LgmImpliedYieldTermStructure Class Reference

Lgm Implied Yield Term Structure. More...

#include <qle/models/lgmimpliedyieldtermstructure.hpp>

Inheritance diagram for LgmImpliedYieldTermStructure:

Public Member Functions
	LgmImpliedYieldTermStructure (const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &model, const DayCounter &dc=DayCounter(), const bool purelyTimeBased=false, const bool cacheValues=false)
Date	maxDate () const override
Time	maxTime () const override
const Date &	referenceDate () const override
virtual void	referenceDate (const Date &d)
virtual void	referenceTime (const Time t)
void	state (const Real s)
void	move (const Date &d, const Real s)
void	move (const Time t, const Real s)
virtual void	update () override

Protected Member Functions
Real	discountImpl (Time t) const override

Protected Attributes
Real	dt_
Real	zeta_
Real	Ht_
bool	cacheValues_
const QuantLib::ext::shared_ptr< LinearGaussMarkovModel >	model_
const bool	purelyTimeBased_
Date	referenceDate_
Real	relativeTime_
Real	state_

Detailed Description

Lgm Implied Yield Term Structure.

The termstructure has the reference date of the model's termstructure at construction, but you can vary this as well as the state. The purely time based variant is mainly there for performance reasons, note that it does not provide the full term structure interface and does not send notifications on reference time updates.

\ingroup models