calculate() const | LazyObject | [protected] |
Call enum value (defined in Option) | Option | |
correlation_ (defined in QuantoVanillaOption) | QuantoVanillaOption | [protected] |
delta() const (defined in VanillaOption) | VanillaOption | |
delta_ (defined in VanillaOption) | VanillaOption | [mutable, protected] |
description() const | Instrument | |
dividendRho() const (defined in VanillaOption) | VanillaOption | |
dividendRho_ (defined in VanillaOption) | VanillaOption | [mutable, protected] |
dividendTS_ (defined in VanillaOption) | VanillaOption | [protected] |
engine_ (defined in Option) | Option | [protected] |
errorEstimate() const (defined in Option) | Option | |
errorEstimate_ (defined in Option) | Option | [mutable, protected] |
exchRateVolTS_ (defined in QuantoVanillaOption) | QuantoVanillaOption | [protected] |
exercise_ (defined in VanillaOption) | VanillaOption | [protected] |
foreignRiskFreeTS_ (defined in QuantoVanillaOption) | QuantoVanillaOption | [protected] |
freeze() | LazyObject | |
gamma() const (defined in VanillaOption) | VanillaOption | |
gamma_ (defined in VanillaOption) | VanillaOption | [mutable, protected] |
impliedVolatility(double targetValue, double accuracy=1.0e-4, Size maxEvaluations=100, double minVol=1.0e-4, double maxVol=4.0) const | VanillaOption | |
Instrument(const std::string &isinCode="", const std::string &description="") (defined in Instrument) | Instrument | |
isExpired() const | Instrument | |
isExpired_ (defined in Instrument) | Instrument | [mutable, protected] |
isinCode() const | Instrument | |
LazyObject() (defined in LazyObject) | LazyObject | |
notifyObservers() | Observable | |
NPV() const | Instrument | |
NPV_ (defined in Instrument) | Instrument | [mutable, protected] |
Observer() (defined in Observer) | Observer | |
Observer(const Observer &) (defined in Observer) | Observer | |
operator=(const Observer &) (defined in Observer) | Observer | |
Option(const Handle< PricingEngine > &engine, const std::string &isinCode="", const std::string &description="") (defined in Option) | Option | |
performCalculations() const | QuantoVanillaOption | [protected, virtual] |
Put enum value (defined in Option) | Option | |
qlambda() const (defined in QuantoVanillaOption) | QuantoVanillaOption | |
qlambda_ (defined in QuantoVanillaOption) | QuantoVanillaOption | [mutable, protected] |
qrho() const (defined in QuantoVanillaOption) | QuantoVanillaOption | |
qrho_ (defined in QuantoVanillaOption) | QuantoVanillaOption | [mutable, protected] |
QuantoVanillaOption(Option::Type type, const RelinkableHandle< MarketElement > &underlying, double strike, const RelinkableHandle< TermStructure > ÷ndTS, const RelinkableHandle< TermStructure > &riskFreeTS, const Exercise &exercise, const RelinkableHandle< BlackVolTermStructure > &volTS, const Handle< PricingEngine > &engine, const RelinkableHandle< TermStructure > &foreignRiskFreeTS, const RelinkableHandle< BlackVolTermStructure > &exchRateVolTS, const RelinkableHandle< MarketElement > &correlation, const std::string &isinCode="", const std::string &description="") (defined in QuantoVanillaOption) | QuantoVanillaOption | |
qvega() const (defined in QuantoVanillaOption) | QuantoVanillaOption | |
qvega_ (defined in QuantoVanillaOption) | QuantoVanillaOption | [mutable, protected] |
recalculate() | LazyObject | |
registerWith(const Handle< Observable > &) (defined in Observer) | Observer | |
rho() const (defined in VanillaOption) | VanillaOption | |
rho_ (defined in VanillaOption) | VanillaOption | [mutable, protected] |
riskFreeTS_ (defined in VanillaOption) | VanillaOption | [protected] |
setPricingEngine(const Handle< PricingEngine > &) (defined in Option) | Option | |
setupEngine() const (defined in QuantoVanillaOption) | QuantoVanillaOption | [protected, virtual] |
Straddle enum value (defined in Option) | Option | |
strike_ (defined in VanillaOption) | VanillaOption | [protected] |
strikeSensitivity() const (defined in VanillaOption) | VanillaOption | |
strikeSensitivity_ (defined in VanillaOption) | VanillaOption | [mutable, protected] |
theta() const (defined in VanillaOption) | VanillaOption | |
theta_ (defined in VanillaOption) | VanillaOption | [mutable, protected] |
Type enum name (defined in Option) | Option | |
type_ (defined in VanillaOption) | VanillaOption | [protected] |
underlying_ (defined in VanillaOption) | VanillaOption | [protected] |
unfreeze() | LazyObject | |
unregisterWith(const Handle< Observable > &) (defined in Observer) | Observer | |
update() | LazyObject | [virtual] |
VanillaOption(Option::Type type, const RelinkableHandle< MarketElement > &underlying, double strike, const RelinkableHandle< TermStructure > ÷ndTS, const RelinkableHandle< TermStructure > &riskFreeTS, const Exercise &exercise, const RelinkableHandle< BlackVolTermStructure > &volTS, const Handle< PricingEngine > &engine=Handle< PricingEngine >(), const std::string &isinCode="", const std::string &description="") (defined in VanillaOption) | VanillaOption | |
vega() const (defined in VanillaOption) | VanillaOption | |
vega_ (defined in VanillaOption) | VanillaOption | [mutable, protected] |
volTS_ (defined in VanillaOption) | VanillaOption | [protected] |
~Instrument() (defined in Instrument) | Instrument | [virtual] |
~LazyObject() (defined in LazyObject) | LazyObject | [virtual] |
~Observable() (defined in Observable) | Observable | [virtual] |
~Observer() (defined in Observer) | Observer | [virtual] |
~Option() (defined in Option) | Option | [virtual] |