BlackScholesCGBase Class Reference

#include <ored/scripting/models/blackscholescgbase.hpp>

Inheritance diagram for BlackScholesCGBase:

Collaboration diagram for BlackScholesCGBase:

Public Member Functions
	BlackScholesCGBase (const Size paths, const std::vector< std::string > &currencies, const std::vector< Handle< YieldTermStructure > > &curves, const std::vector< Handle< Quote > > &fxSpots, const std::vector< std::pair< std::string, QuantLib::ext::shared_ptr< InterestRateIndex > > > &irIndices, const std::vector< std::pair< std::string, QuantLib::ext::shared_ptr< ZeroInflationIndex > > > &infIndices, const std::vector< std::string > &indices, const std::vector< std::string > &indexCurrencies, const Handle< BlackScholesModelWrapper > &model, const std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure > > &correlations, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig)
	BlackScholesCGBase (const Size paths, const std::string &currency, const Handle< YieldTermStructure > &curve, const std::string &index, const std::string &indexCurrency, const Handle< BlackScholesModelWrapper > &model, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig)
Type	type () const override
const Date &	referenceDate () const override
std::size_t	npv (const std::size_t amount, const Date &obsdate, const std::size_t filter, const boost::optional< long > &memSlot, const std::size_t addRegressor1, const std::size_t addRegressor2) const override
std::size_t	fwdCompAvg (const bool isAvg, const std::string &indexInput, const Date &obsdate, const Date &start, const Date &end, const Real spread, const Real gearing, const Integer lookback, const Natural rateCutoff, const Natural fixingDays, const bool includeSpread, const Real cap, const Real floor, const bool nakedOption, const bool localCapFloor) const override
Real	getDirectFxSpotT0 (const std::string &forCcy, const std::string &domCcy) const override
Real	getDirectDiscountT0 (const Date &paydate, const std::string &currency) const override
Public Member Functions inherited from ModelCGImpl
	ModelCGImpl (const DayCounter &dayCounter, const Size size, const std::vector< std::string > &currencies, const std::vector< std::pair< std::string, QuantLib::ext::shared_ptr< InterestRateIndex > > > &irIndices, const std::vector< std::pair< std::string, QuantLib::ext::shared_ptr< ZeroInflationIndex > > > &infIndices, const std::vector< std::string > &indices, const std::vector< std::string > &indexCurrencies, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig)
const std::string &	baseCcy () const override
std::size_t	dt (const Date &d1, const Date &d2) const override
std::size_t	pay (const std::size_t amount, const Date &obsdate, const Date &paydate, const std::string &currency) const override
std::size_t	discount (const Date &obsdate, const Date &paydate, const std::string &currency) const override
std::size_t	eval (const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingMissingAsNull=false, const bool ignoreTodaysFixing=false) const override
std::size_t	fxSpotT0 (const std::string &forCcy, const std::string &domCcy) const override
std::size_t	barrierProbability (const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const override
Real	extractT0Result (const RandomVariable &value) const override
std::size_t	cgVersion () const override
const std::vector< std::vector< std::size_t > > &	randomVariates () const override
std::vector< std::pair< std::size_t, double > >	modelParameters () const override
std::vector< std::pair< std::size_t, std::function< double(void)> > > &	modelParameterFunctors () const override
Public Member Functions inherited from ModelCG
	ModelCG (const QuantLib::Size n)
virtual	~ModelCG ()
QuantLib::ext::shared_ptr< QuantExt::ComputationGraph >	computationGraph ()
virtual Type	type () const =0
virtual QuantLib::Size	size () const
virtual Size	trainingSamples () const
virtual void	toggleTrainingPaths () const
virtual const Date &	referenceDate () const =0
virtual const std::string &	baseCcy () const =0
virtual std::size_t	dt (const Date &d1, const Date &d2) const
virtual std::size_t	pay (const std::size_t amount, const Date &obsdate, const Date &paydate, const std::string &currency) const =0
virtual std::size_t	discount (const Date &obsdate, const Date &paydate, const std::string &currency) const =0
virtual std::size_t	npv (const std::size_t amount, const Date &obsdate, const std::size_t filter, const boost::optional< long > &memSlot, const std::size_t addRegressor1, const std::size_t addRegressor2) const =0
virtual std::size_t	eval (const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingFixingAsNull=false, const bool ignoreTodaysFixing=false) const =0
virtual std::size_t	fwdCompAvg (const bool isAvg, const std::string &index, const Date &obsdate, const Date &start, const Date &end, const Real spread, const Real gearing, const Integer lookback, const Natural rateCutoff, const Natural fixingDays, const bool includeSpread, const Real cap, const Real floor, const bool nakedOption, const bool localCapFloor) const =0
virtual std::size_t	barrierProbability (const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const =0
virtual std::size_t	fxSpotT0 (const std::string &forCcy, const std::string &domCcy) const =0
virtual Real	extractT0Result (const QuantExt::RandomVariable &value) const =0
virtual void	resetNPVMem ()
const std::map< std::string, boost::any > &	additionalResults () const
virtual std::size_t	cgVersion () const =0
virtual const std::vector< std::vector< std::size_t > > &	randomVariates () const =0
virtual std::vector< std::pair< std::size_t, double > >	modelParameters () const =0
virtual std::vector< std::pair< std::size_t, std::function< double(void)> > > &	modelParameterFunctors () const =0
virtual Real	getDirectFxSpotT0 (const std::string &forCcy, const std::string &domCcy) const =0
virtual Real	getDirectDiscountT0 (const Date &paydate, const std::string &currency) const =0
void	calculate () const override

