McCamFxForwardEngine Class Reference

Inheritance diagram for McCamFxForwardEngine:

Public Member Functions
	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)
void	calculate () const override
const Handle< CrossAssetModel > &	model () const
Public Member Functions inherited from McMultiLegBaseEngine
	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)
virtual	~McMultiLegBaseEngine ()
	Destructor.
void	calculate () const
QuantLib::ext::shared_ptr< AmcCalculator >	amcCalculator () const
virtual RandomVariable	overwritePathValueUndDirty (double t, const RandomVariable &pathValueUndDirty, const std::set< Real > &exerciseXvaTimes, const std::vector< std::vector< QuantExt::RandomVariable > > &paths) const
virtual bool	useOverwritePathValueUndDirty () const
void	generatePathValues (const std::vector< Real > &simulationTimes, std::vector< std::vector< RandomVariable > > &pathValues) const
void	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 > &regModelUndDirty, std::vector< RegressionModel > &regModelUndExInto, std::vector< RegressionModel > &regModelRebate, std::vector< RegressionModel > &regModelContinuationValue, std::vector< RegressionModel > &regModelOption, RandomVariable &pathValueUndDirty, RandomVariable &pathValueUndExInto, RandomVariable &pathValueOption) const
Real	time (const Date &d) const
CashflowInfo	createCashflowInfo (QuantLib::ext::shared_ptr< CashFlow > flow, const Currency &payCcy, bool payer, Size legNo, Size cfNo) const
Size	timeIndex (const Time t, const std::set< Real > &simulationTimes) const
RandomVariable	cashflowPathValue (const CashflowInfo &cf, const std::vector< std::vector< RandomVariable > > &pathValues, const std::set< Real > &simulationTimes) const

Additional Inherited Members
Public Types inherited from McMultiLegBaseEngine
enum	RegressorModel {   Simple , Lagged , LaggedIR , LaggedFX ,   LaggedEQ }
enum	VarGroupMode { Global , Trivial }
Public Attributes inherited from McMultiLegBaseEngine
std::vector< Leg >	leg_
std::vector< Currency >	currency_
std::vector< bool >	payer_
QuantLib::ext::shared_ptr< Exercise >	exercise_
Settlement::Type	optionSettlement_ = Settlement::Physical
std::vector< QuantLib::Date >	cashSettlementDates_
bool	exerciseIntoIncludeSameDayFlows_ = false
Handle< CrossAssetModel >	model_
SequenceType	calibrationPathGenerator_
SequenceType	pricingPathGenerator_
Size	calibrationSamples_
Size	pricingSamples_
Size	calibrationSeed_
Size	pricingSeed_
Size	polynomOrder_
LsmBasisSystem::PolynomialType	polynomType_
SobolBrownianGenerator::Ordering	ordering_
SobolRsg::DirectionIntegers	directionIntegers_
std::vector< Handle< YieldTermStructure > >	discountCurves_
std::vector< Date >	simulationDates_
std::vector< Date >	stickyCloseOutDates_
std::vector< Size >	externalModelIndices_
bool	minimalObsDate_
RegressorModel	regressorModel_
Real	regressionVarianceCutoff_
bool	recalibrateOnStickyCloseOutDates_
bool	reevaluateExerciseInStickyRun_
Size	cfOnCpnMaxSimTimes_
Period	cfOnCpnAddSimTimesCutoff_
Size	regressionMaxSimTimesIr_
Size	regressionMaxSimTimesFx_
Size	regressionMaxSimTimesEq_
VarGroupMode	regressionVarGroupMode_
bool	includeTodaysCashflows_
bool	includeReferenceDateEvents_
QuantLib::ext::shared_ptr< AmcCalculator >	amcCalculator_
Real	resultUnderlyingNpv_
Real	resultValue_
Date	today_
std::vector< LgmVectorised >	lgmVectorised_
Static Public Attributes inherited from McMultiLegBaseEngine
static constexpr Real	tinyTime = 1E-10