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Reference manual - version ored_version
Modules | Files | Classes | Functions
Models

Modules

 Cross Asset Model
 

Files

file  calibrationbasket.hpp
 class for holding details of the calibration instruments for a model
 
file  calibrationconfiguration.hpp
 class for holding calibration configuration details
 
file  calibrationinstrumentfactory.hpp
 factory for making calibration instruments.
 
file  cpicapfloor.hpp
 class for holding details of a zero coupon CPI cap floor calibration instrument.
 
file  yoycapfloor.hpp
 class for holding details of a year on year inflation cap floor calibration instrument.
 
file  yoyswap.hpp
 class for holding details of a year on year inflation swap calibration instrument.
 
file  crcirbuilder.hpp
 Build an cir model.
 
file  crcirdata.hpp
 CIR credit model data.
 
file  crlgmdata.hpp
 CR component data for the cross asset model.
 
file  crossassetmodelbuilder.hpp
 Build a cross asset model.
 
file  crossassetmodeldata.hpp
 Cross asset model data.
 
file  eqbsbuilder.hpp
 Builder for a Lognormal EQ model component.
 
file  eqbsdata.hpp
 EQ component data for the cross asset model.
 
file  fxbsbuilder.hpp
 Builder for a Lognormal FX model component.
 
file  fxbsdata.hpp
 FX component data for the cross asset model.
 
file  infdkbuilder.hpp
 Builder for a Dodgson-Kainth inflation model component.
 
file  infdkdata.hpp
 Dodgson Kainth inflation model component data for the cross asset model.
 
file  infjybuilder.hpp
 Builder for a Jarrow Yildrim inflation model component.
 
file  infjydata.hpp
 Jarrow Yildirim inflation model component data for the cross asset model.
 
file  inflationmodeldata.hpp
 base class for holding inflation model data
 
file  irlgmdata.hpp
 IR component data for the cross asset model.
 
file  lgmbuilder.hpp
 Build an lgm model.
 
file  lgmdata.hpp
 Linear Gauss Markov model data.
 
file  marketobserver.hpp
 helper class for model builders that observes market ts
 
file  modelbuilder.hpp
 Model builder base class.
 
file  modeldata.hpp
 base class for holding model data
 
file  modelparameter.hpp
 class for holding model parameter data
 
file  utilities.hpp
 Shared utilities for model building and calibration.
 

Classes

class  CalibrationInstrument
 
class  CalibrationBasket
 
class  CalibrationConfiguration
 
class  CalibrationInstrumentFactory
 
struct  CalibrationInstrumentRegister< T >
 
class  CpiCapFloor
 
class  YoYCapFloor
 
class  YoYSwap
 
class  CrLgmData
 CR LGM Model Parameters. More...
 
class  CrossAssetModelBuilder
 Cross Asset Model Builder. More...
 
class  InstantaneousCorrelations
 InstantaneousCorrelations. More...
 
class  CrossAssetModelData
 Cross Asset Model Parameters. More...
 
class  EqBsBuilder
 Builder for a Lognormal EQ model component. More...
 
class  EqBsData
 EQ Model Parameters. More...
 
class  FxBsBuilder
 Builder for a Lognormal FX model component. More...
 
class  FxBsData
 FX Model Parameters. More...
 
class  InfDkBuilder
 
class  InfDkData
 
class  InfJyBuilder
 
class  InfJyData
 
class  InflationModelData
 
class  IrLgmData
 INF Model Parameters. More...
 
class  LgmBuilder
 Builder for a Linear Gauss Markov model component. More...
 
class  LgmData
 Linear Gauss Markov Model Parameters. More...
 
class  LgmReversionTransformation
 
class  MarketObserver
 Observer class for Model Builders. More...
 
class  ModelData
 
class  ModelParameter
 
class  VolatilityParameter
 
class  ReversionParameter
 

Functions

template<class T >
boost::shared_ptr< CalibrationInstrumentcreateCalibrationInstrument ()
 

Detailed Description

Grouping of all model related classes, functions and files

Function Documentation

◆ createCalibrationInstrument()

boost::shared_ptr<CalibrationInstrument> ore::data::createCalibrationInstrument ( )

Function that is used to build instances of CalibrationInstrument

The template parameter is simply a particular instance of a CalibrationInstrument class that is default constructable. The function returns the default constructed CalibrationInstrument object. A simple example is the function to build an instance of CpiCapFloor would be called via createLegData<CpiCapFloor>().