blackscholescg.cpp File Reference

#include <ored/scripting/models/blackscholescg.hpp>
#include <ored/utilities/to_string.hpp>
#include <ored/model/utilities.hpp>
#include <qle/ad/computationgraph.hpp>
#include <qle/math/randomvariable_ops.hpp>
#include <ql/math/comparison.hpp>
#include <ql/math/matrixutilities/choleskydecomposition.hpp>
#include <ql/math/matrixutilities/symmetricschurdecomposition.hpp>

Go to the source code of this file.

Namespaces
namespace	ore
	Serializable Credit Default Swap.
namespace	ore::data

Variable Documentation

sqrtCov_

std::vector<Matrix> sqrtCov_

mutable

Definition at line 222 of file blackscholescg.cpp.

covariance_

std::vector<Matrix> covariance_

mutable

Definition at line 223 of file blackscholescg.cpp.

lastCovariance_

std::vector<Matrix> lastCovariance_

mutable

Definition at line 224 of file blackscholescg.cpp.

indices_

const std::vector<IndexInfo>& indices_

Definition at line 227 of file blackscholescg.cpp.

indexCurrencies_

const std::vector<std::string>& indexCurrencies_

Definition at line 228 of file blackscholescg.cpp.

correlations_

const std::map<std::pair<std::string, std::string>, Handle<QuantExt::CorrelationTermStructure> >& correlations_

Definition at line 229 of file blackscholescg.cpp.

effectiveSimulationDates_

const std::set<Date>& effectiveSimulationDates_

Definition at line 230 of file blackscholescg.cpp.

timeGrid_

const TimeGrid& timeGrid_

Definition at line 231 of file blackscholescg.cpp.

positionInTimeGrid_

const std::vector<Size>& positionInTimeGrid_

Definition at line 232 of file blackscholescg.cpp.

model_

const Handle<BlackScholesModelWrapper>& model_

Definition at line 233 of file blackscholescg.cpp.

calibrationStrikes_

const std::vector<Real> calibrationStrikes_

Definition at line 236 of file blackscholescg.cpp.

indexInput_

const std::string indexInput_

Definition at line 419 of file blackscholescg.cpp.