Protected Member Functions
void	performCalculations () const override
std::size_t	getIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override
std::size_t	getIrIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override
std::size_t	getInfIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override
std::size_t	getDiscount (const Size idx, const Date &s, const Date &t) const override
std::size_t	getNumeraire (const Date &s) const override
std::size_t	getFxSpot (const Size idx) const override
Protected Member Functions inherited from ModelCGImpl
virtual std::size_t	getIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const =0
virtual std::size_t	getIrIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const =0
virtual std::size_t	getInfIndexValue (const Size indexNo, const Date &d, const Date &fwd) const =0
virtual std::size_t	getDiscount (const Size idx, const Date &s, const Date &t) const =0
virtual std::size_t	getNumeraire (const Date &s) const =0
virtual std::size_t	getFxSpot (const Size idx) const =0
virtual std::size_t	getFutureBarrierProb (const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const =0
std::size_t	addModelParameter (const std::string &id, std::function< double(void)> f) const
void	performCalculations () const override

Protected Attributes
const std::vector< Handle< YieldTermStructure > >	curves_
const std::vector< Handle< Quote > >	fxSpots_
const Handle< BlackScholesModelWrapper >	model_
const std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure > >	correlations_
const std::vector< Date >	simulationDates_
Date	referenceDate_
std::set< Date >	effectiveSimulationDates_
TimeGrid	timeGrid_
std::vector< Size >	positionInTimeGrid_
std::map< Date, std::vector< std::size_t > >	underlyingPaths_
std::size_t	underlyingPathsCgVersion_ = 0
Protected Attributes inherited from ModelCGImpl
const DayCounter	dayCounter_
const std::vector< std::string >	currencies_
const std::vector< std::string >	indexCurrencies_
const std::set< Date >	simulationDates_
const IborFallbackConfig	iborFallbackConfig_
std::vector< std::pair< IndexInfo, QuantLib::ext::shared_ptr< InterestRateIndex > > >	irIndices_
std::vector< std::pair< IndexInfo, QuantLib::ext::shared_ptr< ZeroInflationIndex > > >	infIndices_
std::vector< IndexInfo >	indices_
std::vector< std::vector< size_t > >	randomVariates_
std::vector< std::pair< std::size_t, std::function< double(void)> > >	modelParameters_
Protected Attributes inherited from ModelCG
std::map< std::string, boost::any >	additionalResults_
QuantLib::ext::shared_ptr< QuantExt::ComputationGraph >	g_

Additional Inherited Members
Public Types inherited from ModelCG
enum class	Type { MC , FD }

Detailed Description

Definition at line 40 of file blackscholescgbase.hpp.

