NumericLgmFlexiSwapEngine Class Reference

#include <qle/pricingengines/numericlgmflexiswapengine.hpp>

Inheritance diagram for NumericLgmFlexiSwapEngine:

Collaboration diagram for NumericLgmFlexiSwapEngine:

Public Member Functions
	NumericLgmFlexiSwapEngine (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 Method method=Method::Automatic, const Real singleSwaptionThreshold=20.0)
Public Member Functions inherited from NumericLgmFlexiSwapEngineBase
	NumericLgmFlexiSwapEngineBase (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 Method method=Method::Automatic, const Real singleSwaptionThreshold=20.0)
Public Member Functions inherited from LgmConvolutionSolver
	LgmConvolutionSolver (const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &model, const Real sy, const Size ny, const Real sx, const Size nx)
	Numerical convolution solver for the LGM model. More...
Size	gridSize () const
std::vector< Real >	stateGrid (const Real t) const
template<typename ValueType = Real>
std::vector< ValueType >	rollback (const std::vector< ValueType > &v, const Real t1, const Real t0, const ValueType zero=ValueType(0.0)) const
const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &	model () const

Private Member Functions
void	calculate () const override

Additional Inherited Members
Public Types inherited from NumericLgmFlexiSwapEngineBase
enum class	Method { SwaptionArray , SingleSwaptions , Automatic }
Protected Member Functions inherited from NumericLgmFlexiSwapEngineBase
std::pair< Real, Real >	calculate () const
Real	underlyingValue (const Real, const Real, const Date &, const Size, const Size, const Real, const Real) const
Protected Attributes inherited from NumericLgmFlexiSwapEngineBase
const Handle< YieldTermStructure >	discountCurve_
const Method	method_
const Real	singleSwaptionThreshold_
QuantLib::ext::shared_ptr< IborIndex >	iborModelIndex_
QuantLib::ext::shared_ptr< LgmImpliedYieldTermStructure >	iborModelCurve_
VanillaSwap::Type	type
std::vector< Real >	fixedNominal
std::vector< Real >	floatingNominal
std::vector< Date >	fixedResetDates
std::vector< Date >	fixedPayDates
std::vector< Time >	floatingAccrualTimes
std::vector< Date >	floatingResetDates
std::vector< Date >	floatingFixingDates
std::vector< Date >	floatingPayDates
std::vector< Real >	fixedCoupons
std::vector< Real >	fixedRate
std::vector< Real >	floatingGearings
std::vector< Real >	floatingSpreads
std::vector< Real >	cappedRate
std::vector< Real >	flooredRate
std::vector< Real >	floatingCoupons
QuantLib::ext::shared_ptr< IborIndex >	iborIndex
std::vector< Real >	lowerNotionalBound
QuantLib::Position::Type	optionPosition
std::vector< bool >	notionalCanBeDecreased

Detailed Description

Definition at line 98 of file numericlgmflexiswapengine.hpp.

Constructor & Destructor Documentation

NumericLgmFlexiSwapEngine()

NumericLgmFlexiSwapEngine	(	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 Method	method = Method::Automatic,
		const Real	singleSwaptionThreshold = 20.0
	)

Definition at line 362 of file numericlgmflexiswapengine.cpp.

    : NumericLgmFlexiSwapEngineBase(model, sy, ny, sx, nx, discountCurve, method, singleSwaptionThreshold) {
    registerWith(this->model());
    registerWith(discountCurve_);
} // NumericLgmFlexiSwapEngine::NumericLgmFlexiSwapEngine

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Member Function Documentation

calculate()

void calculate ( ) const

overrideprivate

Definition at line 371 of file numericlgmflexiswapengine.cpp.

                                                {
    // set arguments in base engine
    type = arguments_.type;
    fixedNominal = arguments_.fixedNominal;
    floatingNominal = arguments_.floatingNominal;
    fixedResetDates = arguments_.fixedResetDates;
    fixedPayDates = arguments_.fixedPayDates;
    floatingAccrualTimes = arguments_.floatingAccrualTimes;
    floatingResetDates = arguments_.floatingResetDates;
    floatingFixingDates = arguments_.floatingFixingDates;
    floatingPayDates = arguments_.floatingPayDates;
    fixedCoupons = arguments_.fixedCoupons;
    fixedRate = arguments_.fixedRate;
    floatingGearings = arguments_.floatingGearings;
    floatingSpreads = arguments_.floatingSpreads;
    cappedRate = arguments_.cappedRate;
    flooredRate = arguments_.flooredRate;
    floatingCoupons = arguments_.floatingCoupons;
    iborIndex = arguments_.iborIndex;
    lowerNotionalBound = arguments_.lowerNotionalBound;
    optionPosition = arguments_.optionPosition;
    notionalCanBeDecreased = arguments_.notionalCanBeDecreased;
 
    // calculate and set results
    auto result = NumericLgmFlexiSwapEngineBase::calculate();
    results_.value = result.first;
    results_.underlyingValue = result.second;
    results_.additionalResults = getAdditionalResultsMap(model()->getCalibrationInfo());
} // NumericLgmFlexiSwapEngine::calculate

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