ModelImpl Class Reference

Inheritance diagram for ModelImpl:

Public Member Functions
	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)
virtual Size	size () const
virtual Size	trainingSamples () const
virtual void	toggleTrainingPaths () const
virtual const Date &	referenceDate () const =0
Real	timeFromReference (const Date &d) const
virtual RandomVariable	npv (const RandomVariable &amount, const Date &obsdate, const Filter &filter, const QuantLib::ext::optional< long > &memSlot, const RandomVariable &addRegressor1, const RandomVariable &addRegressor2) const =0
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 =0
virtual void	releaseMemory ()
virtual void	resetNPVMem ()
const std::map< std::string, QuantLib::ext::any > &	additionalResults () const

Protected Member Functions
virtual RandomVariable	getIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const =0
virtual RandomVariable	getIrIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const =0
virtual RandomVariable	getInfIndexValue (const Size indexNo, const Date &d, const Date &fwd) const =0
virtual RandomVariable	getDiscount (const Size idx, const Date &s, const Date &t) const =0
virtual RandomVariable	getNumeraire (const Date &s) const =0
virtual Real	getFxSpot (const Size idx) const =0
virtual RandomVariable	getFutureBarrierProb (const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const =0
Protected Member Functions inherited from Model
void	performCalculations () const override

Protected Attributes
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_

Additional Inherited Members
Public Types inherited from Model
enum class	Type { MC , FD }

Member Function Documentation

baseCcy()

const std::string & baseCcy ( ) const

overridevirtual

Implements Model.

dt()

Real dt ( const Date & d1, const Date & d2 ) const

overridevirtual

Reimplemented from 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.

eval()

RandomVariable eval ( const std::string & index, const Date & obsdate, const Date & fwddate, const bool returnMissingMissingAsNull = false, const bool ignoreTodaysFixing = false ) const

overridevirtual

Implements Model.

fxSpotT0()

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

extractT0Result()

Real extractT0Result ( const RandomVariable & value ) const

overridevirtual

Implements Model.

type()

Type type ( ) const

overridevirtual

Implements Model.

params()

const Params & params ( ) const

overridevirtual

Implements Model.