Reference manual - version ored_version
Builder for a Hull White model or a HW component for the CAM. More...
#include <ored/model/hwbuilder.hpp>
Inheritance diagram for HwBuilder:Public Member Functions | |
| HwBuilder (const boost::shared_ptr< ore::data::Market > &market, const boost::shared_ptr< HwModelData > &data, const IrModel::Measure measure=IrModel::Measure::BA, const HwModel::Discretization discretization=HwModel::Discretization::Euler, const bool evaluateBankAccount=true, const std::string &configuration=Market::defaultConfiguration, Real bootstrapTolerance=0.001, const bool continueOnError=false, const std::string &referenceCalibrationGrid="", const bool setCalibrationInfo=false) | |
| Real | error () const |
| Return calibration error. | |
Inspectors | |
| std::string | qualifier () |
| std::string | ccy () |
| boost::shared_ptr< QuantExt::HwModel > | model () const |
| boost::shared_ptr< QuantExt::IrHwParametrization > | parametrization () const |
| RelinkableHandle< YieldTermStructure > | discountCurve () |
| std::vector< boost::shared_ptr< BlackCalibrationHelper > > | swaptionBasket () const |
| Public Member Functions inherited from ModelBuilder | |
| void | recalibrate () const |
ModelBuilder interface | |
| void | forceRecalculate () override |
| bool | requiresRecalibration () const override |
Builder for a Hull White model or a HW component for the CAM.
| HwBuilder | ( | const boost::shared_ptr< ore::data::Market > & | market, |
| const boost::shared_ptr< HwModelData > & | data, | ||
| const IrModel::Measure | measure = IrModel::Measure::BA, |
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| const HwModel::Discretization | discretization = HwModel::Discretization::Euler, |
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| const bool | evaluateBankAccount = true, |
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| const std::string & | configuration = Market::defaultConfiguration, |
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| Real | bootstrapTolerance = 0.001, |
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| const bool | continueOnError = false, |
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| const std::string & | referenceCalibrationGrid = "", |
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| const bool | setCalibrationInfo = false |
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| ) |
The configuration should refer to the calibration configuration here, alternative discounting curves are then usually set in the pricing engines for swaptions etc.
