Reference manual - version qle_version
This is the complete list of members for NumericLgmMultiLegOptionEngine, including all inherited members.
| additionalResults_ (defined in NumericLgmMultiLegOptionEngineBase) | NumericLgmMultiLegOptionEngineBase | mutableprotected |
| americanExerciseTimeStepsPerYear_ (defined in NumericLgmMultiLegOptionEngineBase) | NumericLgmMultiLegOptionEngineBase | protected |
| buildCashflowInfo(const Size i, const Size j) const (defined in NumericLgmMultiLegOptionEngineBase) | NumericLgmMultiLegOptionEngineBase | protected |
| calculate() const override (defined in NumericLgmMultiLegOptionEngine) | NumericLgmMultiLegOptionEngine | |
| currency_ (defined in NumericLgmMultiLegOptionEngineBase) | NumericLgmMultiLegOptionEngineBase | mutableprotected |
| discountCurve_ (defined in NumericLgmMultiLegOptionEngineBase) | NumericLgmMultiLegOptionEngineBase | protected |
| exercise_ (defined in NumericLgmMultiLegOptionEngineBase) | NumericLgmMultiLegOptionEngineBase | mutableprotected |
| instrumentIsHandled(const MultiLegOption &m, std::vector< std::string > &messages) (defined in NumericLgmMultiLegOptionEngineBase) | NumericLgmMultiLegOptionEngineBase | static |
| instrumentIsHandled(const std::vector< Leg > &legs, const std::vector< bool > &payer, const std::vector< Currency > ¤cy, const QuantLib::ext::shared_ptr< Exercise > &exercise, const Settlement::Type &settlementType, const Settlement::Method &settlementMethod, std::vector< std::string > &messages) (defined in NumericLgmMultiLegOptionEngineBase) | NumericLgmMultiLegOptionEngineBase | protectedstatic |
| legs_ (defined in NumericLgmMultiLegOptionEngineBase) | NumericLgmMultiLegOptionEngineBase | mutableprotected |
| npv_ (defined in NumericLgmMultiLegOptionEngineBase) | NumericLgmMultiLegOptionEngineBase | mutableprotected |
| NumericLgmMultiLegOptionEngine(const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &model, const Real sy, const Size ny, const Real sx, const Size nx, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Size americanExerciseTimeStepsPerYear=24) (defined in NumericLgmMultiLegOptionEngine) | NumericLgmMultiLegOptionEngine | |
| NumericLgmMultiLegOptionEngine(const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &model, const Real maxTime=50.0, const QuantLib::FdmSchemeDesc scheme=QuantLib::FdmSchemeDesc::Douglas(), const Size stateGridPoints=64, const Size timeStepsPerYear=24, const Real mesherEpsilon=1E-4, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Size americanExerciseTimeStepsPerYear=24) (defined in NumericLgmMultiLegOptionEngine) | NumericLgmMultiLegOptionEngine | |
| NumericLgmMultiLegOptionEngineBase(const QuantLib::ext::shared_ptr< LgmBackwardSolver > &solver, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Size americanExerciseTimeStepsPerYear=24) (defined in NumericLgmMultiLegOptionEngineBase) | NumericLgmMultiLegOptionEngineBase | |
| payer_ (defined in NumericLgmMultiLegOptionEngineBase) | NumericLgmMultiLegOptionEngineBase | mutableprotected |
| settlementMethod_ (defined in NumericLgmMultiLegOptionEngineBase) | NumericLgmMultiLegOptionEngineBase | mutableprotected |
| settlementType_ (defined in NumericLgmMultiLegOptionEngineBase) | NumericLgmMultiLegOptionEngineBase | mutableprotected |
| solver_ (defined in NumericLgmMultiLegOptionEngineBase) | NumericLgmMultiLegOptionEngineBase | protected |
| underlyingNpv_ (defined in NumericLgmMultiLegOptionEngineBase) | NumericLgmMultiLegOptionEngineBase | protected |