AmcCgFxOptionEngine Class Reference

Inheritance diagram for AmcCgFxOptionEngine:

Public Member Functions
	AmcCgFxOptionEngine (const std::string &domCcy, const std::string &forCcy, const QuantLib::ext::shared_ptr< ModelCG > &modelCg, const std::vector< Date > &simulationDates, const bool reevaluateExerciseInStickyCloseOutDateRun)
void	calculate () const override
Public Member Functions inherited from AmcCgFxOptionEngineBase
	AmcCgFxOptionEngineBase (const std::string &domCcy, const std::string &forCcy, const QuantLib::ext::shared_ptr< ModelCG > &modelCg, const std::vector< Date > &simulationDates, const bool reevaluateExerciseInStickyCloseOutDateRun)
void	setupLegs () const
void	calculateFxOptionBase () const
Public Member Functions inherited from AmcCgBaseEngine
	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

Additional Inherited Members
Protected Attributes inherited from AmcCgFxOptionEngineBase
std::string	domCcy_
std::string	forCcy_
QuantLib::ext::shared_ptr< QuantLib::StrikedTypePayoff >	payoff_
Date	payDate_
Protected Attributes inherited from AmcCgBaseEngine
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_