Analytic cc lgm fx option engine. More...

#include <qle/pricingengines/analyticcclgmfxoptionengine.hpp>

Inheritance diagram for AnalyticCcLgmFxOptionEngine:

Public Member Functions
	AnalyticCcLgmFxOptionEngine (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, const Size foreignCurrency)
void	calculate () const override
void	cache (bool enable=true)
Real	value (const Time t0, const Time t, const QuantLib::ext::shared_ptr< StrikedTypePayoff > payoff, const Real domesticDiscount, const Real fxForward) const
void	setSigmaShift (const Time t0, const Time t1, const Real shift) const
void	resetSigmaShift () const

Detailed Description

Analytic cc lgm fx option engine.

Member Function Documentation

◆ cache()

void cache ( bool enable = true )

if cache is enabled, the integrals independent of fx volatility are cached, which can speed up calibration; remember to flush the cache when the ir parameters change, this can be done by another call to cache

◆ value()

Real value	(	const Time	t0,
		const Time	t,
		const QuantLib::ext::shared_ptr< StrikedTypePayoff >	payoff,
		const Real	domesticDiscount,
		const Real	fxForward ) const

the actual option price calculation, exposed to public, since it is useful to directly use the core computation sometimes

◆ setSigmaShift()

void setSigmaShift	(	const Time	t0,
		const Time	t1,
		const Real	shift ) const

set a shift to be added to sigma for t in [t0, t1]

◆ resetSigmaShift()

void resetSigmaShift ( ) const