FxBsBuilder Class Reference

Builder for a Lognormal FX model component. More...

#include <ored/model/fxbsbuilder.hpp>

Inheritance diagram for FxBsBuilder:

Public Member Functions
	FxBsBuilder (const QuantLib::ext::shared_ptr< ore::data::Market > &market, const QuantLib::ext::shared_ptr< FxBsData > &data, const std::string &configuration=Market::defaultConfiguration, const std::string &referenceCalibrationGrid="", const std::string &id="unknown")
	Constructor.
Real	error () const
	Return calibration error.
Inspectors
std::string	foreignCurrency ()
QuantLib::ext::shared_ptr< QuantExt::FxBsParametrization >	parametrization () const
std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > >	optionBasket () const

ModelBuilder interface
void	forceRecalculate () override
bool	requiresRecalibration () const override
void	setCalibrationDone () const

Detailed Description

Builder for a Lognormal FX model component.

This class is a utility to turn an FX model component's description into an FX model parametrization which can be used to ultimately instantiate a CrossAssetModel.

Constructor & Destructor Documentation

FxBsBuilder()

FxBsBuilder	(	const QuantLib::ext::shared_ptr< ore::data::Market > &	market,
		const QuantLib::ext::shared_ptr< FxBsData > &	data,
		const std::string &	configuration = Market::defaultConfiguration,
		const std::string &	referenceCalibrationGrid = "",
		const std::string &	id = "unknown" )

Constructor.

Parameters

market	Market object
data	FX model parameters/description
configuration	Market configuration to use
referenceCalibrationGrid	the reference calibration grid
id	id of the builder