Reference manual - version ored_version
CR LGM Model Parameters. More...
#include <ored/model/crlgmdata.hpp>
Public Member Functions | |
| CrLgmData () | |
| Default constructor. | |
| CrLgmData (std::string name, CalibrationType calibrationType, ReversionType revType, VolatilityType volType, bool calibrateH, ParamType hType, std::vector< Time > hTimes, std::vector< Real > hValues, bool calibrateA, ParamType aType, std::vector< Time > aTimes, std::vector< Real > aValues, Real shiftHorizon=0.0, Real scaling=1.0, std::vector< std::string > optionExpiries=std::vector< std::string >(), std::vector< std::string > optionTerms=std::vector< std::string >(), std::vector< std::string > optionStrikes=std::vector< std::string >()) | |
| Detailed constructor. | |
Setters/Getters | |
| std::string & | name () |
| Public Member Functions inherited from LgmData | |
| LgmData () | |
| Default constructor. | |
| LgmData (std::string qualifier, CalibrationType calibrationType, ReversionType revType, VolatilityType volType, bool calibrateH, ParamType hType, std::vector< Time > hTimes, std::vector< Real > hValues, bool calibrateA, ParamType aType, std::vector< Time > aTimes, std::vector< Real > aValues, Real shiftHorizon=0.0, Real scaling=1.0, std::vector< std::string > optionExpiries=std::vector< std::string >(), std::vector< std::string > optionTerms=std::vector< std::string >(), std::vector< std::string > optionStrikes=std::vector< std::string >(), const QuantExt::AnalyticLgmSwaptionEngine::FloatSpreadMapping inputFloatSpreadMapping=QuantExt::AnalyticLgmSwaptionEngine::FloatSpreadMapping::proRata) | |
| Detailed constructor. | |
| void | clear () override |
| Clear list of calibration instruments. | |
| void | reset () override |
| Reset member variables to defaults. | |
| ReversionType & | reversionType () |
| VolatilityType & | volatilityType () |
| bool & | calibrateH () |
| ParamType & | hParamType () |
| std::vector< Time > & | hTimes () |
| std::vector< Real > & | hValues () |
| bool & | calibrateA () |
| ParamType & | aParamType () |
| std::vector< Time > & | aTimes () |
| std::vector< Real > & | aValues () |
| Real & | shiftHorizon () |
| Real & | scaling () |
| QuantExt::AnalyticLgmSwaptionEngine::FloatSpreadMapping & | floatSpreadMapping () |
| std::vector< std::string > & | optionExpiries () const |
| std::vector< std::string > & | optionTerms () const |
| std::vector< std::string > & | optionStrikes () const |
| ReversionParameter | reversionParameter () const |
| VolatilityParameter | volatilityParameter () const |
| bool | operator== (const LgmData &rhs) |
| bool | operator!= (const LgmData &rhs) |
| Public Member Functions inherited from IrModelData | |
| IrModelData (const std::string &name) | |
| minimal constructor | |
| IrModelData (const std::string &name, const std::string &qualifier, CalibrationType calibrationType) | |
| Detailed constructor. | |
| const std::string & | name () |
| const std::string & | qualifier () const |
| std::string & | qualifier () |
| CalibrationType & | calibrationType () |
| virtual std::string | ccy () const |
| Public Member Functions inherited from XMLSerializable | |
| void | fromFile (const std::string &filename) |
| void | toFile (const std::string &filename) const |
| void | fromXMLString (const std::string &xml) |
| Parse from XML string. | |
| std::string | toXMLString () const |
| Parse from XML string. | |
| std::string | toXMLStringUnformatted () const |
Serialisation | |
| void | fromXML (XMLNode *node) override |
| XMLNode * | toXML (XMLDocument &doc) const override |
| void | clear () override |
| Clear list of calibration instruments. | |
| void | reset () override |
| Reset member variables to defaults. | |
Additional Inherited Members | |
| Public Types inherited from LgmData | |
| enum class | ReversionType { HullWhite , Hagan } |
| Supported mean reversion types. More... | |
| enum class | VolatilityType { HullWhite , Hagan } |
| Supported volatility types. More... | |
| std::string | name_ |
| std::string | qualifier_ |
| CalibrationType | calibrationType_ |
CR LGM Model Parameters.
|
overridevirtual |
Reimplemented from LgmData.
|
overridevirtual |
Reimplemented from LgmData.
|
overridevirtual |
Clear list of calibration instruments.
Reimplemented from IrModelData.
|
overridevirtual |
Reset member variables to defaults.
Reimplemented from IrModelData.
