#include <ored/model/lgmdata.hpp>
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 |
XMLNode * | toXML (XMLDocument &doc) override |
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.