irmodeldata.hpp File Reference

Generic interest rate model data. More...

#include <ored/utilities/xmlutils.hpp>
#include <ql/types.hpp>
#include <vector>

Classes
class	IrModelData
	Linear Gauss Markov Model Parameters. More...

Namespaces
namespace	ore
	Serializable Credit Default Swap.
namespace	ore::data

Enumerations
enum class	ParamType { Constant , Piecewise }
	Supported calibration parameter type.
enum class	CalibrationType {   Bootstrap , BestFit , FirstBestFitThenBootstrap , StatisticalWithRiskNeutralVolatility ,   None }
	Supported calibration types. More...
enum class	CalibrationStrategy {   CoterminalATM , CoterminalDealStrike , UnderlyingATM , UnderlyingDealStrike ,   DeltaGammaAdjusted , None }
	Supported calibration strategies.

Functions
ParamType	parseParamType (const string &s)
	Convert parameter type string into enumerated class value.
std::ostream &	operator<< (std::ostream &oss, const ParamType &type)
	Convert enumerated class value into a string.
CalibrationType	parseCalibrationType (const string &s)
	Convert calibration type string into enumerated class value.
std::ostream &	operator<< (std::ostream &oss, const CalibrationType &type)
	Convert enumerated class value into a string.
CalibrationStrategy	parseCalibrationStrategy (const string &s)
	Convert calibration strategy string into enumerated class value.
std::ostream &	operator<< (std::ostream &oss, const CalibrationStrategy &type)
	Convert enumerated class value into a string.

Detailed Description

Generic interest rate model data.