Reference manual - version ored_version
Hull White Model Parameters. More...
#include <ored/model/irhwmodeldata.hpp>
Inheritance diagram for HwModelData:Public Member Functions | |
| HwModelData () | |
| Default constructor. | |
| HwModelData (std::string qualifier, CalibrationType calibrationType, bool calibrateKappa, ParamType kappaType, std::vector< Time > kappaTimes, std::vector< QuantLib::Array > kappaValues, bool calibrateSigma, ParamType sigmaType, std::vector< Time > sigmaTimes, std::vector< QuantLib::Matrix > sigmaValues, std::vector< std::string > optionExpiries=std::vector< std::string >(), std::vector< std::string > optionTerms=std::vector< std::string >(), std::vector< std::string > optionStrikes=std::vector< std::string >()) | |
| Detailed constructor. | |
| void | clear () override |
| Clear list of calibration instruments. | |
| void | reset () override |
| Reset member variables to defaults. | |
Serialisation | |
| virtual void | fromXML (XMLNode *node) override |
| virtual XMLNode * | toXML (XMLDocument &doc) override |
Setters/Getters | |
| bool & | calibrateKappa () |
| ParamType & | kappaType () |
| std::vector< Time > & | kappaTimes () |
| std::vector< Array > & | kappaValues () |
| bool & | calibrateSigma () |
| ParamType & | sigmaType () |
| std::vector< Time > & | sigmaTimes () |
| std::vector< QuantLib::Matrix > & | sigmaValues () |
| std::vector< std::string > & | optionExpiries () |
| std::vector< std::string > & | optionTerms () |
| std::vector< std::string > & | optionStrikes () |
| Public Member Functions inherited from IrModelData | |
| IrModelData (const std::string &name) | |
| minimal constructor | |
| IrModelData (const std::string &name, const std::string &qualifier, CalibrationType calibrationType) | |
| Detailed constructor. | |
| const std::string & | name () |
| std::string & | qualifier () |
| CalibrationType & | calibrationType () |
| virtual std::string | ccy () const |
| Public Member Functions inherited from XMLSerializable | |
| void | fromFile (const std::string &filename) |
| void | toFile (const std::string &filename) |
| void | fromXMLString (const std::string &xml) |
| Parse from XML string. | |
| std::string | toXMLString () |
| Parse from XML string. | |
Operators | |
| bool | operator== (const HwModelData &rhs) |
| bool | operator!= (const HwModelData &rhs) |
Additional Inherited Members | |
| Protected Attributes inherited from IrModelData | |
| std::string | name_ |
| std::string | qualifier_ |
| CalibrationType | calibrationType_ |
Hull White Model Parameters.
This class contains the description of a Hull White interest rate model and instructions for how to calibrate it.
