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

Inheritance diagram for ModelImpl:

Collaboration diagram for ModelImpl:

Public Member Functions
	ModelImpl (const DayCounter &dayCounter, const Size size, const std::vector< std::string > &currencies, 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)

const std::string &	baseCcy () const override

Real	dt (const Date &d1, const Date &d2) 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	eval (const std::string &index, const Date &obsdate, const Date &fwddate, const bool returnMissingMissingAsNull=false, const bool ignoreTodaysFixing=false) const override

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

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

Real	extractT0Result (const RandomVariable &value) 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

Protected Member Functions
virtual RandomVariable	getIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const =0

virtual RandomVariable	getIrIndexValue (const Size indexNo, const Date &d, const Date &fwd=Null< Date >()) const =0

virtual RandomVariable	getInfIndexValue (const Size indexNo, const Date &d, const Date &fwd) const =0

virtual RandomVariable	getDiscount (const Size idx, const Date &s, const Date &t) const =0

virtual RandomVariable	getNumeraire (const Date &s) const =0

virtual Real	getFxSpot (const Size idx) const =0

virtual RandomVariable	getFutureBarrierProb (const std::string &index, const Date &obsdate1, const Date &obsdate2, const RandomVariable &barrier, const bool above) const =0

Protected Member Functions inherited from Model
void	performCalculations () const override

Protected Attributes
const DayCounter	dayCounter_

const std::vector< std::string >	currencies_

const std::vector< std::string >	indexCurrencies_

const std::set< Date >	simulationDates_

const IborFallbackConfig	iborFallbackConfig_

std::vector< std::pair< IndexInfo, QuantLib::ext::shared_ptr< InterestRateIndex > > >	irIndices_

std::vector< std::pair< IndexInfo, QuantLib::ext::shared_ptr< ZeroInflationIndex > > >	infIndices_

std::vector< IndexInfo >	indices_

Protected Attributes inherited from Model
std::map< std::string, boost::any >	additionalResults_

Private Member Functions
RandomVariable	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

Additional Inherited Members
Public Types inherited from Model
enum class	Type { MC , FD }

Detailed Description

Definition at line 44 of file modelimpl.hpp.

Constructor & Destructor Documentation

◆ ModelImpl()

ModelImpl	(	const DayCounter &	dayCounter,
		const Size	size,
		const std::vector< std::string > &	currencies,
		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
	)

Definition at line 35 of file modelimpl.cpp.

    : Model(size), dayCounter_(dayCounter), currencies_(currencies), indexCurrencies_(indexCurrencies),
      simulationDates_(simulationDates), iborFallbackConfig_(iborFallbackConfig) {
 
    // populate index vectors
 
    for (auto const& str : indices) {
        indices_.push_back(IndexInfo(str));
    }
 
    for (auto const& p : irIndices) {
        irIndices_.push_back(std::make_pair(IndexInfo(p.first), p.second));
    }
 
    for (auto const& p : infIndices) {
        infIndices_.push_back(std::make_pair(IndexInfo(p.first), p.second));
    }
 
    // check consistency of inputs
 
    QL_REQUIRE(indexCurrencies_.size() == indices_.size(), "mismatch of indexCurrencies (" << indexCurrencies_.size()
                                                                                           << ") and indices ("
                                                                                           << indices_.size() << ")");
 
    for (auto const& c : currencies_)
        QL_REQUIRE(!c.empty(), "empty currency string");
 
