McLgmSwaptionEngine Class Reference

Inheritance diagram for McLgmSwaptionEngine:

Public Member Functions
	McLgmSwaptionEngine (const boost::shared_ptr< LinearGaussMarkovModel > &model, const SequenceType calibrationPathGenerator, const SequenceType pricingPathGenerator, const Size calibrationSamples, const Size pricingSamples, const Size calibrationSeed, const Size pricingSeed, const Size polynomOrder, const LsmBasisSystem::PolynomialType polynomType, const SobolBrownianGenerator::Ordering ordering=SobolBrownianGenerator::Steps, const SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const std::vector< Date > simulationDates=std::vector< Date >(), const std::vector< Size > externalModelIndices=std::vector< Size >(), const bool minimalObsDate=true)
void	calculate () const override

Additional Inherited Members
Protected Member Functions inherited from McMultiLegBaseEngine
	McMultiLegBaseEngine (const Handle< CrossAssetModel > &model, const SequenceType calibrationPathGenerator, const SequenceType pricingPathGenerator, const Size calibrationSamples, const Size pricingSamples, const Size calibrationSeed, const Size pricingSeed, const Size polynomOrder, const LsmBasisSystem::PolynomialType polynomType, const SobolBrownianGenerator::Ordering ordering, const SobolRsg::DirectionIntegers directionIntegers, const std::vector< Handle< YieldTermStructure >> &discountCurves=std::vector< Handle< YieldTermStructure >>(), const std::vector< Date > &simulationDates=std::vector< Date >(), const std::vector< Size > &externalModelIndices=std::vector< Size >(), const bool minimalObsDate=true)
void	calculate () const
boost::shared_ptr< AmcCalculator >	amcCalculator () const
Protected Attributes inherited from McMultiLegBaseEngine
std::vector< Leg >	leg_
std::vector< Currency >	currency_
std::vector< Real >	payer_
boost::shared_ptr< Exercise >	exercise_
Settlement::Type	optionSettlement_ = Settlement::Physical
Handle< CrossAssetModel >	model_
SequenceType	calibrationPathGenerator_
SequenceType	pricingPathGenerator_
Size	calibrationSamples_
Size	pricingSamples_
Size	calibrationSeed_
Size	pricingSeed_
Size	polynomOrder_
LsmBasisSystem::PolynomialType	polynomType_
SobolBrownianGenerator::Ordering	ordering_
SobolRsg::DirectionIntegers	directionIntegers_
std::vector< Handle< YieldTermStructure > >	discountCurves_
std::vector< Date >	simulationDates_
std::vector< Size >	externalModelIndices_
bool	minimalObsDate_
boost::shared_ptr< AmcCalculator >	amcCalculator_
Real	resultUnderlyingNpv_
Real	resultValue_