Constructor & Destructor Documentation

BlackScholesCGBase() [1/2]

BlackScholesCGBase	(	const Size	paths,
		const std::vector< std::string > &	currencies,
		const std::vector< Handle< YieldTermStructure > > &	curves,
		const std::vector< Handle< Quote > > &	fxSpots,
		const std::vector< std::pair< std::string, QuantLib::ext::shared_ptr< InterestRateIndex > > > &	irIndices,
		const std::vector< std::pair< std::string, QuantLib::ext::shared_ptr< ZeroInflationIndex > > > &	infIndices,
		const std::vector< std::string > &	indices,
		const std::vector< std::string > &	indexCurrencies,
		const Handle< BlackScholesModelWrapper > &	model,
		const std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure > > &	correlations,
		const std::set< Date > &	simulationDates,
		const IborFallbackConfig &	iborFallbackConfig
	)

Definition at line 49 of file blackscholescgbase.cpp.

    : ModelCGImpl(curves.at(0)->dayCounter(), paths, currencies, irIndices, infIndices, indices, indexCurrencies,
                  simulationDates, iborFallbackConfig),
      curves_(curves), fxSpots_(fxSpots), model_(model), correlations_(correlations) {
 
    // check inputs
 
    QL_REQUIRE(!model_.empty(), "model is empty");
    QL_REQUIRE(!curves_.empty(), "no curves given");
    QL_REQUIRE(currencies_.size() == curves_.size(), "number of currencies (" << currencies_.size()
                                                                              << ") does not match number of curves ("
                                                                              << curves_.size() << ")");
    QL_REQUIRE(currencies_.size() == fxSpots_.size() + 1,
               "number of currencies (" << currencies_.size() << ") does not match number of fx spots ("
                                        << fxSpots_.size() << ") + 1");
 
    QL_REQUIRE(indices_.size() == model_->processes().size(),
               "mismatch of processes size (" << model_->processes().size() << ") and number of indices ("
                                              << indices_.size() << ")");
 
    // register with observables
 
    for (auto const& o : fxSpots_)
        registerWith(o);
    for (auto const& o : correlations_)
        registerWith(o.second);
 
    registerWith(model_);
 
} // BlackScholesBase ctor

BlackScholesCGBase() [2/2]

BlackScholesCGBase	(	const Size	paths,
		const std::string &	currency,
		const Handle< YieldTermStructure > &	curve,
		const std::string &	index,
		const std::string &	indexCurrency,
		const Handle< BlackScholesModelWrapper > &	model,
		const std::set< Date > &	simulationDates,
		const IborFallbackConfig &	iborFallbackConfig
	)

Definition at line 41 of file blackscholescgbase.cpp.

    : BlackScholesCGBase(paths, {currency}, {curve}, {}, {}, {}, {index}, {indexCurrency}, model, {}, simulationDates,
                         iborFallbackConfig) {}

Member Function Documentation

type()

Type type ( ) const

overridevirtual

Implements ModelCG.

Definition at line 69 of file blackscholescgbase.hpp.

{ return Type::MC; }

referenceDate()

const Date & referenceDate ( ) const

overridevirtual

Implements ModelCG.

Definition at line 88 of file blackscholescgbase.cpp.

                                                    {
    calculate();
    return referenceDate_;
}

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npv()

std::size_t npv ( const std::size_t  amount, const Date &  obsdate, const std::size_t  filter, const boost::optional< long > &  memSlot, const std::size_t  addRegressor1, const std::size_t  addRegressor2  ) const

overridevirtual

Implements ModelCG.

Definition at line 260 of file blackscholescgbase.cpp.

                                                                         {
 
    calculate();
 
    QL_REQUIRE(!memSlot, "BlackScholesCGBase::npv() with memSlot not yet supported!");
 
    // if obsdate is today, take a plain expectation
 
    if (obsdate == referenceDate()) {
        return cg_conditionalExpectation(*g_, amount, {}, cg_const(*g_, 1.0));
    }
 
    // build the state
 
    std::vector<std::size_t> state;
 
    if (!underlyingPaths_.empty()) {
        for (auto const& r : underlyingPaths_.at(obsdate))
            state.push_back(r);
    }
 
    if (addRegressor1 != ComputationGraph::nan)
        state.push_back(addRegressor1);
    if (addRegressor2 != ComputationGraph::nan)
        state.push_back(addRegressor2);
 
    // if the state is empty, return the plain expectation (no conditioning)
 
    if(state.empty()) {
        return cg_conditionalExpectation(*g_, amount, {}, cg_const(*g_, 1.0));
    }
 
    // if a memSlot is given and coefficients are stored, we use them
    // TODO ...
 
