Cross Asset Model Parameters. More...

#include <ored/model/crossassetmodeldata.hpp>

Inheritance diagram for CrossAssetModelData:

Public Member Functions
Constructors
	CrossAssetModelData ()
	Default constructor.

	CrossAssetModelData (const vector< boost::shared_ptr< IrModelData >> &irConfigs, const vector< boost::shared_ptr< FxBsData >> &fxConfigs, const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote >> &c, Real tolerance=1e-4, const std::string &measure="LGM", const CrossAssetModel::Discretization discretization=CrossAssetModel::Discretization::Exact)
	Detailed constructor (IR/FX only) More...

	CrossAssetModelData (const std::vector< boost::shared_ptr< IrModelData >> &irConfigs, const std::vector< boost::shared_ptr< FxBsData >> &fxConfigs, const std::vector< boost::shared_ptr< EqBsData >> &eqConfigs, const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote >> &c, Real tolerance=1e-4, const std::string &measure="LGM", const CrossAssetModel::Discretization discretization=CrossAssetModel::Discretization::Exact)
	Detailed constructor (IR/FX/EQ only) More...

	CrossAssetModelData (const std::vector< boost::shared_ptr< IrModelData >> &irConfigs, const std::vector< boost::shared_ptr< FxBsData >> &fxConfigs, const std::vector< boost::shared_ptr< EqBsData >> &eqConfigs, const std::vector< boost::shared_ptr< InflationModelData >> &infConfigs, const std::vector< boost::shared_ptr< CrLgmData >> &crLgmConfigs, const std::vector< boost::shared_ptr< CrCirData >> &crCirConfigs, const std::vector< boost::shared_ptr< CommoditySchwartzData >> &comConfigs, const Size numberOfCreditStates, const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote >> &c, Real tolerance=1e-4, const std::string &measure="LGM", const CrossAssetModel::Discretization discretization=CrossAssetModel::Discretization::Exact)
	Detailed constructor (all asset classes) More...

void	clear ()
	Clear all vectors and maps.

void	validate ()
	Check consistency of config vectors.

Inspectors
const string &	domesticCurrency () const

const vector< string > &	currencies () const

const vector< string > &	equities () const

const vector< string > &	infIndices () const

const vector< string > &	creditNames () const

const vector< string > &	commodities () const

const vector< boost::shared_ptr< IrModelData > > &	irConfigs () const

const vector< boost::shared_ptr< FxBsData > > &	fxConfigs () const

const vector< boost::shared_ptr< EqBsData > > &	eqConfigs () const

const vector< boost::shared_ptr< InflationModelData > > &	infConfigs () const

const vector< boost::shared_ptr< CrLgmData > > &	crLgmConfigs () const

const vector< boost::shared_ptr< CrCirData > > &	crCirConfigs () const

const vector< boost::shared_ptr< CommoditySchwartzData > > &	comConfigs () const

Size	numberOfCreditStates () const

const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote > > &	correlations () const

Real	bootstrapTolerance () const

const std::string &	measure () const

CrossAssetModel::Discretization	discretization () const

Setters
string &	domesticCurrency ()

vector< string > &	currencies ()

vector< string > &	equities ()

vector< string > &	infIndices ()

vector< string > &	creditNames ()

vector< string > &	commodities ()

vector< boost::shared_ptr< IrModelData > > &	irConfigs ()

vector< boost::shared_ptr< FxBsData > > &	fxConfigs ()

vector< boost::shared_ptr< EqBsData > > &	eqConfigs ()

vector< boost::shared_ptr< InflationModelData > > &	infConfigs ()

vector< boost::shared_ptr< CrLgmData > > &	crLgmConfigs ()

vector< boost::shared_ptr< CrCirData > > &	crCirConfigs ()

vector< boost::shared_ptr< CommoditySchwartzData > > &	comConfigs ()

void	setCorrelations (const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote >> &corrs)

void	setCorrelations (const boost::shared_ptr< InstantaneousCorrelations > &corrs)

Real &	bootstrapTolerance ()

std::string &	measure ()

CrossAssetModel::Discretization &	discretization ()

Serialisation
virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) override

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.

