Numerical convolution solver for the LGM model. More...
#include <qle/pricingengines/lgmconvolutionsolver.hpp>
Public Member Functions | |
LgmConvolutionSolver (const boost::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 boost::shared_ptr< LinearGaussMarkovModel > & | model () const |
Numerical convolution solver for the LGM model.
Reference: Hagan, Methodology for callable swaps and Bermudan exercise into swaptions