Lgm Implied Yield Term Structure. More...
#include <qle/models/lgmimpliedyieldtermstructure.hpp>
Public Member Functions | |
LgmImpliedYieldTermStructure (const boost::shared_ptr< LinearGaussMarkovModel > &model, const DayCounter &dc=DayCounter(), const bool purelyTimeBased=false, const bool cacheValues=false) | |
Date | maxDate () const override |
Time | maxTime () const override |
const Date & | referenceDate () const override |
virtual void | referenceDate (const Date &d) |
virtual void | referenceTime (const Time t) |
void | state (const Real s) |
void | move (const Date &d, const Real s) |
void | move (const Time t, const Real s) |
virtual void | update () override |
Protected Member Functions | |
Real | discountImpl (Time t) const override |
Protected Attributes | |
Real | dt_ |
Real | zeta_ |
Real | Ht_ |
bool | cacheValues_ |
const boost::shared_ptr< LinearGaussMarkovModel > | model_ |
const bool | purelyTimeBased_ |
Date | referenceDate_ |
Real | relativeTime_ |
Real | state_ |
Lgm Implied Yield Term Structure.
The termstructure has the reference date of the model's termstructure at construction, but you can vary this as well as the state. The purely time based variant is mainly there for performance reasons, note that it does not provide the full term structure interface and does not send notifications on reference time updates.
\ingroup models