Fully annotated reference manual - version 1.8.12
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This is the complete list of members for GaussianCamCG, including all inherited members.
| additionalResults() const | ModelCG | |
| additionalResults_ | ModelCG | mutableprotected |
| addModelParameter(const std::string &id, std::function< double(void)> f) const | ModelCGImpl | protected |
| barrierProbability(const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const override | ModelCGImpl | virtual |
| baseCcy() const override | ModelCGImpl | virtual |
| calculate() const override | ModelCG | |
| cam_ | GaussianCamCG | protected |
| cgEvalDate_ | ModelCGImpl | mutableprivate |
| cgVersion() const override | ModelCGImpl | virtual |
| cgVersion_ | ModelCGImpl | mutableprivate |
| computationGraph() | ModelCG | |
| conditionalExpectationUseAsset_ | GaussianCamCG | mutableprotected |
| conditionalExpectationUseInf_ | GaussianCamCG | mutableprotected |
| conditionalExpectationUseIr_ | GaussianCamCG | mutableprotected |
| currencies_ | ModelCGImpl | protected |
| currencyPositionInCam_ | GaussianCamCG | mutableprotected |
| currencyPositionInProcess_ | GaussianCamCG | mutableprotected |
| curves_ | GaussianCamCG | protected |
| dayCounter_ | ModelCGImpl | protected |
| discount(const Date &obsdate, const Date &paydate, const std::string ¤cy) const override | ModelCGImpl | virtual |
| dt(const Date &d1, const Date &d2) const override | ModelCGImpl | virtual |
| effectiveSimulationDates_ | GaussianCamCG | mutableprotected |
| eqIndexInCam_ | GaussianCamCG | mutableprotected |
| eval(const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingMissingAsNull=false, const bool ignoreTodaysFixing=false) const override | ModelCGImpl | virtual |
| extractT0Result(const RandomVariable &value) const override | ModelCGImpl | virtual |
| 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 | GaussianCamCG | virtual |
| fxSpots_ | GaussianCamCG | protected |
| fxSpotT0(const std::string &forCcy, const std::string &domCcy) const override | ModelCGImpl | virtual |
| g_ | ModelCG | protected |
| GaussianCamCG(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 Size timeStepsPerYear=1, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), const std::vector< Size > &projectedStateProcessIndices={}, const std::vector< std::string > &conditionalExpectationModelStates={}, const bool sloppySimDates=false) | GaussianCamCG | |
| getDirectDiscountT0(const Date &paydate, const std::string ¤cy) const override | GaussianCamCG | virtual |
| getDirectFxSpotT0(const std::string &forCcy, const std::string &domCcy) const override | GaussianCamCG | virtual |
| getDiscount(const Size idx, const Date &s, const Date &t) const override | GaussianCamCG | protectedvirtual |
| getFutureBarrierProb(const std::string &index, const Date &obsdate1, const Date &obsdate2, const std::size_t barrier, const bool above) const override | GaussianCamCG | protectedvirtual |
| getFxSpot(const Size idx) const override | GaussianCamCG | protectedvirtual |
| getIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override | GaussianCamCG | protectedvirtual |
| getInfIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override | GaussianCamCG | protectedvirtual |
| 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 | ModelCGImpl | private |
| getIrIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override | GaussianCamCG | protectedvirtual |
| getNumeraire(const Date &s) const override | GaussianCamCG | protectedvirtual |
| iborFallbackConfig_ | ModelCGImpl | protected |
| indexCurrencies_ | ModelCGImpl | protected |
| indexPositionInProcess_ | GaussianCamCG | mutableprotected |
| indices_ | ModelCGImpl | protected |
| infIndexPositionInCam_ | GaussianCamCG | mutableprotected |
| infIndexPositionInProcess_ | GaussianCamCG | mutableprotected |
| infIndices_ | ModelCGImpl | protected |
| infStates_ | GaussianCamCG | mutableprotected |
| injectedPathIsRelevantTime_ | GaussianCamCG | protected |
| injectedPaths_ | GaussianCamCG | protected |
| injectedPathStickyCloseOutRun_ | GaussianCamCG | protected |
| injectedPathTimes_ | GaussianCamCG | protected |
| irIndexPositionInCam_ | GaussianCamCG | mutableprotected |
| irIndices_ | ModelCGImpl | protected |
| irStates_ | GaussianCamCG | mutableprotected |
| ModelCG(const QuantLib::Size n) | ModelCG | explicit |
| ModelCGImpl(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) | ModelCGImpl | |
| modelParameterFunctors() const override | ModelCGImpl | virtual |
| modelParameters() const override | ModelCGImpl | virtual |
| modelParameters_ | ModelCGImpl | mutableprotected |
| n_ | ModelCG | private |
| 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 | GaussianCamCG | virtual |
| overwriteModelSize_ | GaussianCamCG | protected |
| pay(const std::size_t amount, const Date &obsdate, const Date &paydate, const std::string ¤cy) const override | ModelCGImpl | virtual |
| performCalculations() const override | GaussianCamCG | protected |
| positionInTimeGrid_ | GaussianCamCG | mutableprotected |
| projectedStateProcessIndices_ | GaussianCamCG | protected |
| randomVariates() const override | ModelCGImpl | virtual |
| randomVariates_ | ModelCGImpl | mutableprotected |
| referenceDate() const override | GaussianCamCG | virtual |
| referenceDate_ | GaussianCamCG | mutableprotected |
| resetNPVMem() | ModelCG | virtual |
| simulationDates_ | ModelCGImpl | protected |
| size() const override | GaussianCamCG | virtual |
| sloppySimDates_ | GaussianCamCG | protected |
| timeGrid_ | GaussianCamCG | mutableprotected |
| timeStepsPerYear_ | GaussianCamCG | protected |
| toggleTrainingPaths() const | ModelCG | virtual |
| trainingSamples() const | ModelCG | virtual |
| type() const override | GaussianCamCG | virtual |
| Type enum name | ModelCG | |
| underlyingPaths_ | GaussianCamCG | mutableprotected |
| underlyingPathsCgVersion_ | GaussianCamCG | mutableprotected |
| ~ModelCG() | ModelCG | virtual |