CommoditySchwartzData Class Reference

COM Schwartz Model Parameters. More...

#include <ored/model/commodityschwartzmodeldata.hpp>

Collaboration diagram for CommoditySchwartzData:

Public Member Functions
	CommoditySchwartzData (bool driftFreeState=false, QuantLib::ext::shared_ptr< OptimizationMethod > optimizationMethod=QuantLib::ext::make_shared< LevenbergMarquardt >(1E-8, 1E-8, 1E-8), EndCriteria endCriteria=EndCriteria(1000, 500, 1E-8, 1E-8, 1E-8), Constraint constraint=Constraint(), BlackCalibrationHelper::CalibrationErrorType calibrationErrorType=BlackCalibrationHelper::RelativePriceError)
	Default constructor. More...
	CommoditySchwartzData (std::string name, std::string currency, CalibrationType calibrationType, bool calibrateSigma, Real sigma, bool calibrateKappa, Real kappa, std::vector< std::string > optionExpiries=std::vector< std::string >(), std::vector< std::string > optionStrikes=std::vector< std::string >(), QuantLib::ext::shared_ptr< OptimizationMethod > optimizationMethod=QuantLib::ext::make_shared< LevenbergMarquardt >(1E-8, 1E-8, 1E-8), EndCriteria endCriteria=EndCriteria(1000, 500, 1E-8, 1E-8, 1E-8), Constraint constraint=Constraint(), BlackCalibrationHelper::CalibrationErrorType calibrationErrorType=BlackCalibrationHelper::RelativePriceError, bool driftFreeState=false)
	Detailed constructor. More...
Setters/Getters
std::string &	name ()
std::string &	currency ()
CalibrationType &	calibrationType ()
bool &	calibrateSigma ()
ParamType &	sigmaParamType ()
Real &	sigmaValue ()
bool &	calibrateKappa ()
ParamType &	kappaParamType ()
Real &	kappaValue ()
std::vector< std::string > &	optionExpiries ()
std::vector< std::string > &	optionStrikes ()
bool &	driftFreeState ()
QuantLib::ext::shared_ptr< OptimizationMethod > &	optimizationMethod ()
EndCriteria &	endCriteria ()
Constraint &	constraint ()
BlackCalibrationHelper::CalibrationErrorType	calibrationErrorType ()
Serialisation
void	fromXML (XMLNode *node)
XMLNode *	toXML (XMLDocument &doc)

Operators
std::string	name_
std::string	ccy_
CalibrationType	calibrationType_ = CalibrationType::None
bool	calibrateSigma_ = false
ParamType	sigmaType_ = ParamType::Constant
Real	sigmaValue_ = 0.0
bool	calibrateKappa_ = false
ParamType	kappaType_ = ParamType::Constant
Real	kappaValue_ = 0.0
std::vector< std::string >	optionExpiries_
std::vector< std::string >	optionStrikes_
bool	driftFreeState_ = false
QuantLib::ext::shared_ptr< OptimizationMethod >	optimizationMethod_
EndCriteria	endCriteria_
Constraint	constraint_
BlackCalibrationHelper::CalibrationErrorType	calibrationErrorType_ = BlackCalibrationHelper::RelativePriceError
bool	operator== (const CommoditySchwartzData &rhs)
bool	operator!= (const CommoditySchwartzData &rhs)

Detailed Description

COM Schwartz Model Parameters.

Specification for a COM model component with lognormal forwards in the Cross Asset LGM. This class covers the CommoditySchwartz parametrization.

Definition at line 49 of file commodityschwartzmodeldata.hpp.

Constructor & Destructor Documentation

CommoditySchwartzData() [1/2]

CommoditySchwartzData	(	bool	driftFreeState = false,
		QuantLib::ext::shared_ptr< OptimizationMethod >	optimizationMethod = QuantLib::ext::make_shared<LevenbergMarquardt>(1E-8, 1E-8, 1E-8),
		EndCriteria	endCriteria = EndCriteria(1000, 500, 1E-8, 1E-8, 1E-8),
		Constraint	constraint = Constraint(),
		BlackCalibrationHelper::CalibrationErrorType	calibrationErrorType = BlackCalibrationHelper::RelativePriceError
	)

Default constructor.

