utilities.hpp File Reference

Shared utilities for model building and calibration. More...

#include <ored/marketdata/strike.hpp>
#include <qle/models/eqbsparametrization.hpp>
#include <qle/models/fxbsparametrization.hpp>
#include <qle/models/infdkparametrization.hpp>
#include <qle/models/infjyparameterization.hpp>
#include <qle/models/irlgm1fparametrization.hpp>
#include <qle/models/commodityschwartzparametrization.hpp>
#include <qle/models/lgmcalibrationinfo.hpp>
#include <ql/models/calibrationhelper.hpp>
#include <boost/variant.hpp>
#include <vector>

Namespaces
	ore
	Serializable Credit Default Swap.
	ore::data

Functions
template<typename Helper >
Real	getCalibrationError (const std::vector< boost::shared_ptr< Helper >> &basket)
std::string	getCalibrationDetails (LgmCalibrationInfo &info, const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &basket, const boost::shared_ptr< IrLgm1fParametrization > &parametrization=boost::shared_ptr< IrLgm1fParametrization >())
std::string	getCalibrationDetails (const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &basket, const boost::shared_ptr< FxBsParametrization > &parametrization=boost::shared_ptr< FxBsParametrization >(), const boost::shared_ptr< Parametrization > &domesticLgm=boost::shared_ptr< IrLgm1fParametrization >())
std::string	getCalibrationDetails (const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &basket, const boost::shared_ptr< FxBsParametrization > &parametrization=boost::shared_ptr< FxBsParametrization >(), const boost::shared_ptr< IrLgm1fParametrization > &domesticLgm=boost::shared_ptr< IrLgm1fParametrization >())
std::string	getCalibrationDetails (const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &basket, const boost::shared_ptr< EqBsParametrization > &parametrization=boost::shared_ptr< EqBsParametrization >(), const boost::shared_ptr< Parametrization > &domesticLgm=boost::shared_ptr< IrLgm1fParametrization >())
std::string	getCalibrationDetails (const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &basket, const boost::shared_ptr< EqBsParametrization > &parametrization=boost::shared_ptr< EqBsParametrization >(), const boost::shared_ptr< IrLgm1fParametrization > &domesticLgm=boost::shared_ptr< IrLgm1fParametrization >())
std::string	getCalibrationDetails (const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &basket, const boost::shared_ptr< InfDkParametrization > &parametrization=boost::shared_ptr< InfDkParametrization >(), bool indexIsInterpolated=true)
std::string	getCalibrationDetails (const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &basket, const boost::shared_ptr< CommoditySchwartzParametrization > &parametrization=boost::shared_ptr< CommoditySchwartzParametrization >())
std::string	getCalibrationDetails (const std::vector< boost::shared_ptr< CalibrationHelper >> &realRateBasket, const std::vector< boost::shared_ptr< CalibrationHelper >> &indexBasket, const boost::shared_ptr< InfJyParameterization > &parameterization, bool calibrateRealRateVol=false)
std::string	getCalibrationDetails (const boost::shared_ptr< IrLgm1fParametrization > &parametrization)
QuantLib::Date	optionMaturity (const boost::variant< QuantLib::Date, QuantLib::Period > &maturity, const QuantLib::Calendar &calendar, const QuantLib::Date &referenceDate=Settings::instance().evaluationDate())
	Return an option's maturity date, given an explicit date or a period.
Real	cpiCapFloorStrikeValue (const boost::shared_ptr< BaseStrike > &strike, const boost::shared_ptr< ZeroInflationTermStructure > &curve, const QuantLib::Date &optionMaturityDate)
	Return a cpi cap/floor strike value, the input strike can be of type absolute or atm forward.
Real	yoyCapFloorStrikeValue (const boost::shared_ptr< BaseStrike > &strike, const boost::shared_ptr< YoYInflationTermStructure > &curve, const QuantLib::Date &optionMaturityDate)
	Return a yoy cap/floor strike value, the input strike can be of type absolute or atm forward.
Real	atmForward (const Real s0, const Handle< YieldTermStructure > &r, const Handle< YieldTermStructure > &q, const Real t)
	helper function that computes the atm forward

Detailed Description

Shared utilities for model building and calibration.