Numerical convolution solver for the LGM model. More...
#include <qle/models/lgmconvolutionsolver2.hpp>
Public Member Functions | |
LgmConvolutionSolver2 (const boost::shared_ptr< LinearGaussMarkovModel > &model, const Real sy, const Size ny, const Real sx, const Size nx) | |
Size | gridSize () const |
RandomVariable | stateGrid (const Real t) const |
RandomVariable | rollback (const RandomVariable &v, const Real t1, const Real t0) 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