NumericLgmMultiLegOptionEngine Class Reference

#include <qle/pricingengines/numericlgmmultilegoptionengine.hpp>

Inheritance diagram for NumericLgmMultiLegOptionEngine:

Collaboration diagram for NumericLgmMultiLegOptionEngine:

Public Member Functions
	NumericLgmMultiLegOptionEngine (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 Size americanExerciseTimeStepsPerYear=24)
	NumericLgmMultiLegOptionEngine (const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &model, const Real maxTime=50.0, const QuantLib::FdmSchemeDesc scheme=QuantLib::FdmSchemeDesc::Douglas(), const Size stateGridPoints=64, const Size timeStepsPerYear=24, const Real mesherEpsilon=1E-4, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Size americanExerciseTimeStepsPerYear=24)
void	calculate () const override
Public Member Functions inherited from NumericLgmMultiLegOptionEngineBase
	NumericLgmMultiLegOptionEngineBase (const QuantLib::ext::shared_ptr< LgmBackwardSolver > &solver, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Size americanExerciseTimeStepsPerYear=24)

Additional Inherited Members
Static Public Member Functions inherited from NumericLgmMultiLegOptionEngineBase
static bool	instrumentIsHandled (const MultiLegOption &m, std::vector< std::string > &messages)
Protected Member Functions inherited from NumericLgmMultiLegOptionEngineBase
CashflowInfo	buildCashflowInfo (const Size i, const Size j) const
void	calculate () const
Static Protected Member Functions inherited from NumericLgmMultiLegOptionEngineBase
static bool	instrumentIsHandled (const std::vector< Leg > &legs, const std::vector< bool > &payer, const std::vector< Currency > &currency, const QuantLib::ext::shared_ptr< Exercise > &exercise, const Settlement::Type &settlementType, const Settlement::Method &settlementMethod, std::vector< std::string > &messages)
Protected Attributes inherited from NumericLgmMultiLegOptionEngineBase
QuantLib::ext::shared_ptr< LgmBackwardSolver >	solver_
Handle< YieldTermStructure >	discountCurve_
Size	americanExerciseTimeStepsPerYear_
std::vector< Leg >	legs_
std::vector< bool >	payer_
std::vector< Currency >	currency_
QuantLib::ext::shared_ptr< Exercise >	exercise_
Settlement::Type	settlementType_
Settlement::Method	settlementMethod_
Real	npv_
Real	underlyingNpv_
std::map< std::string, boost::any >	additionalResults_

Detailed Description

Definition at line 86 of file numericlgmmultilegoptionengine.hpp.

Constructor & Destructor Documentation

NumericLgmMultiLegOptionEngine() [1/2]

NumericLgmMultiLegOptionEngine	(	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 Size	americanExerciseTimeStepsPerYear = 24
	)

Definition at line 523 of file numericlgmmultilegoptionengine.cpp.

    : NumericLgmMultiLegOptionEngineBase(QuantLib::ext::make_shared<LgmConvolutionSolver2>(model, sy, ny, sx, nx),
                                         discountCurve, americanExerciseTimeStepsPerYear) {
    registerWith(solver_->model());
    registerWith(discountCurve_);
}

NumericLgmMultiLegOptionEngine() [2/2]

NumericLgmMultiLegOptionEngine	(	const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &	model,
		const Real	maxTime = 50.0,
		const QuantLib::FdmSchemeDesc	scheme = QuantLib::FdmSchemeDesc::Douglas(),
		const Size	stateGridPoints = 64,
		const Size	timeStepsPerYear = 24,
		const Real	mesherEpsilon = 1E-4,
		const Handle< YieldTermStructure > &	discountCurve = Handle<YieldTermStructure>(),
		const Size	americanExerciseTimeStepsPerYear = 24
	)

Definition at line 534 of file numericlgmmultilegoptionengine.cpp.

    : NumericLgmMultiLegOptionEngineBase(
          QuantLib::ext::make_shared<LgmFdSolver>(model, maxTime, scheme, stateGridPoints, timeStepsPerYear, mesherEpsilon),
          discountCurve, americanExerciseTimeStepsPerYear) {
    registerWith(solver_->model());
    registerWith(discountCurve_);
}

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 547 of file numericlgmmultilegoptionengine.cpp.

                                                     {
    legs_ = arguments_.legs;
    payer_ = arguments_.payer;
    currency_ = arguments_.currency;
    exercise_ = arguments_.exercise;
    settlementType_ = arguments_.settlementType;
    settlementMethod_ = arguments_.settlementMethod;
 
    NumericLgmMultiLegOptionEngineBase::calculate();
 
    results_.value = npv_;
    results_.underlyingNpv = underlyingNpv_;
    results_.additionalResults = additionalResults_;
    results_.additionalResults["underlyingNpv"] = underlyingNpv_;
} // NumericLgmSwaptionEngine::calculate

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