LgmBuilder Class Reference

Builder for a Linear Gauss Markov model component. More...

#include <ored/model/lgmbuilder.hpp>

Inheritance diagram for LgmBuilder:

Public Member Functions
	LgmBuilder (const QuantLib::ext::shared_ptr< ore::data::Market > &market, const QuantLib::ext::shared_ptr< IrLgmData > &data, const std::string &configuration=Market::defaultConfiguration, Real bootstrapTolerance=0.001, const bool continueOnError=false, const std::string &referenceCalibrationGrid="", const bool setCalibrationInfo=false, const std::string &id="unknwon")
Real	error () const
	Return calibration error.
Inspectors
std::string	qualifier ()
std::string	ccy ()
QuantLib::ext::shared_ptr< QuantExt::LGM >	model () const
RelinkableHandle< YieldTermStructure >	discountCurve ()
QuantLib::ext::shared_ptr< QuantExt::IrLgm1fParametrization >	parametrization () const
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 Linear Gauss Markov model component.

This class is a utility that turns a Linear Gauss Markov model description into an interest rate model parametrisation which can be used to instantiate a CrossAssetModel.

Constructor & Destructor Documentation

LgmBuilder()

LgmBuilder	(	const QuantLib::ext::shared_ptr< ore::data::Market > &	market,
		const QuantLib::ext::shared_ptr< IrLgmData > &	data,
		const std::string &	configuration = Market::defaultConfiguration,
		Real	bootstrapTolerance = 0.001,
		const bool	continueOnError = false,
		const std::string &	referenceCalibrationGrid = "",
		const bool	setCalibrationInfo = false,
		const std::string &	id = "unknwon"
	)

The configuration refers to the configuration to read swaption vol and swap index from the market. The discounting curve to price calibrating swaptions is derived from the swap index directly though, i.e. it is not read as a discount curve from the market (except as a fallback in case we do not find the swap index).