|
| ModelCGImpl (const DayCounter &dayCounter, const Size size, const std::vector< std::string > ¤cies, 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 |
|
std::size_t | dt (const Date &d1, const Date &d2) const override |
|
std::size_t | pay (const std::size_t amount, const Date &obsdate, const Date &paydate, const std::string ¤cy) const override |
|
std::size_t | discount (const Date &obsdate, const Date &paydate, const std::string ¤cy) const override |
|
std::size_t | eval (const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingMissingAsNull=false, const bool ignoreTodaysFixing=false) const override |
|
std::size_t | fxSpotT0 (const std::string &forCcy, const std::string &domCcy) const override |
|
std::size_t | barrierProbability (const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const override |
|
Real | extractT0Result (const RandomVariable &value) const override |
|
std::size_t | cgVersion () const override |
|
const std::vector< std::vector< std::size_t > > & | randomVariates () const override |
|
std::vector< std::pair< std::size_t, double > > | modelParameters () const override |
|
| 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 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 | 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 void | resetNPVMem () |
|
const std::map< std::string, boost::any > & | additionalResults () const |
|
virtual Real | getDirectFxSpotT0 (const std::string &forCcy, const std::string &domCcy) const =0 |
|
virtual Real | getDirectDiscountT0 (const Date &paydate, const std::string ¤cy) const =0 |
|
|
virtual std::size_t | getIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const =0 |
|
virtual std::size_t | getIrIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const =0 |
|
virtual std::size_t | getInfIndexValue (const Size indexNo, const Date &d, const Date &fwd) const =0 |
|
virtual std::size_t | getDiscount (const Size idx, const Date &s, const Date &t) const =0 |
|
virtual std::size_t | getNumeraire (const Date &s) const =0 |
|
virtual std::size_t | getFxSpot (const Size idx) const =0 |
|
virtual std::size_t | getFutureBarrierProb (const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const =0 |
|
void | addModelParameter (const std::string &id, std::function< double(void)> f) const |
|
void | performCalculations () const override |
|