IrLgmData Class Reference

INF Model Parameters. More...

#include <ored/model/irlgmdata.hpp>

Inheritance diagram for IrLgmData:

Collaboration diagram for IrLgmData:

Public Member Functions
	IrLgmData ()
	Default constructor. More...
	IrLgmData (std::string qualifier, CalibrationType calibrationType, ReversionType revType, VolatilityType volType, bool calibrateH, ParamType hType, std::vector< Time > hTimes, std::vector< Real > hValues, bool calibrateA, ParamType aType, std::vector< Time > aTimes, std::vector< Real > aValues, Real shiftHorizon=0.0, Real scaling=1.0, std::vector< std::string > optionExpiries=std::vector< std::string >(), std::vector< std::string > optionTerms=std::vector< std::string >(), std::vector< std::string > optionStrikes=std::vector< std::string >())
	Detailed constructor. More...
Serialisation
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
void	clear () override
	Clear list of calibration instruments. More...
void	reset () override
	Reset member variables to defaults. More...
Public Member Functions inherited from LgmData
	LgmData ()
	Default constructor. More...
	LgmData (std::string qualifier, CalibrationType calibrationType, ReversionType revType, VolatilityType volType, bool calibrateH, ParamType hType, std::vector< Time > hTimes, std::vector< Real > hValues, bool calibrateA, ParamType aType, std::vector< Time > aTimes, std::vector< Real > aValues, Real shiftHorizon=0.0, Real scaling=1.0, std::vector< std::string > optionExpiries=std::vector< std::string >(), std::vector< std::string > optionTerms=std::vector< std::string >(), std::vector< std::string > optionStrikes=std::vector< std::string >(), const QuantExt::AnalyticLgmSwaptionEngine::FloatSpreadMapping inputFloatSpreadMapping=QuantExt::AnalyticLgmSwaptionEngine::proRata)
	Detailed constructor. More...
void	clear () override
	Clear list of calibration instruments. More...
void	reset () override
	Reset member variables to defaults. More...
ReversionType &	reversionType ()
VolatilityType &	volatilityType ()
bool &	calibrateH ()
ParamType &	hParamType ()
std::vector< Time > &	hTimes ()
std::vector< Real > &	hValues ()
bool &	calibrateA ()
ParamType &	aParamType ()
std::vector< Time > &	aTimes ()
std::vector< Real > &	aValues ()
Real &	shiftHorizon ()
Real &	scaling ()
QuantExt::AnalyticLgmSwaptionEngine::FloatSpreadMapping &	floatSpreadMapping ()
std::vector< std::string > &	optionExpiries () const
std::vector< std::string > &	optionTerms () const
std::vector< std::string > &	optionStrikes () const
ReversionParameter	reversionParameter () const
VolatilityParameter	volatilityParameter () const
bool	operator== (const LgmData &rhs)
bool	operator!= (const LgmData &rhs)
Public Member Functions inherited from IrModelData
	IrModelData (const std::string &name)
	minimal constructor More...
	IrModelData (const std::string &name, const std::string &qualifier, CalibrationType calibrationType)
	Detailed constructor. More...
virtual void	clear ()
	Clear list of calibration instruments. More...
virtual void	reset ()
	Reset member variables to defaults. More...
const std::string &	name ()
std::string &	qualifier ()
CalibrationType &	calibrationType ()
virtual std::string	ccy () const
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...

Additional Inherited Members
Public Types inherited from LgmData
enum class	ReversionType { HullWhite , Hagan }
	Supported mean reversion types. More...
enum class	VolatilityType { HullWhite , Hagan }
	Supported volatility types. More...
Protected Attributes inherited from IrModelData
std::string	name_
std::string	qualifier_
CalibrationType	calibrationType_

Detailed Description

INF Model Parameters.

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

Definition at line 51 of file irlgmdata.hpp.

Constructor & Destructor Documentation

IrLgmData() [1/2]

IrLgmData

(

)

Default constructor.

Definition at line 54 of file irlgmdata.hpp.

