utilities.cpp File Reference

#include <ored/model/utilities.hpp>
#include <ored/utilities/log.hpp>
#include <qle/models/cpicapfloorhelper.hpp>
#include <qle/models/fxeqoptionhelper.hpp>
#include <qle/models/futureoptionhelper.hpp>
#include <qle/models/yoycapfloorhelper.hpp>
#include <qle/models/yoyswaphelper.hpp>
#include <ql/exercise.hpp>
#include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp>

Go to the source code of this file.

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

Functions
std::string	getCalibrationDetails (LgmCalibrationInfo &info, const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &basket, const QuantLib::ext::shared_ptr< IrLgm1fParametrization > &parametrization)
std::string	getCalibrationDetails (const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &basket, const QuantLib::ext::shared_ptr< FxBsParametrization > &parametrization, const QuantLib::ext::shared_ptr< Parametrization > &domesticIrModel)
std::string	getCalibrationDetails (const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &basket, const QuantLib::ext::shared_ptr< FxBsParametrization > &parametrization, const QuantLib::ext::shared_ptr< IrLgm1fParametrization > &domesticLgm)
std::string	getCalibrationDetails (const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &basket, const QuantLib::ext::shared_ptr< EqBsParametrization > &parametrization, const QuantLib::ext::shared_ptr< Parametrization > &domesticIrModel)
std::string	getCalibrationDetails (const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &basket, const QuantLib::ext::shared_ptr< EqBsParametrization > &parametrization, const QuantLib::ext::shared_ptr< IrLgm1fParametrization > &domesticLgm)
std::string	getCalibrationDetails (const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &basket, const QuantLib::ext::shared_ptr< CommoditySchwartzParametrization > &parametrization)
std::string	getCalibrationDetails (const std::vector< QuantLib::ext::shared_ptr< BlackCalibrationHelper > > &basket, const QuantLib::ext::shared_ptr< InfDkParametrization > &parametrization, bool indexIsInterpolated)
string	getCalibrationDetails (const vector< QuantLib::ext::shared_ptr< CalibrationHelper > > &rrBasket, const vector< QuantLib::ext::shared_ptr< CalibrationHelper > > &idxBasket, const QuantLib::ext::shared_ptr< InfJyParameterization > &p, bool calibrateRealRateVol)
string	getCalibrationDetails (const QuantLib::ext::shared_ptr< IrLgm1fParametrization > &parametrization)
Date	optionMaturity (const boost::variant< Date, Period > &maturity, const QuantLib::Calendar &calendar, const QuantLib::Date &referenceDate)
Real	cpiCapFloorStrikeValue (const QuantLib::ext::shared_ptr< BaseStrike > &strike, const QuantLib::ext::shared_ptr< ZeroInflationTermStructure > &curve, const QuantLib::Date &optionMaturityDate)
	Return a cpi cap/floor strike value, the input strike can be of type absolute or atm forward. More...
Real	yoyCapFloorStrikeValue (const QuantLib::ext::shared_ptr< BaseStrike > &strike, const QuantLib::ext::shared_ptr< YoYInflationTermStructure > &curve, const QuantLib::Date &optionMaturityDate)
	Return a yoy cap/floor strike value, the input strike can be of type absolute or atm forward. More...
Real	atmForward (const Real s0, const Handle< YieldTermStructure > &r, const Handle< YieldTermStructure > &q, const Real t)
	helper function that computes the atm forward More...

Variable Documentation

modelValue

Real modelValue

Definition at line 63 of file utilities.cpp.

marketValue

Real marketValue

Definition at line 64 of file utilities.cpp.

error

Real error

Definition at line 65 of file utilities.cpp.

maturity

Time maturity

Definition at line 66 of file utilities.cpp.

calendar

Calendar calendar

Definition at line 441 of file utilities.cpp.

referenceDate

Date referenceDate

Definition at line 442 of file utilities.cpp.