InfJyData Class Reference

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

Inheritance diagram for InfJyData:

Public Member Functions
	InfJyData ()
	Default constructor.
	InfJyData (CalibrationType calibrationType, const std::vector< CalibrationBasket > &calibrationBaskets, const std::string &currency, const std::string &index, const ReversionParameter &realRateReversion, const VolatilityParameter &realRateVolatility, const VolatilityParameter &indexVolatility, const LgmReversionTransformation &reversionTransformation=LgmReversionTransformation(), const CalibrationConfiguration &calibrationConfiguration=CalibrationConfiguration(), const bool ignoreDuplicateCalibrationExpiryTimes=false, const bool linkRealToNominalRateParams=false, const Real linkedRealRateVolatilityScaling=1.0)
	Detailed constructor.
Inspectors
const ReversionParameter &	realRateReversion () const
const VolatilityParameter &	realRateVolatility () const
const VolatilityParameter &	indexVolatility () const
const LgmReversionTransformation &	reversionTransformation () const
const CalibrationConfiguration &	calibrationConfiguration () const
bool	linkRealRateParamsToNominalRateParams () const
Real	linkedRealRateVolatilityScaling () const
Setters
void	setRealRateReversion (ReversionParameter p)
void	setRealRateVolatility (VolatilityParameter p)
void	setIndexVolatility (VolatilityParameter p)
Public Member Functions inherited from InflationModelData
	InflationModelData ()
	Default constructor. The currency and inflation index are empty.
	InflationModelData (CalibrationType calibrationType, const std::vector< CalibrationBasket > &calibrationBaskets, const std::string &currency, const std::string &index, const bool ignoreDuplicateCalibrationExpiryTimes)
const std::string &	currency () const
const std::string &	index () const
bool	ignoreDuplicateCalibrationExpiryTimes () const
void	fromXML (XMLNode *node) override
Public Member Functions inherited from ModelData
	ModelData ()
	Default constructor.
	ModelData (CalibrationType calibrationType, const std::vector< CalibrationBasket > &calibrationBaskets)
	Detailed constructor.
CalibrationType	calibrationType () const
const std::vector< CalibrationBasket > &	calibrationBaskets () const
void	fromXML (XMLNode *node) 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

Serialisation
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override

Additional Inherited Members
void	append (XMLDocument &doc, XMLNode *node) const override
	Method used by toXML in derived classes to add the members here to a node.
std::vector< CalibrationBasket >	calibrationBaskets_

Detailed Description

Jarrow Yildirim inflation model data.

Model data specifying the Jarrow Yildirim inflation model described in Modern Derivatives Pricing and Credit Exposure Analysis, Chapter 13.

Member Function Documentation

fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.