NumericLgmMultiLegOptionEngineBase Class Reference

Inheritance diagram for NumericLgmMultiLegOptionEngineBase:

Public Member Functions
	NumericLgmMultiLegOptionEngineBase (const boost::shared_ptr< LinearGaussMarkovModel > &model, const Real sy, const Size ny, const Real sx, const Size nx, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >())

Protected Member Functions
void	calculate () const
Protected Member Functions inherited from LgmConvolutionSolver2
	LgmConvolutionSolver2 (const boost::shared_ptr< LinearGaussMarkovModel > &model, const Real sy, const Size ny, const Real sx, const Size nx)
Size	gridSize () const
RandomVariable	stateGrid (const Real t) const
RandomVariable	rollback (const RandomVariable &v, const Real t1, const Real t0) const
const boost::shared_ptr< LinearGaussMarkovModel > &	model () const

Protected Attributes
Handle< YieldTermStructure >	discountCurve_
std::vector< Leg >	legs_
std::vector< Real >	payer_
std::vector< Currency >	currency_
boost::shared_ptr< Exercise >	exercise_
Settlement::Type	settlementType_
Settlement::Method	settlementMethod_
Real	npv_
Real	underlyingNpv_
std::map< std::string, boost::any >	additionalResults_