IrVolCalibrationInfo Struct Reference

#include <ored/marketdata/todaysmarketcalibrationinfo.hpp>

Collaboration diagram for IrVolCalibrationInfo:

Public Member Functions
virtual	~IrVolCalibrationInfo ()

Public Attributes
std::string	dayCounter
std::string	calendar
bool	isArbitrageFree
std::vector< QuantLib::Date >	expiryDates
std::vector< QuantLib::Period >	underlyingTenors
std::string	volatilityType
std::vector< double >	times
std::vector< double >	strikeSpreads
std::vector< double >	strikes
std::vector< std::vector< double > >	forwards
std::vector< std::vector< std::vector< double > > >	strikeSpreadGridStrikes
std::vector< std::vector< std::vector< double > > >	strikeSpreadGridProb
std::vector< std::vector< std::vector< double > > >	strikeSpreadGridImpliedVolatility
std::vector< std::vector< std::vector< double > > >	strikeGridStrikes
std::vector< std::vector< std::vector< double > > >	strikeGridProb
std::vector< std::vector< std::vector< double > > >	strikeGridImpliedVolatility
std::vector< std::vector< std::vector< bool > > >	strikeSpreadGridCallSpreadArbitrage
std::vector< std::vector< std::vector< bool > > >	strikeSpreadGridButterflyArbitrage
std::vector< std::vector< std::vector< bool > > >	strikeGridCallSpreadArbitrage
std::vector< std::vector< std::vector< bool > > >	strikeGridButterflyArbitrage
std::vector< std::string >	messages

Detailed Description

Definition at line 146 of file todaysmarketcalibrationinfo.hpp.

Constructor & Destructor Documentation

~IrVolCalibrationInfo()

virtual ~IrVolCalibrationInfo ( )

virtual

Definition at line 147 of file todaysmarketcalibrationinfo.hpp.

{}

Member Data Documentation

dayCounter

std::string dayCounter

Definition at line 148 of file todaysmarketcalibrationinfo.hpp.

calendar

std::string calendar

Definition at line 149 of file todaysmarketcalibrationinfo.hpp.

isArbitrageFree

bool isArbitrageFree

Definition at line 150 of file todaysmarketcalibrationinfo.hpp.

expiryDates

std::vector<QuantLib::Date> expiryDates

Definition at line 151 of file todaysmarketcalibrationinfo.hpp.

underlyingTenors

std::vector<QuantLib::Period> underlyingTenors

Definition at line 152 of file todaysmarketcalibrationinfo.hpp.

volatilityType

std::string volatilityType

Definition at line 153 of file todaysmarketcalibrationinfo.hpp.

times

std::vector<double> times

Definition at line 154 of file todaysmarketcalibrationinfo.hpp.

strikeSpreads

std::vector<double> strikeSpreads

Definition at line 155 of file todaysmarketcalibrationinfo.hpp.

strikes

std::vector<double> strikes

Definition at line 156 of file todaysmarketcalibrationinfo.hpp.

forwards

std::vector<std::vector<double> > forwards

Definition at line 157 of file todaysmarketcalibrationinfo.hpp.

strikeSpreadGridStrikes

std::vector<std::vector<std::vector<double> > > strikeSpreadGridStrikes

Definition at line 158 of file todaysmarketcalibrationinfo.hpp.

strikeSpreadGridProb

std::vector<std::vector<std::vector<double> > > strikeSpreadGridProb

Definition at line 159 of file todaysmarketcalibrationinfo.hpp.

strikeSpreadGridImpliedVolatility

std::vector<std::vector<std::vector<double> > > strikeSpreadGridImpliedVolatility

Definition at line 160 of file todaysmarketcalibrationinfo.hpp.

strikeGridStrikes

std::vector<std::vector<std::vector<double> > > strikeGridStrikes

Definition at line 161 of file todaysmarketcalibrationinfo.hpp.

strikeGridProb

std::vector<std::vector<std::vector<double> > > strikeGridProb

Definition at line 162 of file todaysmarketcalibrationinfo.hpp.

strikeGridImpliedVolatility

std::vector<std::vector<std::vector<double> > > strikeGridImpliedVolatility

Definition at line 163 of file todaysmarketcalibrationinfo.hpp.

strikeSpreadGridCallSpreadArbitrage

std::vector<std::vector<std::vector<bool> > > strikeSpreadGridCallSpreadArbitrage

Definition at line 164 of file todaysmarketcalibrationinfo.hpp.

strikeSpreadGridButterflyArbitrage

std::vector<std::vector<std::vector<bool> > > strikeSpreadGridButterflyArbitrage

Definition at line 165 of file todaysmarketcalibrationinfo.hpp.

strikeGridCallSpreadArbitrage

std::vector<std::vector<std::vector<bool> > > strikeGridCallSpreadArbitrage

Definition at line 166 of file todaysmarketcalibrationinfo.hpp.

strikeGridButterflyArbitrage

std::vector<std::vector<std::vector<bool> > > strikeGridButterflyArbitrage

Definition at line 167 of file todaysmarketcalibrationinfo.hpp.

messages

std::vector<std::string> messages

Definition at line 168 of file todaysmarketcalibrationinfo.hpp.