Linear Gauss Markov Model Parameters. More...

#include <ored/model/lgmdata.hpp>

Inheritance diagram for LgmData:

Collaboration diagram for LgmData:

Public Types
enum class	ReversionType { HullWhite , Hagan }
	Supported mean reversion types. More...

enum class	VolatilityType { HullWhite , Hagan }
	Supported volatility types. More...

Public Member Functions
	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...

Serialisation
virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

Setters/Getters
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

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...

Operators
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_

Real	scaling_

std::vector< std::string >	optionExpiries_

std::vector< std::string >	optionTerms_

std::vector< std::string >	optionStrikes_

QuantExt::AnalyticLgmSwaptionEngine::FloatSpreadMapping	floatSpreadMapping_

bool	operator== (const LgmData &rhs)

bool	operator!= (const LgmData &rhs)

Additional Inherited Members
Protected Attributes inherited from IrModelData
std::string	name_

std::string	qualifier_

CalibrationType	calibrationType_

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 53 of file lgmdata.hpp.

Member Enumeration Documentation

◆ ReversionType

enum class ReversionType

strong

Supported mean reversion types.

Enumerator
HullWhite	Parametrize H(t) via Hull-White mean reversion speed, LGM H(t) = int_0^t exp(-kappa(s) *s) ds with constant or piecewise kappa(s)
Hagan	Parametrize LGM H(t) as H(t) = int_0^t h(s) ds with constant or piecewise h(s)

Definition at line 56 of file lgmdata.hpp.

                             {
        /*! Parametrize H(t) via Hull-White mean reversion speed,
          LGM H(t) = int_0^t exp(-kappa(s) *s) ds  with constant or piecewise kappa(s)
        */
        HullWhite,
        //! Parametrize LGM H(t) as H(t) = int_0^t h(s) ds with constant or piecewise h(s)
        Hagan
        // FIXME: indent
    };

◆ VolatilityType

enum class VolatilityType

strong

Supported volatility types.

Enumerator
HullWhite	Parametrize volatility as HullWhite sigma(t)
Hagan	Parametrize volatility as Hagan alpha(t)

Definition at line 67 of file lgmdata.hpp.

                              {
        //! Parametrize volatility as HullWhite sigma(t)
        HullWhite,
        //! Parametrize volatility as Hagan alpha(t)
        Hagan
    };

Constructor & Destructor Documentation

◆ LgmData() [1/2]

LgmData ( )

Default constructor.

Definition at line 75 of file lgmdata.hpp.

        : IrModelData("LGM", "", CalibrationType::None), revType_(ReversionType::Hagan),
          volType_(VolatilityType::Hagan), calibrateH_(false), hType_(ParamType::Constant), calibrateA_(false),
          aType_(ParamType::Constant), shiftHorizon_(0.0), scaling_(1.0) {}

◆ LgmData() [2/2]

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.

Definition at line 81 of file lgmdata.hpp.

        : IrModelData("LGM", qualifier, calibrationType), revType_(revType), volType_(volType), calibrateH_(calibrateH),
          hType_(hType), hTimes_(hTimes), hValues_(hValues), calibrateA_(calibrateA), aType_(aType), aTimes_(aTimes),
          aValues_(aValues), shiftHorizon_(shiftHorizon), scaling_(scaling), optionExpiries_(optionExpiries),
          optionTerms_(optionTerms), optionStrikes_(optionStrikes), floatSpreadMapping_(inputFloatSpreadMapping) {}

Member Function Documentation

◆ clear()

void clear ( )

overridevirtual

Clear list of calibration instruments.

Reimplemented from IrModelData.

Definition at line 123 of file lgmdata.cpp.

                    {
    optionExpiries_.clear();
    optionTerms_.clear();
    optionStrikes_.clear();
}

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◆ reset()

void reset ( )

overridevirtual

Reset member variables to defaults.

Reimplemented from IrModelData.

Definition at line 129 of file lgmdata.cpp.

                    {
    IrModelData::reset();
    revType_ = ReversionType::HullWhite;
    volType_ = VolatilityType::HullWhite;
    calibrateH_ = false;
    hType_ = ParamType::Constant;
    hTimes_ = {};
    hValues_ = {0.03};
    calibrateA_ = false;
    aType_ = ParamType::Constant;
    aTimes_ = {};
    aValues_ = {0.01};
    shiftHorizon_ = 0.0;
    scaling_ = 1.0;
}

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from IrModelData.

