IrModelData Class Reference

Linear Gauss Markov Model Parameters. More...

#include <ored/model/irmodeldata.hpp>

Inheritance diagram for IrModelData:

Collaboration diagram for IrModelData:

Public Member Functions
	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...
Serialisation
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const 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...

Setters/Getters
std::string	name_
std::string	qualifier_
CalibrationType	calibrationType_
const std::string &	name ()
std::string &	qualifier ()
CalibrationType &	calibrationType ()
virtual std::string	ccy () const

Detailed Description

Linear Gauss Markov Model Parameters.

This class contains the description of a Linear Gauss Markov interest rate model and instructions for how to calibrate it.

Definition at line 88 of file irmodeldata.hpp.

Constructor & Destructor Documentation

IrModelData() [1/2]

IrModelData

(

const std::string &

name

)

minimal constructor

Definition at line 91 of file irmodeldata.hpp.

: name_(name), calibrationType_(CalibrationType::None) {}

IrModelData() [2/2]

IrModelData	(	const std::string &	name,
		const std::string &	qualifier,
		CalibrationType	calibrationType
	)

Detailed constructor.

Definition at line 94 of file irmodeldata.hpp.

        : name_(name), qualifier_(qualifier), calibrationType_(calibrationType) {}

Member Function Documentation

clear()

void clear ( )

virtual

Clear list of calibration instruments.

Reimplemented in CrLgmData, HwModelData, IrLgmData, and LgmData.

Definition at line 101 of file irmodeldata.cpp.

{}

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reset()

void reset ( )

virtual

Reset member variables to defaults.

Reimplemented in CrLgmData, HwModelData, IrLgmData, and LgmData.

Definition at line 103 of file irmodeldata.cpp.

                        {
    clear();
    qualifier_ = "";
    calibrationType_ = CalibrationType::Bootstrap;
}

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fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Reimplemented in CrLgmData, HwModelData, IrLgmData, and LgmData.

Definition at line 109 of file irmodeldata.cpp.

                                       {
    std::string calibTypeString = XMLUtils::getChildValue(node, "CalibrationType", true);
    
    calibrationType_ = parseCalibrationType(calibTypeString);
    LOG(name_ + " with calibrationType_ = " << qualifier_);
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Reimplemented in CrLgmData, HwModelData, IrLgmData, and LgmData.

Definition at line 116 of file irmodeldata.cpp.

                                                  {
 
    XMLNode* irModelNode = doc.allocNode(name_);
 
    XMLUtils::addGenericChild(doc, irModelNode, "CalibrationType", calibrationType_);
    return irModelNode;
}

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name()

const std::string & name

(

)

Definition at line 111 of file irmodeldata.hpp.

{ return name_; }

qualifier()

std::string & qualifier

(

)

Definition at line 112 of file irmodeldata.hpp.

{ return qualifier_; }

calibrationType()

CalibrationType & calibrationType

(

)

Definition at line 113 of file irmodeldata.hpp.

{ return calibrationType_; }

ccy()

std::string ccy ( ) const

virtual

Definition at line 124 of file irmodeldata.cpp.

                                {
    QuantLib::ext::shared_ptr<QuantLib::IborIndex> index;
    return tryParseIborIndex(qualifier_, index) ? index->currency().code() : qualifier_;
}

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Member Data Documentation

name_

std::string name_

protected

Definition at line 120 of file irmodeldata.hpp.

qualifier_

std::string qualifier_

protected

Definition at line 121 of file irmodeldata.hpp.

calibrationType_

CalibrationType calibrationType_

protected

Definition at line 122 of file irmodeldata.hpp.