Fully annotated reference manual - version 1.8.12
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#include <qle/math/randomvariable.hpp>#include <qle/math/randomvariablelsmbasissystem.hpp>#include <ql/experimental/math/moorepenroseinverse.hpp>#include <ql/math/comparison.hpp>#include <ql/math/generallinearleastsquares.hpp>#include <ql/math/matrixutilities/qrdecomposition.hpp>#include <ql/math/matrixutilities/symmetricschurdecomposition.hpp>#include <boost/math/distributions/normal.hpp>#include <boost/accumulators/accumulators.hpp>#include <boost/accumulators/statistics/covariance.hpp>#include <boost/accumulators/statistics/mean.hpp>#include <boost/accumulators/statistics/stats.hpp>#include <boost/accumulators/statistics/variance.hpp>#include <boost/accumulators/statistics/variates/covariate.hpp>#include <iostream>#include <map>Go to the source code of this file.
Namespaces | |
| namespace | QuantExt |
Functions | |
| bool | operator== (const Filter &a, const Filter &b) |
| bool | operator!= (const Filter &a, const Filter &b) |
| Filter | operator&& (Filter x, const Filter &y) |
| Filter | operator|| (Filter x, const Filter &y) |
| Filter | equal (Filter x, const Filter &y) |
| Filter | operator! (Filter x) |
| void | checkTimeConsistency (const RandomVariable &x, const RandomVariable &y) |
| bool | operator== (const RandomVariable &a, const RandomVariable &b) |
| bool | operator!= (const RandomVariable &a, const RandomVariable b) |
| RandomVariable | operator+ (RandomVariable x, const RandomVariable &y) |
| RandomVariable | operator- (RandomVariable x, const RandomVariable &y) |
| RandomVariable | operator* (RandomVariable x, const RandomVariable &y) |
| RandomVariable | operator/ (RandomVariable x, const RandomVariable &y) |
| RandomVariable | max (RandomVariable x, const RandomVariable &y) |
| RandomVariable | min (RandomVariable x, const RandomVariable &y) |
| RandomVariable | pow (RandomVariable x, const RandomVariable &y) |
| RandomVariable | operator- (RandomVariable x) |
| RandomVariable | abs (RandomVariable x) |
| RandomVariable | exp (RandomVariable x) |
| RandomVariable | log (RandomVariable x) |
| RandomVariable | sqrt (RandomVariable x) |
| RandomVariable | sin (RandomVariable x) |
| RandomVariable | cos (RandomVariable x) |
| RandomVariable | normalCdf (RandomVariable x) |
| RandomVariable | normalPdf (RandomVariable x) |
| Filter | close_enough (const RandomVariable &x, const RandomVariable &y) |
| bool | close_enough_all (const RandomVariable &x, const RandomVariable &y) |
| RandomVariable | conditionalResult (const Filter &f, RandomVariable x, const RandomVariable &y) |
| RandomVariable | indicatorEq (RandomVariable x, const RandomVariable &y, const Real trueVal, const Real falseVal) |
| RandomVariable | indicatorGt (RandomVariable x, const RandomVariable &y, const Real trueVal, const Real falseVal, const Real eps) |
| RandomVariable | indicatorGeq (RandomVariable x, const RandomVariable &y, const Real trueVal, const Real falseVal, const Real eps) |
| Filter | operator< (const RandomVariable &x, const RandomVariable &y) |
| Filter | operator<= (const RandomVariable &x, const RandomVariable &y) |
| Filter | operator> (const RandomVariable &x, const RandomVariable &y) |
| Filter | operator>= (const RandomVariable &x, const RandomVariable &y) |
| RandomVariable | applyFilter (RandomVariable x, const Filter &f) |
| RandomVariable | applyInverseFilter (RandomVariable x, const Filter &f) |
| Matrix | pcaCoordinateTransform (const std::vector< const RandomVariable * > ®ressor, const Real varianceCutoff) |
| std::vector< RandomVariable > | applyCoordinateTransform (const std::vector< const RandomVariable * > ®ressor, const Matrix &transform) |
| std::vector< const RandomVariable * > | vec2vecptr (const std::vector< RandomVariable > &values) |
| Array | regressionCoefficients (RandomVariable r, std::vector< const RandomVariable * > regressor, const std::vector< std::function< RandomVariable(const std::vector< const RandomVariable * > &)> > &basisFn, const Filter &filter, const RandomVariableRegressionMethod regressionMethod, const std::string &debugLabel) |
| RandomVariable | conditionalExpectation (const std::vector< const RandomVariable * > ®ressor, const std::vector< std::function< RandomVariable(const std::vector< const RandomVariable * > &)> > &basisFn, const Array &coefficients) |
| RandomVariable | conditionalExpectation (const RandomVariable &r, const std::vector< const RandomVariable * > ®ressor, const std::vector< std::function< RandomVariable(const std::vector< const RandomVariable * > &)> > &basisFn, const Filter &filter, const RandomVariableRegressionMethod regressionMethod) |
| RandomVariable | expectation (const RandomVariable &r) |
| RandomVariable | variance (const RandomVariable &r) |
| RandomVariable | covariance (const RandomVariable &r, const RandomVariable &s) |
| RandomVariable | black (const RandomVariable &omega, const RandomVariable &t, const RandomVariable &strike, const RandomVariable &forward, const RandomVariable &impliedVol) |
| RandomVariable | indicatorDerivative (const RandomVariable &x, const double eps) |
| std::vector< std::function< RandomVariable(const std::vector< const RandomVariable * > &)> > | multiPathBasisSystem (Size dim, Size order, QuantLib::LsmBasisSystem::PolynomialType type, Size basisSystemSizeBound) |