Reference manual - version ored_version
This is the complete list of members for BlackScholesCGBase, including all inherited members.
| additionalResults() const (defined in ModelCG) | ModelCG | |
| additionalResults_ (defined in ModelCG) | ModelCG | mutableprotected |
| addModelParameter(const std::string &id, std::function< double(void)> f) const (defined in ModelCGImpl) | ModelCGImpl | protected |
| barrierProbability(const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| baseCcy() const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| 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) (defined in BlackScholesCGBase) | BlackScholesCGBase | |
| 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) (defined in BlackScholesCGBase) | BlackScholesCGBase | |
| cgVersion() const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| computationGraph() (defined in ModelCG) | ModelCG | |
| correlations_ (defined in BlackScholesCGBase) | BlackScholesCGBase | protected |
| currencies_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| curves_ (defined in BlackScholesCGBase) | BlackScholesCGBase | protected |
| dayCounter_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| discount(const Date &obsdate, const Date &paydate, const std::string ¤cy) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| dt(const Date &d1, const Date &d2) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| effectiveSimulationDates_ (defined in BlackScholesCGBase) | BlackScholesCGBase | mutableprotected |
| enableTrainingPaths(const bool enable) const (defined in ModelCG) | ModelCG | virtual |
| eval(const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingMissingAsNull=false, const bool ignoreTodaysFixing=false) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| extractT0Result(const RandomVariable &value) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| 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 (defined in BlackScholesCGBase) | BlackScholesCGBase | virtual |
| fxSpots_ (defined in BlackScholesCGBase) | BlackScholesCGBase | protected |
| fxSpotT0(const std::string &forCcy, const std::string &domCcy) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| g_ (defined in ModelCG) | ModelCG | protected |
| getDirectDiscountT0(const Date &paydate, const std::string ¤cy) const override (defined in BlackScholesCGBase) | BlackScholesCGBase | virtual |
| getDirectFxSpotT0(const std::string &forCcy, const std::string &domCcy) const override (defined in BlackScholesCGBase) | BlackScholesCGBase | virtual |
| getDiscount(const Size idx, const Date &s, const Date &t) const override (defined in BlackScholesCGBase) | BlackScholesCGBase | protectedvirtual |
| getFutureBarrierProb(const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const =0 (defined in ModelCGImpl) | ModelCGImpl | protectedpure virtual |
| getFxSpot(const Size idx) const override (defined in BlackScholesCGBase) | BlackScholesCGBase | protectedvirtual |
| getIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in BlackScholesCGBase) | BlackScholesCGBase | protectedvirtual |
| getInfIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in BlackScholesCGBase) | BlackScholesCGBase | protectedvirtual |
| getIrIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in BlackScholesCGBase) | BlackScholesCGBase | protectedvirtual |
| getNumeraire(const Date &s) const override (defined in BlackScholesCGBase) | BlackScholesCGBase | protectedvirtual |
| iborFallbackConfig_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| indexCurrencies_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| indices_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| infIndices_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| irIndices_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| model_ (defined in BlackScholesCGBase) | BlackScholesCGBase | protected |
| ModelCG(const QuantLib::Size n) (defined in ModelCG) | ModelCG | explicit |
| 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) (defined in ModelCGImpl) | ModelCGImpl | |
| modelParameters() const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| modelParameters_ (defined in ModelCGImpl) | ModelCGImpl | mutableprotected |
| 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 (defined in BlackScholesCGBase) | BlackScholesCGBase | virtual |
| pay(const std::size_t amount, const Date &obsdate, const Date &paydate, const std::string ¤cy) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| performCalculations() const override (defined in BlackScholesCGBase) | BlackScholesCGBase | protected |
| positionInTimeGrid_ (defined in BlackScholesCGBase) | BlackScholesCGBase | mutableprotected |
| randomVariates() const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| randomVariates_ (defined in ModelCGImpl) | ModelCGImpl | mutableprotected |
| referenceDate() const override (defined in BlackScholesCGBase) | BlackScholesCGBase | virtual |
| referenceDate_ (defined in BlackScholesCGBase) | BlackScholesCGBase | mutableprotected |
| resetNPVMem() (defined in ModelCG) | ModelCG | virtual |
| simulationDates_ (defined in BlackScholesCGBase) | BlackScholesCGBase | protected |
| size() const (defined in ModelCG) | ModelCG | virtual |
| timeGrid_ (defined in BlackScholesCGBase) | BlackScholesCGBase | mutableprotected |
| trainingPaths() const (defined in ModelCG) | ModelCG | virtual |
| Type enum name (defined in ModelCG) | ModelCG | |
| type() const override (defined in BlackScholesCGBase) | BlackScholesCGBase | virtual |
| underlyingPaths_ (defined in BlackScholesCGBase) | BlackScholesCGBase | mutableprotected |
| underlyingPathsCgVersion_ (defined in BlackScholesCGBase) | BlackScholesCGBase | mutableprotected |
| ~ModelCG() (defined in ModelCG) | ModelCG | virtual |