CR LGM Model Parameters. More...
#include <ored/model/crlgmdata.hpp>
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. | |
ReversionType & | reversionType () |
VolatilityType & | volatilityType () |
bool & | calibrateH () |
ParamType & | hParamType () |
std::vector< Time > & | hTimes () |
std::vector< Real > & | hValues () |
bool & | calibrateA () |
ParamType & | aParamType () |
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 () |
CalibrationType & | calibrationType () |
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 |
XMLNode * | toXML (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_ |
CR LGM Model Parameters.