Reference manual - version ored_version
This is the complete list of members for BlackScholesCG, including all inherited members.
| actualTimeFromReference(const Date &d) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| additionalResults() const (defined in ModelCG) | ModelCG | |
| additionalResults_ (defined in ModelCG) | ModelCG | mutableprotected |
| addModelParameter(const ModelCG::ModelParameter &p, const std::function< double(void)> &f) const (defined in ModelCG) | ModelCG | |
| barrierProbability(const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| baseCcy() const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| BlackScholesCG(const ModelCG::Type type, const Size paths, 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 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={}) (defined in BlackScholesCG) | BlackScholesCG | |
| BlackScholesCG(const ModelCG::Type type, const Size paths, 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={}) (defined in BlackScholesCG) | BlackScholesCG | |
| cachedParameters() const (defined in ModelCG) | ModelCG | |
| cachedParameters_ (defined in ModelCG) | ModelCG | mutableprotected |
| calculate() const override (defined in ModelCG) | ModelCG | |
| calibration_ (defined in BlackScholesCG) | BlackScholesCG | protected |
| calibrationStrikes_ (defined in BlackScholesCG) | BlackScholesCG | protected |
| cgVersion() const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| computationGraph() (defined in ModelCG) | ModelCG | |
| correlations_ (defined in BlackScholesCG) | BlackScholesCG | protected |
| currencies() const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| currencies_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| curves_ (defined in BlackScholesCG) | BlackScholesCG | protected |
| dayCounter_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| discount(const Date &obsdate, const Date &paydate, const std::string ¤cy) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| dt(const Date &d1, const Date &d2) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| effectiveSimulationDates_ (defined in BlackScholesCG) | BlackScholesCG | mutableprotected |
| eval(const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingMissingAsNull=false, const bool ignoreTodaysFixing=false) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| extractT0Result(const RandomVariable &value) const override (defined in ModelCGImpl) | ModelCGImpl | |
| extractT0Result(const QuantExt::RandomVariable &value) const =0 (defined in ModelCG) | ModelCG | pure virtual |
| fwdCompAvg(const bool isAvg, const std::string &indexInput, 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 BlackScholesCG) | BlackScholesCG | virtual |
| fxSpots_ (defined in BlackScholesCG) | BlackScholesCG | protected |
| fxSpotT0(const std::string &forCcy, const std::string &domCcy) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| g_ (defined in ModelCG) | ModelCG | protected |
| getDirectDiscountT0(const Date &paydate, const std::string ¤cy) const override (defined in BlackScholesCG) | BlackScholesCG | virtual |
| getDirectFxSpotT0(const std::string &forCcy, const std::string &domCcy) const override (defined in BlackScholesCG) | BlackScholesCG | virtual |
| getDiscount(const Size idx, const Date &s, const Date &t) const override (defined in BlackScholesCG) | BlackScholesCG | protectedvirtual |
| getFutureBarrierProb(const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const override (defined in BlackScholesCG) | BlackScholesCG | protectedvirtual |
| getFxSpot(const Size idx) const override (defined in BlackScholesCG) | BlackScholesCG | protectedvirtual |
| getIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in BlackScholesCG) | BlackScholesCG | protectedvirtual |
| getInfIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in BlackScholesCG) | BlackScholesCG | protectedvirtual |
| getInterpolationWeights(const QuantLib::Date &d, const std::set< Date > &knownDates) const (defined in ModelCG) | ModelCG | |
| getInterpolationWeights(const double t, const QuantLib::TimeGrid &knownTimes) const (defined in ModelCG) | ModelCG | |
| getIrIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in BlackScholesCG) | BlackScholesCG | protectedvirtual |
| iborFallbackConfig_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| indexCurrencies_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| indices_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| infIndices_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| irIndices_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| model_ (defined in BlackScholesCG) | BlackScholesCG | protected |
| ModelCG(const QuantLib::Size n) (defined in ModelCG) | ModelCG | |
| ModelCGImpl(const ModelCG::Type type, 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 QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig) (defined in ModelCGImpl) | ModelCGImpl | |
| modelParameters() const (defined in ModelCG) | ModelCG | |
| modelParameters_ (defined in ModelCG) | ModelCG | mutableprotected |
| npv(const std::size_t amount, const Date &obsdate, const std::size_t filter, const std::optional< long > &memSlot, const std::set< std::size_t > addRegressors, const std::optional< std::set< std::size_t > > &overwriteRegressors) const override (defined in BlackScholesCG) | BlackScholesCG | virtual |
| npvRegressors(const Date &obsdate, const std::optional< std::set< std::string > > &relevantCurrencies) const override (defined in BlackScholesCG) | BlackScholesCG | virtual |
| numeraire(const Date &s) const override (defined in BlackScholesCG) | BlackScholesCG | virtual |
| pay(const std::size_t amount, const Date &obsdate, const Date &paydate, const std::string ¤cy) const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| performCalculations() const override (defined in BlackScholesCG) | BlackScholesCG | protected |
| positionInTimeGrid_ (defined in BlackScholesCG) | BlackScholesCG | mutableprotected |
| randomVariates() const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| randomVariates_ (defined in ModelCGImpl) | ModelCGImpl | mutableprotected |
| referenceDate() const override (defined in BlackScholesCG) | BlackScholesCG | virtual |
| referenceDate_ (defined in BlackScholesCG) | BlackScholesCG | mutableprotected |
| resetNPVMem() (defined in ModelCG) | ModelCG | virtual |
| simulationDates_ (defined in BlackScholesCG) | BlackScholesCG | protected |
| size() const (defined in ModelCG) | ModelCG | virtual |
| timeGrid_ (defined in BlackScholesCG) | BlackScholesCG | mutableprotected |
| toggleTrainingPaths() const (defined in ModelCG) | ModelCG | virtual |
| trainingSamples() const (defined in ModelCG) | ModelCG | virtual |
| Type enum name (defined in ModelCG) | ModelCG | |
| type() const override (defined in ModelCGImpl) | ModelCGImpl | virtual |
| type_ (defined in ModelCGImpl) | ModelCGImpl | protected |
| underlyingPaths_ (defined in BlackScholesCG) | BlackScholesCG | mutableprotected |
| underlyingPathsCgVersion_ (defined in BlackScholesCG) | BlackScholesCG | mutableprotected |
| useStickyCloseOutDates(const bool b) const (defined in ModelCG) | ModelCG | virtual |
| ~ModelCG() (defined in ModelCG) | ModelCG | virtual |