Reference manual - version ored_version
This is the complete list of members for GaussianCamCG, including all inherited members.
| additionalResults() const (defined in ModelCG) | ModelCG | |
| additionalResults_ (defined in ModelCG) | ModelCG | mutableprotected |
| addModelParameter(const std::string &id, std::function< double(void)> f) const (defined in ModelCGImpl) | ModelCGImpl | protected |
| barrierProbability(const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| baseCcy() const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| calculate() const override (defined in ModelCG) | ModelCG | |
| cam_ (defined in GaussianCamCG) | GaussianCamCG | protected |
| cgVersion() const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| computationGraph() (defined in ModelCG) | ModelCG | |
| conditionalExpectationUseAsset_ (defined in GaussianCamCG) | GaussianCamCG | mutableprotected |
| conditionalExpectationUseInf_ (defined in GaussianCamCG) | GaussianCamCG | mutableprotected |
| conditionalExpectationUseIr_ (defined in GaussianCamCG) | GaussianCamCG | mutableprotected |
| currencies_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| currencyPositionInCam_ (defined in GaussianCamCG) | GaussianCamCG | mutableprotected |
| currencyPositionInProcess_ (defined in GaussianCamCG) | GaussianCamCG | mutableprotected |
| curves_ (defined in GaussianCamCG) | GaussianCamCG | protected |
| dayCounter_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| discount(const Date &obsdate, const Date &paydate, const std::string ¤cy) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| dt(const Date &d1, const Date &d2) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| effectiveSimulationDates_ (defined in GaussianCamCG) | GaussianCamCG | mutableprotected |
| eqIndexInCam_ (defined in GaussianCamCG) | GaussianCamCG | mutableprotected |
| eval(const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingMissingAsNull=false, const bool ignoreTodaysFixing=false) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| extractT0Result(const RandomVariable &value) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| fwdCompAvg(const bool isAvg, const std::string &indexInput, 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 GaussianCamCG) | GaussianCamCG | virtual |
| fxSpots_ (defined in GaussianCamCG) | GaussianCamCG | protected |
| fxSpotT0(const std::string &forCcy, const std::string &domCcy) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| g_ (defined in ModelCG) | ModelCG | protected |
| GaussianCamCG(const Handle< CrossAssetModel > &cam, const Size paths, 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, 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 Size timeStepsPerYear=1, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), const std::vector< Size > &projectedStateProcessIndices={}, const std::vector< std::string > &conditionalExpectationModelStates={}, const bool sloppySimDates=false) (defined in GaussianCamCG) | GaussianCamCG | |
| getDirectDiscountT0(const Date &paydate, const std::string ¤cy) const override (defined in GaussianCamCG) | GaussianCamCG | virtual |
| getDirectFxSpotT0(const std::string &forCcy, const std::string &domCcy) const override (defined in GaussianCamCG) | GaussianCamCG | virtual |
| getDiscount(const Size idx, const Date &s, const Date &t) const override (defined in GaussianCamCG) | GaussianCamCG | protectedvirtual |
| getFutureBarrierProb(const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const override (defined in GaussianCamCG) | GaussianCamCG | protectedvirtual |
| getFxSpot(const Size idx) const override (defined in GaussianCamCG) | GaussianCamCG | protectedvirtual |
| getIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in GaussianCamCG) | GaussianCamCG | protectedvirtual |
| getInfIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in GaussianCamCG) | GaussianCamCG | protectedvirtual |
| getIrIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in GaussianCamCG) | GaussianCamCG | protectedvirtual |
| getNumeraire(const Date &s) const override (defined in GaussianCamCG) | GaussianCamCG | protectedvirtual |
| iborFallbackConfig_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| indexCurrencies_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| indexPositionInProcess_ (defined in GaussianCamCG) | GaussianCamCG | mutableprotected |
| indices_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| infIndexPositionInCam_ (defined in GaussianCamCG) | GaussianCamCG | mutableprotected |
| infIndexPositionInProcess_ (defined in GaussianCamCG) | GaussianCamCG | mutableprotected |
| infIndices_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| infStates_ (defined in GaussianCamCG) | GaussianCamCG | mutableprotected |
| injectedPathIsRelevantTime_ (defined in GaussianCamCG) | GaussianCamCG | protected |
| injectedPaths_ (defined in GaussianCamCG) | GaussianCamCG | protected |
| injectedPathStickyCloseOutRun_ (defined in GaussianCamCG) | GaussianCamCG | protected |
| injectedPathTimes_ (defined in GaussianCamCG) | GaussianCamCG | protected |
| irIndexPositionInCam_ (defined in GaussianCamCG) | GaussianCamCG | mutableprotected |
| irIndices_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| irStates_ (defined in GaussianCamCG) | GaussianCamCG | mutableprotected |
| ModelCG(const QuantLib::Size n) (defined in ModelCG) | ModelCG | explicit |
| ModelCGImpl(const DayCounter &dayCounter, const Size size, const std::vector< std::string > ¤cies, 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) (defined in ModelCGImpl) | ModelCGImpl | |
| modelParameterFunctors() const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| modelParameters() const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| modelParameters_ (defined in ModelCGImpl) | ModelCGImpl | mutableprotected |
| npv(const std::size_t amount, const Date &obsdate, const std::size_t filter, const boost::optional< long > &memSlot, const std::size_t addRegressor1, const std::size_t addRegressor2) const override (defined in GaussianCamCG) | GaussianCamCG | virtual |
| overwriteModelSize_ (defined in GaussianCamCG) | GaussianCamCG | protected |
| pay(const std::size_t amount, const Date &obsdate, const Date &paydate, const std::string ¤cy) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| performCalculations() const override (defined in GaussianCamCG) | GaussianCamCG | protected |
| positionInTimeGrid_ (defined in GaussianCamCG) | GaussianCamCG | mutableprotected |
| projectedStateProcessIndices_ (defined in GaussianCamCG) | GaussianCamCG | protected |
| randomVariates() const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| randomVariates_ (defined in ModelCGImpl) | ModelCGImpl | mutableprotected |
| referenceDate() const override (defined in GaussianCamCG) | GaussianCamCG | virtual |
| referenceDate_ (defined in GaussianCamCG) | GaussianCamCG | mutableprotected |
| resetNPVMem() (defined in ModelCG) | ModelCG | virtual |
| simulationDates_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| size() const override (defined in GaussianCamCG) | GaussianCamCG | virtual |
| sloppySimDates_ (defined in GaussianCamCG) | GaussianCamCG | protected |
| timeGrid_ (defined in GaussianCamCG) | GaussianCamCG | mutableprotected |
| timeStepsPerYear_ (defined in GaussianCamCG) | GaussianCamCG | protected |
| toggleTrainingPaths() const (defined in ModelCG) | ModelCG | virtual |
| trainingSamples() const (defined in ModelCG) | ModelCG | virtual |
| type() const override (defined in GaussianCamCG) | GaussianCamCG | virtual |
| Type enum name (defined in ModelCG) | ModelCG | |
| underlyingPaths_ (defined in GaussianCamCG) | GaussianCamCG | mutableprotected |
| underlyingPathsCgVersion_ (defined in GaussianCamCG) | GaussianCamCG | mutableprotected |
| ~ModelCG() (defined in ModelCG) | ModelCG | virtual |