EqBsData Class Reference

EQ Model Parameters. More...

#include <ored/model/eqbsdata.hpp>

Collaboration diagram for EqBsData:

Public Member Functions
	EqBsData ()
	Default constructor. More...
	EqBsData (std::string name, std::string currency, CalibrationType calibrationType, bool calibrateSigma, ParamType sigmaType, const std::vector< Time > &sigmaTimes, const std::vector< Real > &sigmaValues, std::vector< std::string > optionExpiries=std::vector< std::string >(), std::vector< std::string > optionStrikes=std::vector< std::string >())
	Detailed constructor. More...
Setters/Getters
std::string &	eqName ()
std::string &	currency ()
CalibrationType &	calibrationType ()
bool &	calibrateSigma ()
ParamType &	sigmaParamType ()
std::vector< Time > &	sigmaTimes ()
std::vector< Real > &	sigmaValues ()
std::vector< std::string > &	optionExpiries ()
std::vector< std::string > &	optionStrikes ()
Serialisation
void	fromXML (XMLNode *node)
XMLNode *	toXML (XMLDocument &doc)

Operators
std::string	name_
std::string	ccy_
CalibrationType	calibrationType_
bool	calibrateSigma_
ParamType	sigmaType_
std::vector< Time >	sigmaTimes_
std::vector< Real >	sigmaValues_
std::vector< std::string >	optionExpiries_
std::vector< std::string >	optionStrikes_
bool	operator== (const EqBsData &rhs)
bool	operator!= (const EqBsData &rhs)

Detailed Description

EQ Model Parameters.

Specification for a EQ model component in the Cross Asset LGM (i.e. lognormal Equity with stochastic IR/FX differential). The specification applies to the volatility component (sigma) of the EQ model only.

Definition at line 50 of file eqbsdata.hpp.

Constructor & Destructor Documentation

EqBsData() [1/2]

EqBsData

(

)

Default constructor.

Definition at line 53 of file eqbsdata.hpp.

{}

EqBsData() [2/2]

EqBsData	(	std::string	name,
		std::string	currency,
		CalibrationType	calibrationType,
		bool	calibrateSigma,
		ParamType	sigmaType,
		const std::vector< Time > &	sigmaTimes,
		const std::vector< Real > &	sigmaValues,
		std::vector< std::string >	optionExpiries = std::vector<std::string>(),
		std::vector< std::string >	optionStrikes = std::vector<std::string>()
	)

Detailed constructor.

Definition at line 56 of file eqbsdata.hpp.

        : name_(name), ccy_(currency), calibrationType_(calibrationType), calibrateSigma_(calibrateSigma),
          sigmaType_(sigmaType), sigmaTimes_(sigmaTimes), sigmaValues_(sigmaValues), optionExpiries_(optionExpiries),
          optionStrikes_(optionStrikes) {}

Member Function Documentation

eqName()

std::string & eqName

(

)

Definition at line 66 of file eqbsdata.hpp.

{ return name_; }

currency()

std::string & currency

(

)

Definition at line 67 of file eqbsdata.hpp.

{ return ccy_; }

calibrationType()

CalibrationType & calibrationType

(

)

Definition at line 68 of file eqbsdata.hpp.

{ return calibrationType_; }

calibrateSigma()

bool & calibrateSigma

(

)

Definition at line 69 of file eqbsdata.hpp.

{ return calibrateSigma_; }

sigmaParamType()

ParamType & sigmaParamType

(

)

Definition at line 70 of file eqbsdata.hpp.

{ return sigmaType_; }

sigmaTimes()

std::vector< Time > & sigmaTimes

(

)

Definition at line 71 of file eqbsdata.hpp.

{ return sigmaTimes_; }

sigmaValues()

std::vector< Real > & sigmaValues

(

)

Definition at line 72 of file eqbsdata.hpp.

{ return sigmaValues_; }

optionExpiries()

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

(

)

Definition at line 73 of file eqbsdata.hpp.

{ return optionExpiries_; }

optionStrikes()

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

(

)

Definition at line 74 of file eqbsdata.hpp.

{ return optionStrikes_; }

fromXML()

void fromXML

(

XMLNode *

node

)

Definition at line 39 of file eqbsdata.cpp.

