LgmFdSolver Class Reference

Numerical FD solver for the LGM model. More...

#include <qle/models/lgmfdsolver.hpp>

Inheritance diagram for LgmFdSolver:

Public Member Functions
	LgmFdSolver (const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &model, const Real maxTime=50.0, const QuantLib::FdmSchemeDesc scheme=QuantLib::FdmSchemeDesc::Douglas(), const Size stateGridPoints=64, const Size timeStepsPerYear=24, const Real mesherEpsilon=1E-4)
Size	gridSize () const override
RandomVariable	stateGrid (const Real t) const override
RandomVariable	rollback (const RandomVariable &v, const Real t1, const Real t0, Size steps=Null< Size >()) const override
const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &	model () const override
Size	timeStepsPerYear () const override

Detailed Description

Numerical FD solver for the LGM model.

Member Function Documentation

gridSize()

Size gridSize ( ) const

overridevirtual

Implements LgmBackwardSolver.

stateGrid()

RandomVariable stateGrid ( const Real t ) const

overridevirtual

Implements LgmBackwardSolver.

rollback()

RandomVariable rollback ( const RandomVariable & v, const Real t1, const Real t0, Size steps = Null< Size >() ) const

overridevirtual

Implements LgmBackwardSolver.

model()

const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > & model ( ) const

overridevirtual

Implements LgmBackwardSolver.

timeStepsPerYear()

Size timeStepsPerYear ( ) const

overridevirtual

Implements LgmBackwardSolver.