Reference manual - version qle_version
This is the complete list of members for McCamFxForwardEngine, including all inherited members.
| amcCalculator() const (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| amcCalculator_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | mutable |
| calculate() const override (defined in McCamFxForwardEngine) | McCamFxForwardEngine | |
| calculateModels(const std::set< Real > &simulationTimes, const std::set< Real > &exerciseXvaTimes, const std::set< Real > &exerciseTimes, const std::set< Real > &xvaTimes, const std::vector< CashflowInfo > &cashflowInfo, const std::vector< std::vector< RandomVariable > > &pathValues, const std::vector< std::vector< const RandomVariable * > > &pathValuesRef, std::vector< RegressionModel > ®ModelUndDirty, std::vector< RegressionModel > ®ModelUndExInto, std::vector< RegressionModel > ®ModelRebate, std::vector< RegressionModel > ®ModelContinuationValue, std::vector< RegressionModel > ®ModelOption, RandomVariable &pathValueUndDirty, RandomVariable &pathValueUndExInto, RandomVariable &pathValueOption) const (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| calibrationPathGenerator_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| calibrationSamples_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| calibrationSeed_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| cashflowPathValue(const CashflowInfo &cf, const std::vector< std::vector< RandomVariable > > &pathValues, const std::set< Real > &simulationTimes) const (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| cashSettlementDates_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | mutable |
| cfOnCpnAddSimTimesCutoff_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| cfOnCpnMaxSimTimes_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| createCashflowInfo(QuantLib::ext::shared_ptr< CashFlow > flow, const Currency &payCcy, bool payer, Size legNo, Size cfNo) const (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| currency_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | mutable |
| directionIntegers_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| discountCurves_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| exercise_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | mutable |
| exerciseIntoIncludeSameDayFlows_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | mutable |
| externalModelIndices_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| generatePathValues(const std::vector< Real > &simulationTimes, std::vector< std::vector< RandomVariable > > &pathValues) const (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| Global enum value (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| includeReferenceDateEvents_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | mutable |
| includeTodaysCashflows_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | mutable |
| Lagged enum value (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| LaggedEQ enum value (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| LaggedFX enum value (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| LaggedIR enum value (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| leg_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | mutable |
| lgmVectorised_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | mutable |
| McCamFxForwardEngine(const Handle< CrossAssetModel > &model, const Currency &domesticCcy, const Currency &foreignCcy, const Currency &npvCcy, const SequenceType calibrationPathGenerator, const SequenceType pricingPathGenerator, const Size calibrationSamples, const Size pricingSamples, const Size calibrationSeed, const Size pricingSeed, const Size polynomOrder, const LsmBasisSystem::PolynomialType polynomType, const SobolBrownianGenerator::Ordering ordering=SobolBrownianGenerator::Steps, const SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7, const std::vector< Handle< YieldTermStructure > > &discountCurves=std::vector< Handle< YieldTermStructure > >(), const std::vector< Date > &simulationDates=std::vector< Date >(), const std::vector< Date > &stickyCloseOutDates=std::vector< Date >(), const std::vector< Size > &externalModelIndices=std::vector< Size >(), const bool minimalObsDate=true, const RegressorModel regressorModel=RegressorModel::Simple, const Real regressionVarianceCutoff=Null< Real >(), const bool recalibrateOnStickyCloseOutDates=false, const bool reevaluateExerciseInStickyRun=false, const Size cfOnCpnMaxSimTimes=1, const Period &cfOnCpnAddSimTimesCutoff=Period(), const Size regressionMaxSimTimesIr=0, const Size regressionMaxSimTimesFx=0, const Size regressionMaxSimTimesEq=0, const VarGroupMode regressionVarGroupMode=VarGroupMode::Global) (defined in McCamFxForwardEngine) | McCamFxForwardEngine | |
| McMultiLegBaseEngine(const Handle< CrossAssetModel > &model, const SequenceType calibrationPathGenerator, const SequenceType pricingPathGenerator, const Size calibrationSamples, const Size pricingSamples, const Size calibrationSeed, const Size pricingSeed, const Size polynomOrder, const LsmBasisSystem::PolynomialType polynomType, const SobolBrownianGenerator::Ordering ordering, const SobolRsg::DirectionIntegers directionIntegers, const std::vector< Handle< YieldTermStructure > > &discountCurves=std::vector< Handle< YieldTermStructure > >(), const std::vector< Date > &simulationDates=std::vector< Date >(), const std::vector< Date > &stickyCloseOutDates=std::vector< Date >(), const std::vector< Size > &externalModelIndices=std::vector< Size >(), const bool minimalObsDate=true, const RegressorModel regressorModel=RegressorModel::Simple, const Real regressionVarianceCutoff=Null< Real >(), const bool recalibrateOnStickyCloseOutDates=false, const bool reevaluateExerciseInStickyRun=false, const Size cfOnCpnMaxSimTimes=1, const Period &cfOnCpnAddSimTimesCutoff=Period(), const Size regressionMaxSimTimesIr=0, const Size regressionMaxSimTimesFx=0, const Size regressionMaxSimTimesEq=0, const VarGroupMode regressionVarGroupMode=VarGroupMode::Global) | McMultiLegBaseEngine | |
| minimalObsDate_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| model() const (defined in McCamFxForwardEngine) | McCamFxForwardEngine | |
| model_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| optionSettlement_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | mutable |
| ordering_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| overwritePathValueUndDirty(double t, const RandomVariable &pathValueUndDirty, const std::set< Real > &exerciseXvaTimes, const std::vector< std::vector< QuantExt::RandomVariable > > &paths) const (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | virtual |
| payer_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | mutable |
| polynomOrder_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| polynomType_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| pricingPathGenerator_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| pricingSamples_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| pricingSeed_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| recalibrateOnStickyCloseOutDates_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| reevaluateExerciseInStickyRun_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| regressionMaxSimTimesEq_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| regressionMaxSimTimesFx_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| regressionMaxSimTimesIr_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| regressionVarGroupMode_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| regressionVarianceCutoff_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| RegressorModel enum name (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| regressorModel_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| resultUnderlyingNpv_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | mutable |
| resultValue_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| Simple enum value (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| simulationDates_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| stickyCloseOutDates_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| time(const Date &d) const (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| timeIndex(const Time t, const std::set< Real > &simulationTimes) const (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| tinyTime (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | static |
| today_ (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | mutable |
| Trivial enum value (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| useOverwritePathValueUndDirty() const (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | virtual |
| VarGroupMode enum name (defined in McMultiLegBaseEngine) | McMultiLegBaseEngine | |
| ~McMultiLegBaseEngine() | McMultiLegBaseEngine | virtual |