEngine) | VolatilityFromVarianceSwapEngine | |
GeneralisedReplicatingVarianceSwapEngine(const boost::shared_ptr< QuantLib::Index > &index, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const Handle< YieldTermStructure > &discountingTS, const VarSwapSettings settings=VarSwapSettings(), const bool staticTodaysSpot=true) (defined in GeneralisedReplicatingVarianceSwapEngine) | GeneralisedReplicatingVarianceSwapEngine | |
index_ (defined in GeneralisedReplicatingVarianceSwapEngine) | GeneralisedReplicatingVarianceSwapEngine | protected |
process_ (defined in GeneralisedReplicatingVarianceSwapEngine) | GeneralisedReplicatingVarianceSwapEngine | protected |
settings_ (defined in GeneralisedReplicatingVarianceSwapEngine) | GeneralisedReplicatingVarianceSwapEngine | protected |
staticTodaysSpot_ (defined in GeneralisedReplicatingVarianceSwapEngine) | GeneralisedReplicatingVarianceSwapEngine | protected |