InfJyBuilder Class Reference

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

Inheritance diagram for InfJyBuilder:

Public Types
using	Helpers = std::vector< QuantLib::ext::shared_ptr< QuantLib::CalibrationHelper > >

Public Member Functions
	InfJyBuilder (const QuantLib::ext::shared_ptr< Market > &market, const QuantLib::ext::shared_ptr< InfJyData > &data, const std::string &configuration=Market::defaultConfiguration, const std::string &referenceCalibrationGrid="", const bool dontCalibrate=false)
Inspectors
std::string	inflationIndex () const
QuantLib::ext::shared_ptr< QuantExt::InfJyParameterization >	parameterization () const
Helpers	realRateBasket () const
Helpers	indexBasket () 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 Jarrow Yildrim inflation model component

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

Constructor & Destructor Documentation

InfJyBuilder()

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

Constructor

Parameters

market	Market object
data	Jarrow Yildrim inflation model description
configuration	Market configuration to use
referenceCalibrationGrid	The reference calibration grid
dontCalibrate	Flag to disable calibration, if true