NumericLgmSwaptionEngine Class Reference

Inheritance diagram for NumericLgmSwaptionEngine:

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

Additional Inherited Members
Static Public Member Functions inherited from NumericLgmMultiLegOptionEngineBase
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 inherited from NumericLgmMultiLegOptionEngineBase
void	calculate () const
Static Protected Member Functions inherited from NumericLgmMultiLegOptionEngineBase
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 inherited from NumericLgmMultiLegOptionEngineBase
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_