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Public Types | Public Member Functions | Public Attributes | List of all members
MarkovFunctional::ModelSettings Struct Reference

#include <markovfunctional.hpp>

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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 ()
 
ModelSettingswithYGridPoints (Size n)
 
ModelSettingswithYStdDevs (Real s)
 
ModelSettingswithGaussHermitePoints (Size n)
 
ModelSettingswithDigitalGap (Real d)
 
ModelSettingswithMarketRateAccuracy (Real a)
 
ModelSettingswithUpperRateBound (Real u)
 
ModelSettingswithLowerRateBound (Real l)
 
ModelSettingswithAdjustments (int a)
 
ModelSettingsaddAdjustment (int a)
 
ModelSettingsremoveAdjustment (int a)
 
ModelSettingswithSmileMoneynessCheckpoints (const std::vector< Real > &m)
 
ModelSettingswithCustomSmileFactory (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< RealsmileMoneynessCheckpoints_
 
ext::shared_ptr< CustomSmileFactorycustomSmileFactory_
 

Detailed Description

Examples
Gaussian1dModels.cpp.

Definition at line 115 of file markovfunctional.hpp.

Member Enumeration Documentation

◆ 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]

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

Definition at line 254 of file markovfunctional.hpp.

◆ adjustments_

int adjustments_

Definition at line 255 of file markovfunctional.hpp.

◆ smileMoneynessCheckpoints_

std::vector<Real> smileMoneynessCheckpoints_

Definition at line 256 of file markovfunctional.hpp.

◆ customSmileFactory_

ext::shared_ptr<CustomSmileFactory> customSmileFactory_

Definition at line 257 of file markovfunctional.hpp.