ModelImpl Class Reference

Inheritance diagram for ModelImpl:

Public Member Functions
	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)
virtual Type	type () const =0
virtual Size	size () const
virtual Size	trainingSamples () const
virtual void	toggleTrainingPaths () const
virtual const Date &	referenceDate () 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	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	releaseMemory ()
virtual void	resetNPVMem ()
const std::map< std::string, boost::any > &	additionalResults () const

Protected Member Functions
virtual RandomVariable	getIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const =0
virtual RandomVariable	getIrIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const =0
virtual RandomVariable	getInfIndexValue (const Size indexNo, const Date &d, const Date &fwd) const =0
virtual RandomVariable	getDiscount (const Size idx, const Date &s, const Date &t) const =0
virtual RandomVariable	getNumeraire (const Date &s) const =0
virtual Real	getFxSpot (const Size idx) const =0
virtual RandomVariable	getFutureBarrierProb (const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const =0
Protected Member Functions inherited from Model
void	performCalculations () const override

Protected Attributes
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_

Additional Inherited Members
Public Types inherited from Model
enum class	Type { MC , FD }