Definition at line 52 of file commodityschwartzmodeldata.hpp.

        : driftFreeState_(driftFreeState), optimizationMethod_(optimizationMethod), endCriteria_(endCriteria),
          constraint_(constraint), calibrationErrorType_(calibrationErrorType) {}

CommoditySchwartzData() [2/2]

CommoditySchwartzData	(	std::string	name,
		std::string	currency,
		CalibrationType	calibrationType,
		bool	calibrateSigma,
		Real	sigma,
		bool	calibrateKappa,
		Real	kappa,
		std::vector< std::string >	optionExpiries = std::vector<std::string>(),
		std::vector< std::string >	optionStrikes = std::vector<std::string>(),
		QuantLib::ext::shared_ptr< OptimizationMethod >	optimizationMethod = QuantLib::ext::make_shared<LevenbergMarquardt>(1E-8, 1E-8, 1E-8),
		EndCriteria	endCriteria = EndCriteria(1000, 500, 1E-8, 1E-8, 1E-8),
		Constraint	constraint = Constraint(),
		BlackCalibrationHelper::CalibrationErrorType	calibrationErrorType = BlackCalibrationHelper::RelativePriceError,
		bool	driftFreeState = false
	)

Detailed constructor.

Definition at line 61 of file commodityschwartzmodeldata.hpp.

        : name_(name), ccy_(currency), calibrationType_(calibrationType),
          calibrateSigma_(calibrateSigma), sigmaType_(ParamType::Constant), sigmaValue_(sigma),
          calibrateKappa_(calibrateKappa),kappaType_(ParamType::Constant), kappaValue_(kappa),
          optionExpiries_(optionExpiries), optionStrikes_(optionStrikes),
          driftFreeState_(driftFreeState), optimizationMethod_(optimizationMethod),
          endCriteria_(endCriteria), constraint_(constraint), calibrationErrorType_(calibrationErrorType) {}

Member Function Documentation

name()

std::string & name

(

)

Definition at line 80 of file commodityschwartzmodeldata.hpp.

{ return name_; }

currency()

std::string & currency

(

)

Definition at line 81 of file commodityschwartzmodeldata.hpp.

{ return ccy_; }

calibrationType()

CalibrationType & calibrationType

(

)

Definition at line 82 of file commodityschwartzmodeldata.hpp.

{ return calibrationType_; }

calibrateSigma()

bool & calibrateSigma

(

)

Definition at line 83 of file commodityschwartzmodeldata.hpp.

{ return calibrateSigma_; }

sigmaParamType()

ParamType & sigmaParamType

(

)

Definition at line 84 of file commodityschwartzmodeldata.hpp.

{ return sigmaType_; }

sigmaValue()

Real & sigmaValue

(

)

Definition at line 85 of file commodityschwartzmodeldata.hpp.

{ return sigmaValue_; }

calibrateKappa()

bool & calibrateKappa

(

)

Definition at line 86 of file commodityschwartzmodeldata.hpp.

{ return calibrateKappa_; }

kappaParamType()

ParamType & kappaParamType

(

)

Definition at line 87 of file commodityschwartzmodeldata.hpp.

{ return sigmaType_; }

kappaValue()

Real & kappaValue

(

)

Definition at line 88 of file commodityschwartzmodeldata.hpp.

{ return kappaValue_; }

optionExpiries()

std::vector< std::string > & optionExpiries

(

)

Definition at line 89 of file commodityschwartzmodeldata.hpp.

{ return optionExpiries_; }

optionStrikes()

std::vector< std::string > & optionStrikes

(

)

Definition at line 90 of file commodityschwartzmodeldata.hpp.

{ return optionStrikes_; }

driftFreeState()

bool & driftFreeState

(

)

Definition at line 91 of file commodityschwartzmodeldata.hpp.

