IrLgmData Class Reference

INF Model Parameters. More...

#include <ored/model/irlgmdata.hpp>

Inheritance diagram for IrLgmData:

Public Member Functions
	IrLgmData ()
	Default constructor.
	IrLgmData (std::string qualifier, CalibrationType calibrationType, ReversionType revType, VolatilityType volType, bool calibrateH, ParamType hType, std::vector< Time > hTimes, std::vector< Real > hValues, bool calibrateA, ParamType aType, std::vector< Time > aTimes, std::vector< Real > aValues, Real shiftHorizon=0.0, Real scaling=1.0, 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 >(), const QuantExt::AnalyticLgmSwaptionEngine::FloatSpreadMapping inputFloatSpreadMapping=QuantExt::AnalyticLgmSwaptionEngine::FloatSpreadMapping::proRata)
	Detailed constructor.
Serialisation
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
void	clear () override
	Clear list of calibration instruments.
void	reset () override
	Reset member variables to defaults.
Public Member Functions inherited from LgmData
	LgmData ()
	Default constructor.
	LgmData (std::string qualifier, CalibrationType calibrationType, ReversionType revType, VolatilityType volType, bool calibrateH, ParamType hType, std::vector< Time > hTimes, std::vector< Real > hValues, bool calibrateA, ParamType aType, std::vector< Time > aTimes, std::vector< Real > aValues, Real shiftHorizon=0.0, Real scaling=1.0, 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 >(), const QuantExt::AnalyticLgmSwaptionEngine::FloatSpreadMapping inputFloatSpreadMapping=QuantExt::AnalyticLgmSwaptionEngine::FloatSpreadMapping::proRata)
	Detailed constructor.
void	clear () override
	Clear list of calibration instruments.
void	reset () override
	Reset member variables to defaults.
ReversionType &	reversionType ()
VolatilityType &	volatilityType ()
bool &	calibrateH ()
ParamType &	hParamType ()
std::vector< Time > &	hTimes ()
std::vector< Real > &	hValues ()
bool &	calibrateA ()
ParamType &	aParamType ()
std::vector< Time > &	aTimes ()
std::vector< Real > &	aValues ()
Real &	shiftHorizon ()
Real &	scaling ()
QuantExt::AnalyticLgmSwaptionEngine::FloatSpreadMapping &	floatSpreadMapping ()
std::vector< std::string > &	optionExpiries () const
std::vector< std::string > &	optionTerms () const
std::vector< std::string > &	optionStrikes () const
ReversionParameter	reversionParameter () const
VolatilityParameter	volatilityParameter () const
bool	operator== (const LgmData &rhs)
bool	operator!= (const LgmData &rhs)
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

Additional Inherited Members
Public Types inherited from LgmData
enum class	ReversionType { HullWhite , Hagan }
	Supported mean reversion types. More...
enum class	VolatilityType { HullWhite , Hagan }
	Supported volatility types. More...
std::string	name_
std::string	qualifier_
CalibrationType	calibrationType_

Detailed Description

INF Model Parameters.

Specification for a IR model component in the Cross Asset LGM (i.e. lognormal Inflation with stochastic IR/FX differential). The specification applies to the volatility component (sigma) of the IR model only.

Member Function Documentation

fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from LgmData.

toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from LgmData.

clear()

void clear ( )

overridevirtual

Clear list of calibration instruments.

Reimplemented from IrModelData.

reset()

void reset ( )

overridevirtual

Reset member variables to defaults.

Reimplemented from IrModelData.