NumericLgmMultiLegOptionEngineBase Class Reference

Inheritance diagram for NumericLgmMultiLegOptionEngineBase:

Classes
struct	CashflowInfo

Public Member Functions
	NumericLgmMultiLegOptionEngineBase (const QuantLib::ext::shared_ptr< LgmBackwardSolver > &solver, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Size americanExerciseTimeStepsPerYear=24)

Static Public Member Functions
static bool	instrumentIsHandled (const MultiLegOption &m, std::vector< std::string > &messages)
static CashflowInfo	buildCashflowInfo (const QuantLib::ext::shared_ptr< QuantLib::CashFlow > &c, const QuantLib::Real payrec, const std::function< QuantLib::Real(const QuantLib::Date &)> &timeFromReference, const QuantLib::Exercise::Type exerciseType, const bool midCouponExercise, const QuantLib::Period &noticePeriod, const QuantLib::Calendar &noticeCalendar, const QuantLib::BusinessDayConvention noticeConvention, const std::string &cashflowDescription)

Protected Member Functions
void	calculate () const

Static Protected Member Functions
static bool	instrumentIsHandled (const std::vector< Leg > &legs, const std::vector< bool > &payer, const std::vector< Currency > &currency, const QuantLib::ext::shared_ptr< Exercise > &exercise, const Settlement::Type &settlementType, const Settlement::Method &settlementMethod, std::vector< std::string > &messages)

Protected Attributes
QuantLib::ext::shared_ptr< LgmBackwardSolver >	solver_
Handle< YieldTermStructure >	discountCurve_
Size	americanExerciseTimeStepsPerYear_
std::vector< Leg >	legs_
std::vector< bool >	payer_
std::vector< Currency >	currency_
QuantLib::ext::shared_ptr< Exercise >	exercise_
Settlement::Type	settlementType_
Settlement::Method	settlementMethod_
bool	midCouponExercise_
Period	noticePeriod_
Calendar	noticeCalendar_
BusinessDayConvention	noticeConvention_
Real	npv_
Real	underlyingNpv_
std::map< std::string, QuantLib::ext::any >	additionalResults_