Model Class Reference

Inheritance diagram for Model:

Classes
struct	McParams

Public Types
enum class	Type { MC , FD }

Public Member Functions
	Model (const Size n)
virtual Type	type () const =0
virtual Size	size () const
virtual Size	trainingSamples () const
virtual void	toggleTrainingPaths () const
virtual const Date &	referenceDate () const =0
virtual const std::string &	baseCcy () const =0
virtual Real	dt (const Date &d1, const Date &d2) const
virtual RandomVariable	pay (const RandomVariable &amount, const Date &obsdate, const Date &paydate, const std::string &currency) const =0
virtual RandomVariable	discount (const Date &obsdate, const Date &paydate, const std::string &currency) const =0
virtual RandomVariable	npv (const RandomVariable &amount, const Date &obsdate, const Filter &filter, const boost::optional< long > &memSlot, const RandomVariable &addRegressor1, const RandomVariable &addRegressor2) const =0
virtual RandomVariable	eval (const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingFixingAsNull=false, const bool ignoreTodaysFixing=false) const =0
virtual 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 =0
virtual RandomVariable	barrierProbability (const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const =0
virtual Real	fxSpotT0 (const std::string &forCcy, const std::string &domCcy) const =0
virtual Real	extractT0Result (const RandomVariable &value) const =0
virtual void	releaseMemory ()
virtual void	resetNPVMem ()
const std::map< std::string, boost::any > &	additionalResults () const

Protected Member Functions
void	performCalculations () const override

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