Reference manual - version ored_version
This is the complete list of members for BlackScholes, including all inherited members.
| additionalResults() const (defined in Model) | Model | |
| additionalResults_ (defined in Model) | Model | mutableprotected |
| barrierProbability(const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const override (defined in ModelImpl) | ModelImpl | virtual |
| baseCcy() const override (defined in ModelImpl) | ModelImpl | virtual |
| basisFns_ (defined in BlackScholesBase) | BlackScholesBase | mutableprotected |
| BlackScholes(const Size paths, const std::vector< std::string > ¤cies, const std::vector< Handle< YieldTermStructure >> &curves, const std::vector< Handle< Quote >> &fxSpots, const std::vector< std::pair< std::string, boost::shared_ptr< InterestRateIndex >>> &irIndices, const std::vector< std::pair< std::string, boost::shared_ptr< ZeroInflationIndex >>> &infIndices, const std::vector< std::string > &indices, const std::vector< std::string > &indexCurrencies, const Handle< BlackScholesModelWrapper > &model, const std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure >> &correlations, const McParams &mcParams, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), const std::string &calibration="ATM", const std::map< std::string, std::vector< Real >> &calibrationStrikes={}) (defined in BlackScholes) | BlackScholes | |
| BlackScholes(const Size paths, const std::string ¤cy, const Handle< YieldTermStructure > &curve, const std::string &index, const std::string &indexCurrency, const Handle< BlackScholesModelWrapper > &model, const McParams &mcParams, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), const std::string &calibration="ATM", const std::vector< Real > &calibrationStrikes={}) (defined in BlackScholes) | BlackScholes | |
| BlackScholesBase(const Size paths, const std::vector< std::string > ¤cies, const std::vector< Handle< YieldTermStructure >> &curves, const std::vector< Handle< Quote >> &fxSpots, const std::vector< std::pair< std::string, boost::shared_ptr< InterestRateIndex >>> &irIndices, const std::vector< std::pair< std::string, boost::shared_ptr< ZeroInflationIndex >>> &infIndices, const std::vector< std::string > &indices, const std::vector< std::string > &indexCurrencies, const Handle< BlackScholesModelWrapper > &model, const std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure >> &correlations, const McParams &mcParams, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig) (defined in BlackScholesBase) | BlackScholesBase | |
| BlackScholesBase(const Size paths, const std::string ¤cy, const Handle< YieldTermStructure > &curve, const std::string &index, const std::string &indexCurrency, const Handle< BlackScholesModelWrapper > &model, const Model::McParams &mcParams, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig) (defined in BlackScholesBase) | BlackScholesBase | |
| correlations_ (defined in BlackScholesBase) | BlackScholesBase | protected |
| currencies_ (defined in ModelImpl) | ModelImpl | protected |
| curves_ (defined in BlackScholesBase) | BlackScholesBase | protected |
| dayCounter_ (defined in ModelImpl) | ModelImpl | protected |
| discount(const Date &obsdate, const Date &paydate, const std::string ¤cy) const override (defined in ModelImpl) | ModelImpl | virtual |
| dt(const Date &d1, const Date &d2) const override (defined in ModelImpl) | ModelImpl | virtual |
| effectiveSimulationDates_ (defined in BlackScholesBase) | BlackScholesBase | mutableprotected |
| eval(const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingMissingAsNull=false, const bool ignoreTodaysFixing=false) const override (defined in ModelImpl) | ModelImpl | virtual |
| extractT0Result(const RandomVariable &value) const override (defined in ModelImpl) | ModelImpl | virtual |
| fwdCompAvg(const bool isAvg, const std::string &index, const Date &obsdate, const Date &start, const Date &end, const Real spread, const Real gearing, const Integer lookback, const Natural rateCutoff, const Natural fixingDays, const bool includeSpread, const Real cap, const Real floor, const bool nakedOption, const bool localCapFloor) const override (defined in BlackScholesBase) | BlackScholesBase | virtual |
