FxBsModel Class Reference

Inheritance diagram for FxBsModel:

Public Member Functions
	FxBsModel (const boost::shared_ptr< FxBsParametrization > &parametrization)
const boost::shared_ptr< Parametrization >	parametrizationBase () const override
Handle< Quote >	fxSpotToday () const override
Size	n () const override
Size	m () const override
Array	eulerStep (const Time t0, const Array &x0, const Time dt, const Array &dw, const Real r_dom, const Real r_for) const override
Public Member Functions inherited from LinkableCalibratedModel
void	update () override
virtual void	calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
	Calibrate to a set of market instruments (usually caps/swaptions) More...
virtual void	calibrate (const std::vector< boost::shared_ptr< BlackCalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
	for backward compatibility
Real	value (const Array &params, const std::vector< boost::shared_ptr< CalibrationHelper > > &)
Real	value (const Array &params, const std::vector< boost::shared_ptr< BlackCalibrationHelper > > &)
	for backward compatibility
const boost::shared_ptr< Constraint > &	constraint () const
EndCriteria::Type	endCriteria () const
	Returns end criteria result.
const Array &	problemValues () const
	Returns the problem values.
Array	params () const
	Returns array of arguments on which calibration is done.
virtual void	setParams (const Array &params)

Additional Inherited Members
Protected Member Functions inherited from LinkableCalibratedModel
virtual void	generateArguments ()
Protected Attributes inherited from LinkableCalibratedModel
std::vector< boost::shared_ptr< Parameter > >	arguments_
boost::shared_ptr< Constraint >	constraint_
EndCriteria::Type	endCriteria_
Array	problemValues_

Member Function Documentation

parametrizationBase()

const boost::shared_ptr<Parametrization> parametrizationBase ( ) const

overridevirtual

parametrization (as base class)

Implements FxModel.

fxSpotToday()

Handle<Quote> fxSpotToday ( ) const

overridevirtual

today's fx rate on which the model is based

Implements FxModel.

n()

Size n ( ) const

overridevirtual

dimension of model state, excluding auxilliary states

Implements FxModel.

m()

Size m ( ) const

overridevirtual

number of Brownians to evolve the state

Implements FxModel.

eulerStep()

Array eulerStep ( const Time  t0, const Array &  x0, const Time  dt, const Array &  dw, const Real  r_dom, const Real  r_for  ) const

overridevirtual

perform an Euler step given short rates for the rates

Implements FxModel.