| /dports/finance/quantlib/QuantLib-1.20/ql/processes/ |
| H A D | blackscholesprocess.cpp | 34 GeneralizedBlackScholesProcess::GeneralizedBlackScholesProcess( in GeneralizedBlackScholesProcess() function in QuantLib::GeneralizedBlackScholesProcess
53 GeneralizedBlackScholesProcess::GeneralizedBlackScholesProcess( in GeneralizedBlackScholesProcess() function in QuantLib::GeneralizedBlackScholesProcess
71 Real GeneralizedBlackScholesProcess::x0() const { in x0()
93 Real GeneralizedBlackScholesProcess::expectation(Time t0, in expectation()
155 void GeneralizedBlackScholesProcess::update() { in update()
161 GeneralizedBlackScholesProcess::stateVariable() const { in stateVariable()
166 GeneralizedBlackScholesProcess::dividendYield() const { in dividendYield()
171 GeneralizedBlackScholesProcess::riskFreeRate() const { in riskFreeRate()
176 GeneralizedBlackScholesProcess::blackVolatility() const { in blackVolatility()
181 GeneralizedBlackScholesProcess::localVolatility() const { in localVolatility()
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| H A D | blackscholesprocess.hpp | 54 class GeneralizedBlackScholesProcess : public StochasticProcess1D { class
56 GeneralizedBlackScholesProcess(
65 GeneralizedBlackScholesProcess(
125 class BlackScholesProcess : public GeneralizedBlackScholesProcess {
146 class BlackScholesMertonProcess : public GeneralizedBlackScholesProcess {
170 class BlackProcess : public GeneralizedBlackScholesProcess {
194 class GarmanKohlagenProcess : public GeneralizedBlackScholesProcess {
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| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/variancegamma/ |
| H A D | fftvanillaengine.cpp | 29 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process, Real logStrikeSpacing) in FFTVanillaEngine()
36 ext::shared_ptr<GeneralizedBlackScholesProcess> process = in clone()
37 ext::dynamic_pointer_cast<GeneralizedBlackScholesProcess>(process_); in clone()
44 ext::shared_ptr<GeneralizedBlackScholesProcess> process = in precalculateExpiry()
45 ext::dynamic_pointer_cast<GeneralizedBlackScholesProcess>(process_); in precalculateExpiry()
76 ext::shared_ptr<GeneralizedBlackScholesProcess> process = in discountFactor()
77 ext::dynamic_pointer_cast<GeneralizedBlackScholesProcess>(process_); in discountFactor()
83 ext::shared_ptr<GeneralizedBlackScholesProcess> process = in dividendYield()
84 ext::dynamic_pointer_cast<GeneralizedBlackScholesProcess>(process_); in dividendYield()
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| /dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/vanilla/ |
| H A D | fdblackscholesvanillaengine.hpp | 44 class GeneralizedBlackScholesProcess;
52 const ext::shared_ptr<GeneralizedBlackScholesProcess>&,
60 const ext::shared_ptr<GeneralizedBlackScholesProcess>&,
71 const ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
84 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process);
106 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
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| H A D | mcamericanengine.hpp | 54 MCAmericanEngine(const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
110 const ext::shared_ptr<GeneralizedBlackScholesProcess>&);
129 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
143 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process, in MCAmericanEngine()
188 ext::shared_ptr<GeneralizedBlackScholesProcess> process = in lsmPathPricer()
189 ext::dynamic_pointer_cast<GeneralizedBlackScholesProcess>( in lsmPathPricer()
219 ext::shared_ptr<GeneralizedBlackScholesProcess> process = in controlPathPricer()
220 ext::dynamic_pointer_cast<GeneralizedBlackScholesProcess>( in controlPathPricer()
235 ext::shared_ptr<GeneralizedBlackScholesProcess> process = in controlPricingEngine()
236 ext::dynamic_pointer_cast<GeneralizedBlackScholesProcess>( in controlPricingEngine()
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| H A D | analyticeuropeanengine.hpp | 68 const ext::shared_ptr<GeneralizedBlackScholesProcess>&);
76 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
80 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
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| H A D | analyticdigitalamericanengine.hpp | 58 const ext::shared_ptr<GeneralizedBlackScholesProcess>&);
64 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
93 const ext::shared_ptr<GeneralizedBlackScholesProcess> in AnalyticDigitalAmericanKOEngine()
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| H A D | fdcirvanillaengine.hpp | 49 const ext::shared_ptr<GeneralizedBlackScholesProcess>& bsProcess,
66 ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess_;
76 const ext::shared_ptr<GeneralizedBlackScholesProcess>& bsProcess,
95 ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess_;
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| H A D | fdsimplebsswingengine.hpp | 35 class GeneralizedBlackScholesProcess;
42 const ext::shared_ptr<GeneralizedBlackScholesProcess>& p,
49 const ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
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| H A D | mcdigitalengine.hpp | 72 const ext::shared_ptr<GeneralizedBlackScholesProcess>&,
91 const ext::shared_ptr<GeneralizedBlackScholesProcess>&);
104 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
135 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process, in MCDigitalEngine()
170 ext::shared_ptr<GeneralizedBlackScholesProcess> process = in pathPricer()
171 ext::dynamic_pointer_cast<GeneralizedBlackScholesProcess>( in pathPricer()
191 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process) in MakeMCDigitalEngine()
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| H A D | mceuropeanengine.hpp | 55 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
73 const ext::shared_ptr<GeneralizedBlackScholesProcess>&);
86 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
111 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process, in MCEuropeanEngine()
142 ext::shared_ptr<GeneralizedBlackScholesProcess> process = in pathPricer()
143 ext::dynamic_pointer_cast<GeneralizedBlackScholesProcess>( in pathPricer()
