GaussianCam Class Reference

Inheritance diagram for GaussianCam:

Public Member Functions
	GaussianCam (const Handle< CrossAssetModel > &cam, 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 std::set< Date > &simulationDates, const McParams &mcParams, const Size timeStepsPerYear=1, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), const std::vector< Size > &projectedStateProcessIndices={}, const std::vector< std::string > &conditionalExpectationModelStates={})
Type	type () const override
const Date &	referenceDate () const override
Size	size () 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
void	resetNPVMem () override
void	toggleTrainingPaths () const override
Size	trainingSamples () const override
void	injectPaths (const std::vector< QuantLib::Real > *pathTimes, const std::vector< std::vector< QuantExt::RandomVariable >> *paths, const std::vector< bool > *isRelevantTime, const bool stickyCloseOutRun) 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)
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, 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_