LgmImpliedYtsFwdFwdCorrected Class Reference

Lgm Implied Yts Fwd Corrected. More...

#include <qle/models/lgmimpliedyieldtermstructure.hpp>

Inheritance diagram for LgmImpliedYtsFwdFwdCorrected:

Public Member Functions
	LgmImpliedYtsFwdFwdCorrected (const boost::shared_ptr< LinearGaussMarkovModel > &model, const Handle< YieldTermStructure > targetCurve, const DayCounter &dc=DayCounter(), const bool purelyTimeBased=false, const bool cacheValues=false)
void	referenceDate (const Date &d) override
void	referenceTime (const Time t) override
Public Member Functions inherited from LgmImpliedYieldTermStructure
	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
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 Member Functions inherited from LgmImpliedYieldTermStructure
Real	discountImpl (Time t) const override

Additional Inherited Members
Protected Attributes inherited from LgmImpliedYieldTermStructure
Real	dt_
Real	zeta_
Real	Ht_
bool	cacheValues_
const boost::shared_ptr< LinearGaussMarkovModel >	model_
const bool	purelyTimeBased_
Date	referenceDate_
Real	relativeTime_
Real	state_

Detailed Description

Lgm Implied Yts Fwd Corrected.

the target curve should have a reference date consistent with the model's term structure