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| BlackScholesCG (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 std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), const std::string &calibration="ATM", const std::map< std::string, std::vector< Real >> &calibrationStrikes={}) |
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| BlackScholesCG (const Size paths, const std::string ¤cy, const Handle< YieldTermStructure > &curve, const std::string &index, const std::string &indexCurrency, const Handle< BlackScholesModelWrapper > &model, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), const std::string &calibration="ATM", const std::vector< Real > &calibrationStrikes={}) |
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| BlackScholesCGBase (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 std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig) |
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| BlackScholesCGBase (const Size paths, const std::string ¤cy, const Handle< YieldTermStructure > &curve, const std::string &index, const std::string &indexCurrency, const Handle< BlackScholesModelWrapper > &model, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig) |
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Type | type () const override |
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const Date & | referenceDate () const override |
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std::size_t | npv (const std::size_t amount, const Date &obsdate, const std::size_t filter, const boost::optional< long > &memSlot, const std::size_t addRegressor1, const std::size_t addRegressor2) const override |
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std::size_t | fwdCompAvg (const bool isAvg, const std::string &indexInput, 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 |
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Real | getDirectFxSpotT0 (const std::string &forCcy, const std::string &domCcy) const override |
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Real | getDirectDiscountT0 (const Date &paydate, const std::string ¤cy) const override |
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| ModelCGImpl (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) |
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const std::string & | baseCcy () const override |
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std::size_t | dt (const Date &d1, const Date &d2) const override |
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std::size_t | pay (const std::size_t amount, const Date &obsdate, const Date &paydate, const std::string ¤cy) const override |
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std::size_t | discount (const Date &obsdate, const Date &paydate, const std::string ¤cy) const override |
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std::size_t | eval (const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingMissingAsNull=false, const bool ignoreTodaysFixing=false) const override |
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std::size_t | fxSpotT0 (const std::string &forCcy, const std::string &domCcy) const override |
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std::size_t | barrierProbability (const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const override |
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Real | extractT0Result (const RandomVariable &value) const override |
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std::size_t | cgVersion () const override |
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const std::vector< std::vector< std::size_t > > & | randomVariates () const override |
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std::vector< std::pair< std::size_t, double > > | modelParameters () const override |
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| ModelCG (const QuantLib::Size n) |
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boost::shared_ptr< QuantExt::ComputationGraph > | computationGraph () |
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virtual QuantLib::Size | size () const |
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virtual Size | trainingPaths () const |
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virtual void | enableTrainingPaths (const bool enable) const |
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virtual void | resetNPVMem () |
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const std::map< std::string, boost::any > & | additionalResults () const |
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enum class | Type { MC
, FD
} |
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void | performCalculations () const override |
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std::size_t | getIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override |
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std::size_t | getIrIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override |
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std::size_t | getInfIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override |
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std::size_t | getDiscount (const Size idx, const Date &s, const Date &t) const override |
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std::size_t | getNumeraire (const Date &s) const override |
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std::size_t | getFxSpot (const Size idx) const override |
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void | addModelParameter (const std::string &id, std::function< double(void)> f) const |
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void | performCalculations () const override |
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const std::vector< Handle< YieldTermStructure > > | curves_ |
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const std::vector< Handle< Quote > > | fxSpots_ |
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const Handle< BlackScholesModelWrapper > | model_ |
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const std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure > > | correlations_ |
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const std::vector< Date > | simulationDates_ |
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Date | referenceDate_ |
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std::set< Date > | effectiveSimulationDates_ |
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TimeGrid | timeGrid_ |
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std::vector< Size > | positionInTimeGrid_ |
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std::map< Date, std::vector< std::size_t > > | underlyingPaths_ |
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std::size_t | underlyingPathsCgVersion_ = 0 |
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const DayCounter | dayCounter_ |
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const std::vector< std::string > | currencies_ |
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const std::vector< std::string > | indexCurrencies_ |
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const std::set< Date > | simulationDates_ |
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const IborFallbackConfig | iborFallbackConfig_ |
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std::vector< std::pair< IndexInfo, boost::shared_ptr< InterestRateIndex > > > | irIndices_ |
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std::vector< std::pair< IndexInfo, boost::shared_ptr< ZeroInflationIndex > > > | infIndices_ |
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std::vector< IndexInfo > | indices_ |
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std::vector< std::vector< size_t > > | randomVariates_ |
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std::vector< std::pair< std::size_t, std::function< double(void)> > > | modelParameters_ |
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std::map< std::string, boost::any > | additionalResults_ |
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boost::shared_ptr< QuantExt::ComputationGraph > | g_ |
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