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Fully annotated reference manual - version 1.8.12
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McMultiLegBaseEngine Member List

This is the complete list of members for McMultiLegBaseEngine, including all inherited members.

amcCalculator() constMcMultiLegBaseEngineprotected
amcCalculator_McMultiLegBaseEnginemutableprotected
calculate() constMcMultiLegBaseEngineprotected
calibrationPathGenerator_McMultiLegBaseEngineprotected
calibrationSamples_McMultiLegBaseEngineprotected
calibrationSeed_McMultiLegBaseEngineprotected
cashflowPathValue(const CashflowInfo &cf, const std::vector< std::vector< RandomVariable > > &pathValues, const std::set< Real > &simulationTimes) constMcMultiLegBaseEngineprivate
createCashflowInfo(QuantLib::ext::shared_ptr< CashFlow > flow, const Currency &payCcy, bool payer, Size legNo, Size cfNo) constMcMultiLegBaseEngineprivate
currency_McMultiLegBaseEnginemutableprotected
directionIntegers_McMultiLegBaseEngineprotected
discountCurves_McMultiLegBaseEngineprotected
exercise_McMultiLegBaseEnginemutableprotected
externalModelIndices_McMultiLegBaseEngineprotected
includeSettlementDateFlows_McMultiLegBaseEnginemutableprotected
LaggedFX enum valueMcMultiLegBaseEngine
leg_McMultiLegBaseEnginemutableprotected
lgmVectorised_McMultiLegBaseEnginemutableprivate
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 >())McMultiLegBaseEngineprotected
minimalObsDate_McMultiLegBaseEngineprotected
model_McMultiLegBaseEngineprotected
optionSettlement_McMultiLegBaseEnginemutableprotected
ordering_McMultiLegBaseEngineprotected
payer_McMultiLegBaseEnginemutableprotected
polynomOrder_McMultiLegBaseEngineprotected
polynomType_McMultiLegBaseEngineprotected
pricingPathGenerator_McMultiLegBaseEngineprotected
pricingSamples_McMultiLegBaseEngineprotected
pricingSeed_McMultiLegBaseEngineprotected
regressionVarianceCutoff_McMultiLegBaseEngineprotected
RegressorModel enum nameMcMultiLegBaseEngine
regressorModel_McMultiLegBaseEngineprotected
resultUnderlyingNpv_McMultiLegBaseEnginemutableprotected
resultValue_McMultiLegBaseEngineprotected
Simple enum valueMcMultiLegBaseEngine
simulationDates_McMultiLegBaseEngineprotected
time(const Date &d) constMcMultiLegBaseEngineprivate
timeIndex(const Time t, const std::set< Real > &simulationTimes) constMcMultiLegBaseEngineprivate
tinyTimeMcMultiLegBaseEngineprivatestatic
today_McMultiLegBaseEnginemutableprivate