                                    {
    name_ = XMLUtils::getAttribute(node, "name");
    LOG("Cross-Asset Equity Name = " << name_);
 
    ccy_ = XMLUtils::getChildValue(node, "Currency", true);
    LOG("Cross-Asset Equity Currency = " << ccy_);
 
    std::string calibTypeString = XMLUtils::getChildValue(node, "CalibrationType", true);
    calibrationType_ = parseCalibrationType(calibTypeString);
    LOG("Cross-Asset Equity calibration type = " << calibTypeString);
 
    XMLNode* sigmaNode = XMLUtils::getChildNode(node, "Sigma");
    calibrateSigma_ = XMLUtils::getChildValueAsBool(sigmaNode, "Calibrate", true);
    LOG("Cross-Asset Equity Sigma calibrate = " << calibrateSigma_);
 
    std::string sigmaTypeString = XMLUtils::getChildValue(sigmaNode, "ParamType", true);
    sigmaType_ = parseParamType(sigmaTypeString);
    LOG("Cross-Asset Equity Sigma parameter type = " << sigmaTypeString);
 
    sigmaTimes_ = XMLUtils::getChildrenValuesAsDoublesCompact(sigmaNode, "TimeGrid", true);
    LOG("Cross-Asset Equity Sigma time grid size = " << sigmaTimes_.size());
 
    sigmaValues_ = XMLUtils::getChildrenValuesAsDoublesCompact(sigmaNode, "InitialValue", true);
    LOG("Cross-Asset Equity Sigma initial values size = " << sigmaValues_.size());
 
    // Add FX Option calibration instruments
    XMLNode* optionsNode = XMLUtils::getChildNode(node, "CalibrationOptions");
 
    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 equity option expiries/strike for equity name " << name_);
    } else // default ATMF
        optionStrikes_.resize(optionExpiries_.size(), "ATMF");
}

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toXML()

XMLNode * toXML

(

XMLDocument &

doc

)

Definition at line 77 of file eqbsdata.cpp.

                                         {
 
    XMLNode* crossCcyLGMNode = doc.allocNode("CrossAssetLGM");
    XMLUtils::addAttribute(doc, crossCcyLGMNode, "name", name_);
 
    XMLUtils::addChild(doc, crossCcyLGMNode, "Currency", ccy_);
    XMLUtils::addGenericChild(doc, crossCcyLGMNode, "CalibrationType", calibrationType_);
 
    XMLNode* sigmaNode = XMLUtils::addChild(doc, crossCcyLGMNode, "Sigma");
    XMLUtils::addChild(doc, sigmaNode, "Calibrate", calibrateSigma_);
    XMLUtils::addGenericChild(doc, sigmaNode, "ParamType", sigmaType_);
    XMLUtils::addGenericChildAsList(doc, sigmaNode, "TimeGrid", sigmaTimes_);
    XMLUtils::addGenericChildAsList(doc, sigmaNode, "InitialValue", sigmaValues_);
 
    XMLNode* calibrationOptionsNode = XMLUtils::addChild(doc, crossCcyLGMNode, "CalibrationOptions");
    XMLUtils::addGenericChildAsList(doc, calibrationOptionsNode, "Expiries", optionExpiries_);
    XMLUtils::addGenericChildAsList(doc, calibrationOptionsNode, "Strikes", optionStrikes_);
 
    return crossCcyLGMNode;
}

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operator==()

bool operator==

(

const EqBsData &

rhs

)

Definition at line 26 of file eqbsdata.cpp.

                                             {
 
    if (name_ != rhs.name_ || ccy_ != rhs.ccy_ || calibrationType_ != rhs.calibrationType_ ||
        calibrateSigma_ != rhs.calibrateSigma_ || sigmaType_ != rhs.sigmaType_ || sigmaTimes_ != rhs.sigmaTimes_ ||
        sigmaValues_ != rhs.sigmaValues_ || optionExpiries_ != rhs.optionExpiries_ ||
        optionStrikes_ != rhs.optionStrikes_) {
        return false;
    }
    return true;
}

operator!=()

bool operator!=

(

const EqBsData &

rhs

)

Definition at line 37 of file eqbsdata.cpp.

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

Member Data Documentation

name_

std::string name_

private

Definition at line 90 of file eqbsdata.hpp.

ccy_

std::string ccy_

private

Definition at line 91 of file eqbsdata.hpp.

calibrationType_

CalibrationType calibrationType_

private

Definition at line 92 of file eqbsdata.hpp.

calibrateSigma_

bool calibrateSigma_

private

Definition at line 93 of file eqbsdata.hpp.

sigmaType_

ParamType sigmaType_

private

Definition at line 94 of file eqbsdata.hpp.

sigmaTimes_

std::vector<Time> sigmaTimes_

private

Definition at line 95 of file eqbsdata.hpp.

sigmaValues_

std::vector<Real> sigmaValues_

private

Definition at line 96 of file eqbsdata.hpp.

optionExpiries_

std::vector<std::string> optionExpiries_

private

Definition at line 97 of file eqbsdata.hpp.

optionStrikes_

std::vector<std::string> optionStrikes_

private

Definition at line 98 of file eqbsdata.hpp.