ModelCG Class Reference

Inheritance diagram for ModelCG:

Public Types
enum class	Type { MC , FD }

Public Member Functions
	ModelCG (const QuantLib::Size n)
boost::shared_ptr< QuantExt::ComputationGraph >	computationGraph ()
virtual Type	type () const =0
virtual QuantLib::Size	size () const
virtual Size	trainingPaths () const
virtual void	enableTrainingPaths (const bool enable) const
virtual const Date &	referenceDate () const =0
virtual const std::string &	baseCcy () const =0
virtual std::size_t	dt (const Date &d1, const Date &d2) const
virtual std::size_t	pay (const std::size_t amount, const Date &obsdate, const Date &paydate, const std::string &currency) const =0
virtual std::size_t	discount (const Date &obsdate, const Date &paydate, const std::string &currency) const =0
virtual std::size_t	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 =0
virtual std::size_t	eval (const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingFixingAsNull=false, const bool ignoreTodaysFixing=false) const =0
virtual std::size_t	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 std::size_t	barrierProbability (const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const =0
virtual std::size_t	fxSpotT0 (const std::string &forCcy, const std::string &domCcy) const =0
virtual Real	extractT0Result (const QuantExt::RandomVariable &value) const =0
virtual void	resetNPVMem ()
const std::map< std::string, boost::any > &	additionalResults () const
virtual std::size_t	cgVersion () const =0
virtual const std::vector< std::vector< std::size_t > > &	randomVariates () const =0
virtual std::vector< std::pair< std::size_t, double > >	modelParameters () const =0
virtual Real	getDirectFxSpotT0 (const std::string &forCcy, const std::string &domCcy) const =0
virtual Real	getDirectDiscountT0 (const Date &paydate, const std::string &currency) const =0

Protected Attributes
std::map< std::string, boost::any >	additionalResults_
boost::shared_ptr< QuantExt::ComputationGraph >	g_