    // look for fx indices, check consistency with currencies and index currencies vectors
 
    for (Size i = 0; i < indices_.size(); ++i) {
        if (indices_[i].isFx()) {
            QL_REQUIRE(indices_[i].fx()->targetCurrency().code() == currencies_.front(),
                       "fx index domestic currency (" << indices_[i].fx()->targetCurrency().code()
                                                      << ") does not match base currency (" << currencies_.front()
                                                      << ")");
            QL_REQUIRE(indices_[i].fx()->sourceCurrency().code() == indexCurrencies_[i],
                       "fx index foreign currency (" << indices_[i].fx()->sourceCurrency().code()
                                                     << ") does not match index currency (" << indexCurrencies_[i]);
            auto ccy = std::find(currencies_.begin(), currencies_.end(), indexCurrencies_[i]);
            QL_REQUIRE(ccy != currencies_.end(),
                       "fx index foreign currency (" << indexCurrencies_[i] << ") not found in model currencies");
        }
    }
 
    // register with observables
 
    for (auto const& i : irIndices_)
        registerWith(i.second);
 
    for (auto const& i : infIndices_)
        registerWith(i.second);
 
    for (auto const& i : indices_) {
        if (i.isComm()) {
            for (auto const& d : simulationDates_)
                registerWith(i.index(d));
        } else
            registerWith(i.index());
    }
 
} // ModelImpl ctor

Member Function Documentation

◆ baseCcy()

const std::string & baseCcy ( ) const

overridevirtual

Implements Model.

Definition at line 72 of file modelimpl.hpp.

72{ return currencies_.front(); }

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◆ dt()

Real dt	(	const Date &	d1,
		const Date &	d2
	)		const

overridevirtual

Reimplemented from Model.

Definition at line 73 of file modelimpl.hpp.

73{ return dayCounter_.yearFraction(d1, d2); }

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◆ pay()

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

overridevirtual

Implements Model.

Definition at line 101 of file modelimpl.cpp.

                                                               {
    calculate();
 
    // result is as of max(obsdate, refDate) by definition of pay()
 
    Date effectiveDate = std::max(obsdate, referenceDate());
    auto c = std::find(currencies_.begin(), currencies_.end(), currency);
    QL_REQUIRE(c != currencies_.end(), "currency " << currency << " not handled");
    Size cidx = std::distance(currencies_.begin(), c);
 
    // do we have a dynamic fx underlying to convert to base at the effective date?
 
    RandomVariable fxSpot;
    for (Size i = 0; i < indexCurrencies_.size(); ++i) {
        if (indices_.at(i).isFx() && currency == indexCurrencies_[i]) {
            fxSpot = getIndexValue(i, effectiveDate);
            break;
        }
    }
 
    // if no we use the zero vol fx spot at the effective date
 
    if (!fxSpot.initialised()) {
        if (cidx > 0)
            fxSpot = RandomVariable(size(), getFxSpot(cidx - 1)) * getDiscount(cidx, referenceDate(), effectiveDate) /
                     getDiscount(0, referenceDate(), effectiveDate);
        else
            fxSpot = RandomVariable(size(), 1.0);
    }
 
    // discount from pay to obs date on ccy curve, convert to base ccy and divide by the numeraire
 
    return amount * getDiscount(cidx, effectiveDate, paydate) / getNumeraire(effectiveDate) * fxSpot;
}

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◆ discount()

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

overridevirtual

Implements Model.

Definition at line 137 of file modelimpl.cpp.

                                                                                                            {
    calculate();
    auto c = std::find(currencies_.begin(), currencies_.end(), currency);
    QL_REQUIRE(c != currencies_.end(), "currency " << currency << " not handled");
    Size cidx = std::distance(currencies_.begin(), c);
    return getDiscount(cidx, obsdate, paydate);
}

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◆ eval()

RandomVariable eval	(	const std::string &	index,
		const Date &	obsdate,
		const Date &	fwddate,
		const bool	returnMissingMissingAsNull = `false`,
		const bool	ignoreTodaysFixing = `false`
	)		const

overridevirtual

Implements Model.

Definition at line 181 of file modelimpl.cpp.

