DummyModel Class Reference

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

Inheritance diagram for DummyModel:

Collaboration diagram for DummyModel:

Public Member Functions
	DummyModel (const Size n)
Type	type () const override
RandomVariable	pay (const RandomVariable &amount, const Date &obsdate, const Date &paydate, const std::string &currency) const override
RandomVariable	discount (const Date &obsdate, const Date &paydate, const std::string &currency) const override
RandomVariable	npv (const RandomVariable &amount, const Date &obsdate, const Filter &filter, const boost::optional< long > &memSlot, const RandomVariable &addRegressor1, const RandomVariable &addRegressor2) const override
RandomVariable	eval (const std::string &index, const Date &obsdate, const Date &fwdDate, const bool returnMissingFixingAsNull, const bool ignoreTodaysFixing) const override
virtual RandomVariable	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 override
RandomVariable	barrierProbability (const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const override
Real	fxSpotT0 (const std::string &forCcy, const std::string &domCcy) const override
Real	extractT0Result (const RandomVariable &result) const override
const Date &	referenceDate () const override
const std::string &	baseCcy () const override
Public Member Functions inherited from Model
	Model (const Size n)
virtual	~Model ()
virtual Type	type () const =0
virtual 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 Real	dt (const Date &d1, const Date &d2) const
Real	timeFromReference (const Date &d) const
virtual RandomVariable	pay (const RandomVariable &amount, const Date &obsdate, const Date &paydate, const std::string &currency) const =0
virtual RandomVariable	discount (const Date &obsdate, const Date &paydate, const std::string &currency) const =0
virtual RandomVariable	npv (const RandomVariable &amount, const Date &obsdate, const Filter &filter, const boost::optional< long > &memSlot, const RandomVariable &addRegressor1, const RandomVariable &addRegressor2) const =0
virtual RandomVariable	eval (const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingFixingAsNull=false, const bool ignoreTodaysFixing=false) const =0
virtual RandomVariable	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 RandomVariable	barrierProbability (const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const =0
virtual Real	fxSpotT0 (const std::string &forCcy, const std::string &domCcy) const =0
virtual Real	extractT0Result (const RandomVariable &value) const =0
virtual void	releaseMemory ()
virtual void	resetNPVMem ()
const std::map< std::string, boost::any > &	additionalResults () const

Private Attributes
RandomVariable	dummyResult_

Additional Inherited Members
Public Types inherited from Model
enum class	Type { MC , FD }
Protected Member Functions inherited from Model
void	performCalculations () const override
Protected Attributes inherited from Model
std::map< std::string, boost::any >	additionalResults_

Detailed Description

Definition at line 31 of file dummymodel.hpp.

Constructor & Destructor Documentation

DummyModel()

DummyModel

(

const Size

n

)

Definition at line 33 of file dummymodel.hpp.

                             : Model(n) {
        dummyResult_ = RandomVariable(n, 0.0);
        dummyResult_.set(0, 1.0); // make the result stochastic
    }

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Member Function Documentation

type()

Type type ( ) const

overridevirtual

Implements Model.

Definition at line 37 of file dummymodel.hpp.

{ return Type::MC; }

pay()

RandomVariable pay ( const RandomVariable &  amount, const Date &  obsdate, const Date &  paydate, const std::string &  currency  ) const

overridevirtual

Implements Model.

Definition at line 38 of file dummymodel.hpp.

                                                                 {
        return dummyResult_;
    }

discount()

RandomVariable discount ( const Date &  obsdate, const Date &  paydate, const std::string &  currency  ) const

overridevirtual

Implements Model.

Definition at line 42 of file dummymodel.hpp.

                                                                                                                {
        return dummyResult_;
    }

npv()

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

overridevirtual

Implements Model.

Definition at line 45 of file dummymodel.hpp.

                                                                           {
        return dummyResult_;
    }

eval()

RandomVariable eval ( const std::string &  index, const Date &  obsdate, const Date &  fwdDate, const bool  returnMissingFixingAsNull, const bool  ignoreTodaysFixing  ) const

overridevirtual

Implements Model.

Definition at line 50 of file dummymodel.hpp.

                                                                                                            {
        return dummyResult_;
    }

fwdCompAvg()

virtual RandomVariable 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

overridevirtual

Implements Model.

Definition at line 54 of file dummymodel.hpp.

                                                                                                       {
        return dummyResult_;
    }

barrierProbability()

RandomVariable barrierProbability ( const std::string &  index, const Date &  obsdate1, const Date &  obsdate2, const RandomVariable &  barrier, const bool  above  ) const

overridevirtual

Implements Model.

Definition at line 61 of file dummymodel.hpp.

                                                                                                      {
        return dummyResult_;
    }

fxSpotT0()

Real fxSpotT0 ( const std::string &  forCcy, const std::string &  domCcy  ) const

overridevirtual

Implements Model.

Definition at line 65 of file dummymodel.hpp.

{ return 1.0; }

extractT0Result()

Real extractT0Result ( const RandomVariable &  result ) const

overridevirtual

Implements Model.

Definition at line 66 of file dummymodel.hpp.

{ return 0.0; }

referenceDate()

const Date & referenceDate ( ) const

overridevirtual

Implements Model.

Definition at line 67 of file dummymodel.hpp.

                                               {
        static const Date d;
        return d;
    }

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baseCcy()

const std::string & baseCcy ( ) const

overridevirtual

Implements Model.

Definition at line 71 of file dummymodel.hpp.

                                              {
        static const std::string b = "EUR";
        return b;
    }

Member Data Documentation

dummyResult_

RandomVariable dummyResult_

private

Definition at line 77 of file dummymodel.hpp.