Reimplemented in CrLgmData, and IrLgmData.

Definition at line 145 of file lgmdata.cpp.

                                   {
    XMLNode* volNode = XMLUtils::getChildNode(node, "Volatility");
 
    calibrateA_ = XMLUtils::getChildValueAsBool(volNode, "Calibrate", true);
    LOG("LGM Volatility calibrate = " << calibrateA_);
 
    std::string volTypeString = XMLUtils::getChildValue(volNode, "VolatilityType", true);
    volType_ = parseVolatilityType(volTypeString);
    LOG("LGM Volatility type = " << volTypeString);
 
    std::string alphaTypeString = XMLUtils::getChildValue(volNode, "ParamType", true);
    aType_ = parseParamType(alphaTypeString);
    LOG("LGM Volatility param type = " << alphaTypeString);
 
    aTimes_ = XMLUtils::getChildrenValuesAsDoublesCompact(volNode, "TimeGrid", true);
    LOG("LGM Volatility time grid size = " << aTimes_.size());
 
    aValues_ = XMLUtils::getChildrenValuesAsDoublesCompact(volNode, "InitialValue", true);
    LOG("LGM Volatility initial values size = " << aValues_.size());
 
    // Reversion config
 
    XMLNode* revNode = XMLUtils::getChildNode(node, "Reversion");
 
    calibrateH_ = XMLUtils::getChildValueAsBool(revNode, "Calibrate", true);
    LOG("LGM Reversion calibrate = " << calibrateH_);
 
    std::string revTypeString = XMLUtils::getChildValue(revNode, "ReversionType", true);
    revType_ = parseReversionType(revTypeString);
    LOG("LGM Reversion type = " << revTypeString);
 
    std::string hTypeString = XMLUtils::getChildValue(revNode, "ParamType", true);
    hType_ = parseParamType(hTypeString);
    LOG("LGM Reversion parameter type = " << hTypeString);
 
    hTimes_ = XMLUtils::getChildrenValuesAsDoublesCompact(revNode, "TimeGrid", true);
    LOG("LGM Reversion time grid size = " << hTimes_.size());
 
    hValues_ = XMLUtils::getChildrenValuesAsDoublesCompact(revNode, "InitialValue", true);
    LOG("LGM Reversion initial values size = " << hValues_.size());
 
    // Parameter transformation config
 
    if (XMLNode* tranformNode = XMLUtils::getChildNode(node, "ParameterTransformation")) {
        shiftHorizon_ = XMLUtils::getChildValueAsDouble(tranformNode, "ShiftHorizon", true);
        LOG("LGM shift horizon = " << shiftHorizon_);
 
        scaling_ = XMLUtils::getChildValueAsDouble(tranformNode, "Scaling", true);
        LOG("LGM scaling = " << scaling_);
    } else {
        shiftHorizon_ = 0.0;
        scaling_ = 1.0;
    }
 
    floatSpreadMapping_ =
        parseFloatSpreadMapping(XMLUtils::getChildValue(node, "FloatSpreadMapping", false, "proRata"));
 
    IrModelData::fromXML(node);
 
    LOG("LgmData done");
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from IrModelData.

Reimplemented in CrLgmData, and IrLgmData.

Definition at line 207 of file lgmdata.cpp.

                                              {
 
    XMLNode* lgmNode = IrModelData::toXML(doc);
 
    // volatility
    XMLNode* volatilityNode = XMLUtils::addChild(doc, lgmNode, "Volatility");
    XMLUtils::addChild(doc, volatilityNode, "Calibrate", calibrateA_);
 
    XMLNode* volatilityTypeNode = doc.allocNode("VolatilityType", to_string(volType_));
    XMLUtils::appendNode(volatilityNode, volatilityTypeNode);
 
    XMLUtils::addGenericChild(doc, volatilityNode, "ParamType", aType_);
    XMLUtils::addGenericChildAsList(doc, volatilityNode, "TimeGrid", aTimes_);
    XMLUtils::addGenericChildAsList(doc, volatilityNode, "InitialValue", aValues_);
 
