|
| McLgmSwapEngine (const boost::shared_ptr< LinearGaussMarkovModel > &model, const SequenceType calibrationPathGenerator, const SequenceType pricingPathGenerator, const Size calibrationSamples, const Size pricingSamples, const Size calibrationSeed, const Size pricingSeed, const Size polynomOrder, const LsmBasisSystem::PolynomialType polynomType, const SobolBrownianGenerator::Ordering ordering=SobolBrownianGenerator::Steps, const SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const std::vector< Date > simulationDates=std::vector< Date >(), const std::vector< Size > externalModelIndices=std::vector< Size >(), const bool minimalObsDate=true) |
|
void | calculate () const override |
|
|
| McMultiLegBaseEngine (const Handle< CrossAssetModel > &model, const SequenceType calibrationPathGenerator, const SequenceType pricingPathGenerator, const Size calibrationSamples, const Size pricingSamples, const Size calibrationSeed, const Size pricingSeed, const Size polynomOrder, const LsmBasisSystem::PolynomialType polynomType, const SobolBrownianGenerator::Ordering ordering, const SobolRsg::DirectionIntegers directionIntegers, const std::vector< Handle< YieldTermStructure >> &discountCurves=std::vector< Handle< YieldTermStructure >>(), const std::vector< Date > &simulationDates=std::vector< Date >(), const std::vector< Size > &externalModelIndices=std::vector< Size >(), const bool minimalObsDate=true) |
|
void | calculate () const |
|
boost::shared_ptr< AmcCalculator > | amcCalculator () const |
|
std::vector< Leg > | leg_ |
|
std::vector< Currency > | currency_ |
|
std::vector< Real > | payer_ |
|
boost::shared_ptr< Exercise > | exercise_ |
|
Settlement::Type | optionSettlement_ = Settlement::Physical |
|
Handle< CrossAssetModel > | model_ |
|
SequenceType | calibrationPathGenerator_ |
|
SequenceType | pricingPathGenerator_ |
|
Size | calibrationSamples_ |
|
Size | pricingSamples_ |
|
Size | calibrationSeed_ |
|
Size | pricingSeed_ |
|
Size | polynomOrder_ |
|
LsmBasisSystem::PolynomialType | polynomType_ |
|
SobolBrownianGenerator::Ordering | ordering_ |
|
SobolRsg::DirectionIntegers | directionIntegers_ |
|
std::vector< Handle< YieldTermStructure > > | discountCurves_ |
|
std::vector< Date > | simulationDates_ |
|
std::vector< Size > | externalModelIndices_ |
|
bool | minimalObsDate_ |
|
boost::shared_ptr< AmcCalculator > | amcCalculator_ |
|
Real | resultUnderlyingNpv_ |
|
Real | resultValue_ |
|