Fully annotated reference manual - version 1.8.12
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#include <ql/errors.hpp>#include <ql/math/array.hpp>#include <ql/math/comparison.hpp>#include <ql/math/matrix.hpp>#include <ql/methods/montecarlo/lsmbasissystem.hpp>#include <ql/patterns/singleton.hpp>#include <ql/types.hpp>#include <ql/functional.hpp>#include <boost/timer/timer.hpp>#include <initializer_list>#include <vector>Go to the source code of this file.
Classes | |
| struct | RandomVariableStats |
| struct | Filter |
| struct | RandomVariable |
Namespaces | |
| namespace | QuantExt |
Enumerations | |
| enum class | RandomVariableRegressionMethod { QR , SVD } |
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) |
| 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) |
| 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 | 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) |
| void | checkTimeConsistency (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) |
| bool | isDeterministicAndZero (const RandomVariable &x) |
| std::vector< std::function< RandomVariable(const std::vector< const RandomVariable * > &)> > | multiPathBasisSystem (Size dim, Size order, QuantLib::LsmBasisSystem::PolynomialType type, Size basisSystemSizeBound) |