| _CorrelationMatrix | RainbowOption | [private] |
| _DFTomaturity | RainbowOption | [private] |
| _Drifts | RainbowOption | [private] |
| _expiryInYears | RainbowOption | [private] |
| _gaussianSample | RainbowOption | [private] |
| _MCEngine | RainbowOption | [private] |
| _Multiplier | RainbowOption | [private] |
| _NumberOfAssets | RainbowOption | [private] |
| _outputMsgs | RainbowOption | [private] |
| _pHazardRateProcesses | RainbowOption | [private] |
| _pRandom | RainbowOption | [private] |
| _seed | RainbowOption | [private] |
| _spots | RainbowOption | [private] |
| _startDate | RainbowOption | [private] |
| _Strike | RainbowOption | [private] |
| _TerminalPoints | RainbowOption | [private] |
| _thePayOff | RainbowOption | [private] |
| _type | RainbowOption | [private] |
| _volatilities | RainbowOption | [private] |
| _volatilitiesSurfaces | RainbowOption | [private] |
| _weights | RainbowOption | [private] |
| _yc | RainbowOption | [private] |
| A | RainbowOption | [private] |
| B | RainbowOption | [private] |
| C | RainbowOption | [private] |
| compute_A() | RainbowOption | [private] |
| compute_B() | RainbowOption | [private] |
| compute_C() | RainbowOption | [private] |
| compute_ClosedFormsParameters() | RainbowOption | [private] |
| compute_d1() | RainbowOption | [private] |
| compute_d2() | RainbowOption | [private] |
| compute_d3() | RainbowOption | [private] |
| compute_d4() | RainbowOption | [private] |
| compute_rho1() | RainbowOption | [private] |
| compute_rho2() | RainbowOption | [private] |
| compute_sigmaA() | RainbowOption | [private] |
| d1 | RainbowOption | [private] |
| d2 | RainbowOption | [private] |
| d3 | RainbowOption | [private] |
| d4 | RainbowOption | [private] |
| getCorrelRisk(priceType priceMethod=ClosedForm) | RainbowOption | |
| getDelta(priceType priceMethod=ClosedForm) | RainbowOption | |
| getGamma(priceType priceMethod=ClosedForm) | RainbowOption | |
| getPartialDelta(Natural security, priceType priceMethod=ClosedForm) | RainbowOption | |
| getPartialGamma(Natural security, priceType priceMethod=ClosedForm) | RainbowOption | |
| getPartialVega(Natural security, priceType priceMethod=ClosedForm) | RainbowOption | |
| getPrice(priceType priceMethod=ClosedForm, LongNatural nPaths=RO_NPATHS) | RainbowOption | |
| getRainbowType() | RainbowOption | [inline] |
| getRho(priceType priceMethod=ClosedForm) | RainbowOption | |
| getTheta(priceType priceMethod=ClosedForm) | RainbowOption | |
| getVega(priceType priceMethod=ClosedForm) | RainbowOption | |
| haveClosedFormVariablesBeenComputed | RainbowOption | [private] |
| instanciateMCVariables() | RainbowOption | [private] |
| PriceByClosedForm_BestOf2_plusCash() | RainbowOption | [private] |
| PriceByClosedForm_BetterOf2() | RainbowOption | [private] |
| PriceByClosedForm_MaxOf2_call() | RainbowOption | [private] |
| PriceByClosedForm_MaxOf2_put() | RainbowOption | [private] |
| PriceByClosedForm_MinOf2_call() | RainbowOption | [private] |
| PriceByClosedForm_MinOf2_put() | RainbowOption | [private] |
| PriceByClosedForm_WorseOf2() | RainbowOption | [private] |
| PriceByMc_2AssetsBasketMax(LongNatural nPaths=RO_NPATHS) | RainbowOption | [private] |
| PriceByMc_2SpreadOptionMax(LongNatural nPaths=RO_NPATHS) | RainbowOption | [private] |
| PriceByMc_BestOf2AssetsCash(LongNatural nPaths=RO_NPATHS) | RainbowOption | [private] |
| PriceByMc_BetterOf2Assets(LongNatural nPaths=RO_NPATHS) | RainbowOption | [private] |
| PriceByMc_Max2AssetsCall(LongNatural nPaths=RO_NPATHS) | RainbowOption | [private] |
| PriceByMc_Max2AssetsPut(LongNatural nPaths=RO_NPATHS) | RainbowOption | [private] |
| PriceByMc_Min2AssetsCall(LongNatural nPaths=RO_NPATHS) | RainbowOption | [private] |
| PriceByMc_Min2AssetsPut(LongNatural nPaths=RO_NPATHS) | RainbowOption | [private] |
| PriceByMc_WorseOf2Assets(LongNatural nPaths=RO_NPATHS) | RainbowOption | [private] |
| PriceByMc_WorstOf2AssetsCash(LongNatural nPaths=RO_NPATHS) | RainbowOption | [private] |
| RainbowOption(void) | RainbowOption | |
| RainbowOption(rainbowType type, Date startDate, Real expiry, Real Strike, yieldCurve yc, valarray< volsurface > vols, valarray< Real > spots=valarray< Real >(RO_DEFAULT_STRIKE, RO_DEFAULT_NB_ASSETS), Real Multiplier=RO_DEFAULT_MULTIPLIER, Matrix Correl=IdentityMatrix(RO_DEFAULT_NB_ASSETS), valarray< Real > weights=valarray< Real >(1/(Real) RO_DEFAULT_NB_ASSETS, RO_DEFAULT_NB_ASSETS), bool outputMsgs=false) | RainbowOption | |
| RainbowOption(rainbowType type, Date start, Real exp, Real Strike, yieldCurve yc, valarray< volsurface > vols, Real Spot1, Real Spot2, Real Mult=RO_DEFAULT_MULTIPLIER, Real Correl12=0, Real weight1=0.5, Real weight2=0.5, bool outputMsgs=false) | RainbowOption | |
| reassignVolsAtThemoney() | RainbowOption | [private] |
| reassignVolsAtThestrike() | RainbowOption | [private] |
| rho1 | RainbowOption | [private] |
| rho2 | RainbowOption | [private] |
| setRainbowType(rainbowType newType) | RainbowOption | [inline] |
| sigmaA | RainbowOption | [private] |
| ~RainbowOption(void) | RainbowOption | |
