NumericLgmFlexiSwapEngine Class Reference

Inheritance diagram for NumericLgmFlexiSwapEngine:

Public Member Functions
	NumericLgmFlexiSwapEngine (const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &model, const Real sy, const Size ny, const Real sx, const Size nx, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Method method=Method::Automatic, const Real singleSwaptionThreshold=20.0)
Public Member Functions inherited from NumericLgmFlexiSwapEngineBase
	NumericLgmFlexiSwapEngineBase (const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &model, const Real sy, const Size ny, const Real sx, const Size nx, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Method method=Method::Automatic, const Real singleSwaptionThreshold=20.0)
Public Member Functions inherited from LgmConvolutionSolver
	LgmConvolutionSolver (const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &model, const Real sy, const Size ny, const Real sx, const Size nx)
Size	gridSize () const
std::vector< Real >	stateGrid (const Real t) const
template<typename ValueType = Real>
std::vector< ValueType >	rollback (const std::vector< ValueType > &v, const Real t1, const Real t0, const ValueType zero=ValueType(0.0)) const
const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &	model () const

Additional Inherited Members
Public Types inherited from NumericLgmFlexiSwapEngineBase
enum class	Method { SwaptionArray , SingleSwaptions , Automatic }
Protected Member Functions inherited from NumericLgmFlexiSwapEngineBase
std::pair< Real, Real >	calculate () const
Real	underlyingValue (const Real, const Real, const Date &, const Size, const Size, const Real, const Real) const
Protected Attributes inherited from NumericLgmFlexiSwapEngineBase
const Handle< YieldTermStructure >	discountCurve_
const Method	method_
const Real	singleSwaptionThreshold_
QuantLib::ext::shared_ptr< IborIndex >	iborModelIndex_
QuantLib::ext::shared_ptr< LgmImpliedYieldTermStructure >	iborModelCurve_
VanillaSwap::Type	type
std::vector< Real >	fixedNominal
std::vector< Real >	floatingNominal
std::vector< Date >	fixedResetDates
std::vector< Date >	fixedPayDates
std::vector< Time >	floatingAccrualTimes
std::vector< Date >	floatingResetDates
std::vector< Date >	floatingFixingDates
std::vector< Date >	floatingPayDates
std::vector< Real >	fixedCoupons
std::vector< Real >	fixedRate
std::vector< Real >	floatingGearings
std::vector< Real >	floatingSpreads
std::vector< Real >	cappedRate
std::vector< Real >	flooredRate
std::vector< Real >	floatingCoupons
QuantLib::ext::shared_ptr< IborIndex >	iborIndex
std::vector< Real >	lowerNotionalBound
QuantLib::Position::Type	optionPosition
std::vector< bool >	notionalCanBeDecreased