numericlgmflexiswapengine.hpp File Reference

numeric engine for flexi swaps in the LGM model More...

#include <qle/instruments/flexiswap.hpp>
#include <qle/models/lgm.hpp>
#include <qle/models/lgmimpliedyieldtermstructure.hpp>
#include <qle/pricingengines/lgmconvolutionsolver.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>

Classes
class	NumericLgmFlexiSwapEngineBase
	Numerical engine for flexi swaps in the LGM model. More...
class	NumericLgmFlexiSwapEngine

Detailed Description

numeric engine for flexi swaps in the LGM model