FxBsBuilder Class Reference

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

#include <ored/model/fxbsbuilder.hpp>

Inheritance diagram for FxBsBuilder:

Public Member Functions
	FxBsBuilder (const boost::shared_ptr< ore::data::Market > &market, const boost::shared_ptr< FxBsData > &data, const std::string &configuration=Market::defaultConfiguration, const std::string &referenceCalibrationGrid="")
	Constructor. More...
Real	error () const
	Return calibration error.
Inspectors
std::string	foreignCurrency ()
boost::shared_ptr< QuantExt::FxBsParametrization >	parametrization () const
std::vector< boost::shared_ptr< BlackCalibrationHelper > >	optionBasket () const
Public Member Functions inherited from ModelBuilder
void	recalibrate () const

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

Detailed Description

Builder for a Lognormal FX model component.

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

Constructor & Destructor Documentation

FxBsBuilder()

FxBsBuilder	(	const boost::shared_ptr< ore::data::Market > &	market,
		const boost::shared_ptr< FxBsData > &	data,
		const std::string &	configuration = Market::defaultConfiguration,
		const std::string &	referenceCalibrationGrid = ""
	)

Constructor.

Parameters

market	Market object
data	FX model parameters/description
configuration	Market configuration to use
referenceCalibrationGrid	the reference calibration grid