ScriptedTradeEngineBuilder Member List

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

addAmcGridToContext(QuantLib::ext::shared_ptr< Context > &context) const (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
addDates_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
allowModelFallbacks_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
amcCam_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
amcCgModel_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
amcSimDates_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
amcStickyCloseOutDates_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
assetClassReplacement_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
ast_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
astCache_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
baseCcy_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
baseCcyModelCurve_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
baseCcyParam_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
bootstrapTolerance_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
buildAMCCGModel(const std::string &id, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig, const std::vector< std::string > &conditionalExpectationModelStates) (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
buildBlackScholes(const std::string &id, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig) (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
buildFdBlackScholes(const std::string &id, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig) (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
buildFdGaussianCam(const std::string &id, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig) (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
buildFdLocalVol(const std::string &id, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig) (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
buildGaussianCam(const std::string &id, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig, const std::vector< std::string > &conditionalExpectationModelStates) (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
buildGaussianCamAMC(const std::string &id, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig, const std::vector< std::string > &conditionalExpectationModelStates) (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
buildingAmc_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
buildingAmcCg_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
buildLocalVol(const std::string &id, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig) (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
calibrate_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
calibration_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
calibrationMoneyness_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
calibrationStrikes_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
clear() (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
commIndices_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
compileModelCcyList() (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
compileModelIndexLists() (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
compileSimulationAndAddDates() (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
configuration(const MarketContext &key) const	EngineBuilder
configurations_ (defined in EngineBuilder)	EngineBuilder	protected
continueOnCalibrationError_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
correlationCurve(const std::string &index1, const std::string &index2) const (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protectedvirtual
correlations_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
deriveProductClass(const std::vector< ScriptedTradeValueTypeData > &indices) (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
determineBaseCcy() (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
enforceBaseCcy_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
engine(const std::string &id, const ScriptedTrade &scriptedTrade, const QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager > &referenceData=nullptr, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig=QuantLib::ext::make_shared< IborFallbackConfig >(IborFallbackConfig::defaultConfig())) (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder
ore::data::EngineBuilder::engine() const	EngineBuilder
engine_ (defined in EngineBuilder)	EngineBuilder	protected
EngineBuilder(const string &model, const string &engine, const set< string > &tradeTypes)	EngineBuilder
engineFactory() const	EngineBuilder
engineFactory_ (defined in EngineBuilder)	EngineBuilder	protected
engineParam_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
engineParameter(const std::string &p, const std::vector< std::string > &qualifiers={}, const bool mandatory=true, const std::string &defaultValue="") const override	ScriptedTradeEngineBuilder	protectedvirtual
engineParameterOverwrite_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
engineParameters_ (defined in EngineBuilder)	EngineBuilder	protected
eqIndices_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
externalComputeDevice_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
externalDeviceCompatibilityMode_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
extractIndices(const QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager > &referenceData=nullptr) (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
extractPayCcys() (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
fixings() const (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder
fixings_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
fullDynamicFx_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
fullDynamicIr_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
fxIndices_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
getCommCcy(const IndexInfo &e) (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
getEqCcy(const IndexInfo &e) (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
getModelEngineQualifiers(const std::string &addQualifier={}) const (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
getParameter(const std::map< std::string, std::string > &m, const std::string &p, const std::vector< std::string > &qs, const bool mandatory, const std::string &defaultValue) const (defined in EngineBuilder)	EngineBuilder	protected
globalParameters() const	EngineBuilder
globalParameters_ (defined in EngineBuilder)	EngineBuilder	protected
gridCoarsening_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
includePastCashflows() const (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder
includePastCashflows_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
indicatorSmoothingForDerivatives_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
indicatorSmoothingForValues_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
infIndices_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
infModelType_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
init(EngineFactory *const engineFactory, const QuantLib::ext::shared_ptr< Market > market, const map< MarketContext, string > &configurations, const map< string, string > &modelParameters, const map< string, string > &engineParameters, const std::map< std::string, std::string > &globalParameters={})	EngineBuilder
interactive_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
irIndices_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
irReversions_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
lastRelevantDate() const (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder
lastRelevantDate_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
lastRelevantDateType() const (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder
lastRelevantDateType_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
market_ (defined in EngineBuilder)	EngineBuilder	protected
model() const	EngineBuilder
model_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
modelCcys_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
modelCG_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
modelCurves_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
modelFxSpots_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
modelIndices_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
modelIndicesCurrencies_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
modelInfIndices_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
modelIrIndices_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
modelParam_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
modelParameter(const std::string &p, const std::vector< std::string > &qualifiers={}, const bool mandatory=true, const std::string &defaultValue="") const override	ScriptedTradeEngineBuilder	protectedvirtual
modelParameterOverwrite_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
modelParameters_ (defined in EngineBuilder)	EngineBuilder	protected
modelSize_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
npvCurrency() const (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder
npvCurrency_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
params_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
payCcys_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
populateFixingsMap(const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig) (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
populateModelParameters() (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
processes_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
referenceCalibrationGrid_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
reset()	EngineBuilder	virtual
resolvedProductTag_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
scheduleProductClass() const (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder
scheduleProductClass_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
ScriptedTradeEngineBuilder()	ScriptedTradeEngineBuilder
ScriptedTradeEngineBuilder(const QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel > &amcCam, const std::vector< Date > &amcSimDates, const std::vector< Date > &amcStickyCloseOutDates)	ScriptedTradeEngineBuilder
ScriptedTradeEngineBuilder(const QuantLib::ext::shared_ptr< ore::data::ModelCG > &amcCgModel, const std::vector< Date > &amcSimDates)	ScriptedTradeEngineBuilder
sensitivityTemplate() const (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder
sensitivityTemplate_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
setLastRelevantDate() (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
setupBlackScholesProcesses() (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protectedvirtual
setupCalibrationStrikes(const ScriptedTradeScriptData &script, const QuantLib::ext::shared_ptr< Context > &context) (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
setupCorrelations() (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
setupIrReversions() (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
simmProductClass() const (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder
simmProductClass_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
simulationDates_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
staticAnalyser_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
staticNpvMem_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
timeStepsPerYear_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
tradeType_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
tradeTypes() const	EngineBuilder
tradeTypes_ (defined in EngineBuilder)	EngineBuilder	protected
useAd_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
useCg_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
useDoublePrecisionForExternalCalculation_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
useExternalComputeDevice_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
zeroVolatility_ (defined in ScriptedTradeEngineBuilder)	ScriptedTradeEngineBuilder	protected
~EngineBuilder()	EngineBuilder	virtual