CrLgmBuilder Class Reference

#include <ored/model/crlgmbuilder.hpp>

Inheritance diagram for CrLgmBuilder:

Collaboration diagram for CrLgmBuilder:

Public Member Functions
	CrLgmBuilder (const QuantLib::ext::shared_ptr< ore::data::Market > &market, const QuantLib::ext::shared_ptr< CrLgmData > &data, const std::string &configuration=Market::defaultConfiguration)
QuantLib::ext::shared_ptr< QuantExt::CrLgm1fParametrization >	parametrization () const
bool	requiresRecalibration () const override
void	performCalculations () const override
Public Member Functions inherited from ModelBuilder
void	recalibrate () const
virtual void	forceRecalculate ()
virtual bool	requiresRecalibration () const=0

Private Attributes
QuantLib::ext::shared_ptr< ore::data::Market >	market_
const std::string	configuration_
QuantLib::ext::shared_ptr< CrLgmData >	data_
QuantLib::ext::shared_ptr< QuantExt::CrLgm1fParametrization >	parametrization_
RelinkableHandle< DefaultProbabilityTermStructure >	modelDefaultCurve_

Detailed Description

Definition at line 35 of file crlgmbuilder.hpp.

Constructor & Destructor Documentation

CrLgmBuilder()

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

the configuration should refer to the calibration configuration here, alternative discounting curves are then usually set in the pricing engines for swaptions etc.

this builder should be replaced by the OREData standard builder for cr lgm

Definition at line 34 of file crlgmbuilder.cpp.

    : market_(market), configuration_(configuration), data_(data) {
 
    string name = data->name();
    LOG("LgmCalibration for name " << name << ", configuration is " << configuration);
 
    modelDefaultCurve_ = RelinkableHandle<DefaultProbabilityTermStructure>(*market_->defaultCurve(name, configuration)->curve());
 
    QL_REQUIRE(!data_->calibrateA() && !data_->calibrateH(), "CrLgmBuilder does not support calibration currently");
 
    QL_REQUIRE(data_->aParamType() == ParamType::Constant, "CrLgmBuilder only supports constant volatility currently");
    QL_REQUIRE(data_->hParamType() == ParamType::Constant, "CrLgmBuilder only supports constant reversion currently");
 
    Array aTimes(data_->aTimes().begin(), data_->aTimes().end());
    Array hTimes(data_->hTimes().begin(), data_->hTimes().end());
    Array alpha(data_->aValues().begin(), data_->aValues().end());
    Array h(data_->hValues().begin(), data_->hValues().end());
 
    // the currency does not matter here
    parametrization_ =
        QuantLib::ext::make_shared<QuantExt::CrLgm1fConstantParametrization>(USDCurrency(), modelDefaultCurve_, alpha[0], h[0], name);
 
    LOG("Apply shift horizon and scale");
 
    QL_REQUIRE(data_->shiftHorizon() >= 0.0, "shift horizon must be non negative");
    QL_REQUIRE(data_->scaling() > 0.0, "scaling must be positive");
 
    if (data_->shiftHorizon() > 0.0) {
        LOG("Apply shift horizon " << data_->shiftHorizon() << " to the " << data_->qualifier() << " CR-LGM model");
        parametrization_->shift() = data_->shiftHorizon();
    }
 
    if (data_->scaling() != 1.0) {
        LOG("Apply scaling " << data_->scaling() << " to the " << data_->qualifier() << " CR-LGM model");
        parametrization_->scaling() = data_->scaling();
    }
}

Member Function Documentation

parametrization()

QuantLib::ext::shared_ptr< QuantExt::CrLgm1fParametrization > parametrization

(

)

const

Definition at line 43 of file crlgmbuilder.hpp.

{ return parametrization_; }

requiresRecalibration()

bool requiresRecalibration ( ) const

overridevirtual

Implements ModelBuilder.

Definition at line 45 of file crlgmbuilder.hpp.

{ return false; }

performCalculations()

void performCalculations ( ) const

override

Definition at line 46 of file crlgmbuilder.hpp.

{}

Member Data Documentation

market_

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

private

Definition at line 50 of file crlgmbuilder.hpp.

configuration_

const std::string configuration_

private

Definition at line 51 of file crlgmbuilder.hpp.

data_

QuantLib::ext::shared_ptr<CrLgmData> data_

private

Definition at line 52 of file crlgmbuilder.hpp.

parametrization_

QuantLib::ext::shared_ptr<QuantExt::CrLgm1fParametrization> parametrization_

private

Definition at line 53 of file crlgmbuilder.hpp.

modelDefaultCurve_

RelinkableHandle<DefaultProbabilityTermStructure> modelDefaultCurve_

private

Definition at line 54 of file crlgmbuilder.hpp.