Reference manual - version ored_version
Builder base class for a lgm or hw model. More...
#include <ored/model/irmodelbuilder.hpp>
Public Types | |
| enum class | FallbackType { NoFallback , FallbackRule1 } |
Public Member Functions | |
| 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. | |
Inspectors | |
| 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 |
Static Public Attributes | |
| static constexpr Real | maxAtmStdDev = 3.0 |
ModelBuilder interface | |
| 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_ |
| void | forceRecalculate () override |
| bool | requiresRecalibration () const override |
| void | recalibrate () const override |
| void | newCalcWithoutRecalibration () const override |
| virtual void | initParametrization () const =0 |
| virtual void | calibrate () const =0 |
| virtual QuantLib::ext::shared_ptr< PricingEngine > | getPricingEngine () const =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 |
Builder base class for a lgm or hw model.
| 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" ) |
The configuration refers to the configuration to read swaption vol and swap index from the market. The discounting curve to price calibrating swaptions is derived from the swap index directly though, i.e. it is not read as a discount curve from the market (except as a fallback in case we do not find the swap index).
