Models

Modules
	Cross Asset Model

Files
file	calibrationbasket.hpp
	class for holding details of the calibration instruments for a model
file	calibrationconfiguration.hpp
	class for holding calibration configuration details
file	calibrationinstrumentfactory.hpp
	factory for making calibration instruments.
file	cpicapfloor.hpp
	class for holding details of a zero coupon CPI cap floor calibration instrument.
file	yoycapfloor.hpp
	class for holding details of a year on year inflation cap floor calibration instrument.
file	yoyswap.hpp
	class for holding details of a year on year inflation swap calibration instrument.
file	commodityschwartzmodelbuilder.hpp
	Builder for a Lognormal COM model component.
file	commodityschwartzmodeldata.hpp
	COM component data for the cross asset model.
file	crcirbuilder.hpp
	Build an cir model.
file	crcirdata.hpp
	CIR credit model data.
file	crlgmdata.hpp
	CR component data for the cross asset model.
file	crossassetmodelbuilder.hpp
	Build a cross asset model.
file	crossassetmodeldata.hpp
	Cross asset model data.
file	eqbsbuilder.hpp
	Builder for a Lognormal EQ model component.
file	eqbsdata.hpp
	EQ component data for the cross asset model.
file	fxbsbuilder.hpp
	Builder for a Lognormal FX model component.
file	fxbsdata.hpp
	FX component data for the cross asset model.
file	hwbuilder.hpp
	Build a hw model.
file	infdkbuilder.hpp
	Builder for a Dodgson-Kainth inflation model component.
file	infdkdata.hpp
	Dodgson Kainth inflation model component data for the cross asset model.
file	infjybuilder.hpp
	Builder for a Jarrow Yildrim inflation model component.
file	infjydata.hpp
	Jarrow Yildirim inflation model component data for the cross asset model.
file	inflationmodeldata.hpp
	base class for holding inflation model data
file	irhwmodeldata.hpp
	Hull White model data.
file	irlgmdata.hpp
	IR component data for the cross asset model.
file	irmodeldata.hpp
	Generic interest rate model data.
file	lgmbuilder.hpp
	Build an lgm model.
file	lgmdata.hpp
	Linear Gauss Markov model data.
file	modeldata.hpp
	base class for holding model data
file	modelparameter.hpp
	class for holding model parameter data
file	utilities.hpp
	Shared utilities for model building and calibration.
file	fdblackscholesbase.hpp
	black scholes fd model base class for n underlyings (fx, equity or commodity)
file	lgmcg.hpp
	computation graph based lgm model calculations
file	lgmcg.hpp
	computation graph based lgm model calculations

Classes
class	CalibrationInstrument
class	CalibrationBasket
class	CalibrationConfiguration
class	CalibrationInstrumentFactory
class	CpiCapFloor
class	YoYCapFloor
class	YoYSwap
class	CommoditySchwartzModelBuilder
	Builder for a COM model component. More...
class	CommoditySchwartzData
	COM Schwartz Model Parameters. More...
class	CrLgmData
	CR LGM Model Parameters. More...
class	CrossAssetModelBuilder
	Cross Asset Model Builder. More...
class	InstantaneousCorrelations
	InstantaneousCorrelations. More...
class	CrossAssetModelData
	Cross Asset Model Parameters. More...
class	EqBsBuilder
	Builder for a Lognormal EQ model component. More...
class	EqBsData
	EQ Model Parameters. More...
class	FxBsBuilder
	Builder for a Lognormal FX model component. More...
class	FxBsData
	FX Model Parameters. More...
class	InfDkBuilder
class	InfDkData
class	InfJyBuilder
class	InfJyData
class	InflationModelData
class	HwModelData
	Hull White Model Parameters. More...
class	IrLgmData
	INF Model Parameters. More...
class	IrModelData
	Linear Gauss Markov Model Parameters. More...
class	LgmBuilder
	Builder for a Linear Gauss Markov model component. More...
class	LgmData
	Linear Gauss Markov Model Parameters. More...
class	LgmReversionTransformation
class	ModelData
class	ModelParameter
class	VolatilityParameter
class	ReversionParameter

Functions
template<class T >
QuantLib::ext::shared_ptr< CalibrationInstrument >	createCalibrationInstrument ()

Detailed Description

Grouping of all model related classes, functions and files

Function Documentation

createCalibrationInstrument()

QuantLib::ext::shared_ptr< CalibrationInstrument > createCalibrationInstrument

(

)

Function that is used to build instances of CalibrationInstrument

The template parameter is simply a particular instance of a CalibrationInstrument class that is default constructible. The function returns the default constructed CalibrationInstrument object. A simple example is the function to build an instance of CpiCapFloor would be called via createLegData<CpiCapFloor>().

Definition at line 49 of file calibrationinstrumentfactory.hpp.

{ return QuantLib::ext::make_shared<T>(); }