FdBlackScholesBase Class Reference

Inheritance diagram for FdBlackScholesBase:

Public Member Functions
	FdBlackScholesBase (const Size stateGridPoints, 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 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)
	FdBlackScholesBase (const Size stateGridPoints, 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, 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)
Type	type () const override
const Date &	referenceDate () const override
RandomVariable	npv (const RandomVariable &amount, const Date &obsdate, const Filter &filter, const boost::optional< long > &memSlot, const RandomVariable &addRegressor1, const RandomVariable &addRegressor2) const override
RandomVariable	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
void	releaseMemory () override
Real	extractT0Result (const RandomVariable &result) const override
const std::string &	baseCcy () const override
RandomVariable	pay (const RandomVariable &amount, const Date &obsdate, const Date &paydate, const std::string &currency) const override
Public Member Functions inherited from ModelImpl
	ModelImpl (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
Real	dt (const Date &d1, const Date &d2) const override
RandomVariable	pay (const RandomVariable &amount, const Date &obsdate, const Date &paydate, const std::string &currency) const override
RandomVariable	discount (const Date &obsdate, const Date &paydate, const std::string &currency) const override
RandomVariable	eval (const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingMissingAsNull=false, const bool ignoreTodaysFixing=false) const override
Real	fxSpotT0 (const std::string &forCcy, const std::string &domCcy) const override
RandomVariable	barrierProbability (const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const override
Real	extractT0Result (const RandomVariable &value) const override
Public Member Functions inherited from Model
	Model (const Size n)
virtual Size	size () const
virtual Size	trainingSamples () const
virtual void	toggleTrainingPaths () const
virtual void	resetNPVMem ()
const std::map< std::string, boost::any > &	additionalResults () const

Protected Member Functions
void	performCalculations () const override
RandomVariable	getIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override
RandomVariable	getIrIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override
RandomVariable	getInfIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override
RandomVariable	getDiscount (const Size idx, const Date &s, const Date &t) const override
RandomVariable	getNumeraire (const Date &s) const override
Real	getFxSpot (const Size idx) const override
RandomVariable	getFutureBarrierProb (const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const override
Matrix	getCorrelation () const
Protected Member Functions inherited from Model
void	performCalculations () const override

Protected Attributes
const std::vector< Handle< YieldTermStructure > >	curves_
const std::vector< Handle< Quote > >	fxSpots_
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::vector< Date >	simulationDates_
const std::string	calibration_
const std::map< std::string, std::vector< Real > >	calibrationStrikes_
const Real	mesherEpsilon_
const Real	mesherScaling_
const Real	mesherConcentration_
const Size	mesherMaxConcentratingPoints_
const bool	staticMesher_
bool	applyQuantoAdjustment_ = false
Size	quantoSourceCcyIndex_
Size	quantoTargetCcyIndex_
Real	quantoCorrelationMultiplier_
std::vector< std::function< RandomVariable(const std::vector< const RandomVariable * > &)> >	basisFns_
Date	referenceDate_
std::set< Date >	effectiveSimulationDates_
TimeGrid	timeGrid_
std::vector< Size >	positionInTimeGrid_
boost::shared_ptr< FdmMesher >	mesher_
boost::shared_ptr< FdmLinearOpComposite >	operator_
boost::shared_ptr< FdmBackwardSolver >	solver_
RandomVariable	underlyingValues_
Protected Attributes inherited from ModelImpl
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_
Protected Attributes inherited from Model
std::map< std::string, boost::any >	additionalResults_

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