| fxSpots_ (defined in BlackScholesBase) | BlackScholesBase | protected |
| fxSpotT0(const std::string &forCcy, const std::string &domCcy) const override (defined in ModelImpl) | ModelImpl | virtual |
| getCorrelation() const (defined in BlackScholesBase) | BlackScholesBase | protected |
| getDiscount(const Size idx, const Date &s, const Date &t) const override (defined in BlackScholesBase) | BlackScholesBase | protectedvirtual |
| getFxSpot(const Size idx) const override (defined in BlackScholesBase) | BlackScholesBase | protectedvirtual |
| getIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in BlackScholesBase) | BlackScholesBase | protectedvirtual |
| getInfIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in BlackScholesBase) | BlackScholesBase | protectedvirtual |
| getIrIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in BlackScholesBase) | BlackScholesBase | protectedvirtual |
| getNumeraire(const Date &s) const override (defined in BlackScholesBase) | BlackScholesBase | protectedvirtual |
| iborFallbackConfig_ (defined in ModelImpl) | ModelImpl | protected |
| indexCurrencies_ (defined in ModelImpl) | ModelImpl | protected |
| indices_ (defined in ModelImpl) | ModelImpl | protected |
| infIndices_ (defined in ModelImpl) | ModelImpl | protected |
| inTrainingPhase_ (defined in BlackScholesBase) | BlackScholesBase | mutableprotected |
| irIndices_ (defined in ModelImpl) | ModelImpl | protected |
| mcParams_ (defined in BlackScholesBase) | BlackScholesBase | protected |
| Model(const Size n) (defined in Model) | Model | explicit |
| model_ (defined in BlackScholesBase) | BlackScholesBase | protected |
| ModelImpl(const DayCounter &dayCounter, const Size size, const std::vector< std::string > ¤cies, const std::vector< std::pair< std::string, boost::shared_ptr< InterestRateIndex >>> &irIndices, const std::vector< std::pair< std::string, boost::shared_ptr< ZeroInflationIndex >>> &infIndices, const std::vector< std::string > &indices, const std::vector< std::string > &indexCurrencies, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig) (defined in ModelImpl) | ModelImpl | |
| npv(const RandomVariable &amount, const Date &obsdate, const Filter &filter, const boost::optional< long > &memSlot, const RandomVariable &addRegressor1, const RandomVariable &addRegressor2) const override (defined in BlackScholesBase) | BlackScholesBase | virtual |
| pay(const RandomVariable &amount, const Date &obsdate, const Date &paydate, const std::string ¤cy) const override (defined in ModelImpl) | ModelImpl | virtual |
| positionInTimeGrid_ (defined in BlackScholesBase) | BlackScholesBase | mutableprotected |
| referenceDate() const override (defined in BlackScholesBase) | BlackScholesBase | virtual |
| referenceDate_ (defined in BlackScholesBase) | BlackScholesBase | mutableprotected |
| releaseMemory() override (defined in BlackScholesBase) | BlackScholesBase | virtual |
| resetNPVMem() override (defined in BlackScholesBase) | BlackScholesBase | virtual |
| simulationDates_ (defined in BlackScholesBase) | BlackScholesBase | protected |
| size() const override (defined in BlackScholesBase) | BlackScholesBase | virtual |
| storedRegressionCoeff_ (defined in BlackScholesBase) | BlackScholesBase | mutableprotected |
| timeGrid_ (defined in BlackScholesBase) | BlackScholesBase | mutableprotected |
| toggleTrainingPaths() const override (defined in BlackScholesBase) | BlackScholesBase | virtual |
| trainingSamples() const override (defined in BlackScholesBase) | BlackScholesBase | virtual |
| type() const override (defined in BlackScholesBase) | BlackScholesBase | virtual |
| Type enum name (defined in Model) | Model | |
| underlyingPaths_ (defined in BlackScholesBase) | BlackScholesBase | mutableprotected |
| underlyingPathsTraining_ (defined in BlackScholesBase) | BlackScholesBase | mutableprotected |
| ~Model() (defined in Model) | Model | virtual |