HwModelData Class Reference

Hull White Model Parameters. More...

#include <ored/model/irhwmodeldata.hpp>

Inheritance diagram for HwModelData:

Public Member Functions
	HwModelData ()
	Default constructor.
	HwModelData (std::string qualifier, CalibrationType calibrationType, bool calibrateKappa, ParamType kappaType, std::vector< Time > kappaTimes, std::vector< QuantLib::Array > kappaValues, bool calibrateSigma, ParamType sigmaType, std::vector< Time > sigmaTimes, std::vector< QuantLib::Matrix > sigmaValues, std::vector< std::vector< double > > pcaLoadings={}, bool calibratePcaSigma0=false, ParamType pcaSigma0Type=ParamType::Constant, std::vector< double > pcaSigma0Times={}, std::vector< double > pcaSigma0Values={}, std::vector< double > pcaSigmaRatios={}, 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.
void	clear () override
	Clear list of calibration instruments.
void	reset () override
	Reset member variables to defaults.
Serialisation
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
Setters/Getters
bool &	calibrateKappa ()
ParamType &	kappaType ()
std::vector< Time > &	kappaTimes ()
std::vector< Array > &	kappaValues ()
bool &	calibrateSigma ()
ParamType &	sigmaType ()
std::vector< Time > &	sigmaTimes ()
std::vector< QuantLib::Matrix > &	sigmaValues ()
std::vector< std::vector< double > > &	pcaLoadings ()
bool &	calibratePcaSigma0 ()
ParamType &	pcaSigma0Type ()
std::vector< Time > &	pcaSigma0Times ()
std::vector< double > &	pcaSigma0Values ()
std::vector< double > &	pcaSigmaRatios ()
std::vector< std::string > &	optionExpiries ()
std::vector< std::string > &	optionTerms ()
std::vector< std::string > &	optionStrikes ()
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

Operators
bool	operator== (const HwModelData &rhs)
bool	operator!= (const HwModelData &rhs)

Additional Inherited Members
std::string	name_
std::string	qualifier_
CalibrationType	calibrationType_

Detailed Description

Hull White Model Parameters.

This class contains the description of a Hull White interest rate model and instructions for how to calibrate it.

Member Function Documentation

clear()

void clear ( )

overridevirtual

Clear list of calibration instruments.

Reimplemented from IrModelData.

reset()

void reset ( )

overridevirtual

Reset member variables to defaults.

Reimplemented from IrModelData.

fromXML()

virtual void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from IrModelData.

toXML()

virtual XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from IrModelData.