ReversionParameter Class Reference

#include <ored/model/modelparameter.hpp>

Inheritance diagram for ReversionParameter:

Collaboration diagram for ReversionParameter:

Public Member Functions
	ReversionParameter ()
	Default constructor. More...
	ReversionParameter (LgmData::ReversionType reversionType, bool calibrate, ParamType type, std::vector< QuantLib::Time > times, std::vector< QuantLib::Real > values)
	Constructor for piecewise reversion. More...
	ReversionParameter (LgmData::ReversionType reversionType, bool calibrate, QuantLib::Real value)
	Constructor for constant reversion. More...
Inspectors
LgmData::ReversionType	reversionType () const
Public Member Functions inherited from ModelParameter
	ModelParameter ()
	Default constructor. More...
	ModelParameter (bool calibrate, ParamType type, std::vector< QuantLib::Time > times, std::vector< QuantLib::Real > values)
	Detailed constructor. More...
bool	calibrate () const
ParamType	type () const
const std::vector< QuantLib::Time > &	times () const
const std::vector< QuantLib::Real > &	values () const
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
LgmData::ReversionType	reversionType_
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override

Additional Inherited Members
Protected Member Functions inherited from ModelParameter
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

Reversion model parameter with specified reversion type.

Note

The reversion type is currently an LGM reversion type. We may want to broaden this in future.

Definition at line 133 of file modelparameter.hpp.

Constructor & Destructor Documentation

ReversionParameter() [1/3]

ReversionParameter

(

)

Default constructor.

Definition at line 127 of file modelparameter.cpp.

    : reversionType_(LgmData::ReversionType::HullWhite) {}

ReversionParameter() [2/3]

ReversionParameter	(	LgmData::ReversionType	reversionType,
		bool	calibrate,
		ParamType	type,
		std::vector< QuantLib::Time >	times,
		std::vector< QuantLib::Real >	values
	)

Constructor for piecewise reversion.

ReversionParameter() [3/3]

ReversionParameter	(	LgmData::ReversionType	reversionType,
		bool	calibrate,
		QuantLib::Real	value
	)

Constructor for constant reversion.

Member Function Documentation

reversionType()

LgmData::ReversionType reversionType

(

)

const

Definition at line 140 of file modelparameter.cpp.

                                                             {
    return reversionType_;
}

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fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from ModelParameter.

Definition at line 144 of file modelparameter.cpp.

                                              {
    XMLUtils::checkNode(node, "Reversion");
    reversionType_ = parseReversionType(XMLUtils::getChildValue(node, "ReversionType", true));
    ModelParameter::fromXML(node);
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 150 of file modelparameter.cpp.

                                                         {
    XMLNode* node = doc.allocNode("Reversion");
    XMLUtils::addChild(doc, node, "ReversionType", to_string(reversionType_));
    ModelParameter::append(doc, node);
    return node;
}

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Member Data Documentation

reversionType_

LgmData::ReversionType reversionType_

private

Definition at line 157 of file modelparameter.hpp.