GaussianCamCG Class Reference

Inheritance diagram for GaussianCamCG:

Public Member Functions
	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)
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
QuantLib::Size	size () 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
void	useStickyCloseOutDates (const bool b) const override
const Handle< CrossAssetModel > &	cam () const
std::size_t	getInterpolatedUnderlyingPath (const Date &d, const Size indexNo) const
std::size_t	getInterpolatedIrState (const Date &d, const Size ccyIndex) const
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 Size	trainingSamples () const
virtual void	toggleTrainingPaths () 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
virtual std::size_t	getFutureBarrierProb (const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const override
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
Date	adjustForStickyCloseOut (const Date &d) const
Protected Member Functions inherited from ModelCGImpl
void	performCalculations () const override

Protected Attributes
Handle< CrossAssetModel >	cam_
std::vector< Handle< YieldTermStructure > >	curves_
std::vector< Handle< Quote > >	fxSpots_
Size	timeStepsPerYear_
std::vector< Size >	projectedStateProcessIndices_
std::vector< Date >	stickyCloseOutDates_
Date	referenceDate_
std::set< Date >	effectiveSimulationDates_
TimeGrid	timeGrid_
std::vector< Size >	positionInTimeGrid_
std::map< Date, std::vector< std::size_t > >	underlyingPaths_
std::map< Date, std::vector< std::size_t > >	irStates_
std::map< Date, std::vector< std::pair< std::size_t, std::size_t > > >	infStates_
std::vector< std::vector< std::size_t > >	underlyingPathsOnFullTimeGrid_
std::vector< std::vector< std::size_t > >	irStatesOnFullTimeGrid_
std::vector< std::vector< std::pair< std::size_t, std::size_t > > >	infStatesOnFullTimeGrid_
std::vector< Size >	indexPositionInProcess_
std::vector< Size >	infIndexPositionInProcess_
std::vector< Size >	currencyPositionInProcess_
std::vector< Size >	irIndexPositionInCam_
std::vector< Size >	infIndexPositionInCam_
std::vector< Size >	currencyPositionInCam_
std::vector< Size >	eqIndexInCam_
bool	conditionalExpectationUseIr_
bool	conditionalExpectationUseInf_
bool	conditionalExpectationUseAsset_
std::size_t	underlyingPathsCgVersion_ = 0
bool	useStickyCloseOutDates_ = false
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.

size()

QuantLib::Size size ( ) const

overridevirtual

Reimplemented from 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.

useStickyCloseOutDates()

void useStickyCloseOutDates ( const bool b ) const

overridevirtual

Reimplemented from ModelCG.

getFutureBarrierProb()

virtual 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.

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.