LgmReversionTransformation Class Reference

#include <ored/model/lgmdata.hpp>

Inheritance diagram for LgmReversionTransformation:

Collaboration diagram for LgmReversionTransformation:

Public Member Functions
	LgmReversionTransformation ()
	Default constructor setting the horizon to 0.0 and the scaling to 1.0. More...
	LgmReversionTransformation (QuantLib::Time horizon, QuantLib::Real scaling)
	Detailed constructor. More...
Inspectors
QuantLib::Time	horizon () const
QuantLib::Real	scaling () 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...

Serialisation
QuantLib::Time	horizon_
QuantLib::Real	scaling_
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override

Detailed Description

LGM reversion transformation.

This class holds values for possibly transforming the reversion parameter of the LGM model. The use of this is outlined in Modern Derivatives Pricing and Credit Exposure Analysis, Section 16.4.

Definition at line 170 of file lgmdata.hpp.

Constructor & Destructor Documentation

LgmReversionTransformation() [1/2]

LgmReversionTransformation

(

)

Default constructor setting the horizon to 0.0 and the scaling to 1.0.

Definition at line 251 of file lgmdata.cpp.

: horizon_(0.0), scaling_(1.0) {}

LgmReversionTransformation() [2/2]

LgmReversionTransformation	(	QuantLib::Time	horizon,
		QuantLib::Real	scaling
	)

Detailed constructor.

Member Function Documentation

horizon()

Time horizon

(

)

const

Definition at line 256 of file lgmdata.cpp.

{ return horizon_; }

scaling()

Real scaling

(

)

const

Definition at line 258 of file lgmdata.cpp.

{ return scaling_; }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 260 of file lgmdata.cpp.

                                                      {
    XMLUtils::checkNode(node, "ParameterTransformation");
    horizon_ = XMLUtils::getChildValueAsDouble(node, "ShiftHorizon", true);
    scaling_ = XMLUtils::getChildValueAsDouble(node, "Scaling", true);
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 266 of file lgmdata.cpp.

                                                                 {
    XMLNode* node = doc.allocNode("ParameterTransformation");
    XMLUtils::addChild(doc, node, "ShiftHorizon", horizon_);
    XMLUtils::addChild(doc, node, "Scaling", scaling_);
    return node;
}

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Member Data Documentation

horizon_

QuantLib::Time horizon_

private

Definition at line 191 of file lgmdata.hpp.

scaling_

QuantLib::Real scaling_

private

Definition at line 192 of file lgmdata.hpp.