Fully annotated reference manual - version 1.8.12
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This is the complete list of members for LocalVol, 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 |
| BlackScholesBase(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 Handle< BlackScholesModelWrapper > &model, const std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure > > &correlations, const McParams &mcParams, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig) | BlackScholesBase | |
| BlackScholesBase(const Size paths, const std::string ¤cy, const Handle< YieldTermStructure > &curve, const std::string &index, const std::string &indexCurrency, const Handle< BlackScholesModelWrapper > &model, const Model::McParams &mcParams, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig) | BlackScholesBase | |
| correlations_ | BlackScholesBase | protected |
| currencies_ | ModelImpl | protected |
| curves_ | BlackScholesBase | protected |
| 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_ | BlackScholesBase | mutableprotected |
| 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 | BlackScholesBase | virtual |
| fxSpots_ | BlackScholesBase | protected |
| fxSpotT0(const std::string &forCcy, const std::string &domCcy) const override | ModelImpl | virtual |
| getCorrelation() const | BlackScholesBase | protected |
| getDiscount(const Size idx, const Date &s, const Date &t) const override | BlackScholesBase | protectedvirtual |
| getFutureBarrierProb(const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const override | LocalVol | privatevirtual |
| getFxSpot(const Size idx) const override | BlackScholesBase | protectedvirtual |
| getIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override | BlackScholesBase | protectedvirtual |
| getInfIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override | BlackScholesBase | 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 | ModelImpl | private |
| getIrIndexValue(const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const override | BlackScholesBase | protectedvirtual |
| getNumeraire(const Date &s) const override | BlackScholesBase | protectedvirtual |
| iborFallbackConfig_ | ModelImpl | protected |
| indexCurrencies_ | ModelImpl | protected |
| indices_ | ModelImpl | protected |
| infIndices_ | ModelImpl | protected |
| inTrainingPhase_ | BlackScholesBase | mutableprotected |
| irIndices_ | ModelImpl | protected |
| LocalVol(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 Handle< BlackScholesModelWrapper > &model, const std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure > > &correlations, const McParams &mcparams, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig()) | LocalVol | |
| LocalVol(const Size paths, const std::string ¤cy, const Handle< YieldTermStructure > &curve, const std::string &index, const std::string &indexCurrency, const Handle< BlackScholesModelWrapper > &model, const McParams &mcparams, const std::set< Date > &simulationDates, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig()) | LocalVol | |
| mcParams_ | BlackScholesBase | protected |
| Model(const Size n) | Model | explicit |
| model_ | BlackScholesBase | protected |
| 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 | BlackScholesBase | virtual |
| pay(const RandomVariable &amount, const Date &obsdate, const Date &paydate, const std::string ¤cy) const override | ModelImpl | virtual |
| performCalculations() const override | LocalVol | private |
| populatePathValues(const Size nSamples, std::map< Date, std::vector< RandomVariable > > &paths, const QuantLib::ext::shared_ptr< MultiPathVariateGeneratorBase > &gen, const Matrix &correlation, const Matrix &sqrtCorr, const std::vector< Array > &deterministicDrift, const std::vector< Size > &eqComIdx, const std::vector< Real > &t, const std::vector< Real > &dt, const std::vector< Real > &sqrtdt) const | LocalVol | private |
| positionInTimeGrid_ | BlackScholesBase | mutableprotected |
| referenceDate() const override | BlackScholesBase | virtual |
| referenceDate_ | BlackScholesBase | mutableprotected |
| releaseMemory() override | BlackScholesBase | virtual |
| resetNPVMem() override | BlackScholesBase | virtual |
| simulationDates_ | BlackScholesBase | protected |
| size() const override | BlackScholesBase | virtual |
| storedRegressionModel_ | BlackScholesBase | mutableprotected |
| timeFromReference(const Date &d) const | Model | |
| timeGrid_ | BlackScholesBase | mutableprotected |
| toggleTrainingPaths() const override | BlackScholesBase | virtual |
| trainingSamples() const override | BlackScholesBase | virtual |
| type() const override | BlackScholesBase | virtual |
| Type enum name | Model | |
| underlyingPaths_ | BlackScholesBase | mutableprotected |
| underlyingPathsTraining_ | BlackScholesBase | mutableprotected |
| ~Model() | Model | virtual |