    // reversion
    XMLNode* reversionNode = XMLUtils::addChild(doc, lgmNode, "Reversion");
    XMLUtils::addChild(doc, reversionNode, "Calibrate", calibrateH_);
 
    XMLNode* reversionTypeNode = doc.allocNode("ReversionType", to_string(revType_));
    XMLUtils::appendNode(reversionNode, reversionTypeNode);
 
    XMLUtils::addGenericChild(doc, reversionNode, "ParamType", hType_);
    XMLUtils::addGenericChildAsList(doc, reversionNode, "TimeGrid", hTimes_);
    XMLUtils::addGenericChildAsList(doc, reversionNode, "InitialValue", hValues_);
 
    // parameter transformation
    XMLNode* parameterTransformationNode = XMLUtils::addChild(doc, lgmNode, "ParameterTransformation");
    XMLUtils::addChild(doc, parameterTransformationNode, "ShiftHorizon", shiftHorizon_);
    XMLUtils::addChild(doc, parameterTransformationNode, "Scaling", scaling_);
 
    XMLUtils::addChild(doc, lgmNode, "FloatSpreadMapping", ore::data::to_string(floatSpreadMapping_));
 
    return lgmNode;
}

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◆ reversionType()

ReversionType & reversionType ( )

Definition at line 108 of file lgmdata.hpp.

108{ return revType_; }

◆ volatilityType()

VolatilityType & volatilityType ( )

Definition at line 109 of file lgmdata.hpp.

109{ return volType_; }

◆ calibrateH()

bool & calibrateH ( )

Definition at line 110 of file lgmdata.hpp.

110{ return calibrateH_; }

◆ hParamType()

ParamType & hParamType ( )

Definition at line 111 of file lgmdata.hpp.

111{ return hType_; }

◆ hTimes()

std::vector< Time > & hTimes ( )

Definition at line 112 of file lgmdata.hpp.

112{ return hTimes_; }

◆ hValues()

std::vector< Real > & hValues ( )

Definition at line 113 of file lgmdata.hpp.

113{ return hValues_; }

◆ calibrateA()

bool & calibrateA ( )

Definition at line 114 of file lgmdata.hpp.

114{ return calibrateA_; }

◆ aParamType()

ParamType & aParamType ( )

Definition at line 115 of file lgmdata.hpp.

115{ return aType_; }

◆ aTimes()

std::vector< Time > & aTimes ( )

Definition at line 116 of file lgmdata.hpp.

116{ return aTimes_; }

◆ aValues()

std::vector< Real > & aValues ( )

Definition at line 117 of file lgmdata.hpp.

117{ return aValues_; }

◆ shiftHorizon()

Real & shiftHorizon ( )

Definition at line 118 of file lgmdata.hpp.

118{ return shiftHorizon_; }

◆ scaling()

Real & scaling ( )

Definition at line 119 of file lgmdata.hpp.

119{ return scaling_; }

◆ floatSpreadMapping()

QuantExt::AnalyticLgmSwaptionEngine::FloatSpreadMapping & floatSpreadMapping ( )

Definition at line 120 of file lgmdata.hpp.

120{ return floatSpreadMapping_; }

◆ optionExpiries()

std::vector< std::string > & optionExpiries ( ) const

Definition at line 121 of file lgmdata.hpp.

121{ return optionExpiries_; }

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◆ optionTerms()

std::vector< std::string > & optionTerms ( ) const

Definition at line 122 of file lgmdata.hpp.

122{ return optionTerms_; }

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◆ optionStrikes()

std::vector< std::string > & optionStrikes ( ) const

Definition at line 123 of file lgmdata.hpp.

123{ return optionStrikes_; }

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◆ reversionParameter()

ReversionParameter reversionParameter ( ) const

Definition at line 243 of file lgmdata.cpp.

                                                     {
    return ReversionParameter(revType_, calibrateH_, hType_, hTimes_, hValues_);
}

◆ volatilityParameter()

VolatilityParameter volatilityParameter ( ) const

Definition at line 247 of file lgmdata.cpp.

                                                       {
    return VolatilityParameter(volType_, calibrateA_, aType_, aTimes_, aValues_);
}

◆ operator==()

bool operator== ( const LgmData & rhs )

Definition at line 47 of file lgmdata.cpp.

