Reference manual - version ored_version
This is the complete list of members for NumericLgmRiskParticipationAgreementEngine, including all inherited members.
| baseCcy_ (defined in RiskParticipationAgreementBaseEngine) | RiskParticipationAgreementBaseEngine | protected |
| buildDiscretisationGrid(const Date &referenceDate, const Date &protectionStart, const Date &protectionEnd, const std::vector< Leg > &underlying, const Size maxGapDays=Null< Size >(), const Size maxDiscretisationPoints=Null< Size >()) (defined in RiskParticipationAgreementBaseEngine) | RiskParticipationAgreementBaseEngine | static |
| calculate() const override (defined in RiskParticipationAgreementBaseEngine) | RiskParticipationAgreementBaseEngine | protected |
| defaultCurve_ (defined in RiskParticipationAgreementBaseEngine) | RiskParticipationAgreementBaseEngine | protected |
| discountCurves_ (defined in RiskParticipationAgreementBaseEngine) | RiskParticipationAgreementBaseEngine | mutableprotected |
| effectiveRecoveryRate_ (defined in RiskParticipationAgreementBaseEngine) | RiskParticipationAgreementBaseEngine | mutableprotected |
| fxSpots_ (defined in RiskParticipationAgreementBaseEngine) | RiskParticipationAgreementBaseEngine | mutableprotected |
| gridDates_ (defined in RiskParticipationAgreementBaseEngine) | RiskParticipationAgreementBaseEngine | mutableprotected |
| maxDiscretisationPoints_ (defined in RiskParticipationAgreementBaseEngine) | RiskParticipationAgreementBaseEngine | protected |
| maxGapDays_ (defined in RiskParticipationAgreementBaseEngine) | RiskParticipationAgreementBaseEngine | protected |
| NumericLgmRiskParticipationAgreementEngine(const std::string &baseCcy, const std::map< std::string, Handle< YieldTermStructure >> &discountCurves, const std::map< std::string, Handle< Quote >> &fxSpots, const boost::shared_ptr< QuantExt::LinearGaussMarkovModel > &model, const Real sy, const Size ny, const Real sx, const Size nx, const Handle< DefaultProbabilityTermStructure > &defaultCurve, const Handle< Quote > &recoveryRate, const Size maxGapDays=Null< Size >(), const Size maxDiscretisationPoints=Null< Size >()) (defined in NumericLgmRiskParticipationAgreementEngine) | NumericLgmRiskParticipationAgreementEngine | |
| recoveryRate_ (defined in RiskParticipationAgreementBaseEngine) | RiskParticipationAgreementBaseEngine | protected |
| referenceDate_ (defined in RiskParticipationAgreementBaseEngine) | RiskParticipationAgreementBaseEngine | mutableprotected |
| RiskParticipationAgreementBaseEngine(const std::string &baseCcy, const std::map< std::string, Handle< YieldTermStructure >> &discountCurves, const std::map< std::string, Handle< Quote >> &fxSpots, const Handle< DefaultProbabilityTermStructure > &defaultCurve, const Handle< Quote > &recoveryRate, const Size maxGapDays=Null< Size >(), const Size maxDiscretizsationPoints=Null< Size >()) (defined in RiskParticipationAgreementBaseEngine) | RiskParticipationAgreementBaseEngine |