#include <ored/model/inflation/infjydata.hpp>

Inheritance diagram for InfJyData:

Collaboration diagram for InfJyData:

Public Member Functions
	InfJyData ()
	Default constructor. More...

	InfJyData (CalibrationType calibrationType, const std::vector< CalibrationBasket > &calibrationBaskets, const std::string &currency, const std::string &index, const ReversionParameter &realRateReversion, const VolatilityParameter &realRateVolatility, const VolatilityParameter &indexVolatility, const LgmReversionTransformation &reversionTransformation=LgmReversionTransformation(), const CalibrationConfiguration &calibrationConfiguration=CalibrationConfiguration(), const bool ignoreDuplicateCalibrationExpiryTimes=false, const bool linkRealToNominalRateParams=false, const Real linkedRealRateVolatilityScaling=1.0)
	Detailed constructor. More...

Inspectors
const ReversionParameter &	realRateReversion () const

const VolatilityParameter &	realRateVolatility () const

const VolatilityParameter &	indexVolatility () const

const LgmReversionTransformation &	reversionTransformation () const

const CalibrationConfiguration &	calibrationConfiguration () const

bool	linkRealRateParamsToNominalRateParams () const

Real	linkedRealRateVolatilityScaling () const

Setters
void	setRealRateReversion (ReversionParameter p)

void	setRealRateVolatility (VolatilityParameter p)

Public Member Functions inherited from InflationModelData
	InflationModelData ()
	Default constructor. The currency and inflation index are empty. More...

	InflationModelData (CalibrationType calibrationType, const std::vector< CalibrationBasket > &calibrationBaskets, const std::string &currency, const std::string &index, const bool ignoreDuplicateCalibrationExpiryTimes)

const std::string &	currency () const

const std::string &	index () const

bool	ignoreDuplicateCalibrationExpiryTimes () const

void	fromXML (XMLNode *node) override

Public Member Functions inherited from ModelData
	ModelData ()
	Default constructor. More...

	ModelData (CalibrationType calibrationType, const std::vector< CalibrationBasket > &calibrationBaskets)
	Detailed constructor. More...

CalibrationType	calibrationType () const

const std::vector< CalibrationBasket > &	calibrationBaskets () const

void	fromXML (XMLNode *node) override

Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()

virtual void	fromXML (XMLNode *node)=0

virtual XMLNode *	toXML (XMLDocument &doc) const =0

void	fromFile (const std::string &filename)

void	toFile (const std::string &filename) const

void	fromXMLString (const std::string &xml)
	Parse from XML string. More...

std::string	toXMLString () const
	Parse from XML string. More...

Serialisation
ReversionParameter	realRateReversion_

VolatilityParameter	realRateVolatility_

VolatilityParameter	indexVolatility_

LgmReversionTransformation	reversionTransformation_

CalibrationConfiguration	calibrationConfiguration_

bool	linkRealToNominalRateParams_

Real	linkedRealRateVolatilityScaling_

void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) const override

Additional Inherited Members
Protected Member Functions inherited from InflationModelData
void	append (XMLDocument &doc, XMLNode *node) const override
	Method used by toXML in derived classes to add the members here to a node. More...

Protected Member Functions inherited from ModelData
Protected Attributes inherited from ModelData
std::vector< CalibrationBasket >	calibrationBaskets_

Detailed Description

Jarrow Yildirim inflation model data.

Model data specifying the Jarrow Yildirim inflation model described in Modern Derivatives Pricing and Credit Exposure Analysis, Chapter 13.

Definition at line 44 of file infjydata.hpp.

Constructor & Destructor Documentation

◆ InfJyData() [1/2]

InfJyData ( )

Default constructor.

Definition at line 30 of file infjydata.cpp.

30{}

◆ InfJyData() [2/2]

InfJyData	(	CalibrationType	calibrationType,
		const std::vector< CalibrationBasket > &	calibrationBaskets,
		const std::string &	currency,
		const std::string &	index,
		const ReversionParameter &	realRateReversion,
		const VolatilityParameter &	realRateVolatility,
		const VolatilityParameter &	indexVolatility,
		const LgmReversionTransformation &	reversionTransformation = `LgmReversionTransformation()`,
		const CalibrationConfiguration &	calibrationConfiguration = `CalibrationConfiguration()`,
		const bool	ignoreDuplicateCalibrationExpiryTimes = `false`,
		const bool	linkRealToNominalRateParams = `false`,
		const Real	linkedRealRateVolatilityScaling = `1.0`
	)

Detailed constructor.

Definition at line 32 of file infjydata.cpp.

    : InflationModelData(calibrationType, calibrationBaskets, currency, index, ignoreDuplicateCalibrationExpiryTimes),
      realRateReversion_(realRateReversion), realRateVolatility_(realRateVolatility), indexVolatility_(indexVolatility),
      reversionTransformation_(reversionTransformation), calibrationConfiguration_(calibrationConfiguration),
      linkRealToNominalRateParams_(linkRealToNominalRateParams),
      linkedRealRateVolatilityScaling_(linkedRealRateVolatilityScaling) {}

Member Function Documentation

◆ realRateReversion()

const ReversionParameter & realRateReversion ( ) const

Definition at line 45 of file infjydata.cpp.

                                                             {
    return realRateReversion_;
}

◆ realRateVolatility()

const VolatilityParameter & realRateVolatility ( ) const

Definition at line 49 of file infjydata.cpp.

                                                               {
    return realRateVolatility_;
}

◆ indexVolatility()

const VolatilityParameter & indexVolatility ( ) const

Definition at line 53 of file infjydata.cpp.

                                                            {
    return indexVolatility_;
}

◆ reversionTransformation()

const LgmReversionTransformation & reversionTransformation ( ) const

Definition at line 57 of file infjydata.cpp.

