GaussianCam Class Reference

Inheritance diagram for GaussianCam:

Public Member Functions
	GaussianCam (const Handle< CrossAssetModel > &cam, 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 std::set< Date > &simulationDates, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig=QuantLib::ext::make_shared< IborFallbackConfig >(IborFallbackConfig::defaultConfig()), const std::vector< Size > &projectedStateProcessIndices={}, const std::vector< std::string > &conditionalExpectationModelStates={}, const Params &params={}, const Size timeStepsPerYear=1)
const Date &	referenceDate () const override
Size	size () 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
void	injectPaths (const std::vector< QuantLib::Real > *pathTimes, const std::vector< std::vector< QuantExt::RandomVariable > > *paths, const std::vector< size_t > *pathIndexes, const std::vector< size_t > *timeIndexes) 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

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 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_

Member Function Documentation

referenceDate()

const Date & referenceDate ( ) const

overridevirtual

Implements Model.

size()

Size size ( ) const

overridevirtual

Reimplemented from 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.

injectPaths()

void injectPaths ( const std::vector< QuantLib::Real > * pathTimes, const std::vector< std::vector< QuantExt::RandomVariable > > * paths, const std::vector< size_t > * pathIndexes, const std::vector< size_t > * timeIndexes )

overridevirtual

Implements AmcModel.