CommodityApoModelBuilder Class Reference

Inheritance diagram for CommodityApoModelBuilder:

Public Member Functions
	CommodityApoModelBuilder (const Handle< YieldTermStructure > &curve, const QuantLib::Handle< QuantLib::BlackVolTermStructure > &vol, const boost::shared_ptr< QuantExt::CommodityAveragePriceOption > &apo, const bool dontCalibrate)
Public Member Functions inherited from BlackScholesModelBuilderBase
	BlackScholesModelBuilderBase (const std::vector< Handle< YieldTermStructure >> &curves, const std::vector< boost::shared_ptr< GeneralizedBlackScholesProcess >> &processes, const std::set< Date > &simulationDates, const std::set< Date > &addDates, const Size timeStepsPerYear)
	BlackScholesModelBuilderBase (const Handle< YieldTermStructure > &curve, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const std::set< Date > &simulationDates, const std::set< Date > &addDates, const Size timeStepsPerYear)
Handle< BlackScholesModelWrapper >	model () const
void	forceRecalculate () override
bool	requiresRecalibration () const override
Public Member Functions inherited from ModelBuilder
void	recalibrate () const

Protected Member Functions
void	setupDatesAndTimes () const override
std::vector< boost::shared_ptr< GeneralizedBlackScholesProcess > >	getCalibratedProcesses () const override
std::vector< std::vector< Real > >	getCurveTimes () const override
std::vector< std::vector< std::pair< Real, Real > > >	getVolTimesStrikes () const override
Protected Member Functions inherited from BlackScholesModelBuilderBase
	BlackScholesModelBuilderBase (const Handle< YieldTermStructure > &curve, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void	performCalculations () const override
bool	calibrationPointsChanged (const bool updateCache) const

Protected Attributes
boost::shared_ptr< QuantExt::CommodityAveragePriceOption >	apo_
bool	dontCalibrate_ = false
Protected Attributes inherited from BlackScholesModelBuilderBase
const std::vector< Handle< YieldTermStructure > >	curves_
const std::vector< boost::shared_ptr< GeneralizedBlackScholesProcess > >	processes_
const std::set< Date >	simulationDates_
const std::set< Date >	addDates_
const Size	timeStepsPerYear_
std::set< Date >	effectiveSimulationDates_
TimeGrid	discretisationTimeGrid_
RelinkableHandle< BlackScholesModelWrapper >	model_
bool	forceCalibration_ = false
boost::shared_ptr< MarketObserver >	marketObserver_
std::vector< Handle< BlackVolTermStructure > >	vols_
std::vector< Handle< YieldTermStructure > >	allCurves_
CalibrationPointCache	cache_