#include <ored/model/lgmdata.hpp>

Inheritance diagram for LgmReversionTransformation:

Public Member Functions
	LgmReversionTransformation ()
	Default constructor setting the horizon to 0.0 and the scaling to 1.0.
	LgmReversionTransformation (QuantLib::Time horizon, QuantLib::Real scaling)
	Detailed constructor.
Inspectors
QuantLib::Time	horizon () const
QuantLib::Real	scaling () 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

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

Detailed Description

LGM reversion transformation.

This class holds values for possibly transforming the reversion parameter of the LGM model. The use of this is outlined in Modern Derivatives Pricing and Credit Exposure Analysis, Section 16.4.

Member Function Documentation

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const