This is the complete list of members for ScriptedTradeEngineBuilder, including all inherited members.
addAmcGridToContext(boost::shared_ptr< Context > &context) const (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
addDates_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
amcCam_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
amcGrid_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
assetClassReplacement_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
ast_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
astCache_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
baseCcy_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
baseCcyParam_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
bootstrapTolerance_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
buildBlackScholes(const std::string &id, const IborFallbackConfig &iborFallbackConfig) (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
buildFdBlackScholes(const std::string &id, const IborFallbackConfig &iborFallbackConfig) (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
buildGaussianCam(const std::string &id, const IborFallbackConfig &iborFallbackConfig, const std::vector< std::string > &conditionalExpectationModelStates) (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
buildGaussianCamAMC(const std::string &id, const IborFallbackConfig &iborFallbackConfig, const std::vector< std::string > &conditionalExpectationModelStates) (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
buildLocalVol(const std::string &id, const IborFallbackConfig &iborFallbackConfig) (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
calibrate_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
calibration_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
calibrationMoneyness_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
calibrationStrikes_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
clear() (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
commIndices_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
compileModelCcyList() (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
compileModelIndexLists() (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
compileSimulationAndAddDates() (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
configuration(const MarketContext &key) | EngineBuilder | |
configurations_ (defined in EngineBuilder) | EngineBuilder | protected |
continueOnCalibrationError_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
correlationCurve(const std::string &index1, const std::string &index2) (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protectedvirtual |
correlations_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
deriveProductClass(const std::vector< ScriptedTradeValueTypeData > &indices) (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
determineBaseCcy() (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
enforceBaseCcy_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
engine(const std::string &id, const ScriptedTrade &scriptedTrade, const boost::shared_ptr< ore::data::ReferenceDataManager > &referenceData=nullptr, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig()) (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | |
ore::data::EngineBuilder::engine() const | EngineBuilder | |
engine_ (defined in EngineBuilder) | EngineBuilder | protected |
EngineBuilder(const string &model, const string &engine, const set< string > &tradeTypes) | EngineBuilder | |
engineParam_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
engineParameter(const std::string &p, const std::vector< std::string > &qualifiers={}, const bool mandatory=true, const std::string &defaultValue="") const | EngineBuilder | |
engineParameters_ (defined in EngineBuilder) | EngineBuilder | protected |
eqIndices_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
externalComputeDevice_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
extractIndices(const boost::shared_ptr< ore::data::ReferenceDataManager > &referenceData=nullptr) (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
extractPayCcys() (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
fixings() const (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | |
fixings_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
fullDynamicFx_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
fullDynamicIr_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
fxIndices_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
getCommCcy(const IndexInfo &e) (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
getEqCcy(const IndexInfo &e) (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
globalParameters_ (defined in EngineBuilder) | EngineBuilder | protected |
gridCoarsening_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
infIndices_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
infModelType_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
init(const boost::shared_ptr< Market > market, const map< MarketContext, string > &configurations, const map< string, string > &modelParameters, const map< string, string > &engineParameters, const std::map< std::string, std::string > &globalParameters={}) | EngineBuilder | |
interactive_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
irIndices_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
irReversions_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
lastRelevantDate() const (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | |
lastRelevantDate_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
market_ (defined in EngineBuilder) | EngineBuilder | protected |
mcParams_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
mesherConcentration_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
mesherEpsilon_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
mesherIsStatic_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
mesherMaxConcentratingPoints_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
mesherScaling_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
model() const | EngineBuilder | |
model_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
modelBuilders() const | EngineBuilder | |
modelBuilders_ (defined in EngineBuilder) | EngineBuilder | protected |
modelCcys_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
modelCG_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
modelCurves_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
modelFxSpots_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
modelIndices_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
modelIndicesCurrencies_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
modelInfIndices_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
modelIrIndices_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
modelParam_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
modelParameter(const std::string &p, const std::vector< std::string > &qualifiers={}, const bool mandatory=true, const std::string &defaultValue="") const | EngineBuilder | |
modelParameters_ (defined in EngineBuilder) | EngineBuilder | protected |
modelSize_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
npvCurrency() const (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | |
npvCurrency_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
payCcys_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
populateFixingsMap(const IborFallbackConfig &iborFallbackConfig) (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
populateModelParameters() (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
processes_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
referenceCalibrationGrid_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
reset() | EngineBuilder | virtual |
resolvedProductTag_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
scheduleProductClass() const (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | |
scheduleProductClass_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
ScriptedTradeEngineBuilder() | ScriptedTradeEngineBuilder | |
ScriptedTradeEngineBuilder(const boost::shared_ptr< QuantExt::CrossAssetModel > &amcCam, const std::vector< Date > &amcGrid) | ScriptedTradeEngineBuilder | |
setLastRelevantDate() (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
setupBlackScholesProcesses() (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protectedvirtual |
setupCalibrationStrikes(const ScriptedTradeScriptData &script, const boost::shared_ptr< Context > &context) (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
setupCorrelations() (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
setupIrReversions() (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
simmProductClass() const (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | |
simmProductClass_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
simulationDates_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
staticAnalyser_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
timeStepsPerYear_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
tradeTypes() const | EngineBuilder | |
tradeTypes_ (defined in EngineBuilder) | EngineBuilder | protected |
useAd_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
useCg_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
useExternalComputeDevice_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
zeroVolatility_ (defined in ScriptedTradeEngineBuilder) | ScriptedTradeEngineBuilder | protected |
~EngineBuilder() | EngineBuilder | virtual |