    // otherwise compute coefficients and store them if a memSlot is given
    // TODO ...
 
    // compute conditional expectation and return the result
 
    return cg_conditionalExpectation(*g_, amount, state, filter);
}

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fwdCompAvg()

std::size_t fwdCompAvg ( const bool  isAvg, const std::string &  indexInput, const Date &  obsdate, const Date &  start, const Date &  end, const Real  spread, const Real  gearing, const Integer  lookback, const Natural  rateCutoff, const Natural  fixingDays, const bool  includeSpread, const Real  cap, const Real  floor, const bool  nakedOption, const bool  localCapFloor  ) const

overridevirtual

Implements ModelCG.

Definition at line 185 of file blackscholescgbase.cpp.

                                                                                                   {
    calculate();
    auto index = std::find_if(irIndices_.begin(), irIndices_.end(), comp(indexInput));
    QL_REQUIRE(index != irIndices_.end(),
               "BlackScholesCGBase::fwdCompAvg(): did not find ir index " << indexInput << " - this is unexpected.");
    auto on = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(index->second);
    QL_REQUIRE(on, "BlackScholesCGBase::fwdCompAvg(): expected on index for " << indexInput);
    // if we want to support cap / floors we need the OIS CF surface
    QL_REQUIRE(cap > 999998.0 && floor < -999998.0,
               "BlackScholesCGBase:fwdCompAvg(): cap (" << cap << ") / floor (" << floor << ") not supported");
    QuantLib::ext::shared_ptr<QuantLib::FloatingRateCoupon> coupon;
    QuantLib::ext::shared_ptr<QuantLib::FloatingRateCouponPricer> pricer;
    if (isAvg) {
        coupon = QuantLib::ext::make_shared<QuantExt::AverageONIndexedCoupon>(
            end, 1.0, start, end, on, gearing, spread, rateCutoff, on->dayCounter(), lookback * Days, fixingDays);
        pricer = QuantLib::ext::make_shared<AverageONIndexedCouponPricer>();
    } else {
        coupon = QuantLib::ext::make_shared<QuantExt::OvernightIndexedCoupon>(end, 1.0, start, end, on, gearing, spread, Date(),
                                                                      Date(), on->dayCounter(), false, includeSpread,
                                                                      lookback * Days, rateCutoff, fixingDays);
        pricer = QuantLib::ext::make_shared<OvernightIndexedCouponPricer>();
    }
    coupon->setPricer(pricer);
    std::string id = "__fwdCompAvg_" + std::to_string(g_->size());
    return addModelParameter(id, [coupon]() { return coupon->rate(); });
}

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getDirectFxSpotT0()

Real getDirectFxSpotT0 ( const std::string &  forCcy, const std::string &  domCcy  ) const

overridevirtual

Implements ModelCG.

Definition at line 238 of file blackscholescgbase.cpp.

                                                                                                 {
    auto c1 = std::find(currencies_.begin(), currencies_.end(), forCcy);
    auto c2 = std::find(currencies_.begin(), currencies_.end(), domCcy);
    QL_REQUIRE(c1 != currencies_.end(), "currency " << forCcy << " not handled");
    QL_REQUIRE(c2 != currencies_.end(), "currency " << domCcy << " not handled");
    Size cidx1 = std::distance(currencies_.begin(), c1);
    Size cidx2 = std::distance(currencies_.begin(), c2);
    Real fx = 1.0;
    if (cidx1 > 0)
        fx *= fxSpots_.at(cidx1 - 1)->value();
    if (cidx2 > 0)
        fx /= fxSpots_.at(cidx2 - 1)->value();
    return fx;
}

getDirectDiscountT0()

Real getDirectDiscountT0 ( const Date &  paydate, const std::string &  currency  ) const

overridevirtual

Implements ModelCG.

