AnalyticCcLgmFxOptionEngine Class Reference

Analytic cc lgm fx option engine. More...

#include <qle/pricingengines/analyticcclgmfxoptionengine.hpp>

Inheritance diagram for AnalyticCcLgmFxOptionEngine:

Public Member Functions
	AnalyticCcLgmFxOptionEngine (const boost::shared_ptr< CrossAssetModel > &model, const Size foreignCurrency)
void	calculate () const override
void	cache (bool enable=true)
Real	value (const Time t0, const Time t, const boost::shared_ptr< StrikedTypePayoff > payoff, const Real domesticDiscount, const Real fxForward) const

Detailed Description

Analytic cc lgm fx option engine.

Member Function Documentation

cache()

void cache

(

bool

enable = true

)

if cache is enabled, the integrals independent of fx volatility are cached, which can speed up calibration; remember to flush the cache when the ir parameters change, this can be done by another call to cache

value()

Real value	(	const Time	t0,
		const Time	t,
		const boost::shared_ptr< StrikedTypePayoff >	payoff,
		const Real	domesticDiscount,
		const Real	fxForward
	)		const

the actual option price calculation, exposed to public, since it is useful to directly use the core computation sometimes