Inheritance diagram for AmcCgBaseEngine:

Public Member Functions
	AmcCgBaseEngine (const QuantLib::ext::shared_ptr< ModelCG > &modelCg, const std::vector< QuantLib::Date > &simulationDates, const bool reevaluateExerciseInStickyCloseOutDateRun)
void	buildComputationGraph (const bool stickyCloseOutDateRun=false, std::vector< TradeExposure > tradeExposure=nullptr, TradeExposureMetaInfo tradeExposureMetaInfo=nullptr) const override
void	calculate () const

Protected Attributes
QuantLib::ext::shared_ptr< ModelCG >	modelCg_
std::vector< QuantLib::Date >	simulationDates_
bool	reevaluateExerciseInStickyCloseOutDateRun_
std::vector< QuantLib::Leg >	leg_
std::vector< std::string >	currency_
std::vector< bool >	payer_
QuantLib::ext::shared_ptr< QuantLib::Exercise >	exercise_
QuantLib::Settlement::Type	optionSettlement_ = QuantLib::Settlement::Physical
std::vector< QuantLib::Date >	cashSettlementDates_
bool	exerciseIntoIncludeSameDayFlows_ = false
bool	includeTodaysCashflows_
bool	includeReferenceDateEvents_
std::set< std::string >	relevantCurrencies_
std::vector< std::size_t >	cachedExerciseIndicators_

Member Function Documentation

◆ buildComputationGraph()

void buildComputationGraph	(	const bool	stickyCloseOutDateRun = false,
		std::vector< TradeExposure > *	tradeExposure = nullptr,
		TradeExposureMetaInfo *	tradeExposureMetaInfo = nullptr ) const

overridevirtual