Definition at line 253 of file blackscholescgbase.cpp.

                                                                                                 {
    auto c = std::find(currencies_.begin(), currencies_.end(), currency);
    QL_REQUIRE(c != currencies_.end(), "currency " << currency << " not handled");
    Size cidx = std::distance(currencies_.begin(), c);
    return curves_.at(cidx)->discount(paydate);
}

performCalculations()

void performCalculations ( ) const

overrideprotected

Definition at line 93 of file blackscholescgbase.cpp.

                                                   {
 
    // needed for base class performCalculations()
 
    referenceDate_ = curves_.front()->referenceDate();
 
    // update cg version if necessary (eval date changed)
 
    ModelCGImpl::performCalculations();
 
    // if cg version has changed => update time grid related members and clear paths, so that they
    // are populated in derived classes
 
    if (cgVersion() != underlyingPathsCgVersion_) {
 
        // set up time grid
 
        effectiveSimulationDates_ = model_->effectiveSimulationDates();
 
        std::vector<Real> times;
        for (auto const& d : effectiveSimulationDates_) {
            times.push_back(curves_.front()->timeFromReference(d));
        }
 
        timeGrid_ = model_->discretisationTimeGrid();
        positionInTimeGrid_.resize(times.size());
        for (Size i = 0; i < positionInTimeGrid_.size(); ++i)
            positionInTimeGrid_[i] = timeGrid_.index(times[i]);
 
        underlyingPaths_.clear();
        underlyingPathsCgVersion_ = cgVersion();
    }
}

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getIndexValue()

std::size_t getIndexValue ( const Size  indexNo, const Date &  d, const Date &  fwd = Null<Date>()  ) const

overrideprotectedvirtual

Implements ModelCGImpl.

Definition at line 127 of file blackscholescgbase.cpp.

                                                                                                    {
    Date effFwd = fwd;
    if (indices_[indexNo].isComm()) {
        Date expiry = indices_[indexNo].comm(d)->expiryDate();
        // if a future is referenced we set the forward date effectively used below to the future's expiry date
        if (expiry != Date())
            effFwd = expiry;
        // if the future expiry is past the obsdate, we return the spot as of the obsdate, i.e. we
        // freeze the future value after its expiry, but keep it available for observation
        // TOOD should we throw an exception instead?
        effFwd = std::max(effFwd, d);
    }
    QL_REQUIRE(underlyingPaths_.find(d) != underlyingPaths_.end(), "did not find path for " << d);
    auto res = underlyingPaths_.at(d).at(indexNo);
    // compute forwarding factor
    if (effFwd != Null<Date>()) {
        auto p = model_->processes().at(indexNo);
        std::string idf = std::to_string(indexNo) + "_" + ore::data::to_string(effFwd);
        std::string idd = std::to_string(indexNo) + "_" + ore::data::to_string(d);
        std::size_t div_d = addModelParameter("__div_" + idd, [p, d]() { return p->dividendYield()->discount(d); });
        std::size_t div_f = addModelParameter("__div_" + idf, [p, effFwd]() { return p->dividendYield()->discount(effFwd); });
        std::size_t rfr_d = addModelParameter("__rfr_" + idd, [p, d]() { return p->riskFreeRate()->discount(d); });
        std::size_t rfr_f = addModelParameter("__rfr_" + idf, [p, effFwd]() { return p->riskFreeRate()->discount(effFwd); });
        res = cg_mult(*g_, res, cg_mult(*g_, div_f, cg_div(*g_, rfr_d, cg_mult(*g_, div_d, rfr_f))));
    }
    return res;
}

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getIrIndexValue()

std::size_t getIrIndexValue ( const Size  indexNo, const Date &  d, const Date &  fwd = Null<Date>()  ) const

overrideprotectedvirtual

Implements ModelCGImpl.

Definition at line 155 of file blackscholescgbase.cpp.

