LgmConvolutionSolver2 Class Reference

Numerical convolution solver for the LGM model. More...

#include <qle/models/lgmconvolutionsolver2.hpp>

Inheritance diagram for LgmConvolutionSolver2:

Public Member Functions
	LgmConvolutionSolver2 (const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &model, const Real sy, const Size ny, const Real sx, const Size nx)
Size	gridSize () const override
RandomVariable	stateGrid (const Real t) const override
RandomVariable	rollback (const RandomVariable &v, const Real t1, const Real t0, Size steps=Null< Size >()) const override
const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &	model () const override

Detailed Description

Numerical convolution solver for the LGM model.

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