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 boost::shared_ptr< ore::data::Market > &market, const boost::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 ()
boost::shared_ptr< QuantExt::LGM >	model () const
boost::shared_ptr< QuantExt::IrLgm1fParametrization >	parametrization () const
RelinkableHandle< YieldTermStructure >	discountCurve ()
std::vector< boost::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 boost::shared_ptr< ore::data::Market > &	market,
		const boost::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 should refer to the calibration configuration here, alternative discounting curves are then usually set in the pricing engines for swaptions etc.