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Public Member Functions | List of all members
CrLgmData Class Reference

CR LGM Model Parameters. More...

#include <ored/model/crlgmdata.hpp>

+ Inheritance diagram for CrLgmData:

Public Member Functions

 CrLgmData ()
 Default constructor.
 
 CrLgmData (std::string name, CalibrationType calibrationType, ReversionType revType, VolatilityType volType, bool calibrateH, ParamType hType, std::vector< Time > hTimes, std::vector< Real > hValues, bool calibrateA, ParamType aType, std::vector< Time > aTimes, std::vector< Real > aValues, Real shiftHorizon=0.0, Real scaling=1.0, std::vector< std::string > optionExpiries=std::vector< std::string >(), std::vector< std::string > optionTerms=std::vector< std::string >(), std::vector< std::string > optionStrikes=std::vector< std::string >())
 Detailed constructor.
 
Setters/Getters
std::string & name ()
 
- Public Member Functions inherited from LgmData
 LgmData ()
 Default constructor.
 
 LgmData (std::string qualifier, CalibrationType calibrationType, ReversionType revType, VolatilityType volType, bool calibrateH, ParamType hType, std::vector< Time > hTimes, std::vector< Real > hValues, bool calibrateA, ParamType aType, std::vector< Time > aTimes, std::vector< Real > aValues, Real shiftHorizon=0.0, Real scaling=1.0, std::vector< std::string > optionExpiries=std::vector< std::string >(), std::vector< std::string > optionTerms=std::vector< std::string >(), std::vector< std::string > optionStrikes=std::vector< std::string >())
 Detailed constructor.
 
void clear () override
 Clear list of calibration instruments.
 
void reset () override
 Reset member variables to defaults.
 
ReversionTypereversionType ()
 
VolatilityTypevolatilityType ()
 
bool & calibrateH ()
 
ParamTypehParamType ()
 
std::vector< Time > & hTimes ()
 
std::vector< Real > & hValues ()
 
bool & calibrateA ()
 
ParamTypeaParamType ()
 
std::vector< Time > & aTimes ()
 
std::vector< Real > & aValues ()
 
Real & shiftHorizon ()
 
Real & scaling ()
 
std::vector< std::string > & optionExpiries ()
 
std::vector< std::string > & optionTerms ()
 
std::vector< std::string > & optionStrikes ()
 
bool operator== (const LgmData &rhs)
 
bool operator!= (const LgmData &rhs)
 
- Public Member Functions inherited from IrModelData
 IrModelData (const std::string &name)
 minimal constructor
 
 IrModelData (const std::string &name, const std::string &qualifier, CalibrationType calibrationType)
 Detailed constructor.
 
const std::string & name ()
 
std::string & qualifier ()
 
CalibrationTypecalibrationType ()
 
virtual std::string ccy () const
 
- Public Member Functions inherited from XMLSerializable
void fromFile (const std::string &filename)
 
void toFile (const std::string &filename)
 
void fromXMLString (const std::string &xml)
 Parse from XML string.
 
std::string toXMLString ()
 Parse from XML string.
 

Serialisation

void fromXML (XMLNode *node) override
 
XMLNodetoXML (XMLDocument &doc) override
 
void clear () override
 Clear list of calibration instruments.
 
void reset () override
 Reset member variables to defaults.
 

Additional Inherited Members

- Public Types inherited from LgmData
enum class  ReversionType { HullWhite , Hagan }
 Supported mean reversion types. More...
 
enum class  VolatilityType { HullWhite , Hagan }
 Supported volatility types. More...
 
- Protected Attributes inherited from IrModelData
std::string name_
 
std::string qualifier_
 
CalibrationType calibrationType_
 

Detailed Description

CR LGM Model Parameters.