NumericLgmNonstandardSwaptionEngine Class Reference

Inheritance diagram for NumericLgmNonstandardSwaptionEngine:

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

Additional Inherited Members
Protected Member Functions inherited from NumericLgmMultiLegOptionEngineBase
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 inherited from NumericLgmMultiLegOptionEngineBase
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_