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

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

apply(const Array &x0, const Array &dx) const HestonProcessvirtual
BatesProcess(const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, const Handle< Quote > &s0, Real v0, Real kappa, Real theta, Real sigma, Real rho, Real lambda, Real nu, Real delta, HestonProcess::Discretization d=HestonProcess::FullTruncation) (defined in BatesProcess)BatesProcess
BroadieKayaExactSchemeLaguerre enum value (defined in HestonProcess)HestonProcess
BroadieKayaExactSchemeLobatto enum value (defined in HestonProcess)HestonProcess
BroadieKayaExactSchemeTrapezoidal enum value (defined in HestonProcess)HestonProcess
covariance(Time t0, const Array &x0, Time dt) const StochasticProcessvirtual
delta() const (defined in BatesProcess)BatesProcess
diffusion(Time t, const Array &x) const HestonProcessvirtual
Discretization enum name (defined in HestonProcess)HestonProcess
dividendYield() const (defined in HestonProcess)HestonProcess
drift(Time t, const Array &x) const BatesProcessvirtual
evolve(Time t0, const Array &x0, Time dt, const Array &dw) const BatesProcessvirtual
expectation(Time t0, const Array &x0, Time dt) const StochasticProcessvirtual
factors() const BatesProcessvirtual
FullTruncation enum value (defined in HestonProcess)HestonProcess
HestonProcess(const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, const Handle< Quote > &s0, Real v0, Real kappa, Real theta, Real sigma, Real rho, Discretization d=QuadraticExponentialMartingale) (defined in HestonProcess)HestonProcess
initialValues() const HestonProcessvirtual
kappa() const (defined in HestonProcess)HestonProcess
lambda() const (defined in BatesProcess)BatesProcess
NonCentralChiSquareVariance enum value (defined in HestonProcess)HestonProcess
notifyObservers()Observable
nu() const (defined in BatesProcess)BatesProcess
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
PartialTruncation enum value (defined in HestonProcess)HestonProcess
QuadraticExponential enum value (defined in HestonProcess)HestonProcess
QuadraticExponentialMartingale enum value (defined in HestonProcess)HestonProcess
Reflection enum value (defined in HestonProcess)HestonProcess
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const boost::shared_ptr< Observer > &)Observer
rho() const (defined in HestonProcess)HestonProcess
riskFreeRate() const (defined in HestonProcess)HestonProcess
s0() const (defined in HestonProcess)HestonProcess
sigma() const (defined in HestonProcess)HestonProcess
size() const HestonProcessvirtual
stdDeviation(Time t0, const Array &x0, Time dt) const StochasticProcessvirtual
StochasticProcess() (defined in StochasticProcess)StochasticProcessprotected
StochasticProcess(const boost::shared_ptr< discretization > &) (defined in StochasticProcess)StochasticProcessprotected
theta() const (defined in HestonProcess)HestonProcess
time(const Date &) const HestonProcessvirtual
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()StochasticProcessvirtual
v0() const (defined in HestonProcess)HestonProcess
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~StochasticProcess() (defined in StochasticProcess)StochasticProcessvirtual