Operators
bool	operator== (const CrossAssetModelData &rhs)

bool	operator!= (const CrossAssetModelData &rhs)

void	buildIrConfigs (map< string, boost::shared_ptr< IrModelData >> &irMap)
	helper to convert LGM data, possibly including defaults, into an IR config vector

void	buildFxConfigs (std::map< std::string, boost::shared_ptr< FxBsData >> &fxMap)
	helper to convert FX data, possibly including defaults, into an FX config vector

void	buildEqConfigs (std::map< std::string, boost::shared_ptr< EqBsData >> &eqMap)
	helper to convert EQ data, possibly including defaults, into an EQ config vector

void	buildInfConfigs (const std::map< std::string, boost::shared_ptr< InflationModelData >> &mp)
	helper to convert INF data, possibly including defaults, into an INF config vector

void	buildCrConfigs (std::map< std::string, boost::shared_ptr< CrLgmData >> &crLgmMap, std::map< std::string, boost::shared_ptr< CrCirData >> &crCirMap)
	helper to convert CR LGM data, possibly including defaults, into CR config vectors

void	buildComConfigs (std::map< std::string, boost::shared_ptr< CommoditySchwartzData >> &comMap)
	helper to convert COM data, possibly including defaulta, into a COM config vector

Detailed Description

Cross Asset Model Parameters.

CrossAssetModelData comprises the specification of how to build and calibrate the CrossAssetModel. It contains

specifications for each currency IR component (IrLgmData)
specifications for each FX component (FxBsData)
the correlation specification between all factors of the model
a tolerance for bootstrap type calibration methods

Constructor & Destructor Documentation

◆ CrossAssetModelData() [1/3]

CrossAssetModelData	(	const vector< boost::shared_ptr< IrModelData >> &	irConfigs,
		const vector< boost::shared_ptr< FxBsData >> &	fxConfigs,
		const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote >> &	c,
		Real	tolerance = `1e-4`,
		const std::string &	measure = `"LGM"`,
		const CrossAssetModel::Discretization	discretization = `CrossAssetModel::Discretization::Exact`
	)

Detailed constructor (IR/FX only)

Parameters

irConfigs	Vector of IR model specifications
fxConfigs	Vector of FX model specifications
c	Correlation map
tolerance	Bootstrap tolerance used in model calibration
measure	Choice of probability measure
discretization	Choice of discretization

◆ CrossAssetModelData() [2/3]

CrossAssetModelData	(	const std::vector< boost::shared_ptr< IrModelData >> &	irConfigs,
		const std::vector< boost::shared_ptr< FxBsData >> &	fxConfigs,
		const std::vector< boost::shared_ptr< EqBsData >> &	eqConfigs,
		const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote >> &	c,
		Real	tolerance = `1e-4`,
		const std::string &	measure = `"LGM"`,
		const CrossAssetModel::Discretization	discretization = `CrossAssetModel::Discretization::Exact`
	)

Detailed constructor (IR/FX/EQ only)

Parameters

irConfigs	Vector of IR model specifications
fxConfigs	Vector of FX model specifications
eqConfigs	Vector of EQ model specifications
c	Correlation map
tolerance	Bootstrap tolerance used in model calibration
measure	Choice of probability measure
discretization	Choice of discretization

◆ CrossAssetModelData() [3/3]

CrossAssetModelData	(	const std::vector< boost::shared_ptr< IrModelData >> &	irConfigs,
		const std::vector< boost::shared_ptr< FxBsData >> &	fxConfigs,
		const std::vector< boost::shared_ptr< EqBsData >> &	eqConfigs,
		const std::vector< boost::shared_ptr< InflationModelData >> &	infConfigs,
		const std::vector< boost::shared_ptr< CrLgmData >> &	crLgmConfigs,
		const std::vector< boost::shared_ptr< CrCirData >> &	crCirConfigs,
		const std::vector< boost::shared_ptr< CommoditySchwartzData >> &	comConfigs,
		const Size	numberOfCreditStates,
		const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote >> &	c,
		Real	tolerance = `1e-4`,
		const std::string &	measure = `"LGM"`,
		const CrossAssetModel::Discretization	discretization = `CrossAssetModel::Discretization::Exact`
	)

Detailed constructor (all asset classes)

Parameters

irConfigs	Vector of IR model specifications
fxConfigs	Vector of FX model specifications
eqConfigs	Vector of EQ model specifications
infConfigs	Vector of INF model specifications
crLgmConfigs	Vector of CR LGM model specifications
crCirConfigs	Vector of CR CIR model specifications
comConfigs	Vector of COM Schwartz model specifications
numberOfCreditStates	Number of credit states
c	Correlation map
tolerance	Bootstrap tolerance used in model calibration
measure	Choice of probability measure
discretization	Choice of discretization

Public Member Functions

Operators

Detailed Description

Constructor & Destructor Documentation

◆ CrossAssetModelData() [1/3]

◆ CrossAssetModelData() [2/3]

◆ CrossAssetModelData() [3/3]