LocalVol Class Reference

Inheritance diagram for LocalVol:

Public Member Functions
	LocalVol (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 Handle< BlackScholesModelWrapper > &model, const std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure >> &correlations, const McParams &mcparams, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig())
	LocalVol (const Size paths, const std::string &currency, const Handle< YieldTermStructure > &curve, const std::string &index, const std::string &indexCurrency, const Handle< BlackScholesModelWrapper > &model, const McParams &mcparams, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig())
Public Member Functions inherited from BlackScholesBase
	BlackScholesBase (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 Handle< BlackScholesModelWrapper > &model, const std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure >> &correlations, const McParams &mcParams, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig)
	BlackScholesBase (const Size paths, const std::string &currency, const Handle< YieldTermStructure > &curve, const std::string &index, const std::string &indexCurrency, const Handle< BlackScholesModelWrapper > &model, const Model::McParams &mcParams, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig)
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
void	resetNPVMem () override
void	toggleTrainingPaths () const override
Size	trainingSamples () const override
Size	size () 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)
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 BlackScholesBase
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
Matrix	getCorrelation () const
Protected Member Functions inherited from Model
void	performCalculations () const override
Protected Attributes inherited from BlackScholesBase
const std::vector< Handle< YieldTermStructure > >	curves_
const std::vector< Handle< Quote > >	fxSpots_
const Handle< BlackScholesModelWrapper >	model_
const std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure > >	correlations_
const McParams	mcParams_
const std::vector< Date >	simulationDates_
std::map< Size, std::vector< std::function< RandomVariable(const std::vector< const RandomVariable * > &)> > >	basisFns_
Date	referenceDate_
std::set< Date >	effectiveSimulationDates_
TimeGrid	timeGrid_
std::vector< Size >	positionInTimeGrid_
std::map< Date, std::vector< RandomVariable > >	underlyingPaths_
std::map< Date, std::vector< RandomVariable > >	underlyingPathsTraining_
bool	inTrainingPhase_ = false
std::map< long, std::pair< Array, Size > >	storedRegressionCoeff_
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_