Reference manual - version ored_version
Builder for a Linear Gauss Markov model component. More...
#include <ored/model/hwbuilder.hpp>
Public Member Functions | |
| HwBuilder (const QuantLib::ext::shared_ptr< ore::data::Market > &market, const QuantLib::ext::shared_ptr< HwModelData > &data, const IrModel::Measure measure=IrModel::Measure::BA, const HwModel::Discretization discretization=HwModel::Discretization::Euler, const bool evaluateBankAccount=true, const std::string &configuration=Market::defaultConfiguration, Real bootstrapTolerance=0.001, const bool continueOnError=false, const std::string &referenceCalibrationGrid="", const bool setCalibrationInfo=false, const std::string &id="unknown", BlackCalibrationHelper::CalibrationErrorType calibrationErrorType=BlackCalibrationHelper::RelativePriceError, const bool allowChangingFallbacksUnderScenarios=false, const bool allowModelFallbacks=false, const bool dontCalibrate=false) | |
| Public Member Functions inherited from IrModelBuilder | |
| IrModelBuilder (const QuantLib::ext::shared_ptr< ore::data::Market > &market, const QuantLib::ext::shared_ptr< IrModelData > &data, const std::vector< std::string > &optionExpires, const std::vector< std::string > &optionTerms, const std::vector< std::string > &optionStrikes, const std::string &configuration=Market::defaultConfiguration, Real bootstrapTolerance=0.001, const bool continueOnError=false, const std::string &referenceCalibrationGrid="", BlackCalibrationHelper::CalibrationErrorType calibrationErrorType=BlackCalibrationHelper::RelativePriceError, const bool allowChangingFallbacksUnderScenarios=false, const bool allowModelFallbacks=false, const bool requiresCalibration=true, const bool dontCalibrate=false, const std::string &modelLabel="unknown", const std::string &id="unknown") | |
| Real | error () const |
| Return calibration error. | |
| std::string | qualifier () |
| std::string | ccy () |
| QuantLib::ext::shared_ptr< QuantExt::IrModel > | model () const |
| RelinkableHandle< YieldTermStructure > | discountCurve () |
| QuantLib::ext::shared_ptr< QuantExt::Parametrization > | parametrization () const |
| std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > | swaptionBasket () const |
| void | forceRecalculate () override |
| bool | requiresRecalibration () const override |
| void | recalibrate () const override |
| void | newCalcWithoutRecalibration () const override |
Additional Inherited Members | |
| Public Types inherited from IrModelBuilder | |
| enum class | FallbackType { NoFallback , FallbackRule1 } |
| Static Public Attributes inherited from IrModelBuilder | |
| static constexpr Real | maxAtmStdDev = 3.0 |
| void | processException (const std::string &s, const std::exception &e) |
| void | performCalculations () const override |
| void | buildSwaptionBasket (const bool enforceFullRebuild) const |
| void | updateSwaptionBasketVols () const |
| std::string | getBasketDetails (std::vector< QuantExt::SwaptionData > &swaptionData) const |
| bool | volSurfaceChanged (const bool updateCache) const |
| void | getExpiryAndTerm (const Size j, Period &expiryPb, Period &termPb, Date &expiryDb, Date &termDb, Real &termT, bool &expiryDateBased, bool &termDateBased) const |
| Real | getStrike (const Size j) const |
| QuantLib::ext::shared_ptr< ore::data::Market > | market_ |
| std::string | configuration_ |
| QuantLib::ext::shared_ptr< IrModelData > | data_ |
| std::vector< std::string > | optionExpiries_ |
| std::vector< std::string > | optionTerms_ |
| std::vector< std::string > | optionStrikes_ |
| Real | bootstrapTolerance_ |
| bool | continueOnError_ |
| std::string | referenceCalibrationGrid_ |
| bool | setCalibrationInfo_ |
| BlackCalibrationHelper::CalibrationErrorType | calibrationErrorType_ |
| bool | allowChangingFallbacksUnderScenarios_ |
| bool | allowModelFallbacks_ = false |
| bool | requiresCalibration_ = true |
| bool | dontCalibrate_ = false |
| std::string | modelLabel_ |
| std::string | id_ |
| std::string | currency_ |
| bool | parametrizationIsInitialized_ = false |
| Real | error_ |
| QuantLib::ext::shared_ptr< QuantExt::IrModel > | model_ |
| Array | params_ |
| QuantLib::ext::shared_ptr< QuantExt::Parametrization > | parametrization_ |
| std::vector< Size > | swaptionIndexInBasket_ |
| std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > | swaptionBasket_ |
| std::vector< Real > | swaptionStrike_ |
| std::vector< QuantLib::ext::shared_ptr< SimpleQuote > > | swaptionBasketVols_ |
| std::vector< FallbackType > | swaptionFallbackType_ |
| std::set< double > | swaptionExpiries_ |
| std::set< double > | swaptionMaturities_ |
| Date | swaptionBasketRefDate_ |
| Handle< QuantLib::SwaptionVolatilityStructure > | svts_ |
| Handle< SwapIndex > | swapIndex_ |
| Handle< SwapIndex > | shortSwapIndex_ |
| RelinkableHandle< YieldTermStructure > | modelDiscountCurve_ |
| Handle< YieldTermStructure > | calibrationDiscountCurve_ |
| QuantLib::ext::shared_ptr< OptimizationMethod > | optimizationMethod_ |
| EndCriteria | endCriteria_ |
| std::vector< QuantLib::Real > | swaptionVolCache_ |
| bool | forceCalibration_ = false |
| bool | suspendCalibration_ = false |
| QuantLib::ext::shared_ptr< QuantExt::MarketObserver > | marketObserver_ |
Builder for a Linear Gauss Markov model component.
