QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
ExtendedBlackScholesMertonProcess Member List

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

apply(Real x0, Real dx) const GeneralizedBlackScholesProcessvirtual
blackVolatility() const (defined in GeneralizedBlackScholesProcess)GeneralizedBlackScholesProcess
diffusion(Time t, Real x) const ExtendedBlackScholesMertonProcessvirtual
Discretization enum name (defined in ExtendedBlackScholesMertonProcess)ExtendedBlackScholesMertonProcess
dividendYield() const (defined in GeneralizedBlackScholesProcess)GeneralizedBlackScholesProcess
drift(Time t, Real x) const ExtendedBlackScholesMertonProcessvirtual
Euler enum value (defined in ExtendedBlackScholesMertonProcess)ExtendedBlackScholesMertonProcess
evolve(Time t0, Real x0, Time dt, Real dw) const ExtendedBlackScholesMertonProcessvirtual
expectation(Time t0, Real x0, Time dt) const GeneralizedBlackScholesProcessvirtual
ExtendedBlackScholesMertonProcess(const Handle< Quote > &x0, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization), Discretization evolDisc=Milstein) (defined in ExtendedBlackScholesMertonProcess)ExtendedBlackScholesMertonProcess
factors() const StochasticProcessvirtual
GeneralizedBlackScholesProcess(const Handle< Quote > &x0, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) (defined in GeneralizedBlackScholesProcess)GeneralizedBlackScholesProcess
localVolatility() const (defined in GeneralizedBlackScholesProcess)GeneralizedBlackScholesProcess
Milstein enum value (defined in ExtendedBlackScholesMertonProcess)ExtendedBlackScholesMertonProcess
notifyObservers()Observable
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
Observer() (defined in Observer)Observer
Observer(const Observer &) (defined in Observer)Observer
operator=(const Observer &) (defined in Observer)Observer
QuantLib::Observable::operator=(const Observable &)Observable
PredictorCorrector enum value (defined in ExtendedBlackScholesMertonProcess)ExtendedBlackScholesMertonProcess
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const boost::shared_ptr< Observer > &)Observer
riskFreeRate() const (defined in GeneralizedBlackScholesProcess)GeneralizedBlackScholesProcess
stateVariable() const (defined in GeneralizedBlackScholesProcess)GeneralizedBlackScholesProcess
stdDeviation(Time t0, Real x0, Time dt) const StochasticProcess1Dvirtual
StochasticProcess() (defined in StochasticProcess)StochasticProcessprotected
StochasticProcess(const boost::shared_ptr< discretization > &) (defined in StochasticProcess)StochasticProcessprotected
StochasticProcess1D() (defined in StochasticProcess1D)StochasticProcess1Dprotected
StochasticProcess1D(const boost::shared_ptr< discretization > &) (defined in StochasticProcess1D)StochasticProcess1Dprotected
time(const Date &) const GeneralizedBlackScholesProcessvirtual
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()GeneralizedBlackScholesProcessvirtual
variance(Time t0, Real x0, Time dt) const StochasticProcess1Dvirtual
x0() const GeneralizedBlackScholesProcessvirtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~StochasticProcess() (defined in StochasticProcess)StochasticProcessvirtual