                                                                                                          {
    calculate();
 
    std::string index = indexInput;
    IndexInfo indexInfo(index);
 
    // 1 handle inflation indices
    QL_DEPRECATED_DISABLE_WARNING
    // Remove in later version, scripts should take care of interpolation
    if (indexInfo.isInf()) {
        auto inf = std::find_if(infIndices_.begin(), infIndices_.end(), comp(indexInput));
        QL_REQUIRE(inf != infIndices_.end(),
                   "ModelImpl::eval(): did not find inflation index '" << indexInput << "' in model index list.");
        Date baseDate = inf->second->zeroInflationTermStructure()->baseDate();
        Date effectiveFixingDate = fwddate != Null<Date>() ? fwddate : obsdate;
        std::pair<Date, Date> lim = inflationPeriod(effectiveFixingDate, inf->second->frequency());
        RandomVariable indexStart =
            getInflationIndexFixing(returnMissingFixingAsNull, indexInput, inf->second,
                                    std::distance(infIndices_.begin(), inf), lim.first, obsdate, fwddate, baseDate);
        // if the index is not interpolated we are done
        if (!indexInfo.inf()->interpolated()) {
            return indexStart;
        }
        ALOG("Interpolated Inflation Indices are deprecated, adjust your script to handle interpolation there");
        // otherwise we need to get a second value and interpolate as in ZeroInflationIndex
        RandomVariable indexEnd = getInflationIndexFixing(returnMissingFixingAsNull, indexInput, inf->second,
                                                          std::distance(infIndices_.begin(), inf), lim.second + 1,
                                                          obsdate, fwddate, baseDate);
        // this is not entirely correct, since we should use the days in the lagged period, but we don't know the lag
        return indexStart +
               (indexEnd - indexStart) * RandomVariable(size(), static_cast<Real>(effectiveFixingDate - lim.first) /
                                                                    static_cast<Real>(lim.second + 1 - lim.first));
    }
    QL_DEPRECATED_ENABLE_WARNING
    // 2 handle non-inflation indices
 
    // 2a handle historical fixings and today's fixings (if given as a historical fixing)
    // for fx indices try to get the fixing both from the straight and the inverse index
 
    if (fwddate == Null<Date>()) {
        if (obsdate < referenceDate() || (obsdate == referenceDate() && !ignoreTodaysFixing)) {
            if (indexInfo.irIborFallback(iborFallbackConfig_, referenceDate())) {
                // handle ibor fallback indices, they don't fit into the below treatment...
                auto ir = std::find_if(irIndices_.begin(), irIndices_.end(), comp(indexInput));
                if (ir != irIndices_.end()) {
                    return RandomVariable(size(),
                                          ir->second->fixing(ir->second->fixingCalendar().adjust(obsdate, Preceding)));
                } else {
                    QL_FAIL("ir (fallback ibor) index '" << indexInput
                                                         << "' not found in ir indices list, internal error.");
                }
            } else {
                // handle all other cases than ibor fallback indices
                QuantLib::ext::shared_ptr<Index> idx = indexInfo.index(obsdate);
                Real fixing = Null<Real>();
                try {
                    fixing = idx->fixing(idx->fixingCalendar().adjust(obsdate, Preceding));
                } catch (...) {
                }
                if (fixing != Null<Real>())
                    return RandomVariable(size(), fixing);
                else {
                    // for dates < refDate we are stuck now
                    if (obsdate != referenceDate()) {
                        if (returnMissingFixingAsNull)
                            return RandomVariable();
                        else {
                            QL_FAIL("missing "
                                    << idx->name() << " fixing for " << QuantLib::io::iso_date(obsdate)
                                    << " (adjusted fixing date = "
                                    << QuantLib::io::iso_date(idx->fixingCalendar().adjust(obsdate, Preceding)) << ")");
                        }
                    }
                }
            }
        }
    } else {
        // if fwd date is given, ensure we can project
        QL_REQUIRE(obsdate >= referenceDate(), "if fwd date is given ("
                                                   << QuantLib::io::iso_date(fwddate) << "), obsdate ("
                                                   << QuantLib::io::iso_date(obsdate) << ") must be >= refdate ("
                                                   << QuantLib::io::iso_date(referenceDate()) << ")");
    }
 
