LgmConvolutionSolver Class Reference

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

Detailed Description

Numerical convolution solver for the LGM model.

Reference: Hagan, Methodology for callable swaps and Bermudan exercise into swaptions