Public Member Functions | |
McCamFxOptionEngine (const Handle< CrossAssetModel > &model, const Currency &domesticCcy, const Currency &foreignCcy, const Currency &npvCcy, const SequenceType calibrationPathGenerator, const SequenceType pricingPathGenerator, const Size calibrationSamples, const Size pricingSamples, const Size calibrationSeed, const Size pricingSeed, const Size polynomOrder, const LsmBasisSystem::PolynomialType polynomType, const SobolBrownianGenerator::Ordering ordering=SobolBrownianGenerator::Steps, const SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7, const std::vector< Handle< YieldTermStructure >> &discountCurves=std::vector< Handle< YieldTermStructure >>(), const std::vector< Date > &simulationDates=std::vector< Date >(), const std::vector< Size > &externalModelIndices=std::vector< Size >(), const bool minimalObsDate=true) | |
void | calculate () const override |
const Handle< CrossAssetModel > & | model () const |
Additional Inherited Members | |
Protected Member Functions inherited from McMultiLegBaseEngine | |
McMultiLegBaseEngine (const Handle< CrossAssetModel > &model, const SequenceType calibrationPathGenerator, const SequenceType pricingPathGenerator, const Size calibrationSamples, const Size pricingSamples, const Size calibrationSeed, const Size pricingSeed, const Size polynomOrder, const LsmBasisSystem::PolynomialType polynomType, const SobolBrownianGenerator::Ordering ordering, const SobolRsg::DirectionIntegers directionIntegers, const std::vector< Handle< YieldTermStructure >> &discountCurves=std::vector< Handle< YieldTermStructure >>(), const std::vector< Date > &simulationDates=std::vector< Date >(), const std::vector< Size > &externalModelIndices=std::vector< Size >(), const bool minimalObsDate=true) | |
void | calculate () const |
boost::shared_ptr< AmcCalculator > | amcCalculator () const |
Protected Attributes inherited from McMultiLegBaseEngine | |
std::vector< Leg > | leg_ |
std::vector< Currency > | currency_ |
std::vector< Real > | payer_ |
boost::shared_ptr< Exercise > | exercise_ |
Settlement::Type | optionSettlement_ = Settlement::Physical |
Handle< CrossAssetModel > | model_ |
SequenceType | calibrationPathGenerator_ |
SequenceType | pricingPathGenerator_ |
Size | calibrationSamples_ |
Size | pricingSamples_ |
Size | calibrationSeed_ |
Size | pricingSeed_ |
Size | polynomOrder_ |
LsmBasisSystem::PolynomialType | polynomType_ |
SobolBrownianGenerator::Ordering | ordering_ |
SobolRsg::DirectionIntegers | directionIntegers_ |
std::vector< Handle< YieldTermStructure > > | discountCurves_ |
std::vector< Date > | simulationDates_ |
std::vector< Size > | externalModelIndices_ |
bool | minimalObsDate_ |
boost::shared_ptr< AmcCalculator > | amcCalculator_ |
Real | resultUnderlyingNpv_ |
Real | resultValue_ |