analytic_ (defined in FdMultiPeriodOption) | FdMultiPeriodOption | [mutable, protected] |
BCs_ (defined in FdBsmOption) | FdBsmOption | [mutable, protected] |
BoundaryCondition typedef (defined in FdBsmOption) | FdBsmOption | [protected] |
calculate() const (defined in FdMultiPeriodOption) | FdMultiPeriodOption | [protected] |
center_ (defined in FdBsmOption) | FdBsmOption | [mutable, protected] |
clone() const (defined in FdBermudanOption) | FdBermudanOption | [virtual] |
controlPrices_ (defined in FdMultiPeriodOption) | FdMultiPeriodOption | [mutable, protected] |
controlVariateCorrection() const (defined in FdMultiPeriodOption) | FdMultiPeriodOption | |
dateNumber_ (defined in FdMultiPeriodOption) | FdMultiPeriodOption | [protected] |
dates_ (defined in FdMultiPeriodOption) | FdMultiPeriodOption | [protected] |
delta() const (defined in FdBsmOption) | FdBsmOption | [virtual] |
delta_ (defined in FdBsmOption) | FdBsmOption | [mutable, protected] |
dividendRho() const (defined in SingleAssetOption) | SingleAssetOption | [virtual] |
dividendRho_ (defined in SingleAssetOption) | SingleAssetOption | [mutable, protected] |
dividendRhoComputed_ (defined in SingleAssetOption) | SingleAssetOption | [mutable, protected] |
dividendYield_ (defined in SingleAssetOption) | SingleAssetOption | [protected] |
dRMultiplier_ (defined in SingleAssetOption) | SingleAssetOption | [protected, static] |
dVolMultiplier_ (defined in SingleAssetOption) | SingleAssetOption | [protected, static] |
executeIntermediateStep(int) const (defined in FdBermudanOption) | FdBermudanOption | [protected] |
extraTermInBermudan (defined in FdBermudanOption) | FdBermudanOption | [protected] |
FdBermudanOption(Option::Type type, double underlying, double strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, double volatility, const std::vector< Time > &dates=std::vector< Time >(), int timeSteps=100, int gridPoints=100) (defined in FdBermudanOption) | FdBermudanOption | |
FdBsmOption(Option::Type type, double underlying, double strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, double volatility, Size gridPoints) (defined in FdBsmOption) | FdBsmOption | |
FdMultiPeriodOption(Option::Type type, double underlying, double strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, double volatility, int gridPoints, const std::vector< Time > &dates, int timeSteps) (defined in FdMultiPeriodOption) | FdMultiPeriodOption | [protected] |
finiteDifferenceOperator_ (defined in FdBsmOption) | FdBsmOption | [mutable, protected] |
firstDateIsZero_ (defined in FdMultiPeriodOption) | FdMultiPeriodOption | [protected] |
firstIndex_ (defined in FdMultiPeriodOption) | FdMultiPeriodOption | [protected] |
firstNonZeroDate_ (defined in FdMultiPeriodOption) | FdMultiPeriodOption | [protected] |
gamma() const (defined in FdBsmOption) | FdBsmOption | [virtual] |
gamma_ (defined in FdBsmOption) | FdBsmOption | [mutable, protected] |
getGrid() const (defined in FdBsmOption) | FdBsmOption | |
grid_ (defined in FdBsmOption) | FdBsmOption | [mutable, protected] |
gridPoints_ (defined in FdBsmOption) | FdBsmOption | [protected] |
hasBeenCalculated_ (defined in SingleAssetOption) | SingleAssetOption | [mutable, protected] |
impliedDivYield(double targetValue, double accuracy=1e-4, Size maxEvaluations=100, double minVol=1.0e-7, double maxVol=4.0) const (defined in SingleAssetOption) | SingleAssetOption | |
impliedVolatility(double targetValue, double accuracy=1e-4, Size maxEvaluations=100, double minVol=1.0e-4, double maxVol=4.0) const | SingleAssetOption | |
initializeControlVariate() const (defined in FdMultiPeriodOption) | FdMultiPeriodOption | [protected, virtual] |
initializeGrid() const (defined in FdBsmOption) | FdBsmOption | [protected, virtual] |
initializeInitialCondition() const (defined in FdBsmOption) | FdBsmOption | [protected, virtual] |
initializeModel() const (defined in FdMultiPeriodOption) | FdMultiPeriodOption | [protected, virtual] |
initializeOperator() const (defined in FdBsmOption) | FdBsmOption | [protected, virtual] |
initializeStepCondition() const (defined in FdBermudanOption) | FdBermudanOption | [protected] |
intrinsicValues_ (defined in FdBsmOption) | FdBsmOption | [mutable, protected] |
lastDateIsResTime_ (defined in FdMultiPeriodOption) | FdMultiPeriodOption | [protected] |
lastIndex_ (defined in FdMultiPeriodOption) | FdMultiPeriodOption | [protected] |
model_ (defined in FdMultiPeriodOption) | FdMultiPeriodOption | [mutable, protected] |
payoff_ (defined in SingleAssetOption) | SingleAssetOption | [protected] |
prices_ (defined in FdMultiPeriodOption) | FdMultiPeriodOption | [mutable, protected] |
residualTime_ (defined in SingleAssetOption) | SingleAssetOption | [protected] |
rho() const (defined in SingleAssetOption) | SingleAssetOption | [virtual] |
rho_ (defined in SingleAssetOption) | SingleAssetOption | [mutable, protected] |
rhoComputed_ (defined in SingleAssetOption) | SingleAssetOption | [mutable, protected] |
riskFreeRate_ (defined in SingleAssetOption) | SingleAssetOption | [protected] |
setDividendYield(Rate newDividendYield) (defined in SingleAssetOption) | SingleAssetOption | [virtual] |
setGridLimits(double center, double timeDelay) const (defined in FdBsmOption) | FdBsmOption | [protected, virtual] |
setRiskFreeRate(Rate newRate) (defined in SingleAssetOption) | SingleAssetOption | [virtual] |
setVolatility(double newVolatility) (defined in SingleAssetOption) | SingleAssetOption | [virtual] |
SingleAssetOption(Option::Type type, double underlying, double strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, double volatility) (defined in SingleAssetOption) | SingleAssetOption | |
sMax_ (defined in FdBsmOption) | FdBsmOption | [mutable, protected] |
sMin_ (defined in FdBsmOption) | FdBsmOption | [mutable, protected] |
stepCondition_ (defined in FdMultiPeriodOption) | FdMultiPeriodOption | [mutable, protected] |
theta() const (defined in SingleAssetOption) | SingleAssetOption | [virtual] |
theta_ (defined in SingleAssetOption) | SingleAssetOption | [mutable, protected] |
thetaComputed_ (defined in SingleAssetOption) | SingleAssetOption | [mutable, protected] |
timeStepPerPeriod_ (defined in FdMultiPeriodOption) | FdMultiPeriodOption | [protected] |
underlying_ (defined in SingleAssetOption) | SingleAssetOption | [protected] |
value() const (defined in FdBsmOption) | FdBsmOption | [virtual] |
value_ (defined in FdBsmOption) | FdBsmOption | [mutable, protected] |
vega() const (defined in SingleAssetOption) | SingleAssetOption | [virtual] |
vega_ (defined in SingleAssetOption) | SingleAssetOption | [mutable, protected] |
vegaComputed_ (defined in SingleAssetOption) | SingleAssetOption | [mutable, protected] |
volatility_ (defined in SingleAssetOption) | SingleAssetOption | [protected] |
~SingleAssetOption() (defined in SingleAssetOption) | SingleAssetOption | [virtual] |