EqBsBuilder Class Reference

Builder for a Lognormal EQ model component. More...

#include <ored/model/eqbsbuilder.hpp>

Inheritance diagram for EqBsBuilder:

Public Member Functions
	EqBsBuilder (const QuantLib::ext::shared_ptr< ore::data::Market > &market, const QuantLib::ext::shared_ptr< EqBsData > &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	eqName ()
QuantLib::ext::shared_ptr< QuantExt::EqBsParametrization >	parametrization () 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
void	setCalibrationDone () const

Detailed Description

Builder for a Lognormal EQ model component.

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

Constructor & Destructor Documentation

EqBsBuilder()

EqBsBuilder	(	const QuantLib::ext::shared_ptr< ore::data::Market > &	market,
		const QuantLib::ext::shared_ptr< EqBsData > &	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