randomvariable_ops.hpp File Reference

ops for type randomvariable More...

#include <qle/math/randomvariable.hpp>
#include <qle/math/randomvariable_opcodes.hpp>
#include <ql/methods/montecarlo/lsmbasissystem.hpp>
#include <map>

Typedefs
using	RandomVariableOp = std::function<RandomVariable(const std::vector<const RandomVariable*>&, const Size)>
using	RandomVariableGrad
using	RandomVariableOpNodeRequirements = std::function<std::pair<std::vector<bool>, bool>(const std::size_t)>

Functions
RandomVariable	randomVariableOpConditionalExpectation (const Size size, const Size regressionOrder, QuantLib::LsmBasisSystem::PolynomialType polynomType, QuantLib::Real regressionVarianceCutoff, const std::set< std::set< std::size_t > > &regressorGroups, const bool usePythonIntegration, const std::vector< const RandomVariable * > &args)
std::vector< RandomVariableOp >	getRandomVariableOps (const Size size, const Size regressionOrder=2, const QuantLib::LsmBasisSystem::PolynomialType polynomType=QuantLib::LsmBasisSystem::Monomial, const double eps=0.0, QuantLib::Real regressionVarianceCutoff=Null< Real >(), const std::map< std::size_t, std::set< std::set< std::size_t > > > &regressorGroups={}, const bool usePythonIntegration=false)
std::vector< RandomVariableGrad >	getRandomVariableGradients (const Size size, const Size regressionOrder=2, const QuantLib::LsmBasisSystem::PolynomialType polynomType=QuantLib::LsmBasisSystem::Monomial, const double eps=0.2, QuantLib::Real regressionVarianceCutoff=Null< Real >())
std::vector< RandomVariableOpNodeRequirements >	getRandomVariableOpNodeRequirements ()
std::vector< bool >	getRandomVariableOpAllowsPredeletion ()

Detailed Description

ops for type randomvariable

Typedef Documentation

RandomVariableGrad

using RandomVariableGrad

Initial value:

 std::function<std::vector<RandomVariable>(const std::vector<const RandomVariable*>&,
                                                                     const RandomVariable*, const Size)>