InfJyData Class Reference

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

Inheritance diagram for InfJyData:

Public Member Functions
	InfJyData ()
	Default constructor.
	InfJyData (CalibrationType calibrationType, const std::vector< CalibrationBasket > &calibrationBaskets, const std::string &currency, const std::string &index, const ReversionParameter &realRateReversion, const VolatilityParameter &realRateVolatility, const VolatilityParameter &indexVolatility, const LgmReversionTransformation &reversionTransformation=LgmReversionTransformation(), const CalibrationConfiguration &calibrationConfiguration=CalibrationConfiguration(), const bool ignoreDuplicateCalibrationExpiryTimes=false)
	Detailed constructor.
Inspectors
const ReversionParameter &	realRateReversion () const
const VolatilityParameter &	realRateVolatility () const
const VolatilityParameter &	indexVolatility () const
const LgmReversionTransformation &	reversionTransformation () const
const CalibrationConfiguration &	calibrationConfiguration () const
Public Member Functions inherited from InflationModelData
	InflationModelData ()
	Default constructor. The currency and inflation index are empty.
	InflationModelData (CalibrationType calibrationType, const std::vector< CalibrationBasket > &calibrationBaskets, const std::string &currency, const std::string &index, const bool ignoreDuplicateCalibrationExpiryTimes)
const std::string &	currency () const
const std::string &	index () const
bool	ignoreDuplicateCalibrationExpiryTimes () const
void	fromXML (XMLNode *node) override
Public Member Functions inherited from ModelData
	ModelData ()
	Default constructor.
	ModelData (CalibrationType calibrationType, const std::vector< CalibrationBasket > &calibrationBaskets)
	Detailed constructor.
CalibrationType	calibrationType () const
const std::vector< CalibrationBasket > &	calibrationBaskets () const
void	fromXML (XMLNode *node) override
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.

Serialisation
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) override

Additional Inherited Members
Protected Member Functions inherited from InflationModelData
void	append (XMLDocument &doc, XMLNode *node) override
	Method used by toXML in derived classes to add the members here to a node.
Protected Member Functions inherited from ModelData
Protected Attributes inherited from ModelData
std::vector< CalibrationBasket >	calibrationBaskets_

Detailed Description

Jarrow Yildirim inflation model data.

Model data specifying the Jarrow Yildirim inflation model described in Modern Derivatives Pricing and Credit Exposure Analysis, Chapter 13.