                                           {
 
    if (qualifier_ != rhs.qualifier_ || calibrationType_ != rhs.calibrationType_ || revType_ != rhs.revType_ ||
        volType_ != rhs.volType_ || calibrateH_ != rhs.calibrateH_ || hType_ != rhs.hType_ || hTimes_ != rhs.hTimes_ ||
        hValues_ != rhs.hValues_ || calibrateA_ != rhs.calibrateA_ || aType_ != rhs.aType_ || aTimes_ != rhs.aTimes_ ||
        aValues_ != rhs.aValues_ || shiftHorizon_ != rhs.shiftHorizon_ || scaling_ != rhs.scaling_ ||
        optionExpiries_ != rhs.optionExpiries_ || optionTerms_ != rhs.optionTerms_ ||
        optionStrikes_ != rhs.optionStrikes_) {
        return false;
    }
    return true;
}

◆ operator!=()

bool operator!= ( const LgmData & rhs )

Definition at line 60 of file lgmdata.cpp.

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

Member Data Documentation

◆ revType_

ReversionType revType_

private

Definition at line 135 of file lgmdata.hpp.

◆ volType_

VolatilityType volType_

private

Definition at line 136 of file lgmdata.hpp.

◆ calibrateH_

bool calibrateH_

private

Definition at line 137 of file lgmdata.hpp.

◆ hType_

ParamType hType_

private

Definition at line 138 of file lgmdata.hpp.

◆ hTimes_

std::vector<Time> hTimes_

private

Definition at line 139 of file lgmdata.hpp.

◆ hValues_

std::vector<Real> hValues_

private

Definition at line 140 of file lgmdata.hpp.

◆ calibrateA_

bool calibrateA_

private

Definition at line 141 of file lgmdata.hpp.

◆ aType_

ParamType aType_

private

Definition at line 142 of file lgmdata.hpp.

◆ aTimes_

std::vector<Time> aTimes_

private

Definition at line 143 of file lgmdata.hpp.

◆ aValues_

std::vector<Real> aValues_

private

Definition at line 144 of file lgmdata.hpp.

◆ shiftHorizon_

Real shiftHorizon_

private

Definition at line 145 of file lgmdata.hpp.

◆ scaling_

Real scaling_

private

Definition at line 145 of file lgmdata.hpp.

◆ optionExpiries_

std::vector<std::string> optionExpiries_

mutableprivate

Definition at line 146 of file lgmdata.hpp.

◆ optionTerms_

std::vector<std::string> optionTerms_

mutableprivate

Definition at line 147 of file lgmdata.hpp.

◆ optionStrikes_

std::vector<std::string> optionStrikes_

mutableprivate

Definition at line 148 of file lgmdata.hpp.

◆ floatSpreadMapping_

QuantExt::AnalyticLgmSwaptionEngine::FloatSpreadMapping floatSpreadMapping_

private

Initial value:

=

QuantExt::AnalyticLgmSwaptionEngine::proRata

proRata

Definition at line 149 of file lgmdata.hpp.

Public Types

Public Member Functions

Operators

Additional Inherited Members

Detailed Description

Member Enumeration Documentation

◆ ReversionType

◆ VolatilityType

Constructor & Destructor Documentation

◆ LgmData() [1/2]

◆ LgmData() [2/2]

Member Function Documentation

◆ clear()

◆ reset()

◆ fromXML()

◆ toXML()

◆ reversionType()

◆ volatilityType()

◆ calibrateH()

◆ hParamType()

◆ hTimes()

◆ hValues()

◆ calibrateA()

◆ aParamType()

◆ aTimes()

◆ aValues()

◆ shiftHorizon()

◆ scaling()

◆ floatSpreadMapping()

◆ optionExpiries()

◆ optionTerms()

◆ optionStrikes()

◆ reversionParameter()

◆ volatilityParameter()

◆ operator==()

◆ operator!=()

Member Data Documentation

◆ revType_

◆ volType_

◆ calibrateH_

◆ hType_

◆ hTimes_

◆ hValues_

◆ calibrateA_

◆ aType_

◆ aTimes_

◆ aValues_

◆ shiftHorizon_

◆ scaling_

◆ optionExpiries_

◆ optionTerms_

◆ optionStrikes_

◆ floatSpreadMapping_