LgmData Class Reference

Linear Gauss Markov Model Parameters. More...

#include <ored/model/lgmdata.hpp>

Inheritance diagram for LgmData:

Public Types
enum class	ReversionType { HullWhite , Hagan }
	Supported mean reversion types. More...
enum class	VolatilityType { HullWhite , Hagan }
	Supported volatility types. More...

Public Member Functions
	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.
Serialisation
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
Setters/Getters
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
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 LgmData &rhs)
bool	operator!= (const LgmData &rhs)

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

Detailed Description

Linear Gauss Markov Model Parameters.

This class contains the description of a Linear Gauss Markov interest rate model and instructions for how to calibrate it.

Member Enumeration Documentation

ReversionType

enum class ReversionType

strong

Supported mean reversion types.

Enumerator
HullWhite	Parametrize H(t) via Hull-White mean reversion speed, LGM H(t) = int_0^t exp(-kappa(s) *s) ds with constant or piecewise kappa(s)
Hagan	Parametrize LGM H(t) as H(t) = int_0^t h(s) ds with constant or piecewise h(s).

VolatilityType

enum class VolatilityType

strong

Supported volatility types.

Enumerator
HullWhite	Parametrize volatility as HullWhite sigma(t).
Hagan	Parametrize volatility as Hagan alpha(t).

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.