randomvariable.hpp File Reference

#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 * > &regressor, const Real varianceCutoff)
std::vector< RandomVariable >	applyCoordinateTransform (const std::vector< const RandomVariable * > &regressor, 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 * > &regressor, 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 * > &regressor, 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)