#include <ql/models/shortrate/onefactormodels/markovfunctional.hpp>

Collaboration diagram for MarkovFunctional::ModelSettings:

Public Types
enum	Adjustments { AdjustNone = 0 , AdjustDigitals = 1 << 0 , AdjustYts = 1 << 1 , ExtrapolatePayoffFlat = 1 << 2 , NoPayoffExtrapolation = 1 << 3 , KahaleSmile = 1 << 4 , SmileExponentialExtrapolation = 1 << 5 , KahaleInterpolation = 1 << 6 , SmileDeleteArbitragePoints = 1 << 7 , SabrSmile = 1 << 8 , CustomSmile = 1 << 9 }

Public Member Functions
	ModelSettings ()

	ModelSettings (Size yGridPoints, Real yStdDevs, Size gaussHermitePoints, Real digitalGap, Real marketRateAccuracy, Real lowerRateBound, Real upperRateBound, int adjustments, std::vector< Real > smileMoneyCheckpoints=std::vector< Real >(), ext::shared_ptr< CustomSmileFactory > customSmileFactory=ext::shared_ptr< CustomSmileFactory >())

void	validate ()

ModelSettings &	withYGridPoints (Size n)

ModelSettings &	withYStdDevs (Real s)

ModelSettings &	withGaussHermitePoints (Size n)

ModelSettings &	withDigitalGap (Real d)

ModelSettings &	withMarketRateAccuracy (Real a)

ModelSettings &	withUpperRateBound (Real u)

ModelSettings &	withLowerRateBound (Real l)

ModelSettings &	withAdjustments (int a)

ModelSettings &	addAdjustment (int a)

ModelSettings &	removeAdjustment (int a)

ModelSettings &	withSmileMoneynessCheckpoints (const std::vector< Real > &m)

ModelSettings &	withCustomSmileFactory (const ext::shared_ptr< CustomSmileFactory > &f)

Public Attributes
Size	yGridPoints_ = 64

Real	yStdDevs_ = 7.0

Size	gaussHermitePoints_ = 32

Real	digitalGap_ = 1E-5

Real	marketRateAccuracy_ = 1E-7

Real	lowerRateBound_ = 0.0

Real	upperRateBound_ = 2.0

int	adjustments_

std::vector< Real >	smileMoneynessCheckpoints_

ext::shared_ptr< CustomSmileFactory >	customSmileFactory_

Detailed Description

Examples: Gaussian1dModels.cpp.

Definition at line 115 of file markovfunctional.hpp.

Member Enumeration Documentation

◆ Adjustments

enum Adjustments

Enumerator
AdjustNone
AdjustDigitals
AdjustYts
ExtrapolatePayoffFlat
NoPayoffExtrapolation
KahaleSmile
SmileExponentialExtrapolation
KahaleInterpolation
SmileDeleteArbitragePoints
SabrSmile
CustomSmile

Definition at line 118 of file markovfunctional.hpp.

Constructor & Destructor Documentation

◆ ModelSettings() [1/2]

ModelSettings ( )

Definition at line 132 of file markovfunctional.hpp.

◆ ModelSettings() [2/2]

ModelSettings	(	Size	yGridPoints,
		Real	yStdDevs,
		Size	gaussHermitePoints,
		Real	digitalGap,
		Real	marketRateAccuracy,
		Real	lowerRateBound,
		Real	upperRateBound,
		int	adjustments,
		std::vector< Real >	smileMoneyCheckpoints = `std::vector<Real>()`,
		ext::shared_ptr< CustomSmileFactory >	customSmileFactory = `ext::shared_ptr<CustomSmileFactory>()`
	)

Definition at line 134 of file markovfunctional.hpp.

Member Function Documentation

◆ validate()

void validate ( )

Definition at line 152 of file markovfunctional.hpp.

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◆ withYGridPoints()

ModelSettings & withYGridPoints ( Size n )

Definition at line 201 of file markovfunctional.hpp.

◆ withYStdDevs()

ModelSettings & withYStdDevs ( Real s )

Definition at line 205 of file markovfunctional.hpp.

◆ withGaussHermitePoints()

ModelSettings & withGaussHermitePoints ( Size n )

Definition at line 209 of file markovfunctional.hpp.

◆ withDigitalGap()

ModelSettings & withDigitalGap ( Real d )

Definition at line 213 of file markovfunctional.hpp.

◆ withMarketRateAccuracy()

ModelSettings & withMarketRateAccuracy ( Real a )

Definition at line 217 of file markovfunctional.hpp.

◆ withUpperRateBound()

ModelSettings & withUpperRateBound ( Real u )

Definition at line 221 of file markovfunctional.hpp.

◆ withLowerRateBound()

ModelSettings & withLowerRateBound ( Real l )

Definition at line 225 of file markovfunctional.hpp.

◆ withAdjustments()

ModelSettings & withAdjustments ( int a )

Definition at line 229 of file markovfunctional.hpp.

◆ addAdjustment()

ModelSettings & addAdjustment ( int a )

Definition at line 233 of file markovfunctional.hpp.

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◆ removeAdjustment()

ModelSettings & removeAdjustment ( int a )

Definition at line 237 of file markovfunctional.hpp.

◆ withSmileMoneynessCheckpoints()

ModelSettings & withSmileMoneynessCheckpoints ( const std::vector< Real > & m )

Definition at line 241 of file markovfunctional.hpp.

◆ withCustomSmileFactory()

ModelSettings & withCustomSmileFactory ( const ext::shared_ptr< CustomSmileFactory > & f )

Definition at line 245 of file markovfunctional.hpp.

Member Data Documentation

◆ yGridPoints_

Size yGridPoints_ = 64

Definition at line 250 of file markovfunctional.hpp.

◆ yStdDevs_

Real yStdDevs_ = 7.0

Definition at line 251 of file markovfunctional.hpp.

◆ gaussHermitePoints_

Size gaussHermitePoints_ = 32

Definition at line 252 of file markovfunctional.hpp.

◆ digitalGap_

Real digitalGap_ = 1E-5

Definition at line 253 of file markovfunctional.hpp.

◆ marketRateAccuracy_

Real marketRateAccuracy_ = 1E-7

Definition at line 253 of file markovfunctional.hpp.

◆ lowerRateBound_

Real lowerRateBound_ = 0.0

Definition at line 254 of file markovfunctional.hpp.

◆ upperRateBound_

Real upperRateBound_ = 2.0