Searched refs:Gatheral (Results 1 – 7 of 7) sorted by relevance
/dports/finance/quantlib/QuantLib-1.20/ql/termstructures/volatility/equityfx/ |
H A D | hestonblackvolsurface.hpp | 38 AnalyticHestonEngine::ComplexLogFormula cpxLogFormula = AnalyticHestonEngine::Gatheral,
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/dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/vanilla/ |
H A D | analyticptdhestonengine.hpp | 57 enum ComplexLogFormula { Gatheral, AndersenPiterbarg }; enumerator
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H A D | analyticptdhestonengine.cpp | 218 cpxLog_(Gatheral), in AnalyticPTDHestonEngine() 231 cpxLog_(Gatheral), in AnalyticPTDHestonEngine() 301 case Gatheral: { in calculate()
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H A D | analytichestonengine.hpp | 95 Gatheral, enumerator
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H A D | analytichestonengine.cpp | 275 if (cpxLog_ == Gatheral) { in operator ()() 535 cpxLog_ (Gatheral), in AnalyticHestonEngine() 548 cpxLog_(Gatheral), in AnalyticHestonEngine() 607 case Gatheral: in doCalculation()
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/dports/finance/quantlib/QuantLib-1.20/test-suite/ |
H A D | hestonmodel.cpp | 934 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() [all …]
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H A D | marketmodel.cpp | 4671 AnalyticHestonEngine::Gatheral, in testStochVolForwardsAndOptionlets()
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