#include <lineartsrpricer.hpp>

Collaboration diagram for LinearTsrPricer::Settings:

Public Types
enum	Strategy { RateBound , VegaRatio , PriceThreshold , BSStdDevs }

Public Member Functions
	Settings ()

Settings &	withRateBound (const Real lowerRateBound=defaultLowerBound, const Real upperRateBound=defaultUpperBound)

Settings &	withVegaRatio (const Real vegaRatio=0.01)

Settings &	withVegaRatio (const Real vegaRatio, const Real lowerRateBound, const Real upperRateBound)

Settings &	withPriceThreshold (const Real priceThreshold=1.0E-8)

Settings &	withPriceThreshold (const Real priceThreshold, const Real lowerRateBound, const Real upperRateBound)

Settings &	withBSStdDevs (const Real stdDevs=3.0)

Settings &	withBSStdDevs (const Real stdDevs, const Real lowerRateBound, const Real upperRateBound)

Public Attributes
Strategy	strategy_ = RateBound

Real	vegaRatio_ = 0.01

Real	priceThreshold_ = 1.0E-8

Real	stdDevs_ = 3.0

Real	lowerRateBound_

Real	upperRateBound_

bool	defaultBounds_ = true

Detailed Description

Definition at line 72 of file lineartsrpricer.hpp.

Member Enumeration Documentation

◆ Strategy

enum Strategy

Enumerator
RateBound
VegaRatio
PriceThreshold
BSStdDevs

Definition at line 145 of file lineartsrpricer.hpp.

Constructor & Destructor Documentation

◆ Settings()

Settings ( )

Definition at line 74 of file lineartsrpricer.hpp.

Member Function Documentation

◆ withRateBound()

Settings & withRateBound	(	const Real	lowerRateBound = `defaultLowerBound`,
		const Real	upperRateBound = `defaultUpperBound`
	)

Definition at line 76 of file lineartsrpricer.hpp.

◆ withVegaRatio() [1/2]

Settings & withVegaRatio ( const Real vegaRatio = 0.01 )

Definition at line 85 of file lineartsrpricer.hpp.

◆ withVegaRatio() [2/2]

Settings & withVegaRatio	(	const Real	vegaRatio,
		const Real	lowerRateBound,
		const Real	upperRateBound
	)

Definition at line 94 of file lineartsrpricer.hpp.

◆ withPriceThreshold() [1/2]

Settings & withPriceThreshold ( const Real priceThreshold = 1.0E-8 )

Definition at line 105 of file lineartsrpricer.hpp.

◆ withPriceThreshold() [2/2]

Settings & withPriceThreshold	(	const Real	priceThreshold,
		const Real	lowerRateBound,
		const Real	upperRateBound
	)

Definition at line 114 of file lineartsrpricer.hpp.

◆ withBSStdDevs() [1/2]

Settings & withBSStdDevs ( const Real stdDevs = 3.0 )

Definition at line 125 of file lineartsrpricer.hpp.

◆ withBSStdDevs() [2/2]

Settings & withBSStdDevs	(	const Real	stdDevs,
		const Real	lowerRateBound,
		const Real	upperRateBound
	)

Definition at line 134 of file lineartsrpricer.hpp.

Member Data Documentation

◆ strategy_

Strategy strategy_ = RateBound

Definition at line 152 of file lineartsrpricer.hpp.

◆ vegaRatio_

Real vegaRatio_ = 0.01

Definition at line 153 of file lineartsrpricer.hpp.

◆ priceThreshold_

Real priceThreshold_ = 1.0E-8

Definition at line 154 of file lineartsrpricer.hpp.

◆ stdDevs_

Real stdDevs_ = 3.0

Definition at line 155 of file lineartsrpricer.hpp.

◆ lowerRateBound_

Real lowerRateBound_

Definition at line 156 of file lineartsrpricer.hpp.

◆ upperRateBound_

Real upperRateBound_