    // 2b handle fixings >= today (and fwd fixings, in which case we know fwddate > obsdate >= refdate)
 
    // 2b1 handle IR indices
 
    if (indexInfo.isIr()) {
        auto ir = std::find_if(irIndices_.begin(), irIndices_.end(), comp(indexInput));
        if (ir != irIndices_.end()) {
            RandomVariable res = getIrIndexValue(std::distance(irIndices_.begin(), ir), obsdate, fwddate);
            QL_REQUIRE(res.initialised(), "internal error: could not project "
                                              << ir->second->name() << " fixing for (obsdate/fwddate) = ("
                                              << QuantLib::io::iso_date(obsdate) << ","
                                              << QuantLib::io::iso_date(fwddate) << ")");
            return res;
        }
    }
 
    // 2b2 handle FX, EQ, COMM indices
 
    // if we have an FX index, we "normalise" the tag by GENERIC (since it does not matter for projections)
 
    if (indexInfo.isFx())
        indexInfo = IndexInfo("FX-GENERIC-" + indexInfo.fx()->sourceCurrency().code() + "-" +
                              indexInfo.fx()->targetCurrency().code());
 
    RandomVariable res;
    auto i = std::find(indices_.begin(), indices_.end(), indexInfo);
    if (i != indices_.end()) {
        // we have the index directly as an underlying
        res = getIndexValue(std::distance(indices_.begin(), i), obsdate, fwddate);
    } else {
        // if not, we can only try something else for FX indices
        QL_REQUIRE(indexInfo.isFx(), "ModelImpl::eval(): index " << index << " not handled");
        // is it a trivial fx index (CCY-CCY) or can we triangulate it?
        RandomVariable fx1(size(), 1.0), fx2(size(), 1.0);
        if (indexInfo.fx()->sourceCurrency() == indexInfo.fx()->targetCurrency()) {
            res = fx1;
            // no fwd correction required, if ccy1=ccy2 we have spot = fwd = 1
        } else {
            Size ind1 = Null<Size>(), ind2 = Null<Size>();
            for (Size i = 0; i < indexCurrencies_.size(); ++i) {
                if (indices_[i].isFx()) {
                    if (indexInfo.fx()->sourceCurrency().code() == indexCurrencies_[i])
                        ind1 = i;
                    if (indexInfo.fx()->targetCurrency().code() == indexCurrencies_[i])
                        ind2 = i;
                }
            }
            if (ind1 != Null<Size>()) {
                fx1 = getIndexValue(ind1, obsdate);
            }
            if (ind2 != Null<Size>()) {
                fx2 = getIndexValue(ind2, obsdate);
            }
            res = fx1 / fx2;
            if (fwddate != Null<Date>()) {
                auto ind1 = std::find(currencies_.begin(), currencies_.end(), indexInfo.fx()->sourceCurrency().code());
                auto ind2 = std::find(currencies_.begin(), currencies_.end(), indexInfo.fx()->targetCurrency().code());
                QL_REQUIRE(ind1 != currencies_.end(), "currency " << indexInfo.fx()->sourceCurrency().code()
                                                                  << " in index " << index << " not handled");
                QL_REQUIRE(ind2 != currencies_.end(), "currency " << indexInfo.fx()->targetCurrency().code()
                                                                  << " in index " << index << " not handled");
                res *= getDiscount(std::distance(currencies_.begin(), ind1), obsdate, fwddate) /
                       getDiscount(std::distance(currencies_.begin(), ind2), obsdate, fwddate);
            }
        }
    }
 
    return res;
}

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◆ fxSpotT0()

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

overridevirtual

Implements Model.

Definition at line 336 of file modelimpl.cpp.

