CommoditySchwartzModelBuilder Class Reference

Builder for a COM model component. More...

#include <ored/model/commodityschwartzmodelbuilder.hpp>

Inheritance diagram for CommoditySchwartzModelBuilder:

Public Member Functions
	CommoditySchwartzModelBuilder (const QuantLib::ext::shared_ptr< ore::data::Market > &market, const QuantLib::ext::shared_ptr< CommoditySchwartzData > &data, const QuantLib::Currency &baseCcy, const std::string &configuration=Market::defaultConfiguration, const std::string &referenceCalibrationGrid="")
	Constructor. More...
Real	error () const
	Return calibration error.
Inspectors
std::string	name ()
QuantLib::ext::shared_ptr< QuantExt::CommoditySchwartzParametrization >	parametrization () const
QuantLib::ext::shared_ptr< QuantExt::CommoditySchwartzModel >	model () const
std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > >	optionBasket () const
Public Member Functions inherited from ModelBuilder
void	recalibrate () const

ModelBuilder interface
void	forceRecalculate () override
bool	requiresRecalibration () const override

Detailed Description

Builder for a COM model component.

This class is a utility to turn a COM model component's description into a COM model parametrization which can be used to ultimately instantiate a CrossAssetModel. h

Constructor & Destructor Documentation

CommoditySchwartzModelBuilder()

CommoditySchwartzModelBuilder	(	const QuantLib::ext::shared_ptr< ore::data::Market > &	market,
		const QuantLib::ext::shared_ptr< CommoditySchwartzData > &	data,
		const QuantLib::Currency &	baseCcy,
		const std::string &	configuration = Market::defaultConfiguration,
		const std::string &	referenceCalibrationGrid = ""
	)

Constructor.

Parameters

market	Market object
data	EQ model parameters/description
baseCcy	base currency for calibration
configuration	Market configuration to use
referenceCalibrationGrid	the reference calibration grid