lgmdata.hpp File Reference

Linear Gauss Markov model data. More...

#include <vector>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/types.hpp>
#include <qle/models/lgm.hpp>
#include <qle/pricingengines/analyticlgmswaptionengine.hpp>
#include <ored/configuration/conventions.hpp>
#include <ored/marketdata/market.hpp>
#include <ored/model/irmodeldata.hpp>
#include <ored/utilities/xmlutils.hpp>

Go to the source code of this file.

Classes
class	LgmData
	Linear Gauss Markov Model Parameters. More...
class	LgmReversionTransformation

Namespaces
namespace	ore
	Serializable Credit Default Swap.
namespace	ore::data

Functions
LgmData::ReversionType	parseReversionType (const string &s)
	Enum parsers. More...
LgmData::VolatilityType	parseVolatilityType (const string &s)
QuantExt::AnalyticLgmSwaptionEngine::FloatSpreadMapping	parseFloatSpreadMapping (const string &s)
std::ostream &	operator<< (std::ostream &oss, const LgmData::ReversionType &type)
	Enum to string. More...
std::ostream &	operator<< (std::ostream &oss, const LgmData::VolatilityType &type)
std::ostream &	operator<< (std::ostream &oss, const QuantExt::AnalyticLgmSwaptionEngine::FloatSpreadMapping &m)

Detailed Description

Linear Gauss Markov model data.

Definition in file lgmdata.hpp.