LgmBackwardSolver Class Reference

Interface for LGM1F backward solver. More...

#include <qle/models/lgmbackwardsolver.hpp>

Inheritance diagram for LgmBackwardSolver:

Public Member Functions
virtual Size	gridSize () const =0
virtual RandomVariable	stateGrid (const Real t) const =0
virtual RandomVariable	rollback (const RandomVariable &v, const Real t1, const Real t0, Size steps=Null< Size >()) const =0
virtual const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &	model () const =0
virtual Size	timeStepsPerYear () const =0

Detailed Description

Interface for LGM1F backward solver.