FxBsData Class Reference

FX Model Parameters. More...

#include <ored/model/fxbsdata.hpp>

Collaboration diagram for FxBsData:

Public Member Functions
	FxBsData ()
	Default constructor. More...
	FxBsData (std::string foreignCcy, std::string domesticCcy, 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 &	foreignCcy ()
std::string &	domesticCcy ()
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	foreignCcy_
std::string	domesticCcy_
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 FxBsData &rhs)
bool	operator!= (const FxBsData &rhs)

Detailed Description

FX Model Parameters.

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

Definition at line 50 of file fxbsdata.hpp.

Constructor & Destructor Documentation

FxBsData() [1/2]

FxBsData

(

)

Default constructor.

Definition at line 53 of file fxbsdata.hpp.

{}

FxBsData() [2/2]

FxBsData	(	std::string	foreignCcy,
		std::string	domesticCcy,
		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 fxbsdata.hpp.

        : foreignCcy_(foreignCcy), domesticCcy_(domesticCcy), calibrationType_(calibrationType),
          calibrateSigma_(calibrateSigma), sigmaType_(sigmaType), sigmaTimes_(sigmaTimes), sigmaValues_(sigmaValues),
          optionExpiries_(optionExpiries), optionStrikes_(optionStrikes) {}

Member Function Documentation

foreignCcy()

std::string & foreignCcy

(

)

Definition at line 66 of file fxbsdata.hpp.

{ return foreignCcy_; }

domesticCcy()

std::string & domesticCcy

(

)

Definition at line 67 of file fxbsdata.hpp.

{ return domesticCcy_; }

calibrationType()

CalibrationType & calibrationType

(

)

Definition at line 68 of file fxbsdata.hpp.

{ return calibrationType_; }

calibrateSigma()

bool & calibrateSigma

(

)

Definition at line 69 of file fxbsdata.hpp.

{ return calibrateSigma_; }

sigmaParamType()

ParamType & sigmaParamType

(

)

Definition at line 70 of file fxbsdata.hpp.

{ return sigmaType_; }

sigmaTimes()

std::vector< Time > & sigmaTimes

(

)

Definition at line 71 of file fxbsdata.hpp.

{ return sigmaTimes_; }

sigmaValues()

std::vector< Real > & sigmaValues

(

)

Definition at line 72 of file fxbsdata.hpp.

{ return sigmaValues_; }

optionExpiries()

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

(

)

Definition at line 73 of file fxbsdata.hpp.

{ return optionExpiries_; }

optionStrikes()

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

(

)

Definition at line 74 of file fxbsdata.hpp.

{ return optionStrikes_; }

fromXML()

void fromXML

(

XMLNode *

node

)

Definition at line 39 of file fxbsdata.cpp.

                                    {
    foreignCcy_ = XMLUtils::getAttribute(node, "foreignCcy");
    LOG("CC-LGM foreignCcy = " << foreignCcy_);
 
    domesticCcy_ = XMLUtils::getChildValue(node, "DomesticCcy", true);
    LOG("CC-LGM domesticCcy = " << domesticCcy_);
 
    std::string calibTypeString = XMLUtils::getChildValue(node, "CalibrationType", true);
    calibrationType_ = parseCalibrationType(calibTypeString);
    LOG("CC-LGM calibration type = " << calibTypeString);
 
    XMLNode* sigmaNode = XMLUtils::getChildNode(node, "Sigma");
    calibrateSigma_ = XMLUtils::getChildValueAsBool(sigmaNode, "Calibrate", true);
    LOG("CC-LGM Sigma calibrate = " << calibrateSigma_);
 
    std::string sigmaTypeString = XMLUtils::getChildValue(sigmaNode, "ParamType", true);
    sigmaType_ = parseParamType(sigmaTypeString);
    LOG("CC-LGM Sigma parameter type = " << sigmaTypeString);
 
    sigmaTimes_ = XMLUtils::getChildrenValuesAsDoublesCompact(sigmaNode, "TimeGrid", true);
    LOG("CC-LGM Sigma time grid size = " << sigmaTimes_.size());
 
    sigmaValues_ = XMLUtils::getChildrenValuesAsDoublesCompact(sigmaNode, "InitialValue", true);
    LOG("CC-LGM Sigma initial values size = " << sigmaValues_.size());
 
    // Add FX Option calibration instruments
    if (XMLNode* optionsNode = XMLUtils::getChildNode(node, "CalibrationOptions")) {
        optionExpiries_ = XMLUtils::getChildrenValuesAsStrings(optionsNode, "Expiries", false);
        optionStrikes_ = XMLUtils::getChildrenValuesAsStrings(optionsNode, "Strikes", false);
        if (optionStrikes_.size() > 0) {
            QL_REQUIRE(optionExpiries_.size() == optionStrikes_.size(),
                       "size mismatch in FX option expiries/strike for foreign ccy " << foreignCcy_);
        } else {
            optionStrikes_.resize(optionExpiries_.size(), "ATMF");
        }
    }
}

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toXML()

XMLNode * toXML

(

XMLDocument &

doc

)

Definition at line 77 of file fxbsdata.cpp.

                                         {
 
    XMLNode* crossCcyLGMNode = doc.allocNode("CrossCcyLGM");
    XMLUtils::addAttribute(doc, crossCcyLGMNode, "foreignCcy", foreignCcy_);
 
    XMLUtils::addChild(doc, crossCcyLGMNode, "DomesticCcy", domesticCcy_);
    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 FxBsData &

rhs

)

Definition at line 26 of file fxbsdata.cpp.

                                             {
 
    if (foreignCcy_ != rhs.foreignCcy_ || domesticCcy_ != rhs.domesticCcy_ ||
        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 FxBsData &

rhs

)

Definition at line 37 of file fxbsdata.cpp.

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

Member Data Documentation

foreignCcy_

std::string foreignCcy_

private

Definition at line 90 of file fxbsdata.hpp.

domesticCcy_

std::string domesticCcy_

private

Definition at line 91 of file fxbsdata.hpp.

calibrationType_

CalibrationType calibrationType_

private

Definition at line 92 of file fxbsdata.hpp.

calibrateSigma_

bool calibrateSigma_

private

Definition at line 93 of file fxbsdata.hpp.

sigmaType_

ParamType sigmaType_

private

Definition at line 94 of file fxbsdata.hpp.

sigmaTimes_

std::vector<Time> sigmaTimes_

private

Definition at line 95 of file fxbsdata.hpp.

sigmaValues_

std::vector<Real> sigmaValues_

private

Definition at line 96 of file fxbsdata.hpp.

optionExpiries_

std::vector<std::string> optionExpiries_

private

Definition at line 97 of file fxbsdata.hpp.

optionStrikes_

std::vector<std::string> optionStrikes_

private

Definition at line 98 of file fxbsdata.hpp.