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Reference manual - version ored_version
Public Member Functions | List of all members
LgmReversionTransformation Class Reference

#include <ored/model/lgmdata.hpp>

+ Inheritance diagram for LgmReversionTransformation:

Public Member Functions

 LgmReversionTransformation ()
 Default constructor setting the horizon to 0.0 and the scaling to 1.0.
 
 LgmReversionTransformation (QuantLib::Time horizon, QuantLib::Real scaling)
 Detailed constructor.
 
Inspectors
QuantLib::Time horizon () const
 
QuantLib::Real scaling () 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.
 

Serialisation

void fromXML (XMLNode *node) override
 
XMLNodetoXML (XMLDocument &doc) override
 

Detailed Description

LGM reversion transformation.

This class holds values for possibly transforming the reversion parameter of the LGM model. The use of this is outlined in Modern Derivatives Pricing and Credit Exposure Analysis, Section 16.4.