{}

IrLgmData() [2/2]

IrLgmData	(	std::string	qualifier,
		CalibrationType	calibrationType,
		ReversionType	revType,
		VolatilityType	volType,
		bool	calibrateH,
		ParamType	hType,
		std::vector< Time >	hTimes,
		std::vector< Real >	hValues,
		bool	calibrateA,
		ParamType	aType,
		std::vector< Time >	aTimes,
		std::vector< Real >	aValues,
		Real	shiftHorizon = 0.0,
		Real	scaling = 1.0,
		std::vector< std::string >	optionExpiries = std::vector<std::string>(),
		std::vector< std::string >	optionTerms = std::vector<std::string>(),
		std::vector< std::string >	optionStrikes = std::vector<std::string>()
	)

Detailed constructor.

Definition at line 57 of file irlgmdata.hpp.

        : LgmData(qualifier, calibrationType, revType, volType, calibrateH, hType, hTimes, hValues, calibrateA, aType,
                  aTimes, aValues, shiftHorizon, scaling, optionExpiries, optionTerms, optionStrikes) {}

Member Function Documentation

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from LgmData.

Definition at line 27 of file irlgmdata.cpp.

                                     {
    qualifier_ = XMLUtils::getAttribute(node, "key");
    if(qualifier_.empty()) {
    std::string ccy = XMLUtils::getAttribute(node, "ccy");
    if(!ccy.empty()) {
        qualifier_ = ccy;
        WLOG("IrLgmData: attribute ccy is deprecated, use key instead.");
    }
    }
    LOG("LGM with attribute (key) = " << qualifier_);
 
    // Calibration Swaptions
 
    if (XMLNode* optionsNode = XMLUtils::getChildNode(node, "CalibrationSwaptions")) {
        optionExpiries() = XMLUtils::getChildrenValuesAsStrings(optionsNode, "Expiries", false);
        optionTerms() = XMLUtils::getChildrenValuesAsStrings(optionsNode, "Terms", false);
        QL_REQUIRE(optionExpiries().size() == optionTerms().size(),
                   "vector size mismatch in swaption expiries/terms for ccy " << qualifier_);
        optionStrikes() = XMLUtils::getChildrenValuesAsStrings(optionsNode, "Strikes", false);
        if (optionStrikes().size() > 0) {
            QL_REQUIRE(optionStrikes().size() == optionExpiries().size(),
                       "vector size mismatch in swaption expiries/strikes for ccy " << qualifier_);
        } else // Default: ATM
            optionStrikes().resize(optionExpiries().size(), "ATM");
 
        for (Size i = 0; i < optionExpiries().size(); i++) {
            LOG("LGM calibration swaption " << optionExpiries()[i] << " x " << optionTerms()[i] << " "
                                            << optionStrikes()[i]);
        }
    }
    LgmData::fromXML(node);
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Reimplemented from LgmData.

Definition at line 60 of file irlgmdata.cpp.

                                                {
    XMLNode* node = LgmData::toXML(doc);
    XMLUtils::addAttribute(doc, node, "key", qualifier_);
 
    // swaption calibration
    XMLNode* calibrationSwaptionsNode = XMLUtils::addChild(doc, node, "CalibrationSwaptions");
    XMLUtils::addGenericChildAsList(doc, calibrationSwaptionsNode, "Expiries", optionExpiries());
    XMLUtils::addGenericChildAsList(doc, calibrationSwaptionsNode, "Terms", optionTerms());
    XMLUtils::addGenericChildAsList(doc, calibrationSwaptionsNode, "Strikes", optionStrikes());
 
    return node;
}

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clear()

void clear ( )

overridevirtual

Clear list of calibration instruments.

Reimplemented from IrModelData.

Definition at line 71 of file irlgmdata.hpp.

{ LgmData::clear(); }

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reset()

void reset ( )

overridevirtual

Reset member variables to defaults.

Reimplemented from IrModelData.

Definition at line 72 of file irlgmdata.hpp.

                          {
        LgmData::reset();
    }

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