|
const std::vector< Handle< YieldTermStructure > > | curves_ |
|
const std::vector< boost::shared_ptr< GeneralizedBlackScholesProcess > > | processes_ |
|
const std::set< Date > | simulationDates_ |
|
const std::set< Date > | addDates_ |
|
const Size | timeStepsPerYear_ |
|
std::set< Date > | effectiveSimulationDates_ |
|
TimeGrid | discretisationTimeGrid_ |
|
RelinkableHandle< BlackScholesModelWrapper > | model_ |
|
bool | forceCalibration_ = false |
|
boost::shared_ptr< MarketObserver > | marketObserver_ |
|
std::vector< Handle< BlackVolTermStructure > > | vols_ |
|
std::vector< Handle< YieldTermStructure > > | allCurves_ |
|
CalibrationPointCache | cache_ |
|
void | forceRecalculate () override |
|
bool | requiresRecalibration () const override |
|
| BlackScholesModelBuilderBase (const Handle< YieldTermStructure > &curve, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) |
|
virtual void | setupDatesAndTimes () const |
|
virtual std::vector< boost::shared_ptr< GeneralizedBlackScholesProcess > > | getCalibratedProcesses () const =0 |
|
virtual std::vector< std::vector< Real > > | getCurveTimes () const =0 |
|
virtual std::vector< std::vector< std::pair< Real, Real > > > | getVolTimesStrikes () const =0 |
|
void | performCalculations () const override |
|
bool | calibrationPointsChanged (const bool updateCache) const |
|