NumericLgmRiskParticipationAgreementEngine Class Reference

Inheritance diagram for NumericLgmRiskParticipationAgreementEngine:

Public Member Functions
	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 >())
Public Member Functions inherited from RiskParticipationAgreementBaseEngine
	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 >())

Additional Inherited Members
Static Public Member Functions inherited from RiskParticipationAgreementBaseEngine
static std::vector< Date >	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 >())
Protected Member Functions inherited from RiskParticipationAgreementBaseEngine
void	calculate () const override
Protected Attributes inherited from RiskParticipationAgreementBaseEngine
std::string	baseCcy_
std::map< std::string, Handle< YieldTermStructure > >	discountCurves_
std::map< std::string, Handle< Quote > >	fxSpots_
Handle< DefaultProbabilityTermStructure >	defaultCurve_
Handle< Quote >	recoveryRate_
Size	maxGapDays_
Size	maxDiscretisationPoints_
std::vector< Date >	gridDates_
Date	referenceDate_
Real	effectiveRecoveryRate_