LgmBackwardSolver Class Reference

Interface for LGM1F backward solver. More...

#include <qle/models/lgmbackwardsolver.hpp>

Inheritance diagram for LgmBackwardSolver:

Collaboration diagram for LgmBackwardSolver:

Public Member Functions
virtual	~LgmBackwardSolver ()
virtual Size	gridSize () const =0
virtual RandomVariable	stateGrid (const Real t) const =0
virtual RandomVariable	rollback (const RandomVariable &v, const Real t1, const Real t0, Size steps=Null< Size >()) const =0
virtual const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &	model () const =0

Detailed Description

Interface for LGM1F backward solver.

Definition at line 33 of file lgmbackwardsolver.hpp.

Constructor & Destructor Documentation

~LgmBackwardSolver()

virtual ~LgmBackwardSolver ( )

virtual

Definition at line 35 of file lgmbackwardsolver.hpp.

{}

Member Function Documentation

gridSize()

virtual Size gridSize ( ) const

pure virtual

Implemented in LgmConvolutionSolver2, and LgmFdSolver.

stateGrid()

virtual RandomVariable stateGrid ( const Real  t ) const

pure virtual

Implemented in LgmConvolutionSolver2, and LgmFdSolver.

rollback()

virtual RandomVariable rollback ( const RandomVariable &  v, const Real  t1, const Real  t0, Size  steps = Null< Size >()  ) const

pure virtual

Implemented in LgmConvolutionSolver2, and LgmFdSolver.

model()

virtual const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > & model ( ) const

pure virtual

Implemented in LgmConvolutionSolver2, and LgmFdSolver.