Inheritance diagram for FdGaussianCam:

Public Member Functions
	FdGaussianCam (const Handle< CrossAssetModel > &cam, const std::string &currency, const Handle< YieldTermStructure > &curve, const std::vector< std::pair< std::string, QuantLib::ext::shared_ptr< InterestRateIndex >>> &irIndices, const std::set< Date > &simulationDates, const Size stateGridPoints=50, const Size timeStepsPerYear=24, const Real mesherEpsilon=1E-4, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig())

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

Real	extractT0Result (const RandomVariable &result) const override

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

void	releaseMemory () 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, QuantLib::ext::shared_ptr< InterestRateIndex >>> &irIndices, const std::vector< std::pair< std::string, QuantLib::ext::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

Real	timeFromReference (const Date &d) const

virtual void	resetNPVMem ()

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

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

Protected Member Functions inherited from Model
void	performCalculations () const override

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, QuantLib::ext::shared_ptr< InterestRateIndex > > >	irIndices_

std::vector< std::pair< IndexInfo, QuantLib::ext::shared_ptr< ZeroInflationIndex > > >	infIndices_

std::vector< IndexInfo >	indices_

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

Public Member Functions

Additional Inherited Members