Model::McParams Struct Reference

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

Collaboration diagram for Model::McParams:

Public Member Functions
	McParams ()=default

Public Attributes
Size	seed = 42
Size	trainingSeed = 43
Size	trainingSamples = Null<Size>()
QuantExt::SequenceType	sequenceType = QuantExt::SequenceType::SobolBrownianBridge
QuantExt::SequenceType	trainingSequenceType = QuantExt::SequenceType::MersenneTwister
bool	externalDeviceCompatibilityMode = false
Size	regressionOrder = 2
QuantLib::LsmBasisSystem::PolynomialType	polynomType = QuantLib::LsmBasisSystem::PolynomialType::Monomial
QuantLib::SobolBrownianGenerator::Ordering	sobolOrdering = QuantLib::SobolBrownianGenerator::Steps
QuantLib::SobolRsg::DirectionIntegers	sobolDirectionIntegers = QuantLib::SobolRsg::DirectionIntegers::JoeKuoD7
QuantLib::Real	regressionVarianceCutoff = Null<QuantLib::Real>()

Detailed Description

Definition at line 49 of file model.hpp.

Constructor & Destructor Documentation

McParams()

McParams ( )

default

Member Data Documentation

seed

Size seed = 42

Definition at line 51 of file model.hpp.

trainingSeed

Size trainingSeed = 43

Definition at line 52 of file model.hpp.

trainingSamples

Size trainingSamples = Null<Size>()

Definition at line 53 of file model.hpp.

sequenceType

QuantExt::SequenceType sequenceType = QuantExt::SequenceType::SobolBrownianBridge

Definition at line 54 of file model.hpp.

trainingSequenceType

QuantExt::SequenceType trainingSequenceType = QuantExt::SequenceType::MersenneTwister

Definition at line 55 of file model.hpp.

externalDeviceCompatibilityMode

bool externalDeviceCompatibilityMode = false

Definition at line 56 of file model.hpp.

regressionOrder

Size regressionOrder = 2

Definition at line 57 of file model.hpp.

polynomType

QuantLib::LsmBasisSystem::PolynomialType polynomType = QuantLib::LsmBasisSystem::PolynomialType::Monomial

Definition at line 58 of file model.hpp.

sobolOrdering

QuantLib::SobolBrownianGenerator::Ordering sobolOrdering = QuantLib::SobolBrownianGenerator::Steps

Definition at line 59 of file model.hpp.

sobolDirectionIntegers

QuantLib::SobolRsg::DirectionIntegers sobolDirectionIntegers = QuantLib::SobolRsg::DirectionIntegers::JoeKuoD7

Definition at line 60 of file model.hpp.

regressionVarianceCutoff

QuantLib::Real regressionVarianceCutoff = Null<QuantLib::Real>()

Definition at line 61 of file model.hpp.