Fully annotated reference manual - version 1.8.12
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This is the complete list of members for McCamFxForwardEngine, including all inherited members.
| amcCalculator() const | McMultiLegBaseEngine | protected |
| amcCalculator_ | McMultiLegBaseEngine | mutableprotected |
| calculate() const override | McCamFxForwardEngine | |
| calibrationPathGenerator_ | McMultiLegBaseEngine | protected |
| calibrationSamples_ | McMultiLegBaseEngine | protected |
| calibrationSeed_ | McMultiLegBaseEngine | protected |
| cashflowPathValue(const CashflowInfo &cf, const std::vector< std::vector< RandomVariable > > &pathValues, const std::set< Real > &simulationTimes) const | McMultiLegBaseEngine | private |
| createCashflowInfo(QuantLib::ext::shared_ptr< CashFlow > flow, const Currency &payCcy, bool payer, Size legNo, Size cfNo) const | McMultiLegBaseEngine | private |
| currency_ | McMultiLegBaseEngine | mutableprotected |
| directionIntegers_ | McMultiLegBaseEngine | protected |
| discountCurves_ | McMultiLegBaseEngine | protected |
| domesticCcy_ | McCamFxForwardEngine | private |
| exercise_ | McMultiLegBaseEngine | mutableprotected |
| externalModelIndices_ | McMultiLegBaseEngine | protected |
| foreignCcy_ | McCamFxForwardEngine | private |
| includeSettlementDateFlows_ | McMultiLegBaseEngine | mutableprotected |
| LaggedFX enum value | McMultiLegBaseEngine | |
| leg_ | McMultiLegBaseEngine | mutableprotected |
| lgmVectorised_ | McMultiLegBaseEngine | mutableprivate |
| McCamFxForwardEngine(const Handle< CrossAssetModel > &model, const Currency &domesticCcy, const Currency &foreignCcy, const Currency &npvCcy, const SequenceType calibrationPathGenerator, const SequenceType pricingPathGenerator, const Size calibrationSamples, const Size pricingSamples, const Size calibrationSeed, const Size pricingSeed, const Size polynomOrder, const LsmBasisSystem::PolynomialType polynomType, const SobolBrownianGenerator::Ordering ordering=SobolBrownianGenerator::Steps, const SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7, const std::vector< Handle< YieldTermStructure > > &discountCurves=std::vector< Handle< YieldTermStructure > >(), const std::vector< Date > &simulationDates=std::vector< Date >(), const std::vector< Size > &externalModelIndices=std::vector< Size >(), const bool minimalObsDate=true, const RegressorModel regressorModel=RegressorModel::Simple, const Real regressionVarianceCutoff=Null< Real >()) | McCamFxForwardEngine | |
| McMultiLegBaseEngine(const Handle< CrossAssetModel > &model, const SequenceType calibrationPathGenerator, const SequenceType pricingPathGenerator, const Size calibrationSamples, const Size pricingSamples, const Size calibrationSeed, const Size pricingSeed, const Size polynomOrder, const LsmBasisSystem::PolynomialType polynomType, const SobolBrownianGenerator::Ordering ordering, const SobolRsg::DirectionIntegers directionIntegers, const std::vector< Handle< YieldTermStructure > > &discountCurves=std::vector< Handle< YieldTermStructure > >(), const std::vector< Date > &simulationDates=std::vector< Date >(), const std::vector< Size > &externalModelIndices=std::vector< Size >(), const bool minimalObsDate=true, const RegressorModel regressorModel=RegressorModel::Simple, const Real regressionVarianceCutoff=Null< Real >()) | McMultiLegBaseEngine | protected |
| minimalObsDate_ | McMultiLegBaseEngine | protected |
| model() const | McCamFxForwardEngine | |
| model_ | McMultiLegBaseEngine | protected |
| npvCcy_ | McCamFxForwardEngine | private |
| optionSettlement_ | McMultiLegBaseEngine | mutableprotected |
| ordering_ | McMultiLegBaseEngine | protected |
| payer_ | McMultiLegBaseEngine | mutableprotected |
| polynomOrder_ | McMultiLegBaseEngine | protected |
| polynomType_ | McMultiLegBaseEngine | protected |
| pricingPathGenerator_ | McMultiLegBaseEngine | protected |
| pricingSamples_ | McMultiLegBaseEngine | protected |
| pricingSeed_ | McMultiLegBaseEngine | protected |
| regressionVarianceCutoff_ | McMultiLegBaseEngine | protected |
| RegressorModel enum name | McMultiLegBaseEngine | |
| regressorModel_ | McMultiLegBaseEngine | protected |
| resultUnderlyingNpv_ | McMultiLegBaseEngine | mutableprotected |
| resultValue_ | McMultiLegBaseEngine | protected |
| Simple enum value | McMultiLegBaseEngine | |
| simulationDates_ | McMultiLegBaseEngine | protected |
| time(const Date &d) const | McMultiLegBaseEngine | private |
| timeIndex(const Time t, const std::set< Real > &simulationTimes) const | McMultiLegBaseEngine | private |
| tinyTime | McMultiLegBaseEngine | privatestatic |
| today_ | McMultiLegBaseEngine | mutableprivate |