#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 () |
CalibrationType & | calibrationType () |
bool & | calibrateSigma () |
ParamType & | sigmaParamType () |
std::vector< Time > & | sigmaTimes () |
std::vector< Real > & | sigmaValues () |
std::vector< std::string > & | optionExpiries () |
std::vector< std::string > & | optionStrikes () |
Serialisation | |
void | fromXML (XMLNode *node) |
XMLNode * | toXML (XMLDocument &doc) |
Operators | |
bool | operator== (const FxBsData &rhs) |
bool | operator!= (const FxBsData &rhs) |
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.