InfDkBuilder Class Reference

#include <ored/model/inflation/infdkbuilder.hpp>

Inheritance diagram for InfDkBuilder:

Public Member Functions
	InfDkBuilder (const QuantLib::ext::shared_ptr< ore::data::Market > &market, const QuantLib::ext::shared_ptr< InfDkData > &data, const std::string &configuration=Market::defaultConfiguration, const std::string &referenceCalibrationGrid="", const bool dontCalibrate=false)
Inspectors
std::string	infIndex ()
QuantLib::ext::shared_ptr< QuantExt::InfDkParametrization >	parametrization () const
std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > >	optionBasket () const
Public Member Functions inherited from ModelBuilder
void	recalibrate () const

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

Detailed Description

Builder for a Dodgson-Kainth inflation model component

This class is a utility to turn a Dodgson-Kainth inflation model component description into an inflation model parameterization which can be used to instantiate a CrossAssetModel.

Constructor & Destructor Documentation

InfDkBuilder()

InfDkBuilder	(	const QuantLib::ext::shared_ptr< ore::data::Market > &	market,
		const QuantLib::ext::shared_ptr< InfDkData > &	data,
		const std::string &	configuration = Market::defaultConfiguration,
		const std::string &	referenceCalibrationGrid = "",
		const bool	dontCalibrate = false
	)

Constructor

Parameters

market	Market object
data	Dodgson-Kainth inflation model description
configuration	Market configuration to use
referenceCalibrationGrid	The reference calibration grid
dontCalibrate	Flag to use a dummy basecpi for the dependency market run