                                                                               {
    auto c1 = std::find(currencies_.begin(), currencies_.end(), forCcy);
    auto c2 = std::find(currencies_.begin(), currencies_.end(), domCcy);
    QL_REQUIRE(c1 != currencies_.end(), "currency " << forCcy << " not handled");
    QL_REQUIRE(c2 != currencies_.end(), "currency " << domCcy << " not handled");
    Size cidx1 = std::distance(currencies_.begin(), c1);
    Size cidx2 = std::distance(currencies_.begin(), c2);
    Real fx = 1.0;
    if (cidx1 > 0)
        fx *= getFxSpot(cidx1 - 1);
    if (cidx2 > 0)
        fx /= getFxSpot(cidx2 - 1);
    return fx;
}

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◆ 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 351 of file modelimpl.cpp.

                                                                                                    {
 
    calculate();
 
    // determine the fixing calendar (assume that for commodity this is the same for different futures)
 
    IndexInfo ind(index);
    auto qlIndex = ind.index(obsdate1);
 
    // handle all dates < reference date here
 
    Filter barrierHit(barrier.size(), false);
    Date d = obsdate1;
    while (d < std::min(referenceDate(), obsdate2)) {
        if (qlIndex->fixingCalendar().isBusinessDay(d)) {
            RandomVariable f = eval(index, d, Null<Date>(), true);
            if (f.initialised()) {
                if (above) {
                    barrierHit = barrierHit || f >= barrier;
                } else {
                    barrierHit = barrierHit || f <= barrier;
                }
            } else {
                // lax check of historical fixings, since e.g. for equity underlyings
                // we can't expect to get the actual fixing calendar from index info
                // TODO can we improve this by using the correct calendars?
                TLOG("ignore missing fixing for " << qlIndex->name() << " on " << QuantLib::io::iso_date(d)
                                                  << " in ModelImpl::barrierProbability()");
            }
        }
        ++d;
    }
 
    RandomVariable barrierHitAsNumber = RandomVariable(barrierHit, 1.0, 0.0);
    if (obsdate2 < referenceDate()) {
        return barrierHitAsNumber;
    }
 
    // handle future part (call into derived classes, this is model dependent)
 
    RandomVariable res =
        getFutureBarrierProb(index, std::max<Date>(obsdate1, referenceDate()), obsdate2, barrier, above);
 
    // combine historical and future part and return result
 
    return applyInverseFilter(res, barrierHit) + barrierHitAsNumber;
}

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◆ extractT0Result()

Real extractT0Result ( const RandomVariable & value ) const

overridevirtual

Implements Model.

Definition at line 400 of file modelimpl.cpp.

400{ return expectation(value).at(0); }

value

SafeStack< ValueType > value

Definition: computationgraphbuilder.cpp:1478

QuantExt::expectation

RandomVariable expectation(const RandomVariable &r)

QuantExt::RandomVariable::at

Real at(const Size i) const

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◆ getIndexValue()

virtual RandomVariable getIndexValue	(	const Size	indexNo,
		const Date &	d,
		const Date &	fwd = `Null< Date >()`
	)		const

protectedpure virtual

Implemented in BlackScholesBase, FdBlackScholesBase, FdGaussianCam, and GaussianCam.

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◆ getIrIndexValue()

virtual RandomVariable getIrIndexValue	(	const Size	indexNo,
		const Date &	d,
		const Date &	fwd = `Null< Date >()`
	)		const

protectedpure virtual

Implemented in BlackScholesBase, FdBlackScholesBase, FdGaussianCam, and GaussianCam.

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◆ getInfIndexValue()

virtual RandomVariable getInfIndexValue	(	const Size	indexNo,
		const Date &	d,
		const Date &	fwd
	)		const

protectedpure virtual

Implemented in BlackScholesBase, FdBlackScholesBase, FdGaussianCam, and GaussianCam.

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◆ getDiscount()

virtual RandomVariable getDiscount	(	const Size	idx,
		const Date &	s,
		const Date &	t
	)		const

protectedpure virtual

Implemented in BlackScholesBase, FdBlackScholesBase, FdGaussianCam, and GaussianCam.

