CrossAssetModelBuilder Class Reference

Cross Asset Model Builder. More...

#include <ored/model/crossassetmodelbuilder.hpp>

Inheritance diagram for CrossAssetModelBuilder:

Public Member Functions
	CrossAssetModelBuilder (const boost::shared_ptr< Market > &market, const boost::shared_ptr< CrossAssetModelData > &config, const std::string &configurationLgmCalibration=Market::defaultConfiguration, const std::string &configurationFxCalibration=Market::defaultConfiguration, const std::string &configurationEqCalibration=Market::defaultConfiguration, const std::string &configurationInfCalibration=Market::defaultConfiguration, const std::string &configurationCrCalibration=Market::defaultConfiguration, const std::string &configurationFinalModel=Market::defaultConfiguration, const bool dontCalibrate=false, const bool continueOnError=false, const std::string &referenceCalibrationGrid_="", const SalvagingAlgorithm::Type salvaging=SalvagingAlgorithm::None, const std::string &id="unknown")
	~CrossAssetModelBuilder ()
	Default destructor.
Handle< QuantExt::CrossAssetModel >	model () const
	return the model
Inspectors
const std::vector< Real > &	swaptionCalibrationErrors ()
const std::vector< Real > &	fxOptionCalibrationErrors ()
const std::vector< Real > &	eqOptionCalibrationErrors ()
const std::vector< Real > &	inflationCalibrationErrors ()
const std::vector< Real > &	comOptionCalibrationErrors ()
Public Member Functions inherited from ModelBuilder
void	recalibrate () const

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

Detailed Description

Cross Asset Model Builder.

CrossAssetModelBuilder takes a market snapshot, market conventions (the latter two passed to the constructor), and a model configuration (passed to the "build" member function) to build and calibrate a cross asset model.

Constructor & Destructor Documentation

CrossAssetModelBuilder()

CrossAssetModelBuilder	(	const boost::shared_ptr< Market > &	market,
		const boost::shared_ptr< CrossAssetModelData > &	config,
		const std::string &	configurationLgmCalibration = Market::defaultConfiguration,
		const std::string &	configurationFxCalibration = Market::defaultConfiguration,
		const std::string &	configurationEqCalibration = Market::defaultConfiguration,
		const std::string &	configurationInfCalibration = Market::defaultConfiguration,
		const std::string &	configurationCrCalibration = Market::defaultConfiguration,
		const std::string &	configurationFinalModel = Market::defaultConfiguration,
		const bool	dontCalibrate = false,
		const bool	continueOnError = false,
		const std::string &	referenceCalibrationGrid_ = "",
		const SalvagingAlgorithm::Type	salvaging = SalvagingAlgorithm::None,
		const std::string &	id = "unknown"
	)

The market for the calibration can possibly be different from the final market defining the curves attached to the marginal LGM models; for example domestic OIS curves may be used for the in currency swaption calibration while the global model is operated under FX basis consistent discounting curves relative to the collateral OIS curve.

Parameters

market	Market object
config	cam configuration
configurationLgmCalibration	Market configuration for interest rate model calibration
configurationFxCalibration	Market configuration for FX model calibration
configurationEqCalibration	Market configuration for EQ model calibration
configurationInfCalibration	Market configuration for INF model calibration
configurationCrCalibration	Market configuration for CR model calibration
configurationFinalModel	Market configuration for simulation
dontCalibrate	calibrate the model?
continueOnError	continue if bootstrap error exceeds tolerance
referenceCalibrationGrid_	reference calibration grid
salvaging	salvaging algorithm to apply to correlation matrix
id	id of the builder