ModelParameter Class Reference

#include <ored/model/modelparameter.hpp>

Inheritance diagram for ModelParameter:

Collaboration diagram for ModelParameter:

Public Member Functions
	ModelParameter ()
	Default constructor. More...
	ModelParameter (bool calibrate, ParamType type, std::vector< QuantLib::Time > times, std::vector< QuantLib::Real > values)
	Detailed constructor. More...
Inspectors
bool	calibrate () const
ParamType	type () const
const std::vector< QuantLib::Time > &	times () const
const std::vector< QuantLib::Real > &	values () const
Setters / Modifiers
void	setTimes (std::vector< Real > times)
void	setValues (std::vector< Real > values)
void	mult (const Real f)
void	setCalibrate (const bool b)
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
bool	calibrate_
ParamType	type_
std::vector< QuantLib::Time >	times_
std::vector< QuantLib::Real >	values_
void	fromXML (XMLNode *node) override
void	append (XMLDocument &doc, XMLNode *node) const
	Method used by toXML in derived classes to add the members here to a node. More...
virtual void	check () const
	Perform some checks on the parameters. More...

Detailed Description

Abstract base class for holding model parameter data.

Definition at line 38 of file modelparameter.hpp.

Constructor & Destructor Documentation

ModelParameter() [1/2]

ModelParameter

(

)

Default constructor.

Definition at line 29 of file modelparameter.cpp.

    : calibrate_(false), type_(ParamType::Constant) {}

ModelParameter() [2/2]

ModelParameter	(	bool	calibrate,
		ParamType	type,
		std::vector< QuantLib::Time >	times,
		std::vector< QuantLib::Real >	values
	)

Detailed constructor.

Member Function Documentation

calibrate()

bool calibrate

(

)

const

Definition at line 37 of file modelparameter.cpp.

                                     {
    return calibrate_;
}

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type()

ParamType type

(

)

const

Definition at line 41 of file modelparameter.cpp.

                                     {
    return type_;
}

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times()

const vector< Time > & times

(

)

const

Definition at line 45 of file modelparameter.cpp.

                                                {
    return times_;
}

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values()

const vector< Real > & values

(

)

const

Definition at line 49 of file modelparameter.cpp.

                                                 {
    return values_;
}

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setTimes()

void setTimes

(

std::vector< Real >

times

)

Definition at line 53 of file modelparameter.cpp.

{ times_ = std::move(times); }

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setValues()

void setValues

(

std::vector< Real >

values

)

Definition at line 55 of file modelparameter.cpp.

{ values_ = std::move(values); }

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mult()

void mult

(

const Real

f

)

Definition at line 57 of file modelparameter.cpp.

                                      {
    std::transform(values_.begin(), values_.end(), values_.begin(), [&f](const Real v) { return f * v; });
}

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setCalibrate()

void setCalibrate

(

const bool

b

)

Definition at line 61 of file modelparameter.cpp.

{ calibrate_ = b; }

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fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Reimplemented in VolatilityParameter, and ReversionParameter.

Definition at line 63 of file modelparameter.cpp.

                                          {
    calibrate_ = XMLUtils::getChildValueAsBool(node, "Calibrate", true);
    type_ = parseParamType(XMLUtils::getChildValue(node, "ParamType", true));
    values_ = XMLUtils::getChildrenValuesAsDoublesCompact(node, "InitialValue", true);
    if (type_ != ParamType::Constant) {
        times_ = XMLUtils::getChildrenValuesAsDoublesCompact(node, "TimeGrid", true);
    }
    check();
}

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append()

void append ( XMLDocument &  doc, XMLNode *  node  ) const

protected

Method used by toXML in derived classes to add the members here to a node.

Definition at line 73 of file modelparameter.cpp.

                                                                 {
    XMLUtils::addChild(doc, node, "Calibrate", calibrate_);
    XMLUtils::addGenericChild(doc, node, "ParamType", type_);
    XMLUtils::addGenericChildAsList(doc, node, "TimeGrid", times_);
    XMLUtils::addGenericChildAsList(doc, node, "InitialValue", values_);
}

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check()

void check ( ) const

protectedvirtual

Perform some checks on the parameters.

Definition at line 80 of file modelparameter.cpp.

                                 {
    if (type_ == ParamType::Constant) {
        QL_REQUIRE(values_.size() == 1, "Parameter type is Constant so expecting a single InitialValue.");
        QL_REQUIRE(times_.empty(), "Parameter type is Constant so expecting an empty time vector.");
    } else if (type_ == ParamType::Piecewise) {
        QL_REQUIRE(values_.size() == times_.size() + 1, "Parameter type is Piecewise so expecting the size of the " <<
            "InitialValue vector (" << values_.size() << ") to be one greater than size of time vector (" <<
            times_.size() << ").");
    }
}

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Member Data Documentation

calibrate_

bool calibrate_

private

Definition at line 77 of file modelparameter.hpp.

type_

ParamType type_

private

Definition at line 78 of file modelparameter.hpp.

times_

std::vector<QuantLib::Time> times_

private

Definition at line 79 of file modelparameter.hpp.

values_

std::vector<QuantLib::Real> values_

private

Definition at line 80 of file modelparameter.hpp.