                                                                                                      {
    Date effFixingDate = d;
    if (fwd != Null<Date>())
        effFixingDate = fwd;
    // ensure a valid fixing date
    effFixingDate = irIndices_.at(indexNo).second->fixingCalendar().adjust(effFixingDate);
    auto index = irIndices_.at(indexNo).second;
    std::string id = "__irFix_" + index->name() + "_" + ore::data::to_string(effFixingDate);
    return addModelParameter(id, [index, effFixingDate]() { return index->fixing(effFixingDate); });
}

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getInfIndexValue()

std::size_t getInfIndexValue ( const Size  indexNo, const Date &  d, const Date &  fwd = Null<Date>()  ) const

overrideprotectedvirtual

Implements ModelCGImpl.

Definition at line 166 of file blackscholescgbase.cpp.

                                                                                                       {
    Date effFixingDate = d;
    if (fwd != Null<Date>())
        effFixingDate = fwd;
    auto index = infIndices_.at(indexNo).second;
    std::string id = "__infFix_" + index->name() + "_" + ore::data::to_string(effFixingDate);
    return addModelParameter(id, [index, effFixingDate]() { return index->fixing(effFixingDate); });
}

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getDiscount()

std::size_t getDiscount ( const Size  idx, const Date &  s, const Date &  t  ) const

overrideprotectedvirtual

Implements ModelCGImpl.

Definition at line 216 of file blackscholescgbase.cpp.

                                                                                            {
    std::string ids = "__curve_" + std::to_string(idx) + "_" + ore::data::to_string(s);
    std::string idt = "__curve_" + std::to_string(idx) + "_" + ore::data::to_string(t);
    auto c = curves_.at(idx);
    std::size_t ns = addModelParameter(ids, [c, s] { return c->discount(s); });
    std::size_t nt = addModelParameter(idt, [c, t] { return c->discount(t); });
    return cg_div(*g_, nt, ns);
}

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getNumeraire()

std::size_t getNumeraire ( const Date &  s ) const

overrideprotectedvirtual

Implements ModelCGImpl.

Definition at line 225 of file blackscholescgbase.cpp.

                                                              {
    std::string id = "__curve_0_" + ore::data::to_string(s);
    auto c = curves_.at(0);
    std::size_t ds = addModelParameter(id, [c, s] { return c->discount(s); });
    return cg_div(*g_, cg_const(*g_, 1.0), ds);
}

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getFxSpot()

std::size_t getFxSpot ( const Size  idx ) const

overrideprotectedvirtual

Implements ModelCGImpl.

Definition at line 232 of file blackscholescgbase.cpp.

                                                            {
    std::string id = "__fxspot_" + std::to_string(idx);
    auto c = fxSpots_.at(idx);
    return addModelParameter(id, [c] { return c->value(); });
}

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Member Data Documentation

curves_

const std::vector<Handle<YieldTermStructure> > curves_

protected

Definition at line 94 of file blackscholescgbase.hpp.

fxSpots_

const std::vector<Handle<Quote> > fxSpots_

protected

Definition at line 95 of file blackscholescgbase.hpp.

model_

const Handle<BlackScholesModelWrapper> model_

protected

Definition at line 96 of file blackscholescgbase.hpp.

correlations_

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

protected

Definition at line 97 of file blackscholescgbase.hpp.

simulationDates_

const std::vector<Date> simulationDates_

protected

Definition at line 98 of file blackscholescgbase.hpp.

referenceDate_

Date referenceDate_

mutableprotected

Definition at line 101 of file blackscholescgbase.hpp.

effectiveSimulationDates_

std::set<Date> effectiveSimulationDates_

mutableprotected

Definition at line 102 of file blackscholescgbase.hpp.

timeGrid_

TimeGrid timeGrid_

mutableprotected

Definition at line 103 of file blackscholescgbase.hpp.

positionInTimeGrid_

std::vector<Size> positionInTimeGrid_

mutableprotected

Definition at line 104 of file blackscholescgbase.hpp.

underlyingPaths_

std::map<Date, std::vector<std::size_t> > underlyingPaths_

mutableprotected

Definition at line 107 of file blackscholescgbase.hpp.

underlyingPathsCgVersion_

std::size_t underlyingPathsCgVersion_ = 0

mutableprotected

Definition at line 108 of file blackscholescgbase.hpp.