BlackScholesCG Class Reference

Inheritance diagram for BlackScholesCG:

Public Member Functions
	BlackScholesCG (const ModelCG::Type type, const Size paths, 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 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={})
	BlackScholesCG (const ModelCG::Type type, const Size paths, 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 Date &	referenceDate () const override
std::size_t	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
std::set< std::size_t >	npvRegressors (const Date &obsdate, const std::optional< std::set< std::string > > &relevantCurrencies) const override
std::size_t	numeraire (const Date &s) const override
std::size_t	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
Real	getDirectFxSpotT0 (const std::string &forCcy, const std::string &domCcy) const override
Real	getDirectDiscountT0 (const Date &paydate, const std::string &currency) const override
Public Member Functions inherited from ModelCGImpl
	ModelCGImpl (const ModelCG::Type type, 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 QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig)
Real	actualTimeFromReference (const Date &d) const override
const std::string &	baseCcy () const override
const std::vector< std::string > &	currencies () const override
std::size_t	dt (const Date &d1, const Date &d2) const override
std::size_t	pay (const std::size_t amount, const Date &obsdate, const Date &paydate, const std::string &currency) const override
std::size_t	discount (const Date &obsdate, const Date &paydate, const std::string &currency) const override
std::size_t	eval (const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingMissingAsNull=false, const bool ignoreTodaysFixing=false) const override
std::size_t	fxSpotT0 (const std::string &forCcy, const std::string &domCcy) const override
std::size_t	barrierProbability (const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const override
Real	extractT0Result (const RandomVariable &value) const override
ModelCG::Type	type () const override
std::size_t	cgVersion () const override
const std::vector< std::vector< std::size_t > > &	randomVariates () const override
Public Member Functions inherited from ModelCG
	ModelCG (const QuantLib::Size n)
QuantLib::ext::shared_ptr< QuantExt::ComputationGraph >	computationGraph ()
virtual QuantLib::Size	size () const
virtual Size	trainingSamples () const
virtual void	toggleTrainingPaths () const
virtual void	useStickyCloseOutDates (const bool b) const
virtual Real	extractT0Result (const QuantExt::RandomVariable &value) const =0
virtual void	resetNPVMem ()
const std::map< std::string, QuantLib::ext::any > &	additionalResults () const
void	calculate () const override
std::set< ModelCG::ModelParameter > &	modelParameters () const
std::set< ModelCG::ModelParameter > &	cachedParameters () const
std::size_t	addModelParameter (const ModelCG::ModelParameter &p, const std::function< double(void)> &f) const
std::tuple< QuantLib::Date, QuantLib::Date, std::size_t, std::size_t >	getInterpolationWeights (const QuantLib::Date &d, const std::set< Date > &knownDates) const
std::tuple< std::size_t, std::size_t, std::size_t, std::size_t >	getInterpolationWeights (const double t, const QuantLib::TimeGrid &knownTimes) const

Protected Member Functions
void	performCalculations () const override
std::size_t	getIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override
std::size_t	getIrIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override
std::size_t	getInfIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override
std::size_t	getDiscount (const Size idx, const Date &s, const Date &t) const override
std::size_t	getFxSpot (const Size idx) const override
std::size_t	getFutureBarrierProb (const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const override
Protected Member Functions inherited from ModelCGImpl
void	performCalculations () const override

Protected Attributes
std::vector< Handle< YieldTermStructure > >	curves_
std::vector< Handle< Quote > >	fxSpots_
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_
Date	referenceDate_
std::set< Date >	effectiveSimulationDates_
TimeGrid	timeGrid_
std::vector< Size >	positionInTimeGrid_
std::map< Date, std::vector< std::size_t > >	underlyingPaths_
std::size_t	underlyingPathsCgVersion_ = 0
Protected Attributes inherited from ModelCGImpl
ModelCG::Type	type_
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_
std::vector< std::vector< size_t > >	randomVariates_
Protected Attributes inherited from ModelCG
std::map< std::string, QuantLib::ext::any >	additionalResults_
QuantLib::ext::shared_ptr< QuantExt::ComputationGraph >	g_
std::set< ModelCG::ModelParameter >	modelParameters_
std::set< ModelCG::ModelParameter >	cachedParameters_

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

Member Function Documentation

referenceDate()

const Date & referenceDate ( ) const

overridevirtual

Implements ModelCG.

npv()

std::size_t 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

overridevirtual

Implements ModelCG.

npvRegressors()

std::set< std::size_t > npvRegressors ( const Date & obsdate, const std::optional< std::set< std::string > > & relevantCurrencies ) const

overridevirtual

Implements ModelCG.

numeraire()

std::size_t numeraire ( const Date & s ) const

overridevirtual

Implements ModelCG.

fwdCompAvg()

std::size_t 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

overridevirtual

Implements ModelCG.

getDirectFxSpotT0()

Real getDirectFxSpotT0 ( const std::string & forCcy, const std::string & domCcy ) const

overridevirtual

Implements ModelCG.

getDirectDiscountT0()

Real getDirectDiscountT0 ( const Date & paydate, const std::string & currency ) const

overridevirtual

Implements ModelCG.

getIndexValue()

std::size_t getIndexValue ( const Size indexNo, const Date & d, const Date & fwd = Null< Date >() ) const

overrideprotectedvirtual

Implements ModelCGImpl.

getIrIndexValue()

std::size_t getIrIndexValue ( const Size indexNo, const Date & d, const Date & fwd = Null< Date >() ) const

overrideprotectedvirtual

Implements ModelCGImpl.

getInfIndexValue()

std::size_t getInfIndexValue ( const Size indexNo, const Date & d, const Date & fwd = Null< Date >() ) const

overrideprotectedvirtual

Implements ModelCGImpl.

getDiscount()

std::size_t getDiscount ( const Size idx, const Date & s, const Date & t ) const

overrideprotectedvirtual

Implements ModelCGImpl.

getFxSpot()

std::size_t getFxSpot ( const Size idx ) const

overrideprotectedvirtual

Implements ModelCGImpl.

getFutureBarrierProb()

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

overrideprotectedvirtual

Implements ModelCGImpl.