Fully annotated reference manual - version 1.8.12
Loading...
Searching...
No Matches
This is the complete list of members for GaussianCam, including all inherited members.
| additionalResults() const | Model | |
| additionalResults_ | Model | mutableprotected |
| barrierProbability(const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const override | ModelImpl | virtual |
| baseCcy() const override | ModelImpl | virtual |
| cam_ | GaussianCam | private |
| comIndexInCam_ | GaussianCam | mutableprivate |
| conditionalExpectationUseAsset_ | GaussianCam | mutableprivate |
| conditionalExpectationUseInf_ | GaussianCam | mutableprivate |
| conditionalExpectationUseIr_ | GaussianCam | mutableprivate |
| currencies_ | ModelImpl | protected |
| currencyPositionInCam_ | GaussianCam | mutableprivate |
| currencyPositionInProcess_ | GaussianCam | mutableprivate |
| curves_ | GaussianCam | private |
| dayCounter_ | ModelImpl | protected |
| discount(const Date &obsdate, const Date &paydate, const std::string ¤cy) const override | ModelImpl | virtual |
| dt(const Date &d1, const Date &d2) const override | ModelImpl | virtual |
| effectiveSimulationDates_ | GaussianCam | mutableprivate |
| eqIndexInCam_ | GaussianCam | mutableprivate |
| eval(const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingMissingAsNull=false, const bool ignoreTodaysFixing=false) const override | ModelImpl | virtual |
| extractT0Result(const RandomVariable &value) const override | ModelImpl | virtual |
| 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 | GaussianCam | virtual |
| fxSpots_ | GaussianCam | private |
| fxSpotT0(const std::string &forCcy, const std::string &domCcy) const override | ModelImpl | virtual |
| GaussianCam(const Handle< CrossAssetModel > &cam, const Size paths, const std::vector< std::string > ¤cies, 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 std::set< Date > &simulationDates, const McParams &mcParams, const Size timeStepsPerYear=1, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), const std::vector< Size > &projectedStateProcessIndices={}, const std::vector< std::string > &conditionalExpectationModelStates={}) | GaussianCam | |
| getDiscount(const Size idx, const Date &s, const Date &t) const override | GaussianCam | privatevirtual |
| getDiscount(const Size idx, const Date &s, const Date &t, const Handle< YieldTermStructure > &targetCurve) const | GaussianCam | private |
| getFutureBarrierProb(const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const override | GaussianCam | privatevirtual |
| getFxSpot(const Size idx) const override | GaussianCam | privatevirtual |
| getIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override | GaussianCam | privatevirtual |
| getInfIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override | GaussianCam | privatevirtual |
| getInflationIndexFixing(const bool returnMissingFixingAsNull, const std::string &indexInput, const QuantLib::ext::shared_ptr< ZeroInflationIndex > &infIndex, const Size indexNo, const Date &limDate, const Date &obsdate, const Date &fwddate, const Date &baseDate) const | ModelImpl | private |
| getIrIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override | GaussianCam | privatevirtual |
| getNumeraire(const Date &s) const override | GaussianCam | privatevirtual |
| iborFallbackConfig_ | ModelImpl | protected |
| indexCurrencies_ | ModelImpl | protected |
| indexPositionInProcess_ | GaussianCam | mutableprivate |
| indices_ | ModelImpl | protected |
| infIndexPositionInCam_ | GaussianCam | mutableprivate |
| infIndexPositionInProcess_ | GaussianCam | mutableprivate |
| infIndices_ | ModelImpl | protected |
| infStates_ | GaussianCam | mutableprivate |
| infStatesTraining_ | GaussianCam | mutableprivate |
| injectedPathRelevantPathIndexes_ | GaussianCam | private |
| injectedPathRelevantTimeIndexes_ | GaussianCam | private |
| injectedPaths_ | GaussianCam | private |
| injectedPathTimes_ | GaussianCam | private |
| injectPaths(const std::vector< QuantLib::Real > *pathTimes, const std::vector< std::vector< QuantExt::RandomVariable > > *paths, const std::vector< size_t > *pathIndexes, const std::vector< size_t > *timeIndexes) override | GaussianCam | virtual |
| inTrainingPhase_ | GaussianCam | mutableprivate |
| irIndexPositionInCam_ | GaussianCam | mutableprivate |
| irIndexValueCache_ | GaussianCam | mutableprivate |
| irIndices_ | ModelImpl | protected |
| irStates_ | GaussianCam | mutableprivate |
| irStatesTraining_ | GaussianCam | mutableprivate |
| mcParams_ | GaussianCam | private |
| Model(const Size n) | Model | explicit |
| ModelImpl(const DayCounter &dayCounter, const Size size, const std::vector< std::string > ¤cies, 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) | ModelImpl | |
| n_ | Model | private |
| npv(const RandomVariable &amount, const Date &obsdate, const Filter &filter, const boost::optional< long > &memSlot, const RandomVariable &addRegressor1, const RandomVariable &addRegressor2) const override | GaussianCam | virtual |
| overwriteModelSize_ | GaussianCam | private |
| pay(const RandomVariable &amount, const Date &obsdate, const Date &paydate, const std::string ¤cy) const override | ModelImpl | virtual |
| performCalculations() const override | GaussianCam | private |
| populatePathValues(const Size nSamples, std::map< Date, std::vector< RandomVariable > > &paths, std::map< Date, std::vector< RandomVariable > > &irStates, std::map< Date, std::vector< std::pair< RandomVariable, RandomVariable > > > &infStates, const std::vector< Real > ×, const bool isTraining) const | GaussianCam | private |
| positionInTimeGrid_ | GaussianCam | mutableprivate |
| projectedStateProcessIndices_ | GaussianCam | private |
| referenceDate() const override | GaussianCam | virtual |
| referenceDate_ | GaussianCam | mutableprivate |
| regressionVarianceCutoff_ | GaussianCam | private |
| releaseMemory() override | GaussianCam | virtual |
| resetNPVMem() override | GaussianCam | virtual |
| simulationDates_ | ModelImpl | protected |
| size() const override | GaussianCam | virtual |
| storedRegressionModel_ | GaussianCam | mutableprivate |
| timeFromReference(const Date &d) const | Model | |
| timeGrid_ | GaussianCam | mutableprivate |
| timeStepsPerYear_ | GaussianCam | private |
| toggleTrainingPaths() const override | GaussianCam | virtual |
| trainingSamples() const override | GaussianCam | virtual |
| type() const override | GaussianCam | virtual |
| Type enum name | Model | |
| underlyingPaths_ | GaussianCam | mutableprivate |
| underlyingPathsTraining_ | GaussianCam | mutableprivate |
| ~AmcModel() | AmcModel | virtual |
| ~Model() | Model | virtual |