DummyModel Class Reference

Inheritance diagram for DummyModel:

Public Member Functions
	DummyModel (const Size n)
Type	type () const override
const Params &	params () 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	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	eval (const std::string &index, const Date &obsdate, const Date &fwdDate, const bool returnMissingFixingAsNull, const bool ignoreTodaysFixing) const override
virtual 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
RandomVariable	barrierProbability (const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const override
Real	fxSpotT0 (const std::string &forCcy, const std::string &domCcy) const override
Real	extractT0Result (const RandomVariable &result) const override
const Date &	referenceDate () const override
const std::string &	baseCcy () const override
Public Member Functions inherited from Model
	Model (const Size n)
virtual Size	size () const
virtual Size	trainingSamples () const
virtual void	toggleTrainingPaths () const
virtual Real	dt (const Date &d1, const Date &d2) const
Real	timeFromReference (const Date &d) const
virtual void	releaseMemory ()
virtual void	resetNPVMem ()
const std::map< std::string, QuantLib::ext::any > &	additionalResults () const

Additional Inherited Members
Public Types inherited from Model
enum class	Type { MC , FD }
Protected Member Functions inherited from Model
void	performCalculations () const override
Protected Attributes inherited from Model
std::map< std::string, QuantLib::ext::any >	additionalResults_

Member Function Documentation

type()

Type type ( ) const

overridevirtual

Implements Model.

params()

const Params & params ( ) const

overridevirtual

Implements Model.

pay()

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

overridevirtual

Implements Model.

discount()

RandomVariable discount ( const Date & obsdate, const Date & paydate, const std::string & currency ) 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.

eval()

RandomVariable eval ( const std::string & index, const Date & obsdate, const Date & fwdDate, const bool returnMissingFixingAsNull, const bool ignoreTodaysFixing ) const

overridevirtual

Implements Model.

fwdCompAvg()

virtual 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.

barrierProbability()

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

overridevirtual

Implements Model.

fxSpotT0()

Real fxSpotT0 ( const std::string & forCcy, const std::string & domCcy ) const

overridevirtual

Implements Model.

extractT0Result()

Real extractT0Result ( const RandomVariable & result ) const

overridevirtual

Implements Model.

referenceDate()

const Date & referenceDate ( ) const

overridevirtual

Implements Model.

baseCcy()

const std::string & baseCcy ( ) const

overridevirtual

Implements Model.