{ return driftFreeState_; }

optimizationMethod()

QuantLib::ext::shared_ptr< OptimizationMethod > & optimizationMethod

(

)

Definition at line 92 of file commodityschwartzmodeldata.hpp.

{ return optimizationMethod_; }

endCriteria()

EndCriteria & endCriteria

(

)

Definition at line 93 of file commodityschwartzmodeldata.hpp.

{ return endCriteria_; }

constraint()

Constraint & constraint

(

)

Definition at line 94 of file commodityschwartzmodeldata.hpp.

{ return constraint_; }

calibrationErrorType()

BlackCalibrationHelper::CalibrationErrorType calibrationErrorType

(

)

Definition at line 95 of file commodityschwartzmodeldata.hpp.

{ return calibrationErrorType_; }

fromXML()

void fromXML

(

XMLNode *

node

)

Definition at line 39 of file commodityschwartzmodeldata.cpp.

                                                 {
    name_ = XMLUtils::getAttribute(node, "name");
    LOG("Cross-Asset Commodity Name = " << name_);
 
    ccy_ = XMLUtils::getChildValue(node, "Currency", true);
    LOG("Cross-Asset Commodity Currency = " << ccy_);
 
    std::string calibTypeString = XMLUtils::getChildValue(node, "CalibrationType", true);
    calibrationType_ = parseCalibrationType(calibTypeString);
    LOG("Cross-Asset Commodity calibration type = " << calibTypeString);
 
    XMLNode* sigmaNode = XMLUtils::getChildNode(node, "Sigma");
    calibrateSigma_ = XMLUtils::getChildValueAsBool(sigmaNode, "Calibrate", true);
    LOG("Cross-Asset Commodity Sigma calibrate = " << calibrateSigma_);
    sigmaValue_ = XMLUtils::getChildValueAsDouble(sigmaNode, "InitialValue", true);
    LOG("Cross-Asset Commodity Sigma initial value = " << sigmaValue_);
 
    XMLNode* kappaNode = XMLUtils::getChildNode(node, "Kappa");
    calibrateKappa_ = XMLUtils::getChildValueAsBool(kappaNode, "Calibrate", true);
    LOG("Cross-Asset Commodity Kappa calibrate = " << calibrateKappa_);
    kappaValue_ = XMLUtils::getChildValueAsDouble(kappaNode, "InitialValue", true);
    LOG("Cross-Asset Commodity Kappa initial value = " << kappaValue_);
 
    XMLNode* optionsNode = XMLUtils::getChildNode(node, "CalibrationOptions");
    if (optionsNode) {
        optionExpiries_ = XMLUtils::getChildrenValuesAsStrings(optionsNode, "Expiries", true);
        optionStrikes_ = XMLUtils::getChildrenValuesAsStrings(optionsNode, "Strikes", false);
        if (optionStrikes_.size() > 0) {
            QL_REQUIRE(optionExpiries_.size() == optionStrikes_.size(),
                       "size mismatch in commodity option expiries/strike for name " << name_);
        } else // default ATMF
            optionStrikes_.resize(optionExpiries_.size(), "ATMF");
    }
 
    driftFreeState_ = XMLUtils::getChildValueAsBool(node, "DriftFreeState", false);
}

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toXML()

XMLNode * toXML

(

XMLDocument &

doc

)

Definition at line 76 of file commodityschwartzmodeldata.cpp.

                                                      {
 
    XMLNode* node = doc.allocNode("CommoditySchwartz");
    XMLUtils::addAttribute(doc, node, "name", name_);
 
    XMLUtils::addChild(doc, node, "Currency", ccy_);
    XMLUtils::addGenericChild(doc, node, "CalibrationType", calibrationType_);
 
    XMLNode* sigmaNode = XMLUtils::addChild(doc, node, "Sigma");
    XMLUtils::addChild(doc, sigmaNode, "Calibrate", calibrateSigma_);
    XMLUtils::addChild(doc, sigmaNode, "InitialValue", sigmaValue_);
 
