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

Inheritance diagram for ModelCG:

Collaboration diagram for ModelCG:

Public Types
enum class	Type { MC , FD }

Public Member Functions
	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 Attributes
std::map< std::string, boost::any >	additionalResults_

QuantLib::ext::shared_ptr< QuantExt::ComputationGraph >	g_

Private Member Functions
void	performCalculations () const override

Private Attributes
const QuantLib::Size	n_

Detailed Description

Definition at line 48 of file modelcg.hpp.

Member Enumeration Documentation

◆ Type

enum class Type

strong

Enumerator
MC
FD

Definition at line 50 of file modelcg.hpp.

50{ MC, FD };

ore::data::ModelCG::Type::MC

@ MC

ore::data::ModelCG::Type::FD

@ FD

Constructor & Destructor Documentation

◆ ModelCG()

ModelCG ( const QuantLib::Size n )

explicit

Definition at line 26 of file modelcg.cpp.

26: n_(n) { g_ = QuantLib::ext::make_shared<QuantExt::ComputationGraph>(); }

ore::data::ModelCG::g_

QuantLib::ext::shared_ptr< QuantExt::ComputationGraph > g_

Definition: modelcg.hpp:149

ore::data::ModelCG::n_

const QuantLib::Size n_

Definition: modelcg.hpp:155

◆ ~ModelCG()

virtual ~ModelCG ( )

virtual

Definition at line 53 of file modelcg.hpp.

53{}

Member Function Documentation

◆ computationGraph()

QuantLib::ext::shared_ptr< QuantExt::ComputationGraph > computationGraph ( )

Definition at line 56 of file modelcg.hpp.

56{ return g_; }

◆ type()

virtual Type type ( ) const

pure virtual

Implemented in BlackScholesCGBase, and GaussianCamCG.

◆ size()

virtual QuantLib::Size size ( ) const

virtual

Reimplemented in GaussianCamCG.

Definition at line 62 of file modelcg.hpp.

62{ return n_; }

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◆ trainingSamples()

virtual Size trainingSamples ( ) const

virtual

Definition at line 65 of file modelcg.hpp.

65{ return QuantLib::Null<Size>(); }

◆ toggleTrainingPaths()

virtual void toggleTrainingPaths ( ) const

virtual

Definition at line 69 of file modelcg.hpp.

69{}

◆ referenceDate()

virtual const Date & referenceDate ( ) const

pure virtual

Implemented in BlackScholesCGBase, and GaussianCamCG.

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◆ baseCcy()

virtual const std::string & baseCcy ( ) const

pure virtual

Implemented in ModelCGImpl.

◆ dt()

std::size_t dt	(	const Date &	d1,
		const Date &	d2
	)		const

virtual

Reimplemented in ModelCGImpl.

Definition at line 28 of file modelcg.cpp.

                                                          {
    return cg_const(*g_, QuantLib::ActualActual(QuantLib::ActualActual::ISDA).yearFraction(d1, d2));
}

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◆ pay()

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

pure virtual

Implemented in ModelCGImpl.

◆ discount()

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

pure virtual

Implemented in ModelCGImpl.

◆ npv()

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

pure virtual

Implemented in BlackScholesCGBase, and GaussianCamCG.

◆ eval()

virtual std::size_t eval	(	const std::string &	index,
		const Date &	obsdate,
		const Date &	fwddate,
		const bool	returnMissingFixingAsNull = `false`,
		const bool	ignoreTodaysFixing = `false`
	)		const

pure virtual

Implemented in ModelCGImpl.

◆ fwdCompAvg()

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

pure virtual

Implemented in BlackScholesCGBase, and GaussianCamCG.

◆ barrierProbability()

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

pure virtual

Implemented in ModelCGImpl.

◆ fxSpotT0()

virtual std::size_t fxSpotT0	(	const std::string &	forCcy,
		const std::string &	domCcy
	)		const

pure virtual

Implemented in ModelCGImpl.

◆ extractT0Result()

virtual Real extractT0Result ( const QuantExt::RandomVariable & value ) const

pure virtual

Implemented in ModelCGImpl.

◆ resetNPVMem()

virtual void resetNPVMem ( )

virtual

Definition at line 124 of file modelcg.hpp.

124{}

◆ additionalResults()

const std::map< std::string, boost::any > & additionalResults ( ) const

Definition at line 127 of file modelcg.hpp.

127{ return additionalResults_; }

ore::data::ModelCG::additionalResults_

std::map< std::string, boost::any > additionalResults_

Definition: modelcg.hpp:146

◆ cgVersion()

virtual std::size_t cgVersion ( ) const

pure virtual

Implemented in ModelCGImpl.

◆ randomVariates()

virtual const std::vector< std::vector< std::size_t > > & randomVariates ( ) const

pure virtual

Implemented in ModelCGImpl.

◆ modelParameters()

virtual std::vector< std::pair< std::size_t, double > > modelParameters ( ) const

pure virtual

Implemented in ModelCGImpl.

◆ modelParameterFunctors()

virtual std::vector< std::pair< std::size_t, std::function< double(void)> > > & modelParameterFunctors ( ) const

pure virtual

Implemented in ModelCGImpl.

◆ getDirectFxSpotT0()

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

pure virtual

Implemented in BlackScholesCGBase, and GaussianCamCG.

◆ getDirectDiscountT0()

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

pure virtual

Implemented in BlackScholesCGBase, and GaussianCamCG.

◆ calculate()

void calculate ( ) const

override

Definition at line 142 of file modelcg.hpp.

142{ LazyObject::calculate(); }

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◆ performCalculations()

void performCalculations ( ) const

overrideprivate

Definition at line 152 of file modelcg.hpp.

152{}

Member Data Documentation

◆ additionalResults_

std::map<std::string, boost::any> additionalResults_

mutableprotected

Definition at line 146 of file modelcg.hpp.

◆ g_

QuantLib::ext::shared_ptr<QuantExt::ComputationGraph> g_

protected

Definition at line 149 of file modelcg.hpp.

◆ n_

const QuantLib::Size n_

private

Definition at line 155 of file modelcg.hpp.

Public Types

Public Member Functions

Protected Attributes

Private Member Functions

Private Attributes

Detailed Description

Member Enumeration Documentation

◆ Type

Constructor & Destructor Documentation

◆ ModelCG()

◆ ~ModelCG()

Member Function Documentation

◆ computationGraph()

◆ type()

◆ size()

◆ trainingSamples()

◆ toggleTrainingPaths()

◆ referenceDate()

◆ baseCcy()

◆ dt()

◆ pay()

◆ discount()

◆ npv()

◆ eval()

◆ fwdCompAvg()

◆ barrierProbability()

◆ fxSpotT0()

◆ extractT0Result()

◆ resetNPVMem()

◆ additionalResults()

◆ cgVersion()

◆ randomVariates()

◆ modelParameters()

◆ modelParameterFunctors()

◆ getDirectFxSpotT0()

◆ getDirectDiscountT0()

◆ calculate()

◆ performCalculations()

Member Data Documentation

◆ additionalResults_

◆ g_

◆ n_