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◆ getNumeraire()

virtual RandomVariable getNumeraire ( const Date & s ) const

protectedpure virtual

Implemented in BlackScholesBase, FdBlackScholesBase, FdGaussianCam, and GaussianCam.

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◆ getFxSpot()

virtual Real getFxSpot ( const Size idx ) const

protectedpure virtual

Implemented in BlackScholesBase, FdBlackScholesBase, FdGaussianCam, and GaussianCam.

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◆ getFutureBarrierProb()

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

protectedpure virtual

Implemented in BlackScholes, FdBlackScholesBase, FdGaussianCam, GaussianCam, and LocalVol.

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◆ getInflationIndexFixing()

RandomVariable 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

private

Definition at line 155 of file modelimpl.cpp.

                                                                                                   {
    RandomVariable res(size());
    Real f = infIndex->timeSeries()[limDate];
    // we exclude historical fixings
    // - which are "impossible" to know (limDate > refDate)
    // - which have to be projected because a fwd date is given and they are later than the obsdate
    if (f != Null<Real>() && !(limDate > referenceDate()) && (fwddate == Null<Date>() || limDate <= obsdate)) {
        res = RandomVariable(size(), f);
    } else {
        Date effectiveObsDate = std::min(obsdate, limDate);
        if (effectiveObsDate >= baseDate) {
            res = getInfIndexValue(indexNo, effectiveObsDate, limDate);
        } else if (returnMissingFixingAsNull) {
            return RandomVariable();
        } else {
            QL_FAIL("missing " << indexInput << " fixing for " << QuantLib::io::iso_date(limDate) << " (obsdate="
                               << QuantLib::io::iso_date(obsdate) << ", fwddate=" << QuantLib::io::iso_date(fwddate)
                               << ", basedate=" << QuantLib::io::iso_date(baseDate) << ")");
        }
    }
    return res;
}

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Member Data Documentation

◆ dayCounter_

const DayCounter dayCounter_

protected

Definition at line 106 of file modelimpl.hpp.

◆ currencies_

const std::vector<std::string> currencies_

protected

Definition at line 107 of file modelimpl.hpp.

◆ indexCurrencies_

const std::vector<std::string> indexCurrencies_

protected

Definition at line 108 of file modelimpl.hpp.

◆ simulationDates_

const std::set<Date> simulationDates_

protected

Definition at line 109 of file modelimpl.hpp.

◆ iborFallbackConfig_

const IborFallbackConfig iborFallbackConfig_

protected

Definition at line 110 of file modelimpl.hpp.

◆ irIndices_

std::vector<std::pair<IndexInfo, QuantLib::ext::shared_ptr<InterestRateIndex> > > irIndices_

protected

Definition at line 112 of file modelimpl.hpp.

◆ infIndices_

std::vector<std::pair<IndexInfo, QuantLib::ext::shared_ptr<ZeroInflationIndex> > > infIndices_

protected

Definition at line 113 of file modelimpl.hpp.

◆ indices_

std::vector<IndexInfo> indices_

protected

Definition at line 114 of file modelimpl.hpp.

Public Member Functions

Protected Member Functions

Protected Attributes

Private Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ ModelImpl()

Member Function Documentation

◆ baseCcy()

◆ dt()

◆ pay()

◆ discount()

◆ eval()

◆ fxSpotT0()

◆ barrierProbability()

◆ extractT0Result()

◆ getIndexValue()

◆ getIrIndexValue()

◆ getInfIndexValue()

◆ getDiscount()

◆ getNumeraire()

◆ getFxSpot()

◆ getFutureBarrierProb()

◆ getInflationIndexFixing()

Member Data Documentation

◆ dayCounter_

◆ currencies_

◆ indexCurrencies_

◆ simulationDates_

◆ iborFallbackConfig_

◆ irIndices_

◆ infIndices_

◆ indices_