                                                                           {
    return reversionTransformation_;
}

◆ calibrationConfiguration()

const CalibrationConfiguration & calibrationConfiguration ( ) const

Definition at line 61 of file infjydata.cpp.

                                                                          {
    return calibrationConfiguration_;
}

◆ linkRealRateParamsToNominalRateParams()

bool linkRealRateParamsToNominalRateParams ( ) const

Definition at line 69 of file infjydata.cpp.

69{ return linkRealToNominalRateParams_; }

◆ linkedRealRateVolatilityScaling()

Real linkedRealRateVolatilityScaling ( ) const

Definition at line 71 of file infjydata.cpp.

71{ return linkedRealRateVolatilityScaling_; }

◆ setRealRateReversion()

void setRealRateReversion ( ReversionParameter p )

Definition at line 65 of file infjydata.cpp.

65{ realRateReversion_ = std::move(p); }

◆ setRealRateVolatility()

void setRealRateVolatility ( VolatilityParameter p )

Definition at line 67 of file infjydata.cpp.

67{ realRateVolatility_ = std::move(p); }

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

Definition at line 73 of file infjydata.cpp.

                                     {
    
    // Check the node is not null and that name is LGM or DodgsonKainth. LGM is for backward compatibility.
    XMLUtils::checkNode(node, "JarrowYildirim");
 
    InflationModelData::fromXML(node);
    
    // Get reversion and volatility for the real rate process
    XMLNode* rrNode = XMLUtils::getChildNode(node, "RealRate");
    QL_REQUIRE(rrNode, "JarrowYildirim inflation model data should have RealRate node.");
    realRateReversion_.fromXML(XMLUtils::getChildNode(rrNode, "Reversion"));
    realRateVolatility_.fromXML(XMLUtils::getChildNode(rrNode, "Volatility"));
    if (XMLNode* n = XMLUtils::getChildNode(rrNode, "ParameterTransformation")) {
        reversionTransformation_.fromXML(n);
    }
 
    // Get volatility for the inflation index process
    XMLNode* idxNode = XMLUtils::getChildNode(node, "Index");
    QL_REQUIRE(idxNode, "JarrowYildirim inflation model data should have Index node.");
    indexVolatility_.fromXML(XMLUtils::getChildNode(idxNode, "Volatility"));
 
    // Get the calibration configuration
    if (XMLNode* ccNode = XMLUtils::getChildNode(node, "CalibrationConfiguration"))
        calibrationConfiguration_.fromXML(ccNode);
 
    // Get the link to nominal param fields
    linkRealToNominalRateParams_ =
        parseBool(XMLUtils::getChildValue(node, "LinkRealToNominalRateParams", false, "false"));
    if (linkRealToNominalRateParams_) {
        linkedRealRateVolatilityScaling_ =
            parseReal(XMLUtils::getChildValue(node, "LinkedRealRateVolatilityScaling", false, "1.0"));
    }
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 107 of file infjydata.cpp.

                                                {
 
    XMLNode* node = doc.allocNode("JarrowYildirim");
    InflationModelData::append(doc, node);
 
    XMLNode* rrNode = doc.allocNode("RealRate");
    XMLUtils::appendNode(rrNode, realRateReversion_.toXML(doc));
    XMLUtils::appendNode(rrNode, realRateVolatility_.toXML(doc));
    XMLUtils::appendNode(rrNode, reversionTransformation_.toXML(doc));
    XMLUtils::appendNode(node, rrNode);
 
    XMLNode* idxNode = doc.allocNode("Index");
    XMLUtils::appendNode(idxNode, indexVolatility_.toXML(doc));
    XMLUtils::appendNode(node, idxNode);
 
    XMLUtils::appendNode(node, calibrationConfiguration_.toXML(doc));
 
    if (linkRealToNominalRateParams_) {
        XMLUtils::addChild(doc, node, "LinkRealToNominalRateParams", linkRealToNominalRateParams_);
        XMLUtils::addChild(doc, node, "LinkedRealRateVolatilityScaling", linkedRealRateVolatilityScaling_);
    }
 
    return node;
}

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Member Data Documentation

◆ realRateReversion_

ReversionParameter realRateReversion_

private

Definition at line 85 of file infjydata.hpp.

◆ realRateVolatility_

VolatilityParameter realRateVolatility_

private

Definition at line 86 of file infjydata.hpp.

◆ indexVolatility_

VolatilityParameter indexVolatility_

private

Definition at line 87 of file infjydata.hpp.

◆ reversionTransformation_

LgmReversionTransformation reversionTransformation_

private

Definition at line 88 of file infjydata.hpp.

◆ calibrationConfiguration_

CalibrationConfiguration calibrationConfiguration_

private

Definition at line 89 of file infjydata.hpp.

◆ linkRealToNominalRateParams_

bool linkRealToNominalRateParams_

private

Definition at line 90 of file infjydata.hpp.

◆ linkedRealRateVolatilityScaling_

Real linkedRealRateVolatilityScaling_

private

Definition at line 91 of file infjydata.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ InfJyData() [1/2]

◆ InfJyData() [2/2]

Member Function Documentation

◆ realRateReversion()

◆ realRateVolatility()

◆ indexVolatility()

◆ reversionTransformation()

◆ calibrationConfiguration()

◆ linkRealRateParamsToNominalRateParams()

◆ linkedRealRateVolatilityScaling()

◆ setRealRateReversion()

◆ setRealRateVolatility()

◆ fromXML()

◆ toXML()

Member Data Documentation

◆ realRateReversion_

◆ realRateVolatility_

◆ indexVolatility_

◆ reversionTransformation_

◆ calibrationConfiguration_

◆ linkRealToNominalRateParams_

◆ linkedRealRateVolatilityScaling_