randomvariable_ops.hpp File Reference

ops for type randomvariable More...

#include <qle/math/randomvariable.hpp>
#include <qle/math/randomvariable_opcodes.hpp>
#include <ql/methods/montecarlo/lsmbasissystem.hpp>
#include <map>

Go to the source code of this file.

Namespaces
namespace	QuantExt

Typedefs
using	RandomVariableOp = std::function< RandomVariable(const std::vector< const RandomVariable * > &)>
using	RandomVariableGrad = std::function< std::vector< RandomVariable >(const std::vector< const RandomVariable * > &, const RandomVariable *)>
using	RandomVariableOpNodeRequirements = std::function< std::pair< std::vector< bool >, bool >(const std::size_t)>

Functions
std::vector< RandomVariableOp >	getRandomVariableOps (const Size size, const Size regressionOrder, QuantLib::LsmBasisSystem::PolynomialType polynomType, const double eps, QuantLib::Real regressionVarianceCutoff)
std::vector< RandomVariableGrad >	getRandomVariableGradients (const Size size, const Size regressionOrder=2, const QuantLib::LsmBasisSystem::PolynomialType polynomType=QuantLib::LsmBasisSystem::Monomial, const double eps=0.2, QuantLib::Real regressionVarianceCutoff=Null< Real >())
std::vector< RandomVariableOpNodeRequirements >	getRandomVariableOpNodeRequirements ()

Detailed Description

ops for type randomvariable

Definition in file randomvariable_ops.hpp.