NumericLgmCallableBondEngineBase Class Reference

Inheritance diagram for NumericLgmCallableBondEngineBase:

Public Member Functions

NumericLgmCallableBondEngineBase (const QuantLib::ext::shared_ptr< LgmBackwardSolver > &solver, const Size americanExerciseTimeStepsPerYear=24, const Handle< QuantLib::YieldTermStructure > &referenceCurve=Handle< QuantLib::YieldTermStructure >(), const Handle< QuantLib::Quote > &discountingSpread=Handle< QuantLib::Quote >(), const Handle< QuantLib::DefaultProbabilityTermStructure > &creditCurve=Handle< QuantLib::DefaultProbabilityTermStructure >(), const Handle< QuantLib::YieldTermStructure > &incomeCurve=Handle< QuantLib::YieldTermStructure >(), const Handle< QuantLib::Quote > &recoveryRate=Handle< QuantLib::Quote >(), const bool spreadOnIncome=true)

Protected Member Functions
void	calculate () const

Protected Attributes
QuantLib::ext::shared_ptr< LgmBackwardSolver >	solver_
Size	americanExerciseTimeStepsPerYear_
Handle< QuantLib::YieldTermStructure >	referenceCurve_
Handle< QuantLib::Quote >	discountingSpread_
Handle< QuantLib::DefaultProbabilityTermStructure >	creditCurve_
Handle< QuantLib::YieldTermStructure >	incomeCurve_
Handle< QuantLib::Quote >	recoveryRate_
bool	spreadOnIncome_
Date	npvDate_
Date	settlementDate_
bool	conditionalOnSurvival_ = true
std::vector< CashFlowResults > *	cfResults_ = nullptr
Leg *	expectedCashflows_ = nullptr
CallableBond::arguments *	instrArgs_ = nullptr
bool	generateAdditionalResults_ = false
Real	npv_
Real	settlementValue_
std::map< std::string, QuantLib::ext::any >	additionalResults_