HwBuilder Class Reference

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 QuantLib::ext::shared_ptr< ore::data::Market > &market, const QuantLib::ext::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 ()
QuantLib::ext::shared_ptr< QuantExt::HwModel >	model () const
QuantLib::ext::shared_ptr< QuantExt::IrHwParametrization >	parametrization () const
RelinkableHandle< YieldTermStructure >	discountCurve ()
std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > >	swaptionBasket () const
Public Member Functions inherited from ModelBuilder
void	recalibrate () const

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

Detailed Description

Builder for a Hull White model or a HW component for the CAM.

Constructor & Destructor Documentation

HwBuilder()

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

The configuration should refer to the calibration configuration here, alternative discounting curves are then usually set in the pricing engines for swaptions etc.