    XMLNode* kappaNode = XMLUtils::addChild(doc, node, "Kappa");
    XMLUtils::addChild(doc, kappaNode, "Calibrate", calibrateKappa_);
    XMLUtils::addChild(doc, kappaNode, "InitialValue", kappaValue_);
 
    XMLNode* calibrationOptionsNode = XMLUtils::addChild(doc, node, "CalibrationOptions");
    XMLUtils::addGenericChildAsList(doc, calibrationOptionsNode, "Expiries", optionExpiries_);
    XMLUtils::addGenericChildAsList(doc, calibrationOptionsNode, "Strikes", optionStrikes_);
 
    XMLUtils::addChild(doc, node, "DriftFreeState", driftFreeState_);
 
    return node;
}

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operator==()

bool operator==

(

const CommoditySchwartzData &

rhs

)

Definition at line 26 of file commodityschwartzmodeldata.cpp.

                                                                       {
 
    if (name_ != rhs.name_ || ccy_ != rhs.ccy_ || calibrationType_ != rhs.calibrationType_ ||
        calibrateSigma_ != rhs.calibrateSigma_ || sigmaType_ != rhs.sigmaType_ || sigmaValue_ != rhs.sigmaValue_ ||
        calibrateKappa_ != rhs.calibrateKappa_ || kappaType_ != rhs.kappaType_ || kappaValue_ != rhs.kappaValue_ ||
        optionExpiries_ != rhs.optionExpiries_ || optionStrikes_ != rhs.optionStrikes_ || driftFreeState_ == rhs.driftFreeState_) {
        return false;
    }
    return true;
}

operator!=()

bool operator!=

(

const CommoditySchwartzData &

rhs

)

Definition at line 37 of file commodityschwartzmodeldata.cpp.

{ return !(*this == rhs); }

Member Data Documentation

name_

std::string name_

private

Definition at line 111 of file commodityschwartzmodeldata.hpp.

ccy_

std::string ccy_

private

Definition at line 112 of file commodityschwartzmodeldata.hpp.

calibrationType_

CalibrationType calibrationType_ = CalibrationType::None

private

Definition at line 113 of file commodityschwartzmodeldata.hpp.

calibrateSigma_

bool calibrateSigma_ = false

private

Definition at line 114 of file commodityschwartzmodeldata.hpp.

sigmaType_

ParamType sigmaType_ = ParamType::Constant

private

Definition at line 115 of file commodityschwartzmodeldata.hpp.

sigmaValue_

Real sigmaValue_ = 0.0

private

Definition at line 116 of file commodityschwartzmodeldata.hpp.

calibrateKappa_

bool calibrateKappa_ = false

private

Definition at line 117 of file commodityschwartzmodeldata.hpp.

kappaType_

ParamType kappaType_ = ParamType::Constant

private

Definition at line 118 of file commodityschwartzmodeldata.hpp.

kappaValue_

Real kappaValue_ = 0.0

private

Definition at line 119 of file commodityschwartzmodeldata.hpp.

optionExpiries_

std::vector<std::string> optionExpiries_

private

Definition at line 120 of file commodityschwartzmodeldata.hpp.

optionStrikes_

std::vector<std::string> optionStrikes_

private

Definition at line 121 of file commodityschwartzmodeldata.hpp.

driftFreeState_

bool driftFreeState_ = false

private

Definition at line 122 of file commodityschwartzmodeldata.hpp.

optimizationMethod_

QuantLib::ext::shared_ptr<OptimizationMethod> optimizationMethod_

private

Definition at line 123 of file commodityschwartzmodeldata.hpp.

endCriteria_

EndCriteria endCriteria_

private

Definition at line 124 of file commodityschwartzmodeldata.hpp.

constraint_

Constraint constraint_

private

Definition at line 125 of file commodityschwartzmodeldata.hpp.

calibrationErrorType_

BlackCalibrationHelper::CalibrationErrorType calibrationErrorType_ = BlackCalibrationHelper::RelativePriceError

private

Definition at line 126 of file commodityschwartzmodeldata.hpp.