Reference manual - version ored_version
This is the complete list of members for FdBlackScholesBase, including all inherited members.
| additionalResults() const (defined in Model) | Model | |
| additionalResults_ (defined in Model) | Model | mutableprotected |
| applyQuantoAdjustment_ (defined in FdBlackScholesBase) | FdBlackScholesBase | protected |
| 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 FdBlackScholesBase) | FdBlackScholesBase | virtual |
| basisFns_ (defined in FdBlackScholesBase) | FdBlackScholesBase | mutableprotected |
| calibration_ (defined in FdBlackScholesBase) | FdBlackScholesBase | protected |
| calibrationStrikes_ (defined in FdBlackScholesBase) | FdBlackScholesBase | protected |
| correlations_ (defined in FdBlackScholesBase) | FdBlackScholesBase | protected |
| currencies_ (defined in ModelImpl) | ModelImpl | protected |
| curves_ (defined in FdBlackScholesBase) | FdBlackScholesBase | 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 FdBlackScholesBase) | FdBlackScholesBase | 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 &result) const override (defined in FdBlackScholesBase) | FdBlackScholesBase | virtual |
| FdBlackScholesBase(const Size stateGridPoints, 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 std::set< std::string > &payCcys_, 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, const std::string &calibration, const std::map< std::string, std::vector< Real >> &calibrationStrikes={}, const Real mesherEpsilon=1E-4, const Real mesherScaling=1.5, const Real mesherConcentration=0.1, const Size mesherMaxConcentratingPoints=9999, const bool staticMesher=false) (defined in FdBlackScholesBase) | FdBlackScholesBase | |
| FdBlackScholesBase(const Size stateGridPoints, 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, const std::string &calibration, const std::vector< Real > &calibrationStrikes={}, const Real mesherEpsilon=1E-4, const Real mesherScaling=1.5, const Real mesherConcentration=0.1, const Size mesherMaxConcentratingPoints=9999, const bool staticMesher=false) (defined in FdBlackScholesBase) | FdBlackScholesBase | |
| 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 FdBlackScholesBase) | FdBlackScholesBase | virtual |
| fxSpots_ (defined in FdBlackScholesBase) | FdBlackScholesBase | protected |
| fxSpotT0(const std::string &forCcy, const std::string &domCcy) const override (defined in ModelImpl) | ModelImpl | virtual |
| getCorrelation() const (defined in FdBlackScholesBase) | FdBlackScholesBase | protected |
| getDiscount(const Size idx, const Date &s, const Date &t) const override (defined in FdBlackScholesBase) | FdBlackScholesBase | protectedvirtual |
| getFutureBarrierProb(const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const override (defined in FdBlackScholesBase) | FdBlackScholesBase | protectedvirtual |
| getFxSpot(const Size idx) const override (defined in FdBlackScholesBase) | FdBlackScholesBase | protectedvirtual |
| getIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in FdBlackScholesBase) | FdBlackScholesBase | protectedvirtual |
| getInfIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in FdBlackScholesBase) | FdBlackScholesBase | protectedvirtual |
| getIrIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in FdBlackScholesBase) | FdBlackScholesBase | protectedvirtual |
| getNumeraire(const Date &s) const override (defined in FdBlackScholesBase) | FdBlackScholesBase | 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 |
| irIndices_ (defined in ModelImpl) | ModelImpl | protected |
| mesher_ (defined in FdBlackScholesBase) | FdBlackScholesBase | mutableprotected |
| mesherConcentration_ (defined in FdBlackScholesBase) | FdBlackScholesBase | protected |
| mesherEpsilon_ (defined in FdBlackScholesBase) | FdBlackScholesBase | protected |
| mesherMaxConcentratingPoints_ (defined in FdBlackScholesBase) | FdBlackScholesBase | protected |
| mesherScaling_ (defined in FdBlackScholesBase) | FdBlackScholesBase | protected |
| Model(const Size n) (defined in Model) | Model | explicit |
| model_ (defined in FdBlackScholesBase) | FdBlackScholesBase | 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 FdBlackScholesBase) | FdBlackScholesBase | virtual |
| operator_ (defined in FdBlackScholesBase) | FdBlackScholesBase | mutableprotected |
| pay(const RandomVariable &amount, const Date &obsdate, const Date &paydate, const std::string ¤cy) const override (defined in FdBlackScholesBase) | FdBlackScholesBase | virtual |
| payCcys_ (defined in FdBlackScholesBase) | FdBlackScholesBase | protected |
| performCalculations() const override (defined in FdBlackScholesBase) | FdBlackScholesBase | protected |
| positionInTimeGrid_ (defined in FdBlackScholesBase) | FdBlackScholesBase | mutableprotected |
| quantoCorrelationMultiplier_ (defined in FdBlackScholesBase) | FdBlackScholesBase | protected |
| quantoSourceCcyIndex_ (defined in FdBlackScholesBase) | FdBlackScholesBase | protected |
| quantoTargetCcyIndex_ (defined in FdBlackScholesBase) | FdBlackScholesBase | protected |
| referenceDate() const override (defined in FdBlackScholesBase) | FdBlackScholesBase | virtual |
| referenceDate_ (defined in FdBlackScholesBase) | FdBlackScholesBase | mutableprotected |
| releaseMemory() override (defined in FdBlackScholesBase) | FdBlackScholesBase | virtual |
| resetNPVMem() (defined in Model) | Model | virtual |
| simulationDates_ (defined in FdBlackScholesBase) | FdBlackScholesBase | protected |
| size() const (defined in Model) | Model | virtual |
| solver_ (defined in FdBlackScholesBase) | FdBlackScholesBase | mutableprotected |
| staticMesher_ (defined in FdBlackScholesBase) | FdBlackScholesBase | protected |
| timeGrid_ (defined in FdBlackScholesBase) | FdBlackScholesBase | mutableprotected |
| toggleTrainingPaths() const (defined in Model) | Model | virtual |
| trainingSamples() const (defined in Model) | Model | virtual |
| Type enum name (defined in Model) | Model | |
| type() const override (defined in FdBlackScholesBase) | FdBlackScholesBase | virtual |
| underlyingValues_ (defined in FdBlackScholesBase) | FdBlackScholesBase | mutableprotected |
| ~Model() (defined in Model) | Model | virtual |