Lgm Implied Yts Spot Corrected. More...
#include <qle/models/lgmimpliedyieldtermstructure.hpp>
Public Member Functions | |
LgmImpliedYtsSpotCorrected (const boost::shared_ptr< LinearGaussMarkovModel > &model, const Handle< YieldTermStructure > targetCurve, const DayCounter &dc, const bool purelyTimeBased, const bool cacheValues=false) | |
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 |
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 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_ |
Lgm Implied Yts Spot Corrected.
the target curve should have a reference date consistent with the model's term structure