LgmData Class Reference

Linear Gauss Markov Model Parameters. More...

#include <ored/model/lgmdata.hpp>

Inheritance diagram for LgmData:

Public Types
enum class	ReversionType { HullWhite , Hagan }
	Supported mean reversion types. More...
enum class	VolatilityType { HullWhite , Hagan }
	Supported volatility types. More...

Public Member Functions
	LgmData ()
	Default constructor.
	LgmData (std::string qualifier, CalibrationType calibrationType, ReversionType revType, VolatilityType volType, bool calibrateH, ParamType hType, std::vector< Time > hTimes, std::vector< Real > hValues, bool calibrateA, ParamType aType, std::vector< Time > aTimes, std::vector< Real > aValues, Real shiftHorizon=0.0, Real scaling=1.0, std::vector< std::string > optionExpiries=std::vector< std::string >(), std::vector< std::string > optionTerms=std::vector< std::string >(), std::vector< std::string > optionStrikes=std::vector< std::string >())
	Detailed constructor.
void	clear () override
	Clear list of calibration instruments.
void	reset () override
	Reset member variables to defaults.
Serialisation
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) override
Setters/Getters
ReversionType &	reversionType ()
VolatilityType &	volatilityType ()
bool &	calibrateH ()
ParamType &	hParamType ()
std::vector< Time > &	hTimes ()
std::vector< Real > &	hValues ()
bool &	calibrateA ()
ParamType &	aParamType ()
std::vector< Time > &	aTimes ()
std::vector< Real > &	aValues ()
Real &	shiftHorizon ()
Real &	scaling ()
std::vector< std::string > &	optionExpiries ()
std::vector< std::string > &	optionTerms ()
std::vector< std::string > &	optionStrikes ()
Public Member Functions inherited from IrModelData
	IrModelData (const std::string &name)
	minimal constructor
	IrModelData (const std::string &name, const std::string &qualifier, CalibrationType calibrationType)
	Detailed constructor.
const std::string &	name ()
std::string &	qualifier ()
CalibrationType &	calibrationType ()
virtual std::string	ccy () const
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.

Operators
bool	operator== (const LgmData &rhs)
bool	operator!= (const LgmData &rhs)

Additional Inherited Members
Protected Attributes inherited from IrModelData
std::string	name_
std::string	qualifier_
CalibrationType	calibrationType_

Detailed Description

Linear Gauss Markov Model Parameters.

This class contains the description of a Linear Gauss Markov interest rate model and instructions for how to calibrate it.

Member Enumeration Documentation

ReversionType

enum ReversionType

strong

Supported mean reversion types.

Enumerator
HullWhite	Parametrize H(t) via Hull-White mean reversion speed, LGM H(t) = int_0^t exp(-kappa(s) *s) ds with constant or piecewise kappa(s)
Hagan	Parametrize LGM H(t) as H(t) = int_0^t h(s) ds with constant or piecewise h(s)

VolatilityType

enum VolatilityType

strong

Supported volatility types.

Enumerator
HullWhite	Parametrize volatility as HullWhite sigma(t)
Hagan	Parametrize volatility as Hagan alpha(t)