CrCirBuilder Class Reference

Builder for a cir model component. More...

#include <ored/model/crcirbuilder.hpp>

Inheritance diagram for CrCirBuilder:

Collaboration diagram for CrCirBuilder:

Public Member Functions
	CrCirBuilder (const QuantLib::ext::shared_ptr< ore::data::Market > &market, const QuantLib::ext::shared_ptr< CrCirData > &data, const std::string &configuration=Market::defaultConfiguration)
Real	error () const
QuantLib::ext::shared_ptr< QuantExt::CrCirpp >	model () const
QuantLib::ext::shared_ptr< QuantExt::CrCirppParametrization >	parametrization () const
bool	requiresRecalibration () const override
Public Member Functions inherited from ModelBuilder
void	recalibrate () const
virtual void	forceRecalculate ()
virtual bool	requiresRecalibration () const=0

Private Member Functions
void	performCalculations () const override
void	buildBasket () const

Private Attributes
QuantLib::ext::shared_ptr< ore::data::Market >	market_
const std::string	configuration_
QuantLib::ext::shared_ptr< CrCirData >	data_
Handle< YieldTermStructure >	rateCurve_
Handle< DefaultProbabilityTermStructure >	creditCurve_
Handle< Quote >	recoveryRate_
Real	error_
QuantLib::ext::shared_ptr< QuantExt::CrCirpp >	model_
QuantLib::ext::shared_ptr< QuantExt::CrCirppParametrization >	parametrization_
QuantLib::ext::shared_ptr< OptimizationMethod >	optimizationMethod_
EndCriteria	endCriteria_
BlackCalibrationHelper::CalibrationErrorType	calibrationErrorType_

Detailed Description

Builder for a cir model component.

Definition at line 40 of file crcirbuilder.hpp.

Constructor & Destructor Documentation

CrCirBuilder()

CrCirBuilder	(	const QuantLib::ext::shared_ptr< ore::data::Market > &	market,
		const QuantLib::ext::shared_ptr< CrCirData > &	data,
		const std::string &	configuration = Market::defaultConfiguration
	)

Definition at line 41 of file crcirbuilder.cpp.

    : market_(market), configuration_(configuration), data_(data),
      optimizationMethod_(QuantLib::ext::shared_ptr<OptimizationMethod>(new LevenbergMarquardt(1E-8, 1E-8, 1E-8))),
      endCriteria_(EndCriteria(1000, 500, 1E-8, 1E-8, 1E-8)),
      calibrationErrorType_(BlackCalibrationHelper::RelativePriceError) {
 
    LOG("CIR CR Calibration for name " << data_->name());
 
    rateCurve_ = market->discountCurve(data_->currency(), configuration);
    creditCurve_ = market->defaultCurve(data_->name(), configuration)->curve();
    recoveryRate_ = market->recoveryRate(data_->name(), configuration);
 
    registerWith(rateCurve_);
    registerWith(creditCurve_);
    registerWith(recoveryRate_);
 
    // shifted CIR model hard coded here
    parametrization_ = QuantLib::ext::make_shared<QuantExt::CrCirppConstantWithFellerParametrization>(
        parseCurrency(data_->currency()), creditCurve_, data_->reversionValue(), data_->longTermValue(),
        data_->volatility(), data_->startValue(), true, data_->relaxedFeller(), data_->fellerFactor(),
        data_->name());
 
    // alternatively, use unconstrained parametrization (only positivity of all parameters is implied)
    // parametrization_ = QuantLib::ext::make_shared<QuantExt::CrCirppConstantParametrization>(
    //     parseCurrency(data_->currency()), creditCurve_, data_->reversionValue(), data_->longTermValue(),
    //     data_->volatility(), data_->startValue(), false);
 
    model_ = QuantLib::ext::make_shared<QuantExt::CrCirpp>(parametrization_);
}

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Member Function Documentation

error()

Real error

(

)

const

Definition at line 75 of file crcirbuilder.hpp.

                                      {
    calculate();
    return error_;
}

model()

QuantLib::ext::shared_ptr< QuantExt::CrCirpp > model

(

)

const

Definition at line 80 of file crcirbuilder.hpp.

                                                                        {
    calculate();
    return model_;
}

parametrization()

QuantLib::ext::shared_ptr< QuantExt::CrCirppParametrization > parametrization

(

)

const

Definition at line 85 of file crcirbuilder.hpp.

                                                                                                 {
    return parametrization_;
}

requiresRecalibration()

bool requiresRecalibration ( ) const

overridevirtual

Implements ModelBuilder.

Definition at line 49 of file crcirbuilder.hpp.

{ return false; }

performCalculations()

void performCalculations ( ) const

overrideprivate

Definition at line 52 of file crcirbuilder.hpp.

{}

buildBasket()

void buildBasket ( ) const

private

Member Data Documentation

market_

QuantLib::ext::shared_ptr<ore::data::Market> market_

private

Definition at line 55 of file crcirbuilder.hpp.

configuration_

const std::string configuration_

private

Definition at line 56 of file crcirbuilder.hpp.

data_

QuantLib::ext::shared_ptr<CrCirData> data_

private

Definition at line 57 of file crcirbuilder.hpp.

rateCurve_

Handle<YieldTermStructure> rateCurve_

private

Definition at line 59 of file crcirbuilder.hpp.

creditCurve_

Handle<DefaultProbabilityTermStructure> creditCurve_

private

Definition at line 60 of file crcirbuilder.hpp.

recoveryRate_

Handle<Quote> recoveryRate_

private

Definition at line 61 of file crcirbuilder.hpp.

error_

Real error_

mutableprivate

Definition at line 63 of file crcirbuilder.hpp.

model_

QuantLib::ext::shared_ptr<QuantExt::CrCirpp> model_

private

Definition at line 64 of file crcirbuilder.hpp.

parametrization_

QuantLib::ext::shared_ptr<QuantExt::CrCirppParametrization> parametrization_

private

Definition at line 65 of file crcirbuilder.hpp.

optimizationMethod_

QuantLib::ext::shared_ptr<OptimizationMethod> optimizationMethod_

private

Definition at line 68 of file crcirbuilder.hpp.

endCriteria_

EndCriteria endCriteria_

private

Definition at line 69 of file crcirbuilder.hpp.

calibrationErrorType_

BlackCalibrationHelper::CalibrationErrorType calibrationErrorType_

private

Definition at line 70 of file crcirbuilder.hpp.