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Searched refs:Gatheral (Results 1 – 7 of 7) sorted by relevance

/dports/finance/quantlib/QuantLib-1.20/ql/termstructures/volatility/equityfx/
H A Dhestonblackvolsurface.hpp38 AnalyticHestonEngine::ComplexLogFormula cpxLogFormula = AnalyticHestonEngine::Gatheral,
/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/vanilla/
H A Danalyticptdhestonengine.hpp57 enum ComplexLogFormula { Gatheral, AndersenPiterbarg }; enumerator
H A Danalyticptdhestonengine.cpp218 cpxLog_(Gatheral), in AnalyticPTDHestonEngine()
231 cpxLog_(Gatheral), in AnalyticPTDHestonEngine()
301 case Gatheral: { in calculate()
H A Danalytichestonengine.hpp95 Gatheral, enumerator
H A Danalytichestonengine.cpp275 if (cpxLog_ == Gatheral) { in operator ()()
535 cpxLog_ (Gatheral), in AnalyticHestonEngine()
548 cpxLog_(Gatheral), in AnalyticHestonEngine()
607 case Gatheral: in doCalculation()
/dports/finance/quantlib/QuantLib-1.20/test-suite/
H A Dhestonmodel.cpp934 model, AnalyticHestonEngine::Gatheral, in testDifferentIntegrals()
1707 AnalyticHestonEngine::Gatheral, in testAllIntegrationMethods()
1726 AnalyticHestonEngine::Gatheral, in testAllIntegrationMethods()
1745 AnalyticHestonEngine::Gatheral, in testAllIntegrationMethods()
1764 AnalyticHestonEngine::Gatheral, in testAllIntegrationMethods()
1785 AnalyticHestonEngine::Gatheral, in testAllIntegrationMethods()
1799 AnalyticHestonEngine::Gatheral, in testAllIntegrationMethods()
1813 AnalyticHestonEngine::Gatheral, in testAllIntegrationMethods()
1827 AnalyticHestonEngine::Gatheral, in testAllIntegrationMethods()
1841 AnalyticHestonEngine::Gatheral, in testAllIntegrationMethods()
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H A Dmarketmodel.cpp4671 AnalyticHestonEngine::Gatheral, in testStochVolForwardsAndOptionlets()