CommoditySchwartzData Class Reference

COM Schwartz Model Parameters. More...

#include <ored/model/commodityschwartzmodeldata.hpp>

Public Member Functions
	CommoditySchwartzData (bool driftFreeState=false, boost::shared_ptr< OptimizationMethod > optimizationMethod=boost::make_shared< LevenbergMarquardt >(1E-8, 1E-8, 1E-8), EndCriteria endCriteria=EndCriteria(1000, 500, 1E-8, 1E-8, 1E-8), Constraint constraint=Constraint(), BlackCalibrationHelper::CalibrationErrorType calibrationErrorType=BlackCalibrationHelper::RelativePriceError)
	Default constructor.
	CommoditySchwartzData (std::string name, std::string currency, CalibrationType calibrationType, bool calibrateSigma, Real sigma, bool calibrateKappa, Real kappa, std::vector< std::string > optionExpiries=std::vector< std::string >(), std::vector< std::string > optionStrikes=std::vector< std::string >(), boost::shared_ptr< OptimizationMethod > optimizationMethod=boost::make_shared< LevenbergMarquardt >(1E-8, 1E-8, 1E-8), EndCriteria endCriteria=EndCriteria(1000, 500, 1E-8, 1E-8, 1E-8), Constraint constraint=Constraint(), BlackCalibrationHelper::CalibrationErrorType calibrationErrorType=BlackCalibrationHelper::RelativePriceError, bool driftFreeState=false)
	Detailed constructor.
Setters/Getters
std::string &	name ()
std::string &	currency ()
CalibrationType &	calibrationType ()
bool &	calibrateSigma ()
ParamType &	sigmaParamType ()
Real &	sigmaValue ()
bool &	calibrateKappa ()
ParamType &	kappaParamType ()
Real &	kappaValue ()
std::vector< std::string > &	optionExpiries ()
std::vector< std::string > &	optionStrikes ()
bool &	driftFreeState ()
boost::shared_ptr< OptimizationMethod > &	optimizationMethod ()
EndCriteria &	endCriteria ()
Constraint &	constraint ()
BlackCalibrationHelper::CalibrationErrorType	calibrationErrorType ()
Serialisation
void	fromXML (XMLNode *node)
XMLNode *	toXML (XMLDocument &doc)

Operators
bool	operator== (const CommoditySchwartzData &rhs)
bool	operator!= (const CommoditySchwartzData &rhs)

Detailed Description

COM Schwartz Model Parameters.

Specification for a COM model component with lognormal forwards in the Cross Asset LGM. This class covers the CommoditySchwartz parametrization.