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