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Reference manual - version ored_version
Public Member Functions | List of all members
FxBsData Class Reference

FX Model Parameters. More...

#include <ored/model/fxbsdata.hpp>

Public Member Functions

 FxBsData ()
 Default constructor.
 
 FxBsData (std::string foreignCcy, std::string domesticCcy, CalibrationType calibrationType, bool calibrateSigma, ParamType sigmaType, const std::vector< Time > &sigmaTimes, const std::vector< Real > &sigmaValues, std::vector< std::string > optionExpiries=std::vector< std::string >(), std::vector< std::string > optionStrikes=std::vector< std::string >())
 Detailed constructor.
 
Setters/Getters
std::string & foreignCcy ()
 
std::string & domesticCcy ()
 
CalibrationTypecalibrationType ()
 
bool & calibrateSigma ()
 
ParamTypesigmaParamType ()
 
std::vector< Time > & sigmaTimes ()
 
std::vector< Real > & sigmaValues ()
 
std::vector< std::string > & optionExpiries ()
 
std::vector< std::string > & optionStrikes ()
 
Serialisation
void fromXML (XMLNode *node)
 
XMLNodetoXML (XMLDocument &doc)
 

Operators

bool operator== (const FxBsData &rhs)
 
bool operator!= (const FxBsData &rhs)
 

Detailed Description

FX Model Parameters.

Specification for a FX model component in the Cross Ccy LGM (i.e. lognormal FX with stochastic IR differential). The specification applies to the volatility component (sigma) of the FX model only.