LocalVolModelBuilder Class Reference

Inheritance diagram for LocalVolModelBuilder:

Public Types
enum class	Type { Dupire , DupireFloored , AndreasenHuge }

Public Member Functions
	LocalVolModelBuilder (const std::vector< Handle< YieldTermStructure >> &curves, const std::vector< ext::shared_ptr< GeneralizedBlackScholesProcess >> &processes, const std::set< Date > &simulationDates={}, const std::set< Date > &addDates={}, const Size timeStepsPerYear=1, const Type lvType=Type::Dupire, const std::vector< Real > &calibrationMoneyness={ -2.0, -1.0, 0.0, 1.0, 2.0 }, const bool dontCalibrate=false)
	LocalVolModelBuilder (const Handle< YieldTermStructure > &curve, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, const std::set< Date > &simulationDates={}, const std::set< Date > &addDates={}, const Size timeStepsPerYear=1, const Type lvType=Type::Dupire, const std::vector< Real > &calibrationMoneyness={ -2.0, -1.0, 0.0, 1.0, 2.0 }, const bool dontCalibrate=false)
std::vector< ext::shared_ptr< GeneralizedBlackScholesProcess > >	getCalibratedProcesses () const override
Public Member Functions inherited from BlackScholesModelBuilderBase
	BlackScholesModelBuilderBase (const std::vector< Handle< YieldTermStructure >> &curves, const std::vector< boost::shared_ptr< GeneralizedBlackScholesProcess >> &processes, const std::set< Date > &simulationDates, const std::set< Date > &addDates, const Size timeStepsPerYear)
	BlackScholesModelBuilderBase (const Handle< YieldTermStructure > &curve, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const std::set< Date > &simulationDates, const std::set< Date > &addDates, const Size timeStepsPerYear)
Handle< BlackScholesModelWrapper >	model () const
void	forceRecalculate () override
bool	requiresRecalibration () const override
Public Member Functions inherited from ModelBuilder
void	recalibrate () const

Protected Member Functions
std::vector< std::vector< Real > >	getCurveTimes () const override
std::vector< std::vector< std::pair< Real, Real > > >	getVolTimesStrikes () const override
Protected Member Functions inherited from BlackScholesModelBuilderBase
	BlackScholesModelBuilderBase (const Handle< YieldTermStructure > &curve, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
virtual void	setupDatesAndTimes () const
void	performCalculations () const override
bool	calibrationPointsChanged (const bool updateCache) const

Additional Inherited Members
Protected Attributes inherited from BlackScholesModelBuilderBase
const std::vector< Handle< YieldTermStructure > >	curves_
const std::vector< boost::shared_ptr< GeneralizedBlackScholesProcess > >	processes_
const std::set< Date >	simulationDates_
const std::set< Date >	addDates_
const Size	timeStepsPerYear_
std::set< Date >	effectiveSimulationDates_
TimeGrid	discretisationTimeGrid_
RelinkableHandle< BlackScholesModelWrapper >	model_
bool	forceCalibration_ = false
boost::shared_ptr< MarketObserver >	marketObserver_
std::vector< Handle< BlackVolTermStructure > >	vols_
std::vector< Handle< YieldTermStructure > >	allCurves_
CalibrationPointCache	cache_