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Reference manual - version ored_version
GaussianCamCG Member List

This is the complete list of members for GaussianCamCG, including all inherited members.

actualTimeFromReference(const Date &d) const override (defined in ModelCGImpl)ModelCGImplvirtual
additionalResults() const (defined in ModelCG)ModelCG
additionalResults_ (defined in ModelCG)ModelCGmutableprotected
addModelParameter(const ModelCG::ModelParameter &p, const std::function< double(void)> &f) const (defined in ModelCG)ModelCG
adjustForStickyCloseOut(const Date &d) const (defined in GaussianCamCG)GaussianCamCGprotected
barrierProbability(const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const override (defined in ModelCGImpl)ModelCGImplvirtual
baseCcy() const override (defined in ModelCGImpl)ModelCGImplvirtual
cachedParameters() const (defined in ModelCG)ModelCG
cachedParameters_ (defined in ModelCG)ModelCGmutableprotected
calculate() const override (defined in ModelCG)ModelCG
cam() const (defined in GaussianCamCG)GaussianCamCG
cam_ (defined in GaussianCamCG)GaussianCamCGprotected
cgVersion() const override (defined in ModelCGImpl)ModelCGImplvirtual
computationGraph() (defined in ModelCG)ModelCG
conditionalExpectationUseAsset_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
conditionalExpectationUseInf_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
conditionalExpectationUseIr_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
currencies() const override (defined in ModelCGImpl)ModelCGImplvirtual
currencies_ (defined in ModelCGImpl)ModelCGImplprotected
currencyPositionInCam_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
currencyPositionInProcess_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
curves_ (defined in GaussianCamCG)GaussianCamCGprotected
dayCounter_ (defined in ModelCGImpl)ModelCGImplprotected
discount(const Date &obsdate, const Date &paydate, const std::string &currency) const override (defined in ModelCGImpl)ModelCGImplvirtual
dt(const Date &d1, const Date &d2) const override (defined in ModelCGImpl)ModelCGImplvirtual
effectiveSimulationDates_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
eqIndexInCam_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
eval(const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingMissingAsNull=false, const bool ignoreTodaysFixing=false) const override (defined in ModelCGImpl)ModelCGImplvirtual
extractT0Result(const RandomVariable &value) const override (defined in ModelCGImpl)ModelCGImpl
extractT0Result(const QuantExt::RandomVariable &value) const =0 (defined in ModelCG)ModelCGpure 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 GaussianCamCG)GaussianCamCGvirtual
fxSpots_ (defined in GaussianCamCG)GaussianCamCGprotected
fxSpotT0(const std::string &forCcy, const std::string &domCcy) const override (defined in ModelCGImpl)ModelCGImplvirtual
g_ (defined in ModelCG)ModelCGprotected
GaussianCamCG(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 std::vector< Date > &stickyCloseOutDates={}, const Size timeStepsPerYear=1) (defined in GaussianCamCG)GaussianCamCG
getDirectDiscountT0(const Date &paydate, const std::string &currency) const override (defined in GaussianCamCG)GaussianCamCGvirtual
getDirectFxSpotT0(const std::string &forCcy, const std::string &domCcy) const override (defined in GaussianCamCG)GaussianCamCGvirtual
getDiscount(const Size idx, const Date &s, const Date &t) const override (defined in GaussianCamCG)GaussianCamCGprotectedvirtual
getFutureBarrierProb(const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const override (defined in GaussianCamCG)GaussianCamCGprotectedvirtual
getFxSpot(const Size idx) const override (defined in GaussianCamCG)GaussianCamCGprotectedvirtual
getIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in GaussianCamCG)GaussianCamCGprotectedvirtual
getInfIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override (defined in GaussianCamCG)GaussianCamCGprotectedvirtual
getInterpolatedIrState(const Date &d, const Size ccyIndex) const (defined in GaussianCamCG)GaussianCamCG
getInterpolatedUnderlyingPath(const Date &d, const Size indexNo) const (defined in GaussianCamCG)GaussianCamCG
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 GaussianCamCG)GaussianCamCGprotectedvirtual
iborFallbackConfig_ (defined in ModelCGImpl)ModelCGImplprotected
indexCurrencies_ (defined in ModelCGImpl)ModelCGImplprotected
indexPositionInProcess_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
indices_ (defined in ModelCGImpl)ModelCGImplprotected
infIndexPositionInCam_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
infIndexPositionInProcess_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
infIndices_ (defined in ModelCGImpl)ModelCGImplprotected
infStates_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
infStatesOnFullTimeGrid_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
irIndexPositionInCam_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
irIndices_ (defined in ModelCGImpl)ModelCGImplprotected
irStates_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
irStatesOnFullTimeGrid_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
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 > &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) (defined in ModelCGImpl)ModelCGImpl
modelParameters() const (defined in ModelCG)ModelCG
modelParameters_ (defined in ModelCG)ModelCGmutableprotected
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 GaussianCamCG)GaussianCamCGvirtual
npvRegressors(const Date &obsdate, const std::optional< std::set< std::string > > &relevantCurrencies) const override (defined in GaussianCamCG)GaussianCamCGvirtual
numeraire(const Date &s) const override (defined in GaussianCamCG)GaussianCamCGvirtual
pay(const std::size_t amount, const Date &obsdate, const Date &paydate, const std::string &currency) const override (defined in ModelCGImpl)ModelCGImplvirtual
performCalculations() const override (defined in GaussianCamCG)GaussianCamCGprotected
positionInTimeGrid_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
projectedStateProcessIndices_ (defined in GaussianCamCG)GaussianCamCGprotected
randomVariates() const override (defined in ModelCGImpl)ModelCGImplvirtual
randomVariates_ (defined in ModelCGImpl)ModelCGImplmutableprotected
referenceDate() const override (defined in GaussianCamCG)GaussianCamCGvirtual
referenceDate_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
resetNPVMem() (defined in ModelCG)ModelCGvirtual
simulationDates_ (defined in ModelCGImpl)ModelCGImplprotected
size() const override (defined in GaussianCamCG)GaussianCamCGvirtual
stickyCloseOutDates_ (defined in GaussianCamCG)GaussianCamCGprotected
timeGrid_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
timeStepsPerYear_ (defined in GaussianCamCG)GaussianCamCGprotected
toggleTrainingPaths() const (defined in ModelCG)ModelCGvirtual
trainingSamples() const (defined in ModelCG)ModelCGvirtual
Type enum name (defined in ModelCG)ModelCG
type() const override (defined in ModelCGImpl)ModelCGImplvirtual
type_ (defined in ModelCGImpl)ModelCGImplprotected
underlyingPaths_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
underlyingPathsCgVersion_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
underlyingPathsOnFullTimeGrid_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
useStickyCloseOutDates(const bool b) const override (defined in GaussianCamCG)GaussianCamCGvirtual
useStickyCloseOutDates_ (defined in GaussianCamCG)GaussianCamCGmutableprotected
~ModelCG() (defined in ModelCG)ModelCGvirtual
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