158 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process) in MakeMCEuropeanEngine()
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| /dports/finance/quantlib/QuantLib-1.20/ql/methods/finitedifferences/solvers/ |
| H A D | fdm2dblackscholessolver.hpp | 34 class GeneralizedBlackScholesProcess;
38 Fdm2dBlackScholesSolver(const Handle<GeneralizedBlackScholesProcess>& p1,
39 const Handle<GeneralizedBlackScholesProcess>& p2,
59 const Handle<GeneralizedBlackScholesProcess> p1_;
60 const Handle<GeneralizedBlackScholesProcess> p2_;
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| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/exoticoptions/ |
| H A D | analyticamericanmargrabeengine.hpp | 44 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process1,
45 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process2,
49 ext::shared_ptr<GeneralizedBlackScholesProcess> process1_;
50 ext::shared_ptr<GeneralizedBlackScholesProcess> process2_;
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| H A D | analyticeuropeanmargrabeengine.hpp | 44 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process1,
45 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process2,
49 ext::shared_ptr<GeneralizedBlackScholesProcess> process1_;
50 ext::shared_ptr<GeneralizedBlackScholesProcess> process2_;
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| H A D | analytictwoassetcorrelationengine.hpp | 37 const ext::shared_ptr<GeneralizedBlackScholesProcess>& p1,
38 const ext::shared_ptr<GeneralizedBlackScholesProcess>& p2,
42 ext::shared_ptr<GeneralizedBlackScholesProcess> p1_;
43 ext::shared_ptr<GeneralizedBlackScholesProcess> p2_;
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| H A D | analytictwoassetbarrierengine.hpp | 45 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process1,
46 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process2,
50 ext::shared_ptr<GeneralizedBlackScholesProcess> process1_;
51 ext::shared_ptr<GeneralizedBlackScholesProcess> process2_;
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| /dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/basket/ |
| H A D | stulzengine.hpp | 47 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process1,
48 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process2,
52 ext::shared_ptr<GeneralizedBlackScholesProcess> process1_;
53 ext::shared_ptr<GeneralizedBlackScholesProcess> process2_;
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| H A D | fd2dblackscholesvanillaengine.hpp | 45 const ext::shared_ptr<GeneralizedBlackScholesProcess>& p1,
46 const ext::shared_ptr<GeneralizedBlackScholesProcess>& p2,
57 const ext::shared_ptr<GeneralizedBlackScholesProcess> p1_;
58 const ext::shared_ptr<GeneralizedBlackScholesProcess> p2_;
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| /dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/lookback/ |
| H A D | mclookbackengine.hpp | 45 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
78 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
93 const ext::shared_ptr<GeneralizedBlackScholesProcess>&);
106 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
118 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process, in MCLookbackEngine()
171 const GeneralizedBlackScholesProcess& process,
177 const GeneralizedBlackScholesProcess& process,
183 const GeneralizedBlackScholesProcess& process,
189 const GeneralizedBlackScholesProcess& process,
209 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process) in MakeMCLookbackEngine()
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| /dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/forward/ |
| H A D | mcvarianceswapengine.hpp | 60 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
119 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
133 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process);
146 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
157 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process) in VariancePathPricer()
161 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
169 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process, in MCVarianceSwapEngine()
229 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process) in MakeMCVarianceSwapEngine()
322 const ext::shared_ptr<GeneralizedBlackScholesProcess>& in Integrand()
332 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
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| H A D | forwardengine.hpp | 53 const ext::shared_ptr<GeneralizedBlackScholesProcess>&);
58 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
69 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process) in ForwardVanillaEngine()
111 ext::shared_ptr<GeneralizedBlackScholesProcess> fwdProcess( in setup()
112 new GeneralizedBlackScholesProcess(spot, dividendYield, in setup()
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| /dports/finance/quantlib/QuantLib-1.20/ql/methods/finitedifferences/operators/ |
| H A D | fdm2dblackscholesop.hpp | 34 class GeneralizedBlackScholesProcess;
40 const ext::shared_ptr<GeneralizedBlackScholesProcess>& p1,
41 const ext::shared_ptr<GeneralizedBlackScholesProcess>& p2,
63 const ext::shared_ptr<GeneralizedBlackScholesProcess> p1_, p2_;
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| /dports/finance/quantlib/QuantLib-1.20/ql/methods/finitedifferences/utilities/ |
| H A D | gbsmrndcalculator.hpp | 32 class GeneralizedBlackScholesProcess;
37 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process);
44 const ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
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| H A D | bsmrndcalculator.hpp | 33 class GeneralizedBlackScholesProcess;
38 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process);
48 const ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
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| /dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/asian/ |
| H A D | fdblackscholesasianengine.hpp | 38 class GeneralizedBlackScholesProcess;
46 const ext::shared_ptr<GeneralizedBlackScholesProcess>&,
53 const ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
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