Cross Asset Model Parameters. More...

#include <ored/model/crossassetmodeldata.hpp>

Inheritance diagram for CrossAssetModelData:

Public Member Functions
Constructors
	CrossAssetModelData ()
	Default constructor.
	CrossAssetModelData (const vector< QuantLib::ext::shared_ptr< IrModelData > > &irConfigs, const vector< QuantLib::ext::shared_ptr< FxBsData > > &fxConfigs, const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote > > &c, Real tolerance=1e-4, const std::string &measure="LGM", const CrossAssetModel::Discretization discretization=CrossAssetModel::Discretization::Exact, const QuantLib::SalvagingAlgorithm::Type &salvagingAlgorithm=SalvagingAlgorithm::None, const string &integrationPolicy=std::string(), const bool piecewiseIntegration=true)
	Detailed constructor (IR/FX only).
	CrossAssetModelData (const std::vector< QuantLib::ext::shared_ptr< IrModelData > > &irConfigs, const std::vector< QuantLib::ext::shared_ptr< FxBsData > > &fxConfigs, const std::vector< QuantLib::ext::shared_ptr< EqBsData > > &eqConfigs, const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote > > &c, Real tolerance=1e-4, const std::string &measure="LGM", const CrossAssetModel::Discretization discretization=CrossAssetModel::Discretization::Exact, const QuantLib::SalvagingAlgorithm::Type &salvagingAlgorithm=SalvagingAlgorithm::None, const string &integrationPolicy=std::string(), const bool piecewiseIntegration=true)
	Detailed constructor (IR/FX/EQ only).
	CrossAssetModelData (const std::vector< QuantLib::ext::shared_ptr< IrModelData > > &irConfigs, const std::vector< QuantLib::ext::shared_ptr< FxBsData > > &fxConfigs, const std::vector< QuantLib::ext::shared_ptr< EqBsData > > &eqConfigs, const std::vector< QuantLib::ext::shared_ptr< InflationModelData > > &infConfigs, const std::vector< QuantLib::ext::shared_ptr< CrLgmData > > &crLgmConfigs, const std::vector< QuantLib::ext::shared_ptr< CrCirData > > &crCirConfigs, const std::vector< QuantLib::ext::shared_ptr< CommoditySchwartzData > > &comConfigs, const Size numberOfCreditStates, const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote > > &c, Real tolerance=1e-4, const std::string &measure="LGM", const CrossAssetModel::Discretization discretization=CrossAssetModel::Discretization::Exact, const QuantLib::SalvagingAlgorithm::Type &salvagingAlgorithm=SalvagingAlgorithm::None, const string &integrationPolicy=std::string(), const bool piecewiseIntegration=true)
	Detailed constructor (all asset classes).
void	clear ()
	Clear all vectors and maps.
void	validate ()
	Check consistency of config vectors.
Inspectors
const string &	domesticCurrency () const
const vector< string > &	currencies () const
const vector< string > &	equities () const
const vector< string > &	infIndices () const
const vector< string > &	creditNames () const
const vector< string > &	commodities () const
const vector< QuantLib::ext::shared_ptr< IrModelData > > &	irConfigs () const
const vector< QuantLib::ext::shared_ptr< FxBsData > > &	fxConfigs () const
const vector< QuantLib::ext::shared_ptr< EqBsData > > &	eqConfigs () const
const vector< QuantLib::ext::shared_ptr< InflationModelData > > &	infConfigs () const
const vector< QuantLib::ext::shared_ptr< CrLgmData > > &	crLgmConfigs () const
const vector< QuantLib::ext::shared_ptr< CrCirData > > &	crCirConfigs () const
const vector< QuantLib::ext::shared_ptr< CommoditySchwartzData > > &	comConfigs () const
Size	numberOfCreditStates () const
const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote > > &	correlations () const
Real	bootstrapTolerance () const
const std::string &	measure () const
CrossAssetModel::Discretization	discretization () const
QuantLib::SalvagingAlgorithm::Type	getSalvagingAlgorithm () const
const string &	integrationPolicy () const
bool	piecewiseIntegration () const
Setters
string &	domesticCurrency ()
vector< string > &	currencies ()
vector< string > &	equities ()
vector< string > &	infIndices ()
vector< string > &	creditNames ()
vector< string > &	commodities ()
vector< QuantLib::ext::shared_ptr< IrModelData > > &	irConfigs ()
vector< QuantLib::ext::shared_ptr< FxBsData > > &	fxConfigs ()
vector< QuantLib::ext::shared_ptr< EqBsData > > &	eqConfigs ()
vector< QuantLib::ext::shared_ptr< InflationModelData > > &	infConfigs ()
vector< QuantLib::ext::shared_ptr< CrLgmData > > &	crLgmConfigs ()
vector< QuantLib::ext::shared_ptr< CrCirData > > &	crCirConfigs ()
vector< QuantLib::ext::shared_ptr< CommoditySchwartzData > > &	comConfigs ()
void	setCorrelations (const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote > > &corrs)
void	setCorrelations (const QuantLib::ext::shared_ptr< InstantaneousCorrelations > &corrs)
Real &	bootstrapTolerance ()
std::string &	measure ()
CrossAssetModel::Discretization &	discretization ()
QuantLib::SalvagingAlgorithm::Type &	getSalvagingAlgorithm ()
void	setNumberOfCreditStates (QuantLib::Size n)
Serialisation
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
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

Operators
bool	operator== (const CrossAssetModelData &rhs)
bool	operator!= (const CrossAssetModelData &rhs)
void	buildIrConfigs (map< string, QuantLib::ext::shared_ptr< IrModelData > > &irMap)
	helper to convert LGM data, possibly including defaults, into an IR config vector
void	buildFxConfigs (std::map< std::string, QuantLib::ext::shared_ptr< FxBsData > > &fxMap)
	helper to convert FX data, possibly including defaults, into an FX config vector
void	buildEqConfigs (std::map< std::string, QuantLib::ext::shared_ptr< EqBsData > > &eqMap)
	helper to convert EQ data, possibly including defaults, into an EQ config vector
void	buildInfConfigs (const std::map< std::string, QuantLib::ext::shared_ptr< InflationModelData > > &mp)
	helper to convert INF data, possibly including defaults, into an INF config vector
void	buildCrConfigs (std::map< std::string, QuantLib::ext::shared_ptr< CrLgmData > > &crLgmMap, std::map< std::string, QuantLib::ext::shared_ptr< CrCirData > > &crCirMap)
	helper to convert CR LGM data, possibly including defaults, into CR config vectors
void	buildComConfigs (std::map< std::string, QuantLib::ext::shared_ptr< CommoditySchwartzData > > &comMap)
	helper to convert COM data, possibly including defaulta, into a COM config vector

Detailed Description

Cross Asset Model Parameters.

CrossAssetModelData comprises the specification of how to build and calibrate the CrossAssetModel. It contains

specifications for each currency IR component (IrLgmData)
specifications for each FX component (FxBsData)
the correlation specification between all factors of the model
a tolerance for bootstrap type calibration methods

Constructor & Destructor Documentation

◆ CrossAssetModelData() [1/3]

CrossAssetModelData	(	const vector< QuantLib::ext::shared_ptr< IrModelData > > &	irConfigs,
		const vector< QuantLib::ext::shared_ptr< FxBsData > > &	fxConfigs,
		const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote > > &	c,
		Real	tolerance = 1e-4,
		const std::string &	measure = "LGM",
		const CrossAssetModel::Discretization	discretization = CrossAssetModel::Discretization::Exact,
		const QuantLib::SalvagingAlgorithm::Type &	salvagingAlgorithm = SalvagingAlgorithm::None,
		const string &	integrationPolicy = std::string(),
		const bool	piecewiseIntegration = true )

Detailed constructor (IR/FX only).

Parameters

irConfigs	Vector of IR model specifications
fxConfigs	Vector of FX model specifications
c	Correlation map
tolerance	Bootstrap tolerance used in model calibration
measure	Choice of probability measure
discretization	Choice of discretization
salvagingAlgorithm	Choice of salvaging algorithm
integrationPolicy	integration scheme
piecewiseIntegration	piecewise integration

◆ CrossAssetModelData() [2/3]

CrossAssetModelData	(	const std::vector< QuantLib::ext::shared_ptr< IrModelData > > &	irConfigs,
		const std::vector< QuantLib::ext::shared_ptr< FxBsData > > &	fxConfigs,
		const std::vector< QuantLib::ext::shared_ptr< EqBsData > > &	eqConfigs,
		const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote > > &	c,
		Real	tolerance = 1e-4,
		const std::string &	measure = "LGM",
		const CrossAssetModel::Discretization	discretization = CrossAssetModel::Discretization::Exact,
		const QuantLib::SalvagingAlgorithm::Type &	salvagingAlgorithm = SalvagingAlgorithm::None,
		const string &	integrationPolicy = std::string(),
		const bool	piecewiseIntegration = true )

Detailed constructor (IR/FX/EQ only).

Parameters

irConfigs	Vector of IR model specifications
fxConfigs	Vector of FX model specifications
eqConfigs	Vector of EQ model specifications
c	Correlation map
tolerance	Bootstrap tolerance used in model calibration
measure	Choice of probability measure
discretization	Choice of discretization
salvagingAlgorithm	Choice of salvaging algorithm
integrationPolicy	integration scheme
piecewiseIntegration	piecewise integration

◆ CrossAssetModelData() [3/3]

CrossAssetModelData	(	const std::vector< QuantLib::ext::shared_ptr< IrModelData > > &	irConfigs,
		const std::vector< QuantLib::ext::shared_ptr< FxBsData > > &	fxConfigs,
		const std::vector< QuantLib::ext::shared_ptr< EqBsData > > &	eqConfigs,
		const std::vector< QuantLib::ext::shared_ptr< InflationModelData > > &	infConfigs,
		const std::vector< QuantLib::ext::shared_ptr< CrLgmData > > &	crLgmConfigs,
		const std::vector< QuantLib::ext::shared_ptr< CrCirData > > &	crCirConfigs,
		const std::vector< QuantLib::ext::shared_ptr< CommoditySchwartzData > > &	comConfigs,
		const Size	numberOfCreditStates,
		const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote > > &	c,
		Real	tolerance = 1e-4,
		const std::string &	measure = "LGM",
		const CrossAssetModel::Discretization	discretization = CrossAssetModel::Discretization::Exact,
		const QuantLib::SalvagingAlgorithm::Type &	salvagingAlgorithm = SalvagingAlgorithm::None,
		const string &	integrationPolicy = std::string(),
		const bool	piecewiseIntegration = true )

Detailed constructor (all asset classes).

Parameters

irConfigs	Vector of IR model specifications
fxConfigs	Vector of FX model specifications
eqConfigs	Vector of EQ model specifications
infConfigs	Vector of INF model specifications
crLgmConfigs	Vector of CR LGM model specifications
crCirConfigs	Vector of CR CIR model specifications
comConfigs	Vector of COM Schwartz model specifications
numberOfCreditStates	Number of credit states
c	Correlation map
tolerance	Bootstrap tolerance used in model calibration
measure	Choice of probability measure
discretization	Choice of discretization
salvagingAlgorithm	Choice of salvaging algorithm
integrationPolicy	integration scheme
piecewiseIntegration	piecewise integration

Member Function Documentation

◆ fromXML()

virtual void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

◆ toXML()

virtual XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

Public Member Functions

Operators

Detailed Description

Constructor & Destructor Documentation

◆ CrossAssetModelData() [1/3]

◆ CrossAssetModelData() [2/3]

◆ CrossAssetModelData() [3/3]

Member Function Documentation

◆ fromXML()

◆ toXML()