BlackScholes Class Reference

Inheritance diagram for BlackScholes:

Public Member Functions
	BlackScholes (const Type type, const Size size, const std::vector< std::string > &currencies, 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 &params={})
	BlackScholes (const Type Type, const Size size, const std::string &currency, 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 &params={})
const Date &	referenceDate () const override
RandomVariable	npv (const RandomVariable &amount, const Date &obsdate, const Filter &filter, const QuantLib::ext::optional< long > &memSlot, const RandomVariable &addRegressor1, const RandomVariable &addRegressor2) const override
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 override
void	releaseMemory () override
void	resetNPVMem () override
void	toggleTrainingPaths () const override
Size	trainingSamples () const override
Size	size () const override
Real	extractT0Result (const RandomVariable &result) const override
const std::string &	baseCcy () const override
RandomVariable	pay (const RandomVariable &amount, const Date &obsdate, const Date &paydate, const std::string &currency) const override
Public Member Functions inherited from ModelImpl
	ModelImpl (const Model::Type type, const Model::Params &params, const DayCounter &dayCounter, const Size size, const std::vector< std::string > &currencies, 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)
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
Type	type () const override
const Params &	params () const override
Public Member Functions inherited from Model
	Model (const Size n)
Real	timeFromReference (const Date &d) const
const std::map< std::string, QuantLib::ext::any > &	additionalResults () const

Protected Member Functions
void	performCalculations () const override
RandomVariable	getIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override
RandomVariable	getIrIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override
RandomVariable	getInfIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override
RandomVariable	getDiscount (const Size idx, const Date &s, const Date &t) const override
RandomVariable	getNumeraire (const Date &s) const override
Real	getFxSpot (const Size idx) const override
RandomVariable	getFutureBarrierProb (const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const override
Matrix	getCorrelation () const
std::vector< Real >	getCalibrationStrikes () const
void	setAdditionalResults () const
void	performCalculationsMcBs () const
void	performCalculationsMcLv () const
void	performCalculationsFd () const
void	initUnderlyingPathsMc () const
void	setReferenceDateValuesMc () const
void	generatePathsBs () const
void	generatePathsLv () const
void	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
void	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
Protected Member Functions inherited from Model
void	performCalculations () const override

Protected Attributes
std::vector< Handle< YieldTermStructure > >	curves_
std::vector< Handle< Quote > >	fxSpots_
std::set< std::string >	payCcys_
Handle< BlackScholesModelWrapper >	model_
std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure > >	correlations_
std::vector< Date >	simulationDates_
std::string	calibration_
std::map< std::string, std::vector< Real > >	calibrationStrikes_
bool	applyQuantoAdjustment_ = false
Size	quantoSourceCcyIndex_
Size	quantoTargetCcyIndex_
Real	quantoCorrelationMultiplier_
Date	referenceDate_
std::set< Date >	effectiveSimulationDates_
TimeGrid	timeGrid_
std::vector< Size >	positionInTimeGrid_
Matrix	correlation_
std::map< Date, std::vector< RandomVariable > >	underlyingPaths_
std::map< Date, std::vector< RandomVariable > >	underlyingPathsTraining_
bool	inTrainingPhase_ = false
std::vector< Matrix >	covariance_
std::map< long, std::tuple< Array, Size, Matrix > >	storedRegressionModel_
QuantLib::ext::shared_ptr< FdmMesher >	mesher_
QuantLib::ext::shared_ptr< FdmLinearOpComposite >	operator_
QuantLib::ext::shared_ptr< FdmBackwardSolver >	solver_
RandomVariable	underlyingValues_
Protected Attributes inherited from ModelImpl
Model::Type	type_
Model::Params	params_
DayCounter	dayCounter_
std::vector< std::string >	currencies_
std::vector< std::string >	indexCurrencies_
std::set< Date >	simulationDates_
QuantLib::ext::shared_ptr< IborFallbackConfig >	iborFallbackConfig_
std::vector< std::pair< IndexInfo, QuantLib::ext::shared_ptr< InterestRateIndex > > >	irIndices_
std::vector< std::pair< IndexInfo, QuantLib::ext::shared_ptr< ZeroInflationIndex > > >	infIndices_
std::vector< IndexInfo >	indices_
Protected Attributes inherited from Model
std::map< std::string, QuantLib::ext::any >	additionalResults_

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

Member Function Documentation

referenceDate()

const Date & referenceDate ( ) const

overridevirtual

Implements Model.

npv()

RandomVariable npv ( const RandomVariable & amount, const Date & obsdate, const Filter & filter, const QuantLib::ext::optional< long > & memSlot, const RandomVariable & addRegressor1, const RandomVariable & addRegressor2 ) const

overridevirtual

Implements Model.

fwdCompAvg()

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

overridevirtual

Implements Model.

releaseMemory()

void releaseMemory ( )

overridevirtual

Reimplemented from Model.

resetNPVMem()

void resetNPVMem ( )

overridevirtual

Reimplemented from Model.

toggleTrainingPaths()

void toggleTrainingPaths ( ) const

overridevirtual

Reimplemented from Model.

trainingSamples()

Size trainingSamples ( ) const

overridevirtual

Reimplemented from Model.

size()

Size size ( ) const

overridevirtual

Reimplemented from Model.

extractT0Result()

Real extractT0Result ( const RandomVariable & result ) const

overridevirtual

Implements Model.

baseCcy()

const std::string & baseCcy ( ) const

overridevirtual

Implements Model.

pay()

RandomVariable pay ( const RandomVariable & amount, const Date & obsdate, const Date & paydate, const std::string & currency ) const

overridevirtual

Implements Model.

getIndexValue()

RandomVariable getIndexValue ( const Size indexNo, const Date & d, const Date & fwd = Null< Date >() ) const

overrideprotectedvirtual

Implements ModelImpl.

getIrIndexValue()

RandomVariable getIrIndexValue ( const Size indexNo, const Date & d, const Date & fwd = Null< Date >() ) const

overrideprotectedvirtual

Implements ModelImpl.

getInfIndexValue()

RandomVariable getInfIndexValue ( const Size indexNo, const Date & d, const Date & fwd = Null< Date >() ) const

overrideprotectedvirtual

Implements ModelImpl.

getDiscount()

RandomVariable getDiscount ( const Size idx, const Date & s, const Date & t ) const

overrideprotectedvirtual

Implements ModelImpl.

getNumeraire()

RandomVariable getNumeraire ( const Date & s ) const

overrideprotectedvirtual

Implements ModelImpl.

getFxSpot()

Real getFxSpot ( const Size idx ) const

overrideprotectedvirtual

Implements ModelImpl.

getFutureBarrierProb()

RandomVariable getFutureBarrierProb ( const std::string & index, const Date & obsdate1, const Date & obsdate2, const RandomVariable & barrier, const bool above ) const

overrideprotectedvirtual

Implements ModelImpl.