Inheritance diagram for BlackScholesCGBase:

Public Member Functions
	BlackScholesCGBase (const Size paths, const std::vector< std::string > &currencies, 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)

	BlackScholesCGBase (const Size paths, const std::string &currency, const Handle< YieldTermStructure > &curve, const std::string &index, const std::string &indexCurrency, const Handle< BlackScholesModelWrapper > &model, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig)

Type	type () const override

const Date &	referenceDate () const override

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

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

Real	getDirectFxSpotT0 (const std::string &forCcy, const std::string &domCcy) const override

Real	getDirectDiscountT0 (const Date &paydate, const std::string &currency) const override

Public Member Functions inherited from ModelCGImpl
	ModelCGImpl (const DayCounter &dayCounter, const Size size, const std::vector< std::string > &currencies, 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)

const std::string &	baseCcy () const override

std::size_t	dt (const Date &d1, const Date &d2) const override

std::size_t	pay (const std::size_t amount, const Date &obsdate, const Date &paydate, const std::string &currency) const override

std::size_t	discount (const Date &obsdate, const Date &paydate, const std::string &currency) const override

std::size_t	eval (const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingMissingAsNull=false, const bool ignoreTodaysFixing=false) const override

std::size_t	fxSpotT0 (const std::string &forCcy, const std::string &domCcy) const override

std::size_t	barrierProbability (const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const override

Real	extractT0Result (const RandomVariable &value) const override

std::size_t	cgVersion () const override

const std::vector< std::vector< std::size_t > > &	randomVariates () const override

std::vector< std::pair< std::size_t, double > >	modelParameters () const override

Public Member Functions inherited from ModelCG
	ModelCG (const QuantLib::Size n)

boost::shared_ptr< QuantExt::ComputationGraph >	computationGraph ()

virtual QuantLib::Size	size () const

virtual Size	trainingPaths () const

virtual void	enableTrainingPaths (const bool enable) const

virtual void	resetNPVMem ()

const std::map< std::string, boost::any > &	additionalResults () const

Protected Member Functions
void	performCalculations () const override

std::size_t	getIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override

std::size_t	getIrIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override

std::size_t	getInfIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override

std::size_t	getDiscount (const Size idx, const Date &s, const Date &t) const override

std::size_t	getNumeraire (const Date &s) const override

std::size_t	getFxSpot (const Size idx) const override

Protected Member Functions inherited from ModelCGImpl
virtual std::size_t	getFutureBarrierProb (const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const =0

void	addModelParameter (const std::string &id, std::function< double(void)> f) const

void	performCalculations () const override

Protected Attributes
const std::vector< Handle< YieldTermStructure > >	curves_

const std::vector< Handle< Quote > >	fxSpots_

const Handle< BlackScholesModelWrapper >	model_

const std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure > >	correlations_

const std::vector< Date >	simulationDates_

Date	referenceDate_

std::set< Date >	effectiveSimulationDates_

TimeGrid	timeGrid_

std::vector< Size >	positionInTimeGrid_

std::map< Date, std::vector< std::size_t > >	underlyingPaths_

std::size_t	underlyingPathsCgVersion_ = 0

Protected Attributes inherited from ModelCGImpl
const DayCounter	dayCounter_

const std::vector< std::string >	currencies_

const std::vector< std::string >	indexCurrencies_

const std::set< Date >	simulationDates_

const IborFallbackConfig	iborFallbackConfig_

std::vector< std::pair< IndexInfo, boost::shared_ptr< InterestRateIndex > > >	irIndices_

std::vector< std::pair< IndexInfo, boost::shared_ptr< ZeroInflationIndex > > >	infIndices_

std::vector< IndexInfo >	indices_

std::vector< std::vector< size_t > >	randomVariates_

std::vector< std::pair< std::size_t, std::function< double(void)> > >	modelParameters_

Protected Attributes inherited from ModelCG
std::map< std::string, boost::any >	additionalResults_

boost::shared_ptr< QuantExt::ComputationGraph >	g_

Additional Inherited Members
Public Types inherited from ModelCG
enum class	Type { MC , FD }

Public Member Functions

Protected Member Functions

Protected Attributes

Additional Inherited Members