Reference manual - version ored_version
This is the complete list of members for BlackScholes, including all inherited members.
| additionalResults() const (defined in Model) | Model | |
| additionalResults_ (defined in Model) | Model | mutableprotected |
| applyQuantoAdjustment_ (defined in BlackScholes) | BlackScholes | protected |
| barrierProbability(const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const override (defined in ModelImpl) | ModelImpl | virtual |
| baseCcy() const override (defined in BlackScholes) | BlackScholes | virtual |
| BlackScholes(const Type type, const Size size, const std::vector< std::string > ¤cies, const std::vector< Handle< YieldTermStructure > > &curves, const std::vector< Handle< Quote > > &fxSpots, const std::vector< std::pair< std::string, QuantLib::ext::shared_ptr< InterestRateIndex > > > &irIndices, const std::vector< std::pair< std::string, QuantLib::ext::shared_ptr< ZeroInflationIndex > > > &infIndices, const std::vector< std::string > &indices, const std::vector< std::string > &indexCurrencies, const std::set< std::string > &payCcys, const Handle< BlackScholesModelWrapper > &model, const std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure > > &correlations, const std::set< Date > &simulationDates, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig=QuantLib::ext::make_shared< IborFallbackConfig >(IborFallbackConfig::defaultConfig()), const std::string &calibration="ATM", const std::map< std::string, std::vector< Real > > &calibrationStrikes={}, const Params ¶ms={}) (defined in BlackScholes) | BlackScholes | |
| BlackScholes(const Type Type, const Size size, const std::string ¤cy, const Handle< YieldTermStructure > &curve, const std::string &index, const std::string &indexCurrency, const Handle< BlackScholesModelWrapper > &model, const std::set< Date > &simulationDates, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig=QuantLib::ext::make_shared< IborFallbackConfig >(IborFallbackConfig::defaultConfig()), const std::string &calibration="ATM", const std::vector< Real > &calibrationStrikes={}, const Params ¶ms={}) (defined in BlackScholes) | BlackScholes | |
| calibration_ (defined in BlackScholes) | BlackScholes | protected |
| calibrationStrikes_ (defined in BlackScholes) | BlackScholes | protected |
| correlation_ (defined in BlackScholes) | BlackScholes | mutableprotected |
| correlations_ (defined in BlackScholes) | BlackScholes | protected |
| covariance_ (defined in BlackScholes) | BlackScholes | mutableprotected |
| currencies_ (defined in ModelImpl) | ModelImpl | protected |
| curves_ (defined in BlackScholes) | BlackScholes | protected |
| dayCounter_ (defined in ModelImpl) | ModelImpl | protected |
| discount(const Date &obsdate, const Date &paydate, const std::string ¤cy) const override (defined in ModelImpl) | ModelImpl | virtual |
| dt(const Date &d1, const Date &d2) const override (defined in ModelImpl) | ModelImpl | virtual |
| effectiveSimulationDates_ (defined in BlackScholes) | BlackScholes | mutableprotected |
| eval(const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingMissingAsNull=false, const bool ignoreTodaysFixing=false) const override (defined in ModelImpl) | ModelImpl | virtual |
| extractT0Result(const RandomVariable &result) const override (defined in BlackScholes) | BlackScholes | virtual |
| 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 override (defined in BlackScholes) | BlackScholes | virtual |
| fxSpots_ (defined in BlackScholes) | BlackScholes | protected |
| fxSpotT0(const std::string &forCcy, const std::string &domCcy) const override (defined in ModelImpl) | ModelImpl | virtual |
| generatePathsBs() const (defined in BlackScholes) | BlackScholes | protected |
| generatePathsLv() const (defined in BlackScholes) | BlackScholes | protected |
| getCalibrationStrikes() const (defined in BlackScholes) | BlackScholes | protected |
| getCorrelation() const (defined in BlackScholes) | BlackScholes | protected |
| getDiscount(const Size idx, const Date &s, const Date &t) const override (defined in BlackScholes) | BlackScholes | protectedvirtual |
| getFutureBarrierProb(const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const override (defined in BlackScholes) | BlackScholes | protectedvirtual |
| getFxSpot(const Size idx) const override (defined in BlackScholes) | BlackScholes | protectedvirtual |
| getIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in BlackScholes) | BlackScholes | protectedvirtual |
| getInfIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in BlackScholes) | BlackScholes | protectedvirtual |
| getIrIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in BlackScholes) | BlackScholes | protectedvirtual |
| getNumeraire(const Date &s) const override (defined in BlackScholes) | BlackScholes | protectedvirtual |
| iborFallbackConfig_ (defined in ModelImpl) | ModelImpl | protected |
| indexCurrencies_ (defined in ModelImpl) | ModelImpl | protected |
| indices_ (defined in ModelImpl) | ModelImpl | protected |
| infIndices_ (defined in ModelImpl) | ModelImpl | protected |
| initUnderlyingPathsMc() const (defined in BlackScholes) | BlackScholes | protected |
| inTrainingPhase_ (defined in BlackScholes) | BlackScholes | mutableprotected |
| irIndices_ (defined in ModelImpl) | ModelImpl | protected |
| mesher_ (defined in BlackScholes) | BlackScholes | mutableprotected |
| Model(const Size n) (defined in Model) | Model | explicit |
| model_ (defined in BlackScholes) | BlackScholes | protected |
| ModelImpl(const Model::Type type, const Model::Params ¶ms, const DayCounter &dayCounter, const Size size, const std::vector< std::string > ¤cies, const std::vector< std::pair< std::string, QuantLib::ext::shared_ptr< InterestRateIndex > > > &irIndices, const std::vector< std::pair< std::string, QuantLib::ext::shared_ptr< ZeroInflationIndex > > > &infIndices, const std::vector< std::string > &indices, const std::vector< std::string > &indexCurrencies, const std::set< Date > &simulationDates, const ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig) (defined in ModelImpl) | ModelImpl | |
| npv(const RandomVariable &amount, const Date &obsdate, const Filter &filter, const QuantLib::ext::optional< long > &memSlot, const RandomVariable &addRegressor1, const RandomVariable &addRegressor2) const override (defined in BlackScholes) | BlackScholes | virtual |
| operator_ (defined in BlackScholes) | BlackScholes | mutableprotected |
| params() const override (defined in ModelImpl) | ModelImpl | virtual |
| params_ (defined in ModelImpl) | ModelImpl | protected |
| pay(const RandomVariable &amount, const Date &obsdate, const Date &paydate, const std::string ¤cy) const override (defined in BlackScholes) | BlackScholes | virtual |
| payCcys_ (defined in BlackScholes) | BlackScholes | protected |
| performCalculations() const override (defined in BlackScholes) | BlackScholes | protected |
| performCalculationsFd() const (defined in BlackScholes) | BlackScholes | protected |
| performCalculationsMcBs() const (defined in BlackScholes) | BlackScholes | protected |
| performCalculationsMcLv() const (defined in BlackScholes) | BlackScholes | protected |
| populatePathValuesBs(const Size nSamples, std::map< Date, std::vector< RandomVariable > > &paths, const QuantLib::ext::shared_ptr< MultiPathVariateGeneratorBase > &gen, const std::vector< Array > &drift, const std::vector< Matrix > &sqrtCov) const (defined in BlackScholes) | BlackScholes | protected |
| populatePathValuesLv(const Size nSamples, std::map< Date, std::vector< RandomVariable > > &paths, const QuantLib::ext::shared_ptr< MultiPathVariateGeneratorBase > &gen, const Matrix &correlation, const Matrix &sqrtCorr, const std::vector< Array > &deterministicDrift, const std::vector< Size > &eqComIdx, const std::vector< Real > &t, const std::vector< Real > &dt, const std::vector< Real > &sqrtdt) const (defined in BlackScholes) | BlackScholes | protected |
| positionInTimeGrid_ (defined in BlackScholes) | BlackScholes | mutableprotected |
| quantoCorrelationMultiplier_ (defined in BlackScholes) | BlackScholes | protected |
| quantoSourceCcyIndex_ (defined in BlackScholes) | BlackScholes | protected |
| quantoTargetCcyIndex_ (defined in BlackScholes) | BlackScholes | protected |
| referenceDate() const override (defined in BlackScholes) | BlackScholes | virtual |
| referenceDate_ (defined in BlackScholes) | BlackScholes | mutableprotected |
| releaseMemory() override (defined in BlackScholes) | BlackScholes | virtual |
| resetNPVMem() override (defined in BlackScholes) | BlackScholes | virtual |
| setAdditionalResults() const (defined in BlackScholes) | BlackScholes | protected |
| setReferenceDateValuesMc() const (defined in BlackScholes) | BlackScholes | protected |
| simulationDates_ (defined in BlackScholes) | BlackScholes | protected |
| size() const override (defined in BlackScholes) | BlackScholes | virtual |
| solver_ (defined in BlackScholes) | BlackScholes | mutableprotected |
| storedRegressionModel_ (defined in BlackScholes) | BlackScholes | mutableprotected |
| timeFromReference(const Date &d) const (defined in Model) | Model | |
| timeGrid_ (defined in BlackScholes) | BlackScholes | mutableprotected |
| toggleTrainingPaths() const override (defined in BlackScholes) | BlackScholes | virtual |
| trainingSamples() const override (defined in BlackScholes) | BlackScholes | virtual |
| Type enum name (defined in Model) | Model | |
| type() const override (defined in ModelImpl) | ModelImpl | virtual |
| type_ (defined in ModelImpl) | ModelImpl | protected |
| underlyingPaths_ (defined in BlackScholes) | BlackScholes | mutableprotected |
| underlyingPathsTraining_ (defined in BlackScholes) | BlackScholes | mutableprotected |
| underlyingValues_ (defined in BlackScholes) | BlackScholes | mutableprotected |
| ~Model() (defined in Model) | Model | virtual |