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 QuantLib::ext::shared_ptr< ore::data::Market > &market, const QuantLib::ext::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 ()
QuantLib::ext::shared_ptr< QuantExt::FxBsParametrization >	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 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 QuantLib::ext::shared_ptr< ore::data::Market > &	market,
		const QuantLib::ext::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