InfJyBuilder Class Reference

#include <ored/model/inflation/infjybuilder.hpp>

Inheritance diagram for InfJyBuilder:

Public Types
using	Helpers = std::vector<QuantLib::ext::shared_ptr<QuantLib::CalibrationHelper>>

Public Member Functions
	InfJyBuilder (const QuantLib::ext::shared_ptr< Market > &market, const QuantLib::ext::shared_ptr< InfJyData > &data, const std::string &configuration=Market::defaultConfiguration, const std::string &referenceCalibrationGrid="", const bool donCalibrate=false)
Inspectors
std::string	inflationIndex () const
QuantLib::ext::shared_ptr< QuantExt::InfJyParameterization >	parameterization () const
Helpers	realRateBasket () const
Helpers	indexBasket () const

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

Detailed Description

Builder for a Jarrow Yildrim inflation model component

This class is a utility to turn a Jarrow Yildrim inflation model component description into an inflation model parameterization which can be used to instantiate a CrossAssetModel.

Constructor & Destructor Documentation

InfJyBuilder()

InfJyBuilder	(	const QuantLib::ext::shared_ptr< Market > &	market,
		const QuantLib::ext::shared_ptr< InfJyData > &	data,
		const std::string &	configuration = Market::defaultConfiguration,
		const std::string &	referenceCalibrationGrid = "",
		const bool	donCalibrate = false )

Constructor

Parameters

market	Market object
data	Jarrow Yildrim inflation model description
configuration	Market configuration to